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 811-08497

 

Name of Fund: BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Corporate High Yield Fund III, 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: 02/28/2011

 

Date of reporting period: 02/28/2011

 

Item 1 – Report to Stockholders

 


 

 

(BLCKROCK LOGO)

February 28, 2011


 

Annual Report

 

BlackRock Corporate High Yield Fund, Inc. (COY)

 

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

BlackRock Debt Strategies Fund, Inc. (DSU)

 

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

BlackRock Senior High Income Fund, Inc. (ARK)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 


 

Table of Contents


 

 

 

 

 






 

 

Page

 






Dear Shareholder

 

 

3

 

Annual Report:

 

 

 

 

Fund Summaries

 

 

4

 

The Benefits and Risks of Leveraging

 

 

14

 

Derivative Financial Instruments

 

 

14

 

Financial Statements:

 

 

 

 

Schedules of Investments

 

 

15

 

Statements of Assets and Liabilities

 

 

60

 

Statements of Operations

 

 

61

 

Statements of Changes in Net Assets

 

 

62

 

Statements of Cash Flows

 

 

64

 

Financial Highlights

 

 

65

 

Notes to Financial Statements

 

 

70

 

Report of Independent Registered Public Accounting Firm

 

 

79

 

Important Tax Information (Unaudited)

 

 

79

 

Automatic Dividend Reinvestment Plans

 

 

80

 

Officers and Directors

 

 

81

 

Additional Information

 

 

84

 


 

 

 




2

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Dear Shareholder

Over the past 12 months, we have seen a sluggish, stimulus-driven economic recovery at long last gain real traction, accelerate, and transition into a consumption-driven expansion. For the most part, 2010 was plagued with widely fluctuating economic data, but as the year drew to a close, it became clear that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed signs of continuing improvement. Although the sovereign debt crises and emerging market inflation that troubled the global economy in 2010 remain a challenge, overall investor sentiment considerably improved. Near the end of the period, geopolitical tensions across the Middle East North Africa (“MENA”) region along with rising oil prices introduced new cause for concern about the future of the global economy. As of this writing, economic news remains fairly positive although we face additional uncertainties related to the aftermath of the devastating earthquake in Japan, with particular focus on the damage to nuclear power plants.

In the United States, strength from the corporate sector and increasing consumer spending have been key drivers of economic growth, while the housing and labor markets have been the heaviest burdens. While housing has yet to show any meaningful sign of improvement, labor statistics have delivered a mixed bag month after month, but became increasingly encouraging toward the end of the period when the unemployment rate fell to its lowest level since April 2009.

Global equity markets experienced uneven growth and high volatility over the course of 2010, but ended the year strong. Following a strong start to 2011, stocks lost their momentum on the back of geopolitical events in the MENA region and a sharp rise in oil prices. Overall, equities posted strong returns for the 12-month period. US stocks outpaced most international markets and small cap stocks outperformed large caps as investors moved into higher-risk assets.

Fixed income markets saw yields trend lower over most of 2010, until the fourth quarter brought an abrupt reversal in sentiment and risk tolerance that drove yields sharply upward (pushing bond prices down) through year end. Improving economic data continued to pressure fixed income yields in 2011; however, escalating geopolitical risks have acted as a counterweight, restoring relative stability to yield movements. Nevertheless, the yield curve remained steep and higher-risk sectors outperformed the fixed income market.

The tax-exempt municipal market enjoyed a powerful rally during the period of low interest rates in 2010; however, when the yield trend reversed, the market was dealt an additional blow as it became evident that the Build America Bond program would expire at year end. In addition, negative headlines regarding fiscal challenges faced by state and local governments damaged investor confidence and further heightened volatility in the municipal market. Tax-exempt mutual funds experienced heavy outflows, resulting in wider quality spreads and further downward pressure on municipal bond prices. These headwinds began to abate as the period came to a close and municipals finally posted gains in February, following a five-month run of negative performance.

Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the 12-month period as short-term interest rates remained low. Yields on money market securities remain near all-time lows.

 

 

 

 

 

 

 

 

Total returns as of February 28, 2011

 

6-month

 

12-month

 







US large cap equities (S&P 500 Index)

 

27.73

%

 

22.57

%

 









US small cap equities (Russell 2000 Index)

 

37.55

 

 

32.60

 

 









International equities (MSCI Europe, Australasia, Far East Index)

 

23.77

 

 

20.00

 

 









3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)

 

0.07

 

 

0.14

 

 









US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)

 

(6.04

)

 

4.76

 

 









US investment grade bonds (Barclays Capital US Aggregate Bond Index)

 

(0.83

)

 

4.93

 

 









Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)

 

(3.51

)

 

1.72

 

 









US high yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)

 

10.05

 

 

17.34

 

 









          Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.

While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can offer investors the next best thing: partnership with the world’s largest asset management firm and a unique global perspective that allows us to identify trends early and capitalize on market opportunities. 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,

-s- Rob Kopito
Rob Kapito
President, BlackRock Advisors, LLC

 

 

 




 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 



 

 

Fund Summary as of February 28, 2011

BlackRock Corporate High Yield Fund, Inc.


 


Investment Objective


BlackRock Corporate High Yield Fund, Inc.’s (COY) (the “Fund”) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities, which are rated in the lower rating categories of the established rating services (BB or lower by Standard & Poor’s Corporation (“S&P”) or Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or are unrated securities considered by BlackRock to be of comparable quality. The Fund’s secondary objective is to provide stockholders with capital appreciation. The Fund invests, under normal market conditions, at least 80% of its assets in high yield debt instruments, including high yield bonds (commonly referred to as “junk” bonds) and corporate loans which are below investment grade quality. The Fund may invest directly in such securities or synthetically through the use of derivatives.

          No assurance can be given that the Fund’s investment objectives will be achieved.

 


Portfolio Management Commentary



 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 28, 2011, the Fund returned 11.66% based on market price and 22.11% 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 21.06% based on market price and 21.40% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

High yield bonds outperformed the broader fixed income market as risk assets rallied during the period. Lower-quality high yield bonds outperformed higher-quality issues. The bank loan sector also posted strong returns, but underperformed high yield. The largest contributor to the Fund’s performance was individual security selection, particularly among lower-quality credits and special situations in the automotive sector, including manufacturers of automobiles, auto parts and components. Within the Fund’s small allocation to common stocks, its holdings in Delphi boosted returns. The Fund’s limited exposure to high-quality, non-investment grade proved beneficial, as did its large allocation to lower-quality credits later in the period.

 

 

During the period, the Fund maintained leverage at an average amount between 18% and 20% of its total managed assets, which detracted from relative performance versus competitors that maintained higher levels of leverage, as would be expected when markets are advancing. The Fund’s significant holdings in mid-tier speculative grade names for most of the period detracted modestly as they underperformed their lower-quality counterparts. Also having a negative impact was the Fund’s exposure to bank loans; however, the Fund continues to hold a number of loans issued by speculative companies where we believe the loans are the most attractive instrument in the company’s capital structure.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund shifted its overall positioning from a more conservative stance to that which is more consistent with a gradually improving economy. The Fund reduced its exposure to the automotive sector and increased exposure to lower-quality credits as well as sectors where companies are positioned to benefit from rising commodity prices.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 85% of its total portfolio in corporate bonds, 7% in floating rate loan interests and 5% in common stocks. Cash positions were negligible for most of the period. The Fund ended the period with leverage at approximately 20% of its total managed assets.


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.

 

 

 




4

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

 

 

BlackRock Corporate High Yield Fund, Inc.


 


Fund Information



 

 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

 

COY

 

Initial Offering Date

 

 

June 25, 1993

 

Yield on Closing Market Price as of February 28, 2011 ($7.03)1

 

 

8.71%

 

Current Monthly Distribution per Share2

 

 

$0.051

 

Current Annualized Distribution per Share2

 

 

$0.612

 

Leverage as of February 28, 20113

 

 

20%

 







 

 

 

 

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.

 

 

 

 

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 borrowings) 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 14.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

2/28/11

 

2/28/10

 

Change

 

High

 

Low

 


















Market Price

 

$

7.03

 

$

6.88

 

 

2.18

%

$

7.24

 

$

5.50

 

Net Asset Value

 

$

7.42

 

$

6.64

 

 

11.75

%

$

7.44

 

$

6.60

 


















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



 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









Corporate Bonds

 

85

%

 

82

%

 

Floating Rate Loan Interests

 

7

 

 

13

 

 

Common Stocks

 

5

 

 

3

 

 

Other Interests

 

2

 

 

2

 

 

Preferred Stocks

 

1

 

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









A

 

1

%

 

 

 

BBB/Baa

 

4

 

 

3

%

 

BB/Ba

 

31

 

 

30

 

 

B

 

46

 

 

46

 

 

CCC/Caa

 

13

 

 

12

 

 

CC/Ca

 

 

 

1

 

 

D

 

 

 

1

 

 

Not Rated

 

5

 

 

7

 

 










 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

5




 

 


 

Fund Summary as of February 28, 2011

BlackRock Corporate High Yield Fund III, Inc.


 


Investment Objective


BlackRock Corporate High Yield Fund III, Inc.’s (CYE) (the “Fund”) primary investment objective is to provide current income by investing primarily in fixed-income securities, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P or Baa or lower by Moody’s) or are unrated securities of comparable quality. The Fund’s secondary investment objective is to provide capital appreciation. The Fund may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Fund’s investment objectives will be achieved.


 


Portfolio Management Commentary



 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 28, 2011, the Fund returned 16.99% based on market price and 23.50% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.06% based on market price and 21.40% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

High yield bonds outperformed the broader fixed income market as risk assets rallied during the period. Lower-quality high yield bonds outperformed higher-quality issues. The bank loan sector also posted strong returns, but underperformed high yield. The largest contributor to the Fund’s performance was individual security selection, particularly among lower-quality credits and special situations in the automotive sector, including manufacturers of automobiles, auto parts and components. Within the Fund’s small allocation to common stocks, its holdings in Delphi boosted returns. The Fund’s limited exposure to high-quality, non-investment grade proved beneficial, as did its large allocation to lower-quality credits later in the period.

 

 

During the period, the Fund maintained leverage at an average amount between 20% and 22% of its total managed assets, which detracted from relative performance versus competitors that maintained higher levels of leverage, as would be expected when markets are advancing. The Fund’s significant holdings in mid-tier speculative grade names for most of the period detracted modestly as they underperformed their lower-quality counterparts. Also having a negative impact was the Fund’s exposure to bank loans; however, the Fund continues to hold a number of loans issued by speculative companies where we believe the loans are the most attractive instrument in the company’s capital structure.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund shifted its overall positioning from a more conservative stance to that which is more consistent with a gradually improving economy. The Fund reduced its exposure to the automotive sector and increased exposure to lower-quality credits as well as sectors where companies are positioned to benefit from rising commodity prices.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 80% of its total portfolio in corporate bonds, 11% in floating rate loan interests and 5% in common stocks. Cash positions were negligible for most of the period. The Fund ended the period with leverage at approximately 24% of its total managed assets.


 

 

 

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.


 

 

 


6

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

BlackRock Corporate High Yield Fund III, Inc.


 

 

 

 


Fund Information

 

 

 


 

 

 

 

Symbol on NYSE

 

CYE

 

Initial Offering Date

 

January 30, 1998

 

Yield on Closing Market Price as of February 28, 2011 ($7.14)1

 

8.40%

 

Current Monthly Distribution per Share2

 

$0.05

 

Current Annualized Distribution per Share2

 

$0.60

 

Leverage as of February 28, 20113

 

24%

 





 

 

 

 

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.

 

 

 

 

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 borrowings) 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 14.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

2/28/10

 

Change

 

High

 

Low

 


















Market Price

 

$

7.14

 

$

6.67

 

 

7.05

%

$

7.24

 

$

5.29

 

Net Asset Value

 

$

7.56

 

$

6.69

 

 

13.00

%

$

7.58

 

$

6.66

 


















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



 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 







Corporate Bonds

 

80

%

 

81

%

 

Floating Rate Loan Interests

 

11

 

 

13

 

 

Common Stocks

 

5

 

 

4

 

 

Preferred Stocks

 

2

 

 

 

 

Other Interests

 

2

 

 

2

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









BBB/Baa

 

4

%

 

3

%

 

BB/Ba

 

31

 

 

29

 

 

B

 

46

 

 

47

 

 

CCC/Caa

 

14

 

 

12

 

 

D

 

 

 

1

 

 

Not Rated

 

5

 

 

8

 

 










 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

7




 

 


 

 

Fund Summary as of February 28, 2011

BlackRock Debt Strategies Fund, Inc.


 


Investment Objective


BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to provide current income by investing primarily in a diversified portfolio of US companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P or Baa or lower by Moody’s) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. The Fund’s secondary objective is to provide capital appreciation. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Fund’s investment objectives will be achieved.


 


Portfolio Management Commentary



 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 28, 2011, the Fund returned 12.90% based on market price and 19.92% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.06% based on market price and 21.40% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

High yield bonds outperformed the broader fixed income market as risk assets rallied during the period. Lower-quality high yield bonds outperformed higher-quality issues. The bank loan sector also posted strong returns, but underperformed high yield. While the Fund’s average allocation of 41% to high yield contributed to performance on an absolute basis, its average allocation of 52% to bank loans hurt performance relative to its Lipper category competitors, which invest primarily in high yield bonds. Additionally, the Fund maintained leverage at an average amount between 18% and 23% of its total managed assets, which detracted from relative performance versus competitors that maintained higher levels of leverage, as would be expected when markets are advancing. Lastly, the Fund’s underexposure to lower-quality, speculative grade credits detracted modestly from performance as lower quality outperformed during the period.

 

 

Contributing positively to performance was security selection within the Fund’s high yield allocation, particularly among lower-quality credits and special situations in the automotive sector, including manufacturers of automobiles, auto parts and components. The Fund’s equity position, although small, boosted returns. In addition, limited exposure to high-quality, non-investment grade proved beneficial.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund shifted its overall positioning from a more conservative stance to that which is more consistent with a gradually improving economy. In particular, the Fund increased its exposure to sectors where companies are positioned to benefit from rising commodity prices. In addition, the Fund increased its leverage during the period.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 43% of its total portfolio in corporate bonds, 53% in floating rate loan interests and 2% in asset-backed securities. Cash positions were negligible for most of the period. The Fund ended the period with leverage at approximately 20% of its total managed assets.


 

 

 

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.


 

 

 


8

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

BlackRock Debt Strategies Fund, Inc.


 

 

 

 


Fund Information

 

 

 


 

 

 

 

Symbol on NYSE

 

DSU

 

Initial Offering Date

 

March 27, 1998

 

Yield on Closing Market Price as of February 28, 2011 ($4.05)1

 

8.00%

 

Current Monthly Distribution per Share2

 

$0.027

 

Current Annualized Distribution per Share2

 

$0.324

 

Leverage as of February 28, 20113

 

20%

 






 

 

 

 

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.

 

 

 

 

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 borrowings) 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 14.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

2/28/10

 

Change

 

High

 

Low

 













Market Price

 

$

4.05

 

$

3.91

 

 

3.58

%

$

4.42

 

$

2.95

 

Net Asset Value

 

$

4.28

 

$

3.89

 

 

10.03

%

$

4.28

 

$

3.89

 


















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

 

 

 

 

 

 

 


 

 

 

2/28/11

 

2/28/10

 









Floating Rate Loan Interests

 

53

%

 

47

%

 

Corporate Bonds

 

43

 

 

49

 

 

Asset-Backed Securities

 

2

 

 

 

 

Common Stocks

 

1

 

 

4

 

 

Other Interests

 

1

 

 

 

 










 

 

 

 

 

 

 

 


Credit Quality Allocations4

 

 

 

 

 

 

 


 

 

 

2/28/11

 

2/28/10

 









BBB/Baa

 

7

%

 

5

%

 

BB/Ba

 

29

 

 

27

 

 

B

 

45

 

 

44

 

 

CCC/Caa

 

11

 

 

11

 

 

D

 

 

 

1

 

 

Not Rated

 

8

 

 

12

 

 










 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

9




 

 


 

 

Fund Summary as of February 28, 2011

BlackRock Floating Rate Income Strategies Fund II, Inc.


 


Investment Objective


BlackRock Floating Rate Income Strategies Fund II, Inc.’s (FRB) (the “Fund”) investment objective is to provide shareholders with 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. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Fund’s investment objective will be achieved.


 


Portfolio Management Commentary



 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 28, 2011, the Fund returned 1.19% based on market price and 14.20% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 16.47% based on market price and 12.22% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

The bank loan sector posted strong returns as risk assets rallied during the period. Lower-quality sectors and credits outperformed their higher-quality counterparts and the high yield sector outperformed bank loans. Because the Fund invests primarily in bank loans, the use of leverage had a positive impact on returns (on an absolute basis) as these sectors advanced. Holding a greater allocation to high yield bonds relative to its Lipper category competitors drove the Fund’s outperformance.

 

 

The Fund maintains a relatively conservative portfolio, weighted toward higher-quality speculative investments, which detracted from relative performance as lower quality outperformed during the period. In addition, the Fund maintains a lower level of leverage (at an average amount between 19% and 23% of its total managed assets) than the average level maintained by its Lipper category competitors, which detracted from performance on a relative basis.

 

 

 

Describe recent portfolio activity.

 

 

During the period, the Fund modestly increased its level of risk and use of leverage as market conditions improved. In particular, the Fund increased exposure to lower-quality credits and sectors that are more favorably impacted by rising commodity prices and an improving economy.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 81% of its total portfolio in floating rate loan interests and 15% in corporate bonds, with the remainder in asset-backed securities, common stocks and equity equivalents. Cash positions were negligible for most of the period. The Fund ended the period with leverage at approximately 20% of its total managed assets.


 

 

 

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.


 

 

 


10

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

 

BlackRock Floating Rate Income Strategies Fund II, Inc.


 

 

 

 


Fund Information

 

 

 


 

 

 

 

Symbol on NYSE

 

FRB

 

Initial Offering Date

 

July 30, 2004

 

Yield on Closing Market Price as of February 28, 2011 ($14.22)1

 

6.33%

 

Current Monthly Distribution per Share2

 

$0.075

 

Current Annualized Distribution per Share2

 

$0.900

 

Leverage as of February 28, 20113

 

20%

 






 

 

 

 

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.

 

 

 

 

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 borrowings) 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 14.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

2/28/10

 

Change

 

High

 

Low

 













Market Price

 

$

14.22

 

$

15.01

 

 

(5.26

)%

$

15.63

 

$

12.80

 

Net Asset Value

 

$

14.07

 

$

13.16

 

 

6.91

%

$

14.07

 

$

13.03

 


















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

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









Floating Rate Loan Interests

 

81

%

 

73

%

 

Corporate Bonds

 

15

 

 

26

 

 

Asset-Backed Securities

 

3

 

 

 

 

Other Interests

 

1

 

 

1

 

 










 

 

 

 

 

 

 

 


Credit Quality Allocations4

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









BBB/Baa

 

7

%

 

6

%

 

BB/Ba

 

34

 

 

34

 

 

B

 

42

 

 

38

 

 

CCC/Caa

 

8

 

 

10

 

 

CC/Ca

 

 

 

1

 

 

D

 

 

 

2

 

 

Not Rated

 

9

 

 

9

 

 










 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

11




 

 


 

 

Fund Summary as of February 28, 2011

BlackRock Senior High Income Fund, Inc.


 


Investment Objective


BlackRock Senior High Income Fund, Inc.’s (ARK) (the “Fund”) investment objective is to provide high current income 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. The Fund may invest directly in such securities or synthetically through the use of derivatives.

          No assurance can be given that the Fund’s investment objective will be achieved.

 


Portfolio Management Commentary



 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 28, 2011, the Fund returned 15.13% based on market price and 17.13% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.06% based on market price and 21.40% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

High yield bonds outperformed the broader fixed income market as risk assets rallied during the period. Lower-quality high yield bonds outperformed higher-quality issues. The bank loan sector also posted strong returns, but underperformed high yield. While the Fund’s average allocation to high yield contributed to performance on an absolute basis, its average allocation to bank loans hurt performance relative to its Lipper category competitors, which invest primarily in high yield bonds. Additionally, the Fund maintained leverage at an average amount between 18% and 22% of its total managed assets, which detracted from relative performance versus competitors that maintained higher levels of leverage, as would be expected when markets are advancing. Lastly, the Fund’s underexposure to lower-quality, speculative grade credits detracted modestly from performance as lower quality outperformed during the period.

 

 

Contributing positively to performance was security selection within the Fund’s high yield allocation, particularly among lower-quality credits and special situations in the automotive sector, including manufacturers of automobiles, auto parts and components. The Fund’s equity position, although small, boosted returns. In addition, limited exposure to high-quality, non-investment grade proved beneficial.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund shifted its overall positioning from a more conservative stance to that which is more consistent with a gradually improving economy. In particular, the Fund increased its exposure to sectors where companies are positioned to benefit from rising commodity prices. In addition, the Fund increased its leverage during the period.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 43% of its total portfolio in corporate bonds and 53% in floating rate loan interests, with the remainder in asset-backed securities, common stocks and equity equivalents. Cash positions were negligible for most of the period. The Fund ended the period with leverage at approximately 17% of its total managed assets.

 

 

 

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.


 

 

 


12

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

BlackRock Senior High Income Fund, Inc.


 


Fund Information



 

 

 

 

 

Symbol on NYSE

 

 

ARK

 

Initial Offering Date

 

 

April 30, 1993

 

Yield on Closing Market Price as of February 28, 2011 ($4.18)1

 

 

7.18

%

Current Monthly Distribution per Common Share2

 

 

$0.025

 

Current Annualized Distribution per Common Share2

 

 

$0.300

 

Leverage as of February 28, 20113

 

 

17

%







 

 

 

 

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.

 

 

 

 

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 borrowings) 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 14.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

2/28/11

 

2/28/10

 

Change

 

High

 

Low

 


















Market Price

 

$

4.18

 

$

3.94

 

 

6.09

%

$

4.48

 

$

3.59

 

Net Asset Value

 

$

4.22

 

$

3.91

 

 

7.93

%

$

4.22

 

$

3.87

 


















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



 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









Floating Rate Loan Interests

 

 

53

%

 

46

%

Corporate Bonds

 

 

43

 

 

52

 

Asset-Backed Securities

 

 

2

 

 

 

Common Stocks

 

 

1

 

 

2

 

Other Interests

 

 

1

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/11

 

2/28/10

 









BBB/Baa

 

 

9

%

 

5

%

BB/Ba

 

 

31

 

 

33

 

B

 

 

49

 

 

43

 

CCC/Caa

 

 

3

 

 

11

 

D

 

 

 

 

1

 

Not Rated

 

 

8

 

 

7

 










 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

13




 


 

The Benefits and Risks of Leveraging

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 financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally 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 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 Funds’ 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 Funds’ borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAV positively or negatively in addition to the impact on Fund performance from leverage from borrowings discussed above.

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 the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Funds’ 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, the Funds’ 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 or 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 the Funds’ 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 shareholders and may reduce income.

Under the Investment Company Act of 1940, the Funds are permitted to borrow through their credit facility up to 331/3% of their total managed assets. As of February 28, 2011, the Funds had outstanding leverage from borrowings as a percentage of their total managed assets as follows:

 

 

 

 

 






 

 

Percent of
Leverage

 





COY

 

 

20

%

CYE

 

 

24

%

DSU

 

 

20

%

FRB

 

 

20

%

ARK

 

 

17

%







 


 

Derivative Financial Instruments

The Funds may invest in various derivative instruments, including financial futures contracts, swaps, foreign currency exchange contracts and options, as specified in Note 2 of the Notes to Financial Statements, which may 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 use a derivative instrument

successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, 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 investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 





14

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments February 28, 2011

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Auto Components — 0.3%

 

 

 

 

 

 

 

Dana Holding Corp. (a)

 

 

47,900

 

$

904,352

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

26,900

 

 

429,862

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (a)

 

 

1,425

 

 

71

 









Commercial Banks — 0.1%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

6,302

 

 

273,003

 









Communications Equipment — 0.5%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

18,513

 

 

1,400,694

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

2,020

 

 

89,890

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc (a)

 

 

3,634

 

 

45,133

 









Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

Bank of America Corp.

 

 

53,000

 

 

757,370

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

67,974

 

 

1,427

 









Food Products — 0.1%

 

 

 

 

 

 

 

Zhongpin, Inc. (a)

 

 

10,737

 

 

199,601

 









Health Care Equipment & Supplies — 0.1%

 

 

 

 

 

 

 

Zimmer Holdings, Inc. (a)

 

 

5,148

 

 

320,926

 









Household Durables — 0.3%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.

 

 

65,388

 

 

304,054

 

Pulte Group, Inc. (a)

 

 

56,704

 

 

391,258

 

 

 

 

 

 




 

 

 

 

 

 

695,312

 









Machinery — 0.2%

 

 

 

 

 

 

 

Navistar International Corp. (a)

 

 

7,184

 

 

445,264

 









Media — 1.0%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

50,616

 

 

2,316,694

 

Clear Channel Outdoor Holdings, Inc., Class A (a)

 

 

10,254

 

 

151,144

 

 

 

 

 

 




 

 

 

 

 

 

2,467,838

 









Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

27,300

 

 

240,319

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc. (a)

 

 

11,200

 

 

607,264

 

Marathon Oil Corp.

 

 

26,200

 

 

1,299,520

 

 

 

 

 

 




 

 

 

 

 

 

1,906,784

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

36,744

 

 

121,402

 

Ainsworth Lumber Co. Ltd. (a)(b)

 

 

41,686

 

 

137,730

 

Western Forest Products, Inc. (a)

 

 

147,968

 

 

112,703

 

Western Forest Products, Inc. (a)(b)

 

 

41,528

 

 

31,631

 

 

 

 

 

 




 

 

 

 

 

 

403,466

 









Road & Rail — 0.3%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

16,300

 

 

865,693

 










 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

42,792

 

$

901,627

 

SunPower Corp., Class B (a)

 

 

352

 

 

5,942

 

 

 

 

 

 




 

 

 

 

 

 

907,569

 









Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

468

 

 

1,637

 

HMH Holdings/EduMedia (a)

 

 

82,415

 

 

412,075

 

 

 

 

 

 




 

 

 

 

 

 

413,712

 









Wireless Telecommunication Services — 0.7%

 

 

 

 

 

 

 

American Tower Corp., Class A (a)

 

 

10,566

 

 

570,141

 

Crown Castle International Corp. (a)

 

 

25,463

 

 

1,073,266

 

FiberTower Corp. (a)

 

 

76,542

 

 

254,119

 

 

 

 

 

 




 

 

 

 

 

 

1,897,526

 









Total Common Stocks — 5.7%

 

 

 

 

 

14,665,812

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 








Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

USD

 

230

 

 

247,250

 

Kratos Defense & Security Solutions, Inc., 10.00%,
6/01/17

 

 

430

 

 

484,825

 

 

 

 

 

 




 

 

 

 

 

 

732,075

 









Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

663

 

 

663,146

 

Series 2, 12.38%, 10/08/15

 

 

670

 

 

669,517

 

 

 

 

 

 




 

 

 

 

 

 

1,332,663

 









Airlines — 2.9%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (b)

 

 

970

 

 

1,037,900

 

American Airlines, Inc.:

 

 

 

 

 

 

 

10.50%, 10/15/12

 

 

870

 

 

954,825

 

Series 2001-2, 7.86%, 4/01/13

 

 

390

 

 

402,675

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

540

 

 

554,850

 

Series 1997-4-B, 6.90%, 7/02/18

 

 

382

 

 

387,652

 

Series 2001-1-C, 7.03%, 12/15/12

 

 

177

 

 

178,186

 

Series 2010-1-B, 6.00%, 7/12/20

 

 

400

 

 

399,000

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2010-1-B, 6.38%, 7/02/17

 

 

447

 

 

444,765

 

Series B, 9.75%, 12/17/16

 

 

879

 

 

949,590

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

1,964

 

 

2,194,949

 

 

 

 

 

 




 

 

 

 

 

 

7,504,392

 









Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

220

 

 

239,250

 

11.25%, 11/01/15 (c)

 

 

164

 

 

178,760

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

41

 

 

44,741

 

Exide Technologies, 8.63%, 2/01/18 (b)

 

 

340

 

 

362,525

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

2,995

 

 

3,099,825

 

 

 

 

 

 




 

 

 

 

 

 

3,925,101

 










 


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

FKA

Formerly Known As

GBP

British Pound

MSCI

Morgan Stanley Capital International

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

FEBRUARY 28, 2011

15




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%, 9/01/18

USD

 

245

 

$

263,681

 

Crown European Holdings SA, 7.13%,
8/15/18 (b)

EUR

 

225

 

 

330,673

 

 

 

 

 

 




 

 

 

 

 

 

594,354

 









Biotechnology — 0.2%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (b)

USD

 

477

 

 

480,405

 









Building Products — 1.2%

 

 

 

 

 

 

 

Associated Materials LLC, 9.13%, 11/01/17 (b)

 

 

450

 

 

486,563

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

490

 

 

502,250

 

7.00%, 2/15/20

 

 

570

 

 

600,637

 

Momentive Performance Materials, Inc.:

 

 

 

 

 

 

 

11.50%, 12/01/16

 

 

155

 

 

168,175

 

9.00%, 1/15/21 (b)

 

 

1,175

 

 

1,249,906

 

 

 

 

 

 




 

 

 

 

 

 

3,007,531

 









Capital Markets — 0.6%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13 (d)

 

 

470

 

 

481,313

 

E*Trade Financial Corp., 3.43%, 8/31/19 (b)(e)(f)

 

 

226

 

 

349,170

 

KKR Group Finance Co., 6.38%, 9/29/20 (b)

 

 

600

 

 

618,195

 

 

 

 

 

 




 

 

 

 

 

 

1,448,678

 









Chemicals — 3.4%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

800

 

 

786,000

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

490

 

 

523,075

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

155

 

 

172,437

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

690

 

 

740,887

 

9.00%, 11/15/20 (b)

 

 

340

 

 

361,675

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

EUR

 

260

 

 

366,862

 

8.63%, 3/15/21

USD

 

460

 

 

510,600

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

385

 

 

422,537

 

KRATON Polymers LLC, 6.75%, 3/01/19 (b)

 

 

115

 

 

117,300

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

1,180

 

 

1,256,700

 

Nalco Co., 6.63%, 1/15/19 (b)

 

 

305

 

 

315,294

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (b)(g)

 

 

170

 

 

172,975

 

OXEA Finance/Cy SCA (b):

 

 

 

 

 

 

 

9.50%, 7/15/17

 

 

115

 

 

126,213

 

9.63%, 7/15/17

EUR

 

385

 

 

595,675

 

Omnova Solutions, Inc., 7.88%, 11/01/18 (b)

USD

 

135

 

 

138,544

 

Polymer Group, Inc., 7.75%, 2/01/19 (b)

 

 

134

 

 

139,528

 

PolyOne Corp., 7.38%, 9/15/20

 

 

200

 

 

212,000

 

Rhodia SA, 6.88%, 9/15/20 (b)

 

 

720

 

 

737,100

 

TPC Group LLC, 8.25%, 10/01/17 (b)

 

 

310

 

 

329,762

 

Wellman Holdings, Inc., Subordinate Note (e):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19 (b)

 

 

790

 

 

687,300

 

(Third Lien), 5.00%, 1/29/19 (c)

 

 

265

 

 

103,526

 

 

 

 

 

 




 

 

 

 

 

 

8,815,990

 









Commercial Banks — 2.8%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

2,125

 

 

2,143,594

 

7.00%, 5/01/17

 

 

5,100

 

 

5,138,250

 

 

 

 

 

 




 

 

 

 

 

 

7,281,844

 









Commercial Services & Supplies — 1.7%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

695

 

 

785,350

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)

 

 

480

 

 

516,000

 

Casella Waste Systems, Inc., 7.75%, 2/15/19 (b)

 

 

350

 

 

358,750

 

International Lease Finance Corp., 8.25%, 12/15/20

 

 

298

 

 

331,525

 

Mobile Mini, Inc., 7.88%, 12/01/20 (b)

 

 

210

 

 

223,650

 

RSC Equipment Rental, Inc. (b):

 

 

 

 

 

 

 

10.00%, 7/15/17

 

 

555

 

 

638,250

 

8.25%, 2/01/21

 

 

540

 

 

571,050

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

West Corp. (b):

 

 

 

 

 

 

 

8.63%, 10/01/18

USD

 

695

 

$

736,700

 

7.88%, 1/15/19

 

 

185

 

 

189,856

 

 

 

 

 

 




 

 

 

 

 

 

4,351,131

 









Communications Equipment — 0.2%

 

 

 

 

 

 

 

Avaya Inc., 7.00%, 4/01/19 (b)

 

 

390

 

 

386,100

 









Computers & Peripherals — 0.3%

 

 

 

 

 

 

 

EMC Corp., 1.75%, 12/01/13 (e)

 

 

460

 

 

803,850

 









Construction Materials — 1.3%

 

 

 

 

 

 

 

Nortek, Inc.:

 

 

 

 

 

 

 

11.00%, 12/01/13

 

 

2,029

 

 

2,160,861

 

10.00%, 12/01/18 (b)

 

 

1,090

 

 

1,163,575

 

 

 

 

 

 




 

 

 

 

 

 

3,324,436

 









Consumer Finance — 0.7%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

 

640

 

 

689,600

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.05%, 1/13/12 (h)

 

 

195

 

 

196,987

 

7.80%, 6/01/12

 

 

200

 

 

213,289

 

6.63%, 8/15/17

 

 

770

 

 

818,955

 

 

 

 

 

 




 

 

 

 

 

 

1,918,831

 









Containers & Packaging — 2.2%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (b)

EUR

 

435

 

 

619,791

 

Ball Corp., 6.75%, 9/15/20

USD

 

475

 

 

497,563

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

125

 

 

133,906

 

9.75%, 1/15/21 (b)

 

 

850

 

 

852,125

 

Graham Packaging Co. LP, 8.25%, 10/01/18

 

 

230

 

 

247,825

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/17

 

 

810

 

 

899,100

 

7.88%, 10/01/18

 

 

365

 

 

392,375

 

OI European Group BV, 6.88%, 3/31/17

EUR

 

152

 

 

218,406

 

Pregis Corp., 12.38%, 10/15/13

USD

 

535

 

 

539,012

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

EUR

 

465

 

 

680,181

 

7.75%, 11/15/19

 

 

440

 

 

649,684

 

 

 

 

 

 




 

 

 

 

 

 

5,729,968

 









Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

Service Corp. International, 7.00%, 6/15/17

USD

 

2,800

 

 

2,982,000

 









Diversified Financial Services — 5.7%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

350

 

 

381,500

 

2.51%, 12/01/14 (h)

 

 

371

 

 

364,565

 

8.30%, 2/12/15

 

 

1,080

 

 

1,219,050

 

6.25%, 12/01/17 (b)

 

 

710

 

 

741,063

 

8.00%, 3/15/20

 

 

1,390

 

 

1,565,487

 

7.50%, 9/15/20 (b)

 

 

1,120

 

 

1,225,000

 

8.00%, 11/01/31

 

 

930

 

 

1,064,850

 

8.00%, 11/01/31

 

 

810

 

 

927,768

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

410

 

 

452,025

 

FCE Bank Plc, 7.13%, 1/15/13

EUR

 

550

 

 

799,772

 

Leucadia National Corp., 8.13%, 9/15/15

USD

 

1,120

 

 

1,232,000

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

1,195

 

 

1,272,675

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

EUR

 

350

 

 

511,964

 

7.13%, 4/15/19

USD

 

540

 

 

553,500

 

9.00%, 4/15/19

 

 

1,580

 

 

1,647,150

 

6.88%, 2/15/21

 

 

360

 

 

360,900

 

8.25%, 2/15/21

 

 

450

 

 

451,125

 

 

 

 

 

 




 

 

 

 

 

 

14,770,394

 










 

 

 

See Notes to Financial Statements.




16

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Diversified Telecommunication Services — 4.1%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12

USD

 

1,000

 

$

996,250

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

8.25%, 4/15/17

 

 

350

 

 

386,750

 

8.50%, 4/15/20

 

 

325

 

 

360,750

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,100

 

 

1,210,000

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

320

 

 

351,200

 

Level 3 Communications, Inc., 6.50%,
10/01/16 (e)

 

 

250

 

 

356,875

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

5.50%, 11/01/14

 

 

120

 

 

123,900

 

8.75%, 2/15/17

 

 

1,350

 

 

1,326,375

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,890

 

 

1,918,350

 

8.00%, 10/01/15

 

 

500

 

 

545,625

 

Series B, 7.50%, 2/15/14

 

 

1,385

 

 

1,405,775

 

Qwest Corp., 7.63%, 6/15/15

 

 

500

 

 

573,750

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

400

 

 

440,500

 

7.88%, 11/01/17

 

 

600

 

 

651,750

 

 

 

 

 

 




 

 

 

 

 

 

10,647,850

 









Electronic Equipment, Instruments &
Components — 0.7%

 

 

 

 

 

 

 

CDW LLC:

 

 

 

 

 

 

 

11.00%, 10/12/15

 

 

110

 

 

119,625

 

11.50%, 10/12/15 (c)

 

 

610

 

 

661,850

 

8.00%, 12/15/18 (b)

 

 

520

 

 

559,000

 

NXP BV, 3.05%, 10/15/13 (h)

 

 

475

 

 

472,625

 

 

 

 

 

 




 

 

 

 

 

 

1,813,100

 









Energy Equipment & Services — 1.4%

 

 

 

 

 

 

 

Bayou Well Services, 0.16%, 12/22/13

 

 

575

 

 

575,000

 

Calfrac Holdings LP, 7.50%, 12/01/20 (b)

 

 

225

 

 

230,625

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

910

 

 

941,850

 

7.75%, 5/15/17

 

 

235

 

 

248,512

 

Exterran Holdings, Inc., 7.25%, 12/01/18 (b)

 

 

405

 

 

415,125

 

Frac Tech Services LLC, 7.13%, 11/15/18 (b)

 

 

575

 

 

595,125

 

Precision Drilling Corp., 6.63%, 11/15/20 (b)

 

 

105

 

 

108,413

 

Thermon Industries, Inc., 9.50%, 5/01/17

 

 

500

 

 

541,250

 

 

 

 

 

 




 

 

 

 

 

 

3,655,900

 









Food & Staples Retailing — 0.7%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

520

 

 

514,800

 

BI-LO LLC, 9.25%, 2/15/19 (b)

 

 

305

 

 

317,200

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

380

 

 

427,975

 

7.50%, 3/01/17

 

 

580

 

 

583,625

 

 

 

 

 

 




 

 

 

 

 

 

1,843,600

 









Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

200

 

 

213,500

 

Blue Merger Sub Inc., 7.63%, 2/15/19 (b)

 

 

240

 

 

242,400

 

Darling International, Inc., 8.50%, 12/15/18 (b)

 

 

220

 

 

237,325

 

Reddy Ice Corp., 11.25%, 3/15/15

 

 

410

 

 

430,500

 

Smithfield Foods, Inc., 10.00%, 7/15/14

 

 

59

 

 

69,620

 

 

 

 

 

 




 

 

 

 

 

 

1,193,345

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

2,255

 

 

2,472,044

 

Hologic, Inc., 2.00%, 12/15/37 (d)(e)

 

 

1,295

 

 

1,248,056

 

 

 

 

 

 




 

 

 

 

 

 

3,720,100

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Health Care Providers & Services — 5.6%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b)

USD

 

255

 

$

265,837

 

ConvaTec Healthcare E SA (b):

 

 

 

 

 

 

 

7.38%, 12/15/17

EUR

 

400

 

 

574,062

 

10.50%, 12/15/18

USD

 

440

 

 

469,700

 

DaVita, Inc., 6.38%, 11/01/18

 

 

360

 

 

364,950

 

Gentiva Health Services Inc., 11.50%, 9/01/18

 

 

655

 

 

737,694

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

1,645

 

 

1,725,194

 

8.50%, 4/15/19

 

 

935

 

 

1,047,200

 

7.25%, 9/15/20

 

 

2,145

 

 

2,313,919

 

inVentiv Health, Inc., 10.00%, 8/15/18 (b)

 

 

600

 

 

616,500

 

Omnicare, Inc.:

 

 

 

 

 

 

 

6.13%, 6/01/13

 

 

164

 

 

164,615

 

6.88%, 12/15/15

 

 

400

 

 

413,000

 

7.75%, 6/01/20

 

 

580

 

 

619,150

 

Priory Group Ltd., 7.00%, 2/15/18 (b)

GBP

 

124

 

 

206,620

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

USD

 

1,717

 

 

1,888,700

 

10.00%, 5/01/18

 

 

622

 

 

730,850

 

8.88%, 7/01/19

 

 

2,010

 

 

2,286,375

 

 

 

 

 

 




 

 

 

 

 

 

14,424,366

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (b)

 

 

2,235

 

 

2,620,537

 

MedAssets, Inc., 8.00%, 11/15/18 (b)

 

 

150

 

 

154,125

 

 

 

 

 

 




 

 

 

 

 

 

2,774,662

 









Hotels, Restaurants & Leisure — 3.8%

 

 

 

 

 

 

 

Boyd Gaming Corp., 9.13%, 12/01/18 (b)

 

 

570

 

 

598,500

 

Caesars Entertainment Operating Co., Inc., 10.00%,
12/15/18

 

 

3,455

 

 

3,247,700

 

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

EUR

 

50

 

 

71,758

 

CityCenter Holdings LLC, 7.63%, 1/15/16 (b)

USD

 

310

 

 

323,175

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,100

 

 

1,179,750

 

Enterprise Inns Plc, 6.50%, 12/06/18

GBP

 

388

 

 

572,406

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

USD

 

615

 

 

698,025

 

Inn of the Mountain Gods Resort & Casino (b):

 

 

 

 

 

 

 

1.25%, 11/30/20 (c)

 

 

961

 

 

499,720

 

8.75%, 11/30/20

 

 

427

 

 

405,650

 

Little Traverse Bay Bands of Odawa Indians, 9.00%,
8/31/20 (b)

 

 

340

 

 

280,500

 

MGM Mirage, 13.00%, 11/15/13

 

 

90

 

 

107,775

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

235

 

 

263,200

 

11.13%, 11/15/17

 

 

780

 

 

898,950

 

Palace Entertainment Holding LLC, 8.88%,
4/15/17 (b)

 

 

110

 

 

112,200

 

Travelport LLC:

 

 

 

 

 

 

 

4.94%, 9/01/14 (h)

 

 

145

 

 

129,413

 

9.88%, 9/01/14

 

 

170

 

 

165,962

 

9.00%, 3/01/16

 

 

110

 

 

103,950

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(i)

 

 

315

 

 

32

 

 

 

 

 

 




 

 

 

 

 

 

9,658,666

 









Household Durables — 4.1%

 

 

 

 

 

 

 

American Standard Americas, 10.75%, 1/15/16 (b)

 

 

380

 

 

403,750

 

Ashton Woods USA LLC, 21.57%, 6/30/15 (b)(j)

 

 

805

 

 

523,250

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.13%, 6/15/16

 

 

295

 

 

299,794

 

12.00%, 10/15/17

 

 

1,425

 

 

1,656,562

 

9.13%, 6/15/18

 

 

1,620

 

 

1,672,650

 

Jarden Corp., 7.50%, 1/15/20

EUR

 

285

 

 

410,003

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

USD

 

1,620

 

 

1,755,675

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

625

 

 

612,500

 


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

FEBRUARY 28, 2011

17




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Household Durables (concluded)

 

 

 

 

 

 

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

USD

 

1,285

 

$

1,509,875

 

8.38%, 5/15/18

 

 

420

 

 

445,200

 

8.38%, 5/15/18 (b)

 

 

440

 

 

466,400

 

8.38%, 1/15/21 (b)

 

 

715

 

 

754,325

 

 

 

 

 

 




 

 

 

 

 

 

10,509,984

 









IT Services — 1.8%

 

 

 

 

 

 

 

First Data Corp. (b):

 

 

 

 

 

 

 

8.88%, 8/15/20

 

 

1,175

 

 

1,286,625

 

8.25%, 1/15/21

 

 

1,610

 

 

1,601,950

 

12.63%, 1/15/21

 

 

763

 

 

799,242

 

SunGard Data Systems, Inc. (b):

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

440

 

 

454,300

 

7.63%, 11/15/20

 

 

550

 

 

567,875

 

 

 

 

 

 




 

 

 

 

 

 

4,709,992

 









Independent Power Producers &
Energy Traders — 3.2%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,190

 

 

1,291,150

 

Calpine Corp. (b):

 

 

 

 

 

 

 

7.50%, 2/15/21

 

 

435

 

 

444,788

 

7.88%, 1/15/23

 

 

585

 

 

601,087

 

Energy Future Holdings Corp., 10.00%, 1/15/20 (b)

 

 

3,115

 

 

3,243,811

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

161

 

 

168,060

 

NRG Energy, Inc., 7.63%, 1/15/18 (b)

 

 

2,515

 

 

2,618,744

 

 

 

 

 

 




 

 

 

 

 

 

8,367,640

 









Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,190

 

 

2,376,150

 

13.50%, 12/01/15 (c)

 

 

3,759

 

 

4,162,818

 

 

 

 

 

 




 

 

 

 

 

 

6,538,968

 









Insurance — 1.0%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (b)

 

 

1,600

 

 

1,692,000

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (b)

 

 

316

 

 

336,540

 

USI Holdings Corp., 4.16%, 11/15/14 (b)(h)

 

 

630

 

 

607,950

 

 

 

 

 

 




 

 

 

 

 

 

2,636,490

 









Machinery — 1.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

900

 

 

801,000

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (e)

 

 

1,680

 

 

2,347,800

 

8.25%, 11/01/21

 

 

630

 

 

697,725

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

90

 

 

99,900

 

Titan International, Inc. (b):

 

 

 

 

 

 

 

5.63%, 1/15/17 (e)

 

 

220

 

 

573,100

 

7.88%, 10/01/17

 

 

430

 

 

460,100

 

 

 

 

 

 




 

 

 

 

 

 

4,979,625

 









Marine — 0.7%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (e)

 

 

1,985

 

 

1,841,087

 









Media — 13.0%

 

 

 

 

 

 

 

AMC Entertainment Holdings, Inc., 9.75%,
12/01/20 (b)

 

 

470

 

 

504,075

 

Affinion Group, Inc., 7.88%, 12/15/18 (b)

 

 

525

 

 

502,687

 

CCH II LLC, 13.50%, 11/30/16

 

 

502

 

 

608,488

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

430

 

 

459,025

 

8.13%, 4/30/20

 

 

430

 

 

463,863

 

CMP Susquehanna Corp., 3.44%, 5/15/14 (b)(h)

 

 

150

 

 

105,738

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

370

 

 

414,400

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)

 

 

555

 

 

600,787

 

Cengage Learning Acquisitions, Inc., 10.50%,
1/15/15 (b)

 

 

1,345

 

 

1,395,437

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

Checkout Holding Corp., 10.98%, 11/15/15 (b)(f)

USD

 

805

 

$

519,225

 

Citadel Broadcasting Corp., 7.75%, 12/15/18 (b)

 

 

235

 

 

252,038

 

Clear Channel Communications, Inc., 9.00%,
3/01/21 (b)

 

 

235

 

 

238,819

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,404

 

 

1,558,440

 

Series B, 9.25%, 12/15/17

 

 

5,160

 

 

5,740,500

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

617

 

 

617,372

 

Loan Close 3, 12.00%, 8/15/18

 

 

706

 

 

705,833

 

Shares Loan, 4.00%, 8/15/18

 

 

728

 

 

727,963

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

90

 

 

96,750

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

900

 

 

956,250

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (h)

 

 

330

 

 

296,175

 

9.50%, 5/15/15

 

 

390

 

 

383,175

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

945

 

 

1,058,400

 

Liberty Global, Inc., 4.50%, 11/15/16 (e)

 

 

370

 

 

641,025

 

Liberty Media Corp., 3.13%, 3/30/23 (e)

 

 

1,023

 

 

1,260,847

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)

 

 

740

 

 

762,200

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (b)

 

 

570

 

 

612,750

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

45

 

 

52,875

 

7.75%, 10/15/18 (b)

 

 

2,085

 

 

2,254,406

 

ProQuest LLC, 9.00%, 10/15/18 (b)

 

 

460

 

 

476,100

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(i)

 

 

812

 

 

8,118

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

410

 

 

411,538

 

10.38%, 9/01/14

 

 

1,496

 

 

1,557,710

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

305

 

 

326,350

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

640

 

 

686,400

 

8.13%, 12/01/17

EUR

 

407

 

 

604,468

 

9.63%, 12/01/19

 

 

530

 

 

831,028

 

UPC Holding BV, 9.88%, 4/15/18 (b)

USD

 

500

 

 

555,000

 

UPCB Finance II Ltd., 6.38%, 7/01/20

EUR

 

753

 

 

1,026,090

 

Unitymedia GmbH, 9.63%, 12/01/19

 

 

158

 

 

247,740

 

Univision Communications, Inc., 7.88%,
11/01/20 (b)

USD

 

425

 

 

455,813

 

Virgin Media Secured Finance Plc, 7.00%, 1/15/18

GBP

 

537

 

 

940,627

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)

EUR

 

343

 

 

507,642

 

Ziggo Finance BV, 6.13%, 11/15/17 (b)

 

 

735

 

 

1,037,090

 

 

 

 

 

 




 

 

 

 

 

 

33,461,257

 









Metals & Mining — 4.3%

 

 

 

 

 

 

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

USD

 

580

 

 

619,150

 

7.38%, 2/15/16

 

 

215

 

 

222,525

 

FMG Resources August 2006 Property Ltd., 7.00%,
11/01/15 (b)

 

 

1,460

 

 

1,514,750

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

1,850

 

 

1,887,000

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

550

 

 

692,313

 

New World Resources NV, 7.88%, 5/01/18

EUR

 

627

 

 

930,126

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (e)

USD

 

395

 

 

526,831

 

Novelis, Inc., 8.75%, 12/15/20 (b)

 

 

3,235

 

 

3,566,587

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.66%, 11/01/14 (h)

 

 

380

 

 

364,800

 

12.00%, 11/01/15

 

 

245

 

 

263,375

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

200

 

 

212,500

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

185

 

 

203,963

 

 

 

 

 

 




 

 

 

 

 

 

11,003,920

 










 

 

 

See Notes to Financial Statements.




18

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Multiline Retail — 1.8%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (c)

USD

 

4,007

 

$

4,633,094

 









Oil, Gas & Consumable Fuels — 7.5%

 

 

 

 

 

 

 

Arch Coal, Inc., 7.25%, 10/01/20

 

 

790

 

 

839,375

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

470

 

 

496,438

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

40

 

 

44,800

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b)

 

 

210

 

 

223,125

 

Chaparral Energy Inc., 8.25%, 9/01/21 (b)

 

 

230

 

 

234,025

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

1,460

 

 

1,533,000

 

6.13%, 2/15/21

 

 

870

 

 

887,400

 

2.25%, 12/15/38 (e)

 

 

775

 

 

709,125

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (b)

 

 

243

 

 

264,870

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

375

 

 

392,813

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

165

 

 

178,613

 

10.25%, 12/15/15

 

 

1,075

 

 

1,136,812

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

1,825

 

 

2,012,062

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

340

 

 

362,100

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

165

 

 

181,913

 

Denbury Resources Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

652

 

 

725,350

 

6.38%, 8/15/21

 

 

320

 

 

323,200

 

Energy Transfer Equity LP, 7.50%, 10/15/20

 

 

125

 

 

135,469

 

Energy XXI Gulf Coast, Inc. (b):

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

390

 

 

419,250

 

7.75%, 6/15/19

 

 

480

 

 

484,800

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (b)

 

 

710

 

 

749,050

 

Linn Energy LLC (b):

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,005

 

 

1,120,575

 

7.75%, 2/01/21

 

 

545

 

 

579,062

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

240

 

 

246,000

 

Niska Gas Storage US LLC, 8.88%, 3/15/18 (b)

 

 

1,730

 

 

1,885,700

 

Oasis Petroleum, Inc., 7.25%, 2/01/19 (b)

 

 

210

 

 

213,150

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

505

 

 

540,350

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

350

 

 

402,500

 

7.88%, 6/01/15

 

 

450

 

 

477,000

 

Range Resources Corp., 8.00%, 5/15/19

 

 

400

 

 

440,500

 

SM Energy Co., 6.63%, 2/15/19 (b)

 

 

260

 

 

262,925

 

Teekay Corp., 8.50%, 1/15/20

 

 

610

 

 

656,512

 

United Refining Co., 10.50%, 2/28/18 (b)(g)

 

 

240

 

 

237,600

 

 

 

 

 

 




 

 

 

 

 

 

19,395,464

 









Paper & Forest Products — 2.8%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(c)

 

 

345

 

 

350,280

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

310

 

 

345,650

 

8.00%, 4/01/20

 

 

140

 

 

154,350

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

370

 

 

422,725

 

7.13%, 11/01/18 (b)

 

 

535

 

 

555,063

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (b)

 

 

1,525

 

 

1,719,437

 

NewPage Corp., 11.38%, 12/31/14

 

 

2,510

 

 

2,503,725

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

785

 

 

865,462

 

8.75%, 2/01/19 (b)

 

 

215

 

 

224,675

 

 

 

 

 

 




 

 

 

 

 

 

7,141,367

 









Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.06%,
12/01/13 (h)

 

 

845

 

 

709,800

 

Grifols, Inc., 8.25%, 2/01/18 (b)

 

 

120

 

 

123,300

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

EUR

 

486

 

 

543,234

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Pharmaceuticals (concluded)

 

 

 

 

 

 

 

Valeant Pharmaceuticals International (b):

 

 

 

 

 

 

 

6.75%, 10/01/17

USD

 

350

 

$

362,250

 

7.00%, 10/01/20

 

 

445

 

 

460,019

 

 

 

 

 

 




 

 

 

 

 

 

2,198,603

 









Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20 (b)

 

 

850

 

 

850,000

 









Real Estate Investment Trusts (REITs) — 1.0%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

1,500

 

 

1,500,000

 

Omega Healthcare Investors, Inc., 6.75%,
10/15/22 (b)

 

 

495

 

 

499,950

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

480

 

 

502,800

 

 

 

 

 

 




 

 

 

 

 

 

2,502,750

 









Real Estate Management & Development — 1.9%

 

 

 

 

 

 

 

CB Richard Ellis Services Inc., 6.63%, 10/15/20

 

 

310

 

 

319,687

 

Forest City Enterprises, Inc., 7.63%, 6/01/15

 

 

1,325

 

 

1,285,250

 

Realogy Corp. (b):

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

725

 

 

772,125

 

7.88%, 2/15/19

 

 

2,440

 

 

2,449,150

 

 

 

 

 

 




 

 

 

 

 

 

4,826,212

 









Road & Rail — 2.1%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC:

 

 

 

 

 

 

 

9.63%, 3/15/18

 

 

475

 

 

530,813

 

8.25%, 1/15/19

 

 

710

 

 

753,487

 

Florida East Coast Railway Corp., 8.13%,
2/01/17 (b)

 

 

410

 

 

428,450

 

The Hertz Corp. (b):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

595

 

 

629,956

 

6.75%, 4/15/19

 

 

410

 

 

418,200

 

7.38%, 1/15/21

 

 

455

 

 

475,475

 

Hertz Holdings Netherlands BV, 8.50%,
7/31/15 (b)

EUR

 

1,225

 

 

1,838,362

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

USD

 

330

 

 

342,375

 

 

 

 

 

 




 

 

 

 

 

 

5,417,118

 









Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

Linear Technology Corp., Series A, 3.00%,
5/01/27 (e)

 

 

405

 

 

440,944

 

Spansion LLC, 7.88%, 11/15/17 (b)

 

 

260

 

 

265,200

 

 

 

 

 

 




 

 

 

 

 

 

706,144

 









Specialty Retail — 1.6%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%,
11/15/20 (b)

 

 

305

 

 

320,250

 

Claire’s Escrow Corp., 8.88%, 3/15/19 (b)(g)

 

 

295

 

 

296,106

 

Hillman Group, Inc., 10.88%, 6/01/18

 

 

490

 

 

539,000

 

Ltd. Brands, Inc., 8.50%, 6/15/19

 

 

745

 

 

853,025

 

PETCO Animal Supplies, Inc., 9.25%, 12/01/18 (b)

 

 

415

 

 

448,200

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

345

 

 

369,150

 

Toys ‘R’ US-Delaware, Inc., 7.38%, 9/01/16 (b)

 

 

390

 

 

410,963

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

950

 

 

980,875

 

 

 

 

 

 




 

 

 

 

 

 

4,217,569

 









Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (b)

 

 

398

 

 

412,925

 









Wireless Telecommunication Services — 4.4%

 

 

 

 

 

 

 

Clearwire Communications LLC (b):

 

 

 

 

 

 

 

12.00%, 12/01/15

 

 

460

 

 

501,400

 

12.00%, 12/01/17

 

 

1,040

 

 

1,123,200

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

715

 

 

788,288

 

7.75%, 5/15/16

 

 

336

 

 

355,320

 


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

FEBRUARY 28, 2011

19




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

USD

 

635

 

$

660,400

 

9.13%, 1/15/15 (c)

 

 

1,711

 

 

1,781,623

 

8.25%, 9/01/17

 

 

1,135

 

 

1,186,075

 

10.50%, 4/15/18

 

 

500

 

 

570,000

 

FiberTower Corp., 9.00%, 1/01/16 (c)

 

 

302

 

 

258,202

 

Intelsat Jackson Holdings SA, 7.25%,
10/15/20 (b)

 

 

320

 

 

328,800

 

iPCS, Inc., 2.43%, 5/01/13 (h)

 

 

760

 

 

750,500

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

7.88%, 9/01/18

 

 

480

 

 

507,000

 

6.63%, 11/15/20

 

 

700

 

 

681,625

 

NII Holdings, Inc., 3.13%, 6/15/12 (e)

 

 

340

 

 

338,300

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

1,460

 

 

1,315,825

 

Syniverse Holdings, Inc., 9.13%, 1/15/19 (b)

 

 

240

 

 

259,200

 

 

 

 

 

 




 

 

 

 

 

 

11,405,758

 









Total Corporate Bonds — 103.5%

 

 

 

 

 

266,877,299

 









 


 

Floating Rate Loan Interests (h)

 

 

 

 

 

 

 









Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

500

 

 

515,312

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan, 5.31%,
12/15/14

 

 

375

 

 

304,745

 









Chemicals — 0.1%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Facility
(First Lien), 3.52% – 3.56%, 7/30/14

 

 

404

 

 

397,208

 









Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan, 15.63%,
12/18/17

 

 

1,750

 

 

1,750,000

 









Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

475

 

 

465,500

 

Tranche A Term Loan, 8.50%, 3/02/15

 

 

396

 

 

388,178

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 8/04/16

 

 

896

 

 

899,418

 

 

 

 

 

 




 

 

 

 

 

 

1,753,096

 









Hotels, Restaurants & Leisure — 0.8%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc., Term Loan B-3,
3.30%, 1/28/15

 

 

400

 

 

371,389

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.31%,
3/27/12

 

 

1,915

 

 

1,709,399

 

 

 

 

 

 

 



 

 

 

 

 

 

2,080,788

 









IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

47

 

 

44,203

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

378

 

 

358,339

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

741

 

 

701,566

 

 

 

 

 

 




 

 

 

 

 

 

1,104,108

 









Independent Power Producers &
Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

204

 

 

172,086

 

Initial Tranche B-2 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

295

 

 

248,461

 

Initial Tranche B-3 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

2,545

 

 

2,139,662

 

 

 

 

 

 




 

 

 

 

 

 

2,560,209

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 







Media — 1.5%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

USD

 

1,463

 

$

1,469,081

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
6.01%, 6/12/14

 

 

869

 

 

825,359

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

1,375

 

 

1,461,797

 

 

 

 

 

 




 

 

 

 

 

 

3,756,237

 









Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

 

168

 

 

161,722

 

14.00%, 6/29/13

 

 

161

 

 

155,246

 

 

 

 

 

 




 

 

 

 

 

 

316,968

 









Multiline Retail — 0.6%

 

 

 

 

 

 

 

Hema Holding BV, Mezzanine, 4.41%, 7/05/17

EUR

 

1,070

 

 

1,447,188

 









Oil, Gas & Consumable Fuels — 1.2%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

USD

 

2,147

 

 

2,200,304

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18

 

 

2,245

 

 

920,278

 

 

 

 

 

 




 

 

 

 

 

 

3,120,582

 









Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, 6.55% – 7.30%,
2/01/13 (c)

 

 

1,282

 

 

1,153,977

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
1.76%, 6/28/11

 

 

225

 

 

221,906

 









Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
0.11%, 10/10/16

 

 

124

 

 

119,338

 

Extended Term Loan B, 4.56%, 10/10/16

 

 

689

 

 

660,582

 

 

 

 

 

 

 

779,920

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.01% – 5.00%,
5/29/14

 

 

132

 

 

128,530

 

Michaels Stores, Inc., Term Loan B-1, 2.56% – 2.63%,
10/31/13

 

 

306

 

 

305,363

 

 

 

 

 

 




 

 

 

 

 

 

433,893

 









Total Floating Rate Loan Interests — 8.4%

 

 

 

 

 

21,696,137

 









 


 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 








Auto Components — 2.4%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP,
Class B Membership Interests

 

 

(l)

 

6,337,403

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

700

 

 

7

 

Adelphia Recovery Trust

 

 

878

 

 

88

 

 

 

 

 

 




 

 

 

 

 

 

95

 









Total Other Interests — 2.4%

 

 

 

 

 

6,337,498

 










 

 

 

See Notes to Financial Statements.




20

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 







Auto Components — 0.1%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(e)

 

 

2,000

 

$

328,250

 









Automobiles — 0.8%

 

 

 

 

 

 

 

General Motors Co., 4.75%

 

 

42,950

 

 

2,185,296

 









Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 7.50% (e)

 

 

5,000

 

 

124,750

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(h)

 

 

34,982

 

 

 









Professional Services — 0.1%

 

 

 

 

 

 

 

Nielsen Holdings NV, 6.25% (a)(e)

 

 

4,084

 

 

225,386

 









Total Preferred Stocks — 1.1%

 

 

 

 

 

2,863,682

 









 


 

Warrants (m)

 

 

 

 

 







Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

29,930

 

 

1

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

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

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

312

 

 

3

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

9,997

 

 

 

 

 

 

 

 




 

 

 

 

 

 

3

 









Total Warrants — 0.0%

 

 

 

 

 

154

 









Total Long-Term Investments
(Cost — $298,164,834) — 121.1%

 

 

 

 

 

312,440,582

 









 


 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.18% (n)(o)

 

 

1,721,866

 

 

1,721,866

 









Total Short-Term Securities
(Cost — $1,721,866) — 0.7%

 

 

 

 

 

1,721,866

 









 


 

Options Purchased

 

Contracts

 

 

 

 









Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike
Price USD 942.86, Expires 12/01/19,
Broker Goldman Sachs Bank USA

 

 

17

 

 

 









Total Options Purchased
(Cost — $16,622) — 0.0%

 

 

 

 

 

 









Total Investments (Cost — $299,903,322*) — 121.8%

 

 

 

 

 

314,162,448

 

Liabilities in Excess of Other Assets — (21.8)%

 

 

 

 

 

(56,253,222

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

257,909,226

 

 

 

 

 

 





 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:


 

 

 

 

 

Aggregate cost

 

$

300,995,917

 

 

 




Gross unrealized appreciation

 

$

24,446,935

 

Gross unrealized depreciation

 

 

(11,280,404

)

 

 




Net unrealized appreciation

 

$

13,166,531

 

 

 





 

 

(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 payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(d)

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.

 

 

(e)

Convertible security.

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Bank of America

 

$

122,100

 

$

2,100

 

Credit Suisse International

 

$

237,600

 

$

6,134

 

Credit Suisse International

 

$

296,106

 

$

1,106

 

Sterne Agee

 

$

50,875

 

$

(125

)










 

 

(h)

Variable rate security. Rate shown is as of report date.

 

 

(i)

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

 

 

(j)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

 

 

(k)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(l)

Amount is less than $1,000.

 

 

(m)

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, if any.

 

 

(n)

Investments in companies considered to be an affiliate of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 











BlackRock Liquidity
Funds, TempCash,
Institutional Class

 

 

4,931,674

 

 

(3,209,808

)

 

1,721,866

 

$

4,563

 
















 

 

(o)

Represents the current yield as of report date.


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

FEBRUARY 28, 2011

21




 

 



 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

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 rating group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

Foreign currency exchange contracts as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 












USD

 

191,626

 

CAD

 

190,000

 

Citibank NA

 

4/14/11

 

$

(3,745

)

USD

 

715,231

 

GBP

 

454,000

 

Citibank NA

 

4/14/11

 

 

(22,506

)

USD

 

776,207

 

GBP

 

483,000

 

Deutsche Bank AG

 

4/14/11

 

 

(8,655

)

USD

 

87,672

 

GBP

 

54,500

 

Citibank NA

 

4/14/11

 

 

889

 

USD

 

238,419

 

GBP

 

148,500

 

UBS AG

 

4/14/11

 

 

(2,889

)

USD

 

13,138,284

 

EUR

 

9,600,500

 

Citibank NA

 

4/27/11

 

 

(100,425

)

USD

 

411,903

 

EUR

 

305,000

 

Deutsche Bank AG

 

4/27/11

 

 

(8,680

)

USD

 

1,362,593

 

EUR

 

995,000

 

Royal Bank of Scotland

 

4/27/11

 

 

(9,473

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(155,484

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 













93

 

S&P 500 Index Emini

 

Chicago Mercantile

 

 

March 2011

 

$

5,914,686

 

$

(251,679

)

















 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 















iStar Financial, Inc.

 

5.00%

 

Morgan
Stanley Capital
Services, Inc.

 

9/20/11

 

$

1,500

 

$

(112,324

)

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
International

 

12/20/11

 

$

475

 

 

(21,660

)

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

12/20/13

 

$

925

 

 

(78,682

)

Louisiana-Pacific
Corp.

 

5.00%

 

JPMorgan Chase
Bank NA

 

3/20/14

 

$

500

 

 

(114,192

)

Harrah’s Operating
Company, Inc.

 

5.00%

 

Deutsche
Bank AG

 

12/20/15

 

$

1,200

 

 

(167,414

)

Republic of
Hungary

 

1.00%

 

Deutsche
Bank AG

 

12/20/15

 

$

280

 

 

(5,076

)

Israel (State of)

 

1.00%

 

Deutsche
Bank AG

 

3/20/16

 

$

625

 

 

(2,402

)

iStar Financial, Inc.

 

5.00%

 

Deutsche
Bank AG

 

12/20/16

 

$

250

 

 

(49,627

)















Total

 

 

 

 

 

 

 

 

 

 

$

(551,377

)

 

 

 

 

 

 

 

 

 

 

 




 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

















iStar Financial, Inc.

 

5.00%

 

Deutsche Bank AG

 

9/20/11

 

CCC–

 

$

250

 

$

26,749

 

MBIA Insurance Corp.

 

5.00%

 

Citibank NA

 

3/20/12

 

B–

 

$

55

 

 

5,218

 

MBIA Insurance Corp.

 

5.00%

 

Deutsche Bank AG

 

3/20/12

 

B–

 

$

110

 

 

9,861

 

Texas Competitive Electric Holdings Co. LLC

 

5.00%

 

Goldman Sachs International

 

9/20/12

 

D

 

$

475

 

 

(47,954

)

MBIA Insurance Corp.

 

5.00%

 

Deutsche Bank AG

 

12/20/12

 

B–

 

$

595

 

 

62,089

 

Advanced Micro Devices, Inc.

 

5.00%

 

JPMorgan Chase Bank NA

 

3/20/15

 

B+

 

$

550

 

 

66,903

 

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

9/20/15

 

CC

 

$

125

 

 

19,128

 

Assured Guaranty Ltd.

 

5.00%

 

Deutsche Bank AG

 

12/20/15

 

A+

 

$

60

 

 

469

 

D.R. Horton, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

12/20/15

 

BB–

 

$

275

 

 

8,461

 

M.D.C. Holdings, Inc.

 

1.00%

 

Deutsche Bank AG

 

12/20/15

 

BBB–

 

$

315

 

 

3,022

 

M.D.C. Holdings, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

12/20/15

 

BBB–

 

$

315

 

 

1,707

 

M.D.C. Holdings, Inc.

 

1.00%

 

Morgan Stanley Capital Services, Inc.

 

12/20/15

 

BBB–

 

$

500

 

 

2,282

 

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

12/20/15

 

CC

 

$

700

 

 

39,469

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs International

 

3/20/16

 

B

 

$

500

 

 

(906

)

Chesapeake Energy Corp.

 

5.00%

 

Credit Suisse International

 

3/20/16

 

BB

 

$

250

 

 

4,687

 

Chesapeake Energy Corp.

 

5.00%

 

Goldman Sachs International

 

3/20/16

 

BB

 

$

250

 

 

2,781

 

Chesapeake Energy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

3/20/16

 

BB

 

$

250

 

 

4,687

 

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

3/20/16

 

CC

 

$

125

 

 

525

 

General Motors Co.

 

5.00%

 

Deutsche Bank AG

 

3/20/21

 

BB–

 

$

400

 

 

(1,002

)

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

208,176

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 




22

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

Credit default swaps on traded indexes — sold protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 















Dow Jones CDX North America High Yield Index Series 10, 10 – 15%

 

 

0.00%

 

 

Deutsche
Bank AG

 

 

6/20/11

 

 

CCC

 

$

664

 

$

(5,119

)

 

Dow Jones CDX North America High Yield Index Series 9, 10 – 15%

 

 

0.00%

 

 

Deutsche
Bank AG

 

 

12/20/12

 

 

CCC

 

$

479

 

 

(18,542

)

 

Dow Jones CDX North America High Yield Index Series 15

 

 

5.00%

 

 

Credit Suisse
International

 

 

12/20/15

 

 

B

 

$

1,825

 

 

(5,830

)





















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(29,491

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes 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 and derivatives)

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 derivatives 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, 2011 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

14,114,299

 

$

139,367

 

$

412,146

 

$

14,665,812

 

Corporate Bonds

 

 

 

 

261,794,251

 

 

5,083,048

 

 

266,877,299

 

Floating Rate Loan Interests

 

 

 

 

14,817,901

 

 

6,878,236

 

 

21,696,137

 

Other Interest

 

 

88

 

 

6,337,403

 

 

7

 

 

6,337,498

 

Preferred Stocks

 

 

2,310,046

 

 

553,636

 

 

 

 

2,863,682

 

Warrants

 

 

 

 

 

 

154

 

 

154

 

Short-Term Securities

 

 

1,721,866

 

 

 

 

 

 

1,721,866

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(11,592

)

 

(11,592

)

 

 













Total

 

$

18,146,299

 

$

283,642,558

 

$

12,361,999

 

$

314,150,856

 

 

 














 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

258,038

 

 

 

$

258,038

 

Foreign currency exchange contracts

 

 

 

 

889

 

 

 

 

889

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contract

 

 

 

 

(630,730

)

 

 

 

(630,730

)

Equity contracts

 

$

(251,679

)

 

 

 

 

 

 

(251,679

)

Foreign currency exchange contracts

 

 

 

 

(156,373

)

 

 

 

(156,373

)

 

 













Total

 

$

(251,679

)

$

(528,176

)

 

 

$

(779,855

)

 

 














 

 

 

 

1

Derivative financial instruments are financial futures contracts, swaps, foreign currency exchange contracts and options. Financial futures contracts, swaps and foreign currency exchange contracts are shown at the unrealized appreciation/ depreciation on the instrument and options are shown at value.


 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

23




 

 



 

 

Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund, Inc. (COY)


The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Warrants

 

Unfunded
Loan
Commitments
(Liabilities)

 

Total

 
























Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

75,096

 

$

3,961,360

 

$

19,218,811

 

$

4,212,670

 

$

150

 

$

(51,643

)

$

27,416,444

 

Accrued discounts/premiums

 

 

 

 

27,601

 

 

259,504

 

 

 

 

 

 

 

 

287,105

 

Net realized gain (loss)

 

 

 

 

3,474

 

 

304,406

 

 

1,359,868

 

 

 

 

 

 

1,667,748

 

Net change in unrealized appreciation/depreciation2

 

 

(759,245

)

 

(774,415

)

 

401,353

 

 

1,659,864

 

 

 

 

40,051

 

 

567,608

 

Purchases

 

 

1,186,185

 

 

2,332,077

 

 

3,657,874

 

 

1,297,125

 

 

4

 

 

 

 

8,473,265

 

Sales

 

 

 

 

(98,716

)

 

(12,548,447

)

 

(2,191,925

)

 

 

 

 

 

(14,839,088

)

Transfers in3

 

 

 

 

32

 

 

 

 

 

 

 

 

 

 

32

 

Transfers out3

 

 

(89,890

)

 

(368,365

)

 

(4,415,265

)

 

(6,337,595

)

 

 

 

 

 

(11,211,115

)

 

 






















Balance, as of February 28, 2011

 

$

412,146

 

$

5,083,048

 

$

6,878,236

 

$

7

 

$

154

 

$

(11,592

)

$

12,361,999

 

 

 























 

 

 

 

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, 2011 was $(1,980,476).

 

 

 

 

3

The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.


 

 

 

See Notes to Financial Statements.

 




24

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

Schedule of Investments February 28, 2011

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

29,600

 

$

473,008

 









Chemicals — 0.1%

 

 

 

 

 

 

 

LyondellBasell Industries NV, Class A (a)

 

 

3,185

 

 

121,285

 

Wellman Holdings, Inc. (a)

 

 

1,522

 

 

76

 

 

 

 

 

 




 

 

 

 

 

 

121,361

 









Commercial Banks — 0.1%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

6,855

 

 

296,959

 









Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

Air Lease Corp. (a)(b)

 

 

12,900

 

 

270,900

 









Communications Equipment — 0.6%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

20,518

 

 

1,552,392

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

2,145

 

 

95,452

 









Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

Bank of America Corp.

 

 

57,000

 

 

814,530

 

Citigroup, Inc. (a)

 

 

1

 

 

5

 

 

 

 

 

 




 

 

 

 

 

 

814,535

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

70,784

 

 

1,486

 









Food Products — 0.1%

 

 

 

 

 

 

 

Zhongpin, Inc. (a)

 

 

11,724

 

 

217,949

 









Health Care Equipment & Supplies — 0.1%

 

 

 

 

 

 

 

Zimmer Holdings, Inc. (a)

 

 

5,620

 

 

350,351

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,099

 

 

4,671

 









Household Durables — 0.3%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.

 

 

94,500

 

 

439,425

 

Pulte Group, Inc. (a)

 

 

61,751

 

 

426,082

 

 

 

 

 

 




 

 

 

 

 

 

865,507

 









Machinery — 0.2%

 

 

 

 

 

 

 

Navistar International Corp. (a)

 

 

7,849

 

 

486,481

 









Media — 1.3%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

53,805

 

 

2,462,655

 

Clear Channel Outdoor Holdings, Inc., Class A (a)

 

 

11,444

 

 

168,685

 

Gray Television, Inc. (a)

 

 

114,093

 

 

253,286

 

Sinclair Broadcast Group, Inc., Class A

 

 

50,000

 

 

647,000

 

 

 

 

 

 




 

 

 

 

 

 

3,531,626

 









Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

31,850

 

 

280,372

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc. (a)

 

 

12,200

 

 

661,484

 

Marathon Oil Corp.

 

 

28,600

 

 

1,418,560

 

 

 

 

 

 




 

 

 

 

 

 

2,080,044

 









Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

122,117

 

 

403,474

 

Ainsworth Lumber Co. Ltd. (a)(b)

 

 

140,415

 

 

463,931

 

Western Forest Products, Inc. (a)

 

 

158,023

 

 

120,361

 

Western Forest Products, Inc. (a)(b)

 

 

45,762

 

 

34,856

 

 

 

 

 

 




 

 

 

 

 

 

1,022,622

 









Road & Rail — 0.3%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

17,900

 

 

950,669

 









Semiconductors & Semiconductor Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

45,165

 

 

951,626

 

SunPower Corp., Class B (a)

 

 

778

 

 

13,133

 

 

 

 

 

 




 

 

 

 

 

 

964,759

 










 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

501

 

$

1,754

 

HMH Holdings/EduMedia (a)

 

 

89,670

 

 

448,350

 

TiVo, Inc. (a)

 

 

20,295

 

 

208,632

 

 

 

 

 

 




 

 

 

 

 

 

658,736

 









Wireless Telecommunication Services — 0.7%

 

 

 

 

 

 

 

American Tower Corp., Class A (a)

 

 

11,542

 

 

622,806

 

Crown Castle International Corp. (a)

 

 

27,820

 

 

1,172,613

 

FiberTower Corp. (a)

 

 

76,542

 

 

254,120

 

 

 

 

 

 




 

 

 

 

 

 

2,049,539

 









Total Common Stocks — 6.1%

 

 

 

 

 

17,089,419

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000
)

 

 

 

 









Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

USD

 

230

 

 

247,250

 

Kratos Defense & Security Solutions, Inc., 10.00%,
6/01/17

 

 

470

 

 

529,925

 

 

 

 

 

 




 

 

 

 

 

 

777,175

 









Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

720

 

 

720,396

 

Series 2, 12.38%, 10/08/15

 

 

727

 

 

727,317

 

 

 

 

 

 




 

 

 

 

 

 

1,447,713

 









Airlines — 2.9%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (b)

 

 

1,060

 

 

1,134,200

 

American Airlines, Inc.:

 

 

 

 

 

 

 

10.50%, 10/15/12

 

 

940

 

 

1,031,650

 

Series 2001-2, 7.86%, 4/01/13

 

 

400

 

 

413,000

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

630

 

 

647,325

 

Series 1997-4-B, 6.90%, 7/02/18 (c)

 

 

396

 

 

402,010

 

Series 2001-1-C, 7.03%, 12/15/12

 

 

199

 

 

199,692

 

Series 2010-1-B, 6.00%, 7/12/20

 

 

500

 

 

498,750

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2010-1-B, 6.38%, 7/02/17

 

 

500

 

 

497,500

 

Series B, 9.75%, 12/17/16

 

 

992

 

 

1,071,332

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

2,062

 

 

2,304,696

 

 

 

 

 

 




 

 

 

 

 

 

8,200,155

 









Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

230

 

 

250,125

 

11.25%, 11/01/15 (d)

 

 

177

 

 

192,930

 

Delphi International Holdings, Unsecured, 12.00%,
10/06/14

 

 

91

 

 

100,214

 

Exide Technologies, 8.63%, 2/01/18 (b)

 

 

370

 

 

394,513

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

4.00%, 8/15/13 (b)(e)(f)

 

 

255

 

 

252,450

 

8.00%, 1/15/18

 

 

3,035

 

 

3,141,225

 

 

 

 

 

 




 

 

 

 

 

 

4,331,457

 









Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%, 9/01/18

 

 

264

 

 

284,130

 

Crown European Holdings SA, 7.13%, 8/15/18 (b)

EUR

 

245

 

 

360,065

 

 

 

 

 

 




 

 

 

 

 

 

644,195

 









Biotechnology — 0.2%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (b)

USD

 

483

 

 

487,268

 










 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

25




 

 



 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Building Products — 1.2%

 

 

 

 

 

 

 

Associated Materials LLC, 9.13%, 11/01/17 (b)

USD

 

490

 

$

529,812

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

530

 

 

543,250

 

7.00%, 2/15/20

 

 

620

 

 

653,325

 

Momentive Performance Materials, Inc.:

 

 

 

 

 

 

 

11.50%, 12/01/16

 

 

170

 

 

184,450

 

9.00%, 1/15/21 (b)

 

 

1,280

 

 

1,361,600

 

 

 

 

 

 




 

 

 

 

 

 

3,272,437

 









Capital Markets — 0.6%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13 (g)

 

 

510

 

 

522,276

 

E*Trade Financial Corp. (e)(h):

 

 

 

 

 

 

 

3.39%, 8/31/19 (b)

 

 

244

 

 

376,980

 

Series A, 3.64%, 8/31/19

 

 

7

 

 

10,815

 

KKR Group Finance Co., 6.38%, 9/29/20 (b)

 

 

650

 

 

669,712

 

 

 

 

 

 




 

 

 

 

 

 

1,579,783

 









Chemicals — 3.4%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

880

 

 

864,600

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

530

 

 

565,775

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

165

 

 

183,563

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

765

 

 

821,419

 

9.00%, 11/15/20 (b)

 

 

370

 

 

393,587

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

EUR

 

280

 

 

395,082

 

8.63%, 3/15/21

USD

 

500

 

 

555,000

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

420

 

 

460,950

 

KRATON Polymers LLC, 6.75%, 3/01/19 (b)

 

 

125

 

 

127,500

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

1,260

 

 

1,341,900

 

Nalco Co., 6.63%, 1/15/19 (b)

 

 

335

 

 

346,306

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (b)(i)

 

 

185

 

 

188,237

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

680

 

 

746,300

 

Omnova Solutions, Inc., 7.88%, 11/01/18 (b)

 

 

150

 

 

153,938

 

Polymer Group, Inc., 7.75%, 2/01/19 (b)

 

 

144

 

 

149,940

 

PolyOne Corp., 7.38%, 9/15/20

 

 

215

 

 

227,900

 

Rhodia SA, 6.88%, 9/15/20 (b)

 

 

765

 

 

783,169

 

TPC Group LLC, 8.25%, 10/01/17 (b)

 

 

335

 

 

356,356

 

Wellman Holdings, Inc., Subordinate Note (e):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19

 

 

844

 

 

734,280

 

(Third Lien), 5.00%, 1/29/19 (d)

 

 

283

 

 

110,427

 

 

 

 

 

 




 

 

 

 

 

 

9,506,229

 









Commercial Banks — 2.8%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

3,336

 

 

3,365,680

 

7.00%, 5/01/17

 

 

4,490

 

 

4,523,756

 

 

 

 

 

 




 

 

 

 

 

 

7,889,436

 









Commercial Services & Supplies — 1.7%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

755

 

 

853,150

 

AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (b)

 

 

226

 

 

232,215

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)

 

 

525

 

 

564,375

 

Casella Waste Systems, Inc., 7.75%, 2/15/19 (b)

 

 

370

 

 

379,250

 

International Lease Finance Corp., 8.25%, 12/15/20

 

 

331

 

 

368,237

 

Mobile Mini, Inc., 7.88%, 12/01/20 (b)

 

 

230

 

 

244,950

 

RSC Equipment Rental, Inc. (b):

 

 

 

 

 

 

 

10.00%, 7/15/17

 

 

585

 

 

672,750

 

8.25%, 2/01/21

 

 

590

 

 

623,925

 

West Corp. (b):

 

 

 

 

 

 

 

8.63%, 10/01/18

 

 

755

 

 

800,300

 

7.88%, 1/15/19

 

 

195

 

 

200,119

 

 

 

 

 

 




 

 

 

 

 

 

4,939,271

 









Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya Inc., 7.00%, 4/01/19 (b)

 

 

430

 

 

425,700

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Computers & Peripherals — 0.3%

 

 

 

 

 

 

 

EMC Corp., 1.75%, 12/01/13 (e)

USD

 

490

 

$

856,275

 









Construction Materials — 1.4%

 

 

 

 

 

 

 

Nortek, Inc.:

 

 

 

 

 

 

 

11.00%, 12/01/13

 

 

2,395

 

 

2,550,178

 

10.00%, 12/01/18 (b)

 

 

1,190

 

 

1,270,325

 

 

 

 

 

 




 

 

 

 

 

 

3,820,503

 









Consumer Finance — 0.7%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

 

680

 

 

732,700

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.05%, 1/13/12 (f)

 

 

215

 

 

217,191

 

7.80%, 6/01/12

 

 

200

 

 

213,289

 

6.63%, 8/15/17

 

 

840

 

 

893,405

 

 

 

 

 

 




 

 

 

 

 

 

2,056,585

 









Containers & Packaging — 2.2%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (b)

EUR

 

475

 

 

676,783

 

Ball Corp., 6.75%, 9/15/20

USD

 

525

 

 

549,937

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

135

 

 

144,619

 

9.75%, 1/15/21 (b)

 

 

925

 

 

927,312

 

Graham Packaging Co. LP, 8.25%, 10/01/18

 

 

250

 

 

269,375

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/17

 

 

840

 

 

932,400

 

7.88%, 10/01/18

 

 

400

 

 

430,000

 

OI European Group BV, 6.88%, 3/31/17

EUR

 

155

 

 

222,717

 

Pregis Corp., 12.38%, 10/15/13

USD

 

565

 

 

569,237

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

EUR

 

495

 

 

724,064

 

7.75%, 11/15/19

 

 

470

 

 

693,981

 

 

 

 

 

 




 

 

 

 

 

 

6,140,425

 









Diversified Consumer Services — 1.1%

 

 

 

 

 

 

 

Service Corp. International, 7.00%, 6/15/17

USD

 

3,000

 

 

3,195,000

 









Diversified Financial Services — 6.1%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

280

 

 

305,200

 

2.51%, 12/01/14 (f)

 

 

394

 

 

387,166

 

8.30%, 2/12/15

 

 

1,090

 

 

1,230,337

 

6.25%, 12/01/17 (b)

 

 

980

 

 

1,022,875

 

8.00%, 3/15/20

 

 

1,900

 

 

2,139,875

 

7.50%, 9/15/20 (b)

 

 

1,220

 

 

1,334,375

 

8.00%, 11/01/31

 

 

880

 

 

1,007,946

 

8.00%, 11/01/31

 

 

1,000

 

 

1,145,000

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

450

 

 

496,125

 

FCE Bank Plc, 7.13%, 1/15/13

EUR

 

1,050

 

 

1,526,837

 

Leucadia National Corp., 8.13%, 9/15/15

USD

 

1,175

 

 

1,292,500

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

1,300

 

 

1,384,500

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

EUR

 

400

 

 

585,102

 

7.13%, 4/15/19

USD

 

580

 

 

594,500

 

9.00%, 4/15/19

 

 

1,720

 

 

1,793,100

 

6.88%, 2/15/21

 

 

395

 

 

395,988

 

8.25%, 2/15/21

 

 

490

 

 

491,225

 

 

 

 

 

 




 

 

 

 

 

 

17,132,651

 










 

 

 

See Notes to Financial Statements.

 




26

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Diversified Telecommunication Services — 4.1%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12

USD

 

1,035

 

$

1,031,119

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

8.25%, 4/15/17 (b)

 

 

393

 

 

434,265

 

8.50%, 4/15/20

 

 

350

 

 

388,500

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,200

 

 

1,320,000

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

350

 

 

384,125

 

Level 3 Communications, Inc., 6.50%, 10/01/16 (e)

 

 

280

 

 

399,700

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

5.50%, 11/01/14

 

 

130

 

 

134,225

 

8.75%, 2/15/17

 

 

1,480

 

 

1,454,100

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,020

 

 

2,050,300

 

8.00%, 10/01/15

 

 

600

 

 

654,750

 

Series B, 7.50%, 2/15/14

 

 

1,450

 

 

1,471,750

 

Qwest Corp., 7.63%, 6/15/15

 

 

525

 

 

602,438

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

460

 

 

506,575

 

7.88%, 11/01/17

 

 

630

 

 

684,337

 

 

 

 

 

 




 

 

 

 

 

 

11,516,184

 









Electronic Equipment, Instruments & Components — 0.7%

 

 

 

 

 

 

 

CDW LLC:

 

 

 

 

 

 

 

11.00%, 10/12/15

 

 

120

 

 

130,500

 

11.50%, 10/12/15 (d)

 

 

660

 

 

716,100

 

8.00%, 12/15/18 (b)

 

 

570

 

 

612,750

 

NXP BV, 3.05%, 10/15/13 (f)

 

 

520

 

 

517,400

 

 

 

 

 

 




 

 

 

 

 

 

1,976,750

 









Energy Equipment & Services — 1.4%

 

 

 

 

 

 

 

Bayou Well Services, 0.16%, 12/22/13

 

 

625

 

 

625,000

 

Calfrac Holdings LP, 7.50%, 12/01/20 (b)

 

 

245

 

 

251,125

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

985

 

 

1,019,475

 

7.75%, 5/15/17

 

 

250

 

 

264,375

 

Exterran Holdings, Inc., 7.25%, 12/01/18 (b)

 

 

445

 

 

456,125

 

Frac Tech Services LLC, 7.13%, 11/15/18 (b)

 

 

620

 

 

641,700

 

Precision Drilling Corp., 6.63%, 11/15/20 (b)

 

 

115

 

 

118,738

 

Thermon Industries, Inc., 9.50%, 5/01/17

 

 

555

 

 

600,787

 

 

 

 

 

 




 

 

 

 

 

 

3,977,325

 









Food & Staples Retailing — 0.7%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

560

 

 

554,400

 

BI-LO LLC, 9.25%, 2/15/19 (b)

 

 

335

 

 

348,400

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

410

 

 

461,763

 

7.50%, 3/01/17

 

 

670

 

 

674,187

 

 

 

 

 

 




 

 

 

 

 

 

2,038,750

 









Food Products — 0.7%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

220

 

 

234,850

 

Blue Merger Sub, Inc., 7.63%, 2/15/19 (b)

 

 

1,060

 

 

1,070,600

 

Darling International, Inc., 8.50%, 12/15/18 (b)

 

 

240

 

 

258,900

 

Reddy Ice Corp., 11.25%, 3/15/15

 

 

440

 

 

462,000

 

Smithfield Foods, Inc., 10.00%, 7/15/14

 

 

70

 

 

82,600

 

 

 

 

 

 




 

 

 

 

 

 

2,108,950

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

2,455

 

 

2,691,294

 

Hologic, Inc., 2.00%, 12/15/37 (e)(g)

 

 

1,375

 

 

1,325,156

 

 

 

 

 

 




 

 

 

 

 

 

4,016,450

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Health Care Providers & Services — 5.6%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19 (b)

USD

 

280

 

$

291,900

 

ConvaTec Healthcare E SA (b):

 

 

 

 

 

 

 

7.38%, 12/15/17

EUR

 

600

 

 

861,093

 

10.50%, 12/15/18

USD

 

470

 

 

501,725

 

DaVita, Inc., 6.38%, 11/01/18

 

 

400

 

 

405,500

 

Gentiva Health Services Inc., 11.50%, 9/01/18

 

 

710

 

 

799,638

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

1,785

 

 

1,872,019

 

8.50%, 4/15/19

 

 

1,020

 

 

1,142,400

 

7.25%, 9/15/20

 

 

2,315

 

 

2,497,306

 

inVentiv Health, Inc., 10.00%, 8/15/18 (b)

 

 

650

 

 

667,875

 

Omnicare, Inc.:

 

 

 

 

 

 

 

6.13%, 6/01/13

 

 

178

 

 

178,668

 

6.88%, 12/15/15

 

 

460

 

 

474,950

 

7.75%, 6/01/20

 

 

625

 

 

667,188

 

Priory Group Ltd., 7.00%, 2/15/18

GBP

 

137

 

 

228,281

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

USD

 

1,799

 

 

1,978,900

 

10.00%, 5/01/18

 

 

644

 

 

756,700

 

8.88%, 7/01/19

 

 

2,279

 

 

2,592,362

 

 

 

 

 

 




 

 

 

 

 

 

15,916,505

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (b)

 

 

2,405

 

 

2,819,862

 

MedAssets, Inc., 8.00%, 11/15/18 (b)

 

 

165

 

 

169,538

 

 

 

 

 

 




 

 

 

 

 

 

2,989,400

 









Hotels, Restaurants & Leisure — 3.7%

 

 

 

 

 

 

 

Boyd Gaming Corp., 9.13%, 12/01/18 (b)

 

 

625

 

 

656,250

 

Caesars Entertainment Operating Co., Inc., 10.00%,
12/15/18

 

 

3,775

 

 

3,548,500

 

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

EUR

 

53

 

 

76,063

 

CityCenter Holdings LLC, 7.63%, 1/15/16 (b)

USD

 

340

 

 

354,450

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,190

 

 

1,276,275

 

Enterprise Inns Plc, 6.50%, 12/06/18

GBP

 

425

 

 

626,991

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

USD

 

660

 

 

749,100

 

Inn of the Mountain Gods Resort & Casino (b):

 

 

 

 

 

 

 

1.25%, 11/30/20 (d)

 

 

1,046

 

 

543,920

 

8.75%, 11/30/20

 

 

465

 

 

441,750

 

Little Traverse Bay Bands of Odawa Indians, 9.00%,
8/31/20 (b)

 

 

380

 

 

313,500

 

MGM Mirage, 13.00%, 11/15/13

 

 

110

 

 

131,725

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

255

 

 

285,600

 

11.13%, 11/15/17

 

 

820

 

 

945,050

 

Palace Entertainment Holding LLC, 8.88%,
4/15/17 (b)

 

 

120

 

 

122,400

 

Travelport LLC:

 

 

 

 

 

 

 

4.94%, 9/01/14 (f)

 

 

160

 

 

142,800

 

9.88%, 9/01/14

 

 

190

 

 

185,488

 

9.00%, 3/01/16

 

 

120

 

 

113,400

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(j)

 

 

305

 

 

31

 

 

 

 

 

 




 

 

 

 

 

 

10,513,293

 









Household Durables — 4.0%

 

 

 

 

 

 

 

American Standard Americas, 10.75%, 1/15/16 (b)

 

 

410

 

 

435,625

 

Ashton Woods USA LLC, 21.57%, 6/30/15 (b)(k)

 

 

880

 

 

572,000

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.13%, 6/15/16

 

 

315

 

 

320,119

 

12.00%, 10/15/17

 

 

1,345

 

 

1,563,562

 

9.13%, 6/15/18

 

 

1,770

 

 

1,827,525

 

Jarden Corp., 7.50%, 1/15/20

EUR

 

305

 

 

438,775

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

USD

 

1,725

 

 

1,869,469

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

675

 

 

661,500

 


 

 

 

 

See Notes to Financial Statements.




 

ANNUAL REPORT

FEBRUARY 28, 2011

27




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Household Durables (concluded)

 

 

 

 

 

 

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

USD

 

1,390

 

$

1,633,250

 

8.38%, 5/15/18

 

 

475

 

 

503,500

 

8.38%, 5/15/18 (b)

 

 

480

 

 

508,800

 

8.38%, 1/15/21 (b)

 

 

780

 

 

822,900

 

 

 

 

 

 




 

 

 

 

 

 

11,157,025

 









IT Services — 1.8%

 

 

 

 

 

 

 

First Data Corp. (b):

 

 

 

 

 

 

 

8.88%, 8/15/20

 

 

1,275

 

 

1,396,125

 

8.25%, 1/15/21

 

 

1,758

 

 

1,749,210

 

12.63%, 1/15/21

 

 

829

 

 

868,377

 

SunGard Data Systems, Inc. (b):

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

480

 

 

495,600

 

7.63%, 11/15/20

 

 

600

 

 

619,500

 

 

 

 

 

 




 

 

 

 

 

 

5,128,812

 









Independent Power Producers & Energy Traders — 3.2%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,260

 

 

1,367,100

 

Calpine Corp. (b):

 

 

 

 

 

 

 

7.50%, 2/15/21

 

 

475

 

 

485,688

 

7.88%, 1/15/23

 

 

645

 

 

662,738

 

Energy Future Holdings Corp., 10.00%, 1/15/20 (b)

 

 

3,395

 

 

3,535,390

 

Energy Future Intermediate Holding Co. LLC, 10.00%,
12/01/20

 

 

174

 

 

181,630

 

NRG Energy, Inc., 7.63%, 1/15/18 (b)

 

 

2,745

 

 

2,858,231

 

 

 

 

 

 




 

 

 

 

 

 

9,090,777

 









Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,340

 

 

2,538,900

 

13.50%, 12/01/15 (d)

 

 

3,954

 

 

4,379,067

 

 

 

 

 

 




 

 

 

 

 

 

6,917,967

 









Insurance — 1.0%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (b)

 

 

1,700

 

 

1,797,750

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (b)

 

 

341

 

 

363,165

 

USI Holdings Corp., 4.16%, 11/15/14 (b)(f)

 

 

680

 

 

656,200

 

 

 

 

 

 




 

 

 

 

 

 

2,817,115

 









Machinery — 1.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

980

 

 

872,200

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (e)

 

 

1,820

 

 

2,543,450

 

8.25%, 11/01/21

 

 

630

 

 

697,725

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

100

 

 

111,000

 

Titan International, Inc. (b):

 

 

 

 

 

 

 

5.63%, 1/15/17 (e)

 

 

240

 

 

625,200

 

7.88%, 10/01/17

 

 

465

 

 

497,550

 

 

 

 

 

 




 

 

 

 

 

 

5,347,125

 









Marine — 0.7%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (e)

 

 

2,230

 

 

2,068,325

 









Media — 12.8%

 

 

 

 

 

 

 

AMC Entertainment Holdings, Inc., 9.75%,
12/01/20 (b)

 

 

510

 

 

546,975

 

Affinion Group, Inc., 7.88%, 12/15/18 (b)

 

 

570

 

 

545,775

 

CCH II LLC, 13.50%, 11/30/16

 

 

543

 

 

657,344

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

470

 

 

501,725

 

8.13%, 4/30/20

 

 

470

 

 

507,013

 

CMP Susquehanna Corp., 3.44%, 5/15/14 (b)

 

 

160

 

 

112,787

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

390

 

 

436,800

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(d)

 

 

610

 

 

660,325

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc., 10.50%,
1/15/15 (b)

USD

 

1,470

 

 

$1,525,125

 

Checkout Holding Corp., 10.98%, 11/15/15 (b)(h)

 

 

875

 

 

564,375

 

Citadel Broadcasting Corp., 7.75%, 12/15/18 (b)

 

 

255

 

 

273,488

 

Clear Channel Communications, Inc., 9.00%,
3/01/21 (b)

 

 

255

 

 

259,144

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,525

 

 

1,692,750

 

Series B, 9.25%, 12/15/17

 

 

5,570

 

 

6,196,625

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

648

 

 

648,241

 

Loan Close 3, 12.00%, 8/15/18

 

 

741

 

 

741,125

 

Shares Loan, 4.00%, 8/15/18

 

 

764

 

 

764,360

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

90

 

 

96,750

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

935

 

 

993,437

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

350

 

 

314,125

 

9.50%, 5/15/15

 

 

420

 

 

412,650

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

1,030

 

 

1,153,600

 

Liberty Global, Inc., 4.50%, 11/15/16 (e)

 

 

400

 

 

693,000

 

Liberty Media Corp., 3.13%, 3/30/23

 

 

1,113

 

 

1,371,772

 

Live Nation Entertainment, Inc., 8.13%,
5/15/18 (b)

 

 

805

 

 

829,150

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (b)

 

 

620

 

 

666,500

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

117

 

 

137,475

 

7.75%, 10/15/18 (b)

 

 

2,145

 

 

2,319,281

 

ProQuest LLC, 9.00%, 10/15/18 (b)

 

 

500

 

 

517,500

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(j)

 

 

850

 

 

8,499

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

440

 

 

441,650

 

10.38%, 9/01/14

 

 

1,582

 

 

1,647,257

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

335

 

 

358,450

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

755

 

 

809,738

 

8.13%, 12/01/17

EUR

 

441

 

 

654,964

 

9.63%, 12/01/19

 

 

570

 

 

893,747

 

UPC Holding BV, 9.88%, 4/15/18 (b)

USD

 

500

 

 

555,000

 

UPCB Finance II Ltd., 6.38%, 7/01/20

EUR

 

822

 

 

1,120,115

 

Unitymedia GmbH, 9.63%, 12/01/19

 

 

168

 

 

263,420

 

Univision Communications, Inc., 7.88%,
11/01/20 (b)

USD

 

460

 

 

493,350

 

Virgin Media Secured Finance Plc, 7.00%,
1/15/18

GBP

 

618

 

 

1,082,510

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (b)

EUR

 

388

 

 

574,242

 

Ziggo Finance BV, 6.13%, 11/15/17 (b)

 

 

800

 

 

1,128,805

 

 

 

 

 

 




 

 

 

 

 

 

36,170,964

 









Metals & Mining — 4.2%

 

 

 

 

 

 

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

USD

 

630

 

 

672,525

 

7.38%, 2/15/16

 

 

225

 

 

232,875

 

FMG Resources August 2006 Property Ltd., 7.00%,
11/01/15 (b)

 

 

1,580

 

 

1,639,250

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

1,975

 

 

2,014,500

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

595

 

 

748,956

 

New World Resources NV, 7.88%, 5/01/18

EUR

 

655

 

 

971,663

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (e)

USD

 

430

 

 

573,512

 

Novelis, Inc., 8.75%, 12/15/20 (b)

 

 

3,525

 

 

3,886,312

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.66%, 11/01/14 (f)

 

 

400

 

 

384,000

 

12.00%, 11/01/15

 

 

265

 

 

284,875

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

205

 

 

217,813

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

200

 

 

220,500

 

 

 

 

 

 




 

 

 

 

 

 

11,846,781

 










 

 

 

See Notes to Financial Statements.


28

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Multiline Retail — 1.8%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (d)

USD

 

4,351

 

$

5,030,844

 









Oil, Gas & Consumable Fuels — 7.4%

 

 

 

 

 

 

 

Arch Coal, Inc., 7.25%, 10/01/20

 

 

855

 

 

908,437

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

510

 

 

538,688

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

45

 

 

50,400

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18 (b)

 

 

230

 

 

244,375

 

Chaparral Energy Inc., 8.25%, 9/01/21 (b)

 

 

255

 

 

259,463

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

1,590

 

 

1,669,500

 

6.13%, 2/15/21

 

 

955

 

 

974,100

 

2.25%, 12/15/38 (e)

 

 

800

 

 

732,000

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (b)

 

 

266

 

 

289,940

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

410

 

 

429,475

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

175

 

 

189,438

 

10.25%, 12/15/15

 

 

1,145

 

 

1,210,837

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

1,990

 

 

2,193,975

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

370

 

 

394,050

 

Crosstex Energy LP, 8.88%, 2/15/18 (b)

 

 

180

 

 

198,450

 

Denbury Resources Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

737

 

 

819,912

 

6.38%, 8/15/21

 

 

350

 

 

353,500

 

Energy Transfer Equity LP, 7.50%, 10/15/20

 

 

135

 

 

146,306

 

Energy XXI Gulf Coast, Inc. (b):

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

425

 

 

456,875

 

7.75%, 6/15/19

 

 

530

 

 

535,300

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (b)

 

 

770

 

 

812,350

 

Linn Energy LLC (b):

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,100

 

 

1,226,500

 

7.75%, 2/01/21

 

 

590

 

 

626,875

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

260

 

 

266,500

 

Niska Gas Storage US LLC, 8.88%, 3/15/18 (b)

 

 

1,870

 

 

2,038,300

 

Oasis Petroleum, Inc., 7.25%, 2/01/19 (b)

 

 

230

 

 

233,450

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

555

 

 

593,850

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

370

 

 

425,500

 

7.88%, 6/01/15

 

 

460

 

 

487,600

 

Range Resources Corp., 8.00%, 5/15/19

 

 

400

 

 

440,500

 

SM Energy Co., 6.63%, 2/15/19 (b)

 

 

285

 

 

288,206

 

Teekay Corp., 8.50%, 1/15/20

 

 

660

 

 

710,325

 

United Refining Co., 10.50%, 2/28/18 (b)(i)

 

 

255

 

 

252,450

 

 

 

 

 

 




 

 

 

 

 

 

20,997,427

 









Paper & Forest Products — 3.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d)

 

 

1,162

 

 

1,179,907

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

330

 

 

367,950

 

8.00%, 4/01/20

 

 

165

 

 

181,913

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

390

 

 

445,575

 

7.13%, 11/01/18 (b)

 

 

585

 

 

606,938

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (b)

 

 

1,600

 

 

1,804,000

 

NewPage Corp., 11.38%, 12/31/14

 

 

2,695

 

 

2,688,262

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

840

 

 

926,100

 

8.75%, 2/01/19 (b)

 

 

235

 

 

245,575

 

 

 

 

 

 




 

 

 

 

 

 

8,446,220

 









Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (f)

 

 

890

 

 

747,600

 

Grifols, Inc., 8.25%, 2/01/18 (b)

 

 

135

 

 

138,712

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

EUR

 

531

 

 

593,534

 

Valeant Pharmaceuticals International (b):

 

 

 

 

 

 

 

6.75%, 10/01/17

USD

 

380

 

 

393,300

 

7.00%, 10/01/20

 

 

480

 

 

496,200

 

 

 

 

 

 




 

 

 

 

 

 

2,369,346

 










 

 

 

 

 

 

 

 

 

 

 

Par

 

 

 

 

Corporate Bonds

 

 

(000)

 

 

Value

 









Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20 (b)

USD

 

920

 

$

920,000

 









Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc., 6.75%,
10/15/22 (b)

 

 

540

 

 

545,400

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

520

 

 

544,700

 

 

 

 

 

 




 

 

 

 

 

 

1,090,100

 









Real Estate Management & Development — 1.9%

 

 

 

 

 

 

 

CB Richard Ellis Services Inc., 6.63%, 10/15/20

 

 

335

 

 

345,469

 

Forest City Enterprises, Inc., 7.63%, 6/01/15

 

 

1,425

 

 

1,382,250

 

IVG Immobilien AG, 8.00%, 5/29/49 (f)

EUR

 

100

 

 

115,571

 

Realogy Corp. (b):

 

 

 

 

 

 

 

11.50%, 4/15/17

USD

 

795

 

 

846,675

 

7.88%, 2/15/19

 

 

2,655

 

 

2,664,956

 

 

 

 

 

 




 

 

 

 

 

 

5,354,921

 









Road & Rail — 2.1%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC:

 

 

 

 

 

 

 

9.63%, 3/15/18

 

 

510

 

 

569,925

 

8.25%, 1/15/19

 

 

775

 

 

822,469

 

Florida East Coast Railway Corp., 8.13%,
2/01/17 (b)

 

 

410

 

 

428,450

 

The Hertz Corp. (b):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

645

 

 

682,894

 

6.75%, 4/15/19

 

 

445

 

 

453,900

 

7.38%, 1/15/21

 

 

495

 

 

517,275

 

Hertz Holdings Netherlands BV, 8.50%,
7/31/15 (b)

EUR

 

1,325

 

 

1,988,432

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

USD

 

360

 

 

373,500

 

 

 

 

 

 




 

 

 

 

 

 

5,836,845

 









Semiconductors & Semiconductor Equipment — 0.3%

 

 

 

 

 

 

 

Linear Technology Corp., Series A, 3.00%,
5/01/27 (e)

 

 

435

 

 

473,606

 

Spansion LLC, 7.88%, 11/15/17 (b)

 

 

280

 

 

285,600

 

 

 

 

 

 




 

 

 

 

 

 

759,206

 









Specialty Retail — 1.6%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20 (b)

 

 

330

 

 

346,500

 

Claire’s Escrow Corp., 8.88%, 3/15/19 (b)(i)

 

 

325

 

 

326,219

 

Hillman Group, Inc., 10.88%, 6/01/18

 

 

530

 

 

583,000

 

Ltd. Brands, Inc., 8.50%, 6/15/19

 

 

785

 

 

898,825

 

PETCO Animal Supplies, Inc., 9.25%, 12/01/18 (b)

 

 

455

 

 

491,400

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

370

 

 

395,900

 

Toys ‘R’ Us-Delaware, Inc., 7.38%, 9/01/16 (b)

 

 

420

 

 

442,575

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

1,025

 

 

1,058,312

 

 

 

 

 

 




 

 

 

 

 

 

4,542,731

 









Thrifts & Mortgage Finance — 0.2%

 

 

 

 

 

 

 

Radian Group, Inc., 3.00%, 11/15/17 (e)

 

 

500

 

 

472,500

 









Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (b)

 

 

431

 

 

447,162

 









Wireless Telecommunication Services — 4.2%

 

 

 

 

 

 

 

Clearwire Communications LLC (b):

 

 

 

 

 

 

 

12.00%, 12/01/15

 

 

490

 

 

534,100

 

12.00%, 12/01/17

 

 

1,130

 

 

1,220,400

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

765

 

 

843,412

 

7.75%, 5/15/16

 

 

220

 

 

232,650

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

700

 

 

728,000

 

9.13%, 1/15/15 (d)

 

 

1,783

 

 

1,856,994

 

8.25%, 9/01/17

 

 

1,180

 

 

1,233,100

 

10.50%, 4/15/18

 

 

500

 

 

570,000

 

FiberTower Corp., 9.00%, 1/01/16 (d)

 

 

302

 

 

258,202

 

Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (b)

 

 

335

 

 

344,213

 

iPCS, Inc., 2.43%, 5/01/13 (f)

 

 

815

 

 

804,813

 


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

FEBRUARY 28, 2011

29




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

7.88%, 9/01/18

USD

 

520

 

$

549,250

 

6.63%, 11/15/20

 

 

760

 

 

740,050

 

NII Holdings, Inc., 3.13%, 6/15/12 (e)

 

 

370

 

 

368,150

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

1,510

 

 

1,360,887

 

Syniverse Holdings, Inc., 9.13%, 1/15/19 (b)

 

 

250

 

 

270,000

 

 

 

 

 

 




 

 

 

 

 

 

11,914,221

 









Total Corporate Bonds — 102.9%

 

 

 

 

 

290,482,279

 










 

 

 

 

 

 

 

 


 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/13/17

 

 

625

 

 

644,141

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan, 5.31%,
12/15/14

 

 

375

 

 

304,745

 









Chemicals — 0.4%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Facility
(First Lien), 3.52% – 3.56%, 7/30/14

 

 

374

 

 

367,921

 

Styron Sarl, Term Loan B, 6.00%, 7/27/17

 

 

700

 

 

706,300

 

 

 

 

 

 




 

 

 

 

 

 

1,074,221

 









Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%,
6/10/16

 

 

530

 

 

544,244

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

550

 

 

554,714

 

Volume Services America, Inc. (Centerplate),
Term Loan B, 10.50% – 10.75%, 8/24/16

 

 

998

 

 

1,007,056

 

 

 

 

 

 




 

 

 

 

 

 

2,106,014

 









Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan, 15.63%,
12/18/17

 

 

2,000

 

 

2,000,000

 









Consumer Finance — 1.5%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 7.25%, 4/21/15

 

 

4,250

 

 

4,287,825

 









Electric Utilities — 0.1%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan, 7.00%,
7/03/17

 

 

139

 

 

140,333

 









Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan, 11.25%, 9/29/17

 

 

900

 

 

922,500

 









Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

499

 

 

488,775

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

450

 

 

441,111

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 8/04/16

 

 

896

 

 

899,418

 

 

 

 

 

 




 

 

 

 

 

 

1,829,304

 









Hotels, Restaurants & Leisure — 0.8%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc., Term Loan B-3, 3.30%,
1/28/15

 

 

425

 

 

394,601

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.31%,
3/27/12

 

 

2,097

 

 

1,871,141

 

 

 

 

 

 




 

 

 

 

 

 

2,265,742

 









Household Durables — 0.7%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens):

 

 

 

 

 

 

 

Term Loan, 5.25%, 12/22/16

 

 

1,000

 

 

1,000,000

 

Tranche B Term Loan, 7.00%, 12/20/16

 

 

998

 

 

1,006,428

 

 

 

 

 

 




 

 

 

 

 

 

2,006,428

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 









IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

USD

 

283

 

$

268,095

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

407

 

 

385,554

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

593

 

 

561,388

 

 

 

 

 

 




 

 

 

 

 

 

1,215,037

 









Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

214

 

 

180,281

 

Initial Tranche B-2 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

254

 

 

213,709

 

Initial Tranche B-3 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

2,792

 

 

2,347,700

 

 

 

 

 

 




 

 

 

 

 

 

2,741,690

 









Media — 4.0%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson

 

 

 

 

 

 

 

Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

1,706

 

 

1,713,928

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
6.01%, 6/12/14

 

 

943

 

 

895,163

 

Intelsat Jackson Holdings SA (FKA Intel Jackson

 

 

 

 

 

 

 

Holdings Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

7,300

 

 

7,349,049

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13

 

 

1,325

 

 

1,408,641

 

 

 

 

 

 




 

 

 

 

 

 

11,366,781

 









Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

 

181

 

 

174,162

 

14.00%, 6/29/13

 

 

174

 

 

167,188

 

 

 

 

 

 




 

 

 

 

 

 

341,350

 









Oil, Gas & Consumable Fuels — 1.2%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

2,327

 

 

2,385,047

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18

 

 

2,351

 

 

964,101

 

 

 

 

 

 




 

 

 

 

 

 

3,349,148

 









Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, 6.55% – 7.30%,
2/01/13 (b)

 

 

1,386

 

 

1,247,155

 









Pharmaceuticals — 0.2%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., Term Loan,
5.50%, 2/10/17

 

 

667

 

 

668,333

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
1.76%, 6/28/11

 

 

225

 

 

221,906

 









Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
0.11%, 10/10/16

 

 

134

 

 

128,451

 

Extended Term Loan B, 4.56%, 10/10/16

 

 

737

 

 

706,364

 

 

 

 

 

 




 

 

 

 

 

 

834,815

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.01% – 5.00%,
5/29/14

 

 

137

 

 

133,252

 

Michaels Stores, Inc., Term Loan B-1, 2.56% – 2.63%,
10/31/13

 

 

328

 

 

327,174

 

 

 

 

 

 




 

 

 

 

 

 

460,426

 









Wireless Telecommunication Services — 0.7%

 

 

 

 

 

 

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

1,812

 

 

1,875,241

 









Total Floating Rate Loan Interests — 14.8%

 

 

 

 

 

41,903,135

 










 

 

 

See Notes to Financial Statements.


30

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (l)

 

Beneficial
Interest
(000)

 

Value

 







Auto Components — 2.5%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP,

 

 

 

 

 

 

 

Class B Membership Interests

USD

 

(m)

$

6,999,556

 

Lear Corp. Escrow

 

 

460

 

 

12,650

 

 

 

 

 

 




 

 

 

 

 

 

7,012,206

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

575

 

 

6

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

750

 

 

8

 

Adelphia Recovery Trust

 

 

941

 

 

94

 

 

 

 

 

 




 

 

 

 

 

 

102

 









Total Other Interests — 2.5%

 

 

 

 

 

7,012,314

 










 

 

 

 

 

 

 

 


 

Preferred Stocks

 

Shares

 

 

 

 









Auto Components — 0.7%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(e)

 

 

12,700

 

 

2,084,388

 









Automobiles — 0.8%

 

 

 

 

 

 

 

General Motors Co., 4.75%

 

 

45,800

 

 

2,330,304

 









Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Citigroup, Inc., 7.50% (a)(e)

 

 

16,300

 

 

2,192,350

 









Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 7.50% (e)

 

 

10,132

 

 

252,793

 









Media — 0.1%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(f)

 

 

37,314

 

 

 

TRA Global, Inc. (a)

 

 

286,652

 

 

463,230

 

 

 

 

 

 




 

 

 

 

 

 

463,230

 









Professional Services — 0.1%

 

 

 

 

 

 

 

Nielsen Holdings NV, 6.25% (a)(e)

 

 

4,500

 

 

248,344

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

8,994

 

 

166,839

 









Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O (a)

 

 

30,000

 

 

96,000

 

Freddie Mac, Series Z (a)

 

 

75,961

 

 

147,364

 

 

 

 

 

 




 

 

 

 

 

 

243,364

 









Total Preferred Stocks — 2.8%

 

 

 

 

 

7,981,612

 










 

 

 

 

 

 

 

 


 

Warrants (n)

 

 

 

 

 

 

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires 10/01/13)

 

 

700

 

 

45,176

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

32,042

 

 

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.
(Expires 4/29/14)

 

 

485

 

 

5

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

42,640

 

 

1

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

22,447

 

 

224

 

 

 

 

 

 




 

 

 

 

 

 

225

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

1

 

 

 










 

 

 

 

 

 

 

 

Warrants (n)

 

 

Shares

 

Value

 









Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

334

 

$

4

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

11,225

 

 

 

 

 

 

 

 




 

 

 

 

 

 

4

 









Total Warrants — 0.0%

 

 

 

 

 

45,410

 









Total Long-Term Investments
(Cost — $347,503,136) — 129.1%

 

 

 

 

 

364,514,169

 










 

 

 

 

 

 

 

 


 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (o)(p)

 

 

1,845,167

 

 

1,845,167

 









Total Short-Term Securities
(Cost — $1,845,167) — 0.7%

 

 

 

 

 

1,845,167

 










 

 

 

 

 

 

 

 


 

Options Purchased

 

 

Contracts

 

 

 

 









Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike
Price USD 942.86, Expires 12/21/19,
Broker Goldman Sachs Bank USA

 

 

19

 

 

 









Total Options Purchased
(Cost — $18,578) — 0.0%

 

 

 

 

 

 









Total Investments (Cost — $349,366,881*) — 129.8%

 

 

 

 

 

366,359,336

 

Liabilities in Excess of Other Assets — (29.8)%

 

 

 

 

 

(84,100,809

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

282,258,527

 

 

 

 

 

 




 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:


 

 

 

 

 

Aggregate cost

 

$

350,474,137

 

 

 




Gross unrealized appreciation

 

$

27,978,939

 

Gross unrealized depreciation

 

 

(12,093,740

)

 

 




Net unrealized appreciation

 

$

15,885,199

 

 

 





 

 

(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)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(d)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(e)

Convertible security.

 

 

(f)

Variable rate security. Rate shown is as of report date.

 

 

(g)

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.

 

 

(h)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(i)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation

 







Credit Suisse International

 

$

252,450

 

$

6,518

 

Credit Suisse International

 

$

326,219

 

$

1,219

 

Sterne Agee

 

$

188,237

 

$

2,138

 










 

 

(j)

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


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

FEBRUARY 28, 2011

31




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)


 

 

(k)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

 

 

(l)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(m)

Amount is less than $1,000.

 

 

(n)

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, if any.

 

 

(o)

Investments in companies considered to be an affiliate of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 











BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

3,276,755

 

 

(1,431,588

)

 

1,845,167

 

$

3,522

 
















 

 

(p)

Represents the current yield as of report date.

 

 

Foreign currency exchange contracts as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















Currency
Purchased

 

 

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

 

Unrealized
Depreciation

 














USD

 

452,842

 

CAD

 

449,000

 

Citibank NA

 

4/14/11

 

$

(8,849

)

USD

 

742,996

 

GBP

 

470,000

 

Citibank NA

 

4/14/11

 

 

(20,741

)

USD

 

845,309

 

GBP

 

526,000

 

Deutsche Bank AG

 

4/14/11

 

 

(9,426

)

USD

 

87,706

 

GBP

 

54,500

 

Royal Bank
of Scotland

 

4/14/11

 

 

(855

)

USD

 

261,623

 

GBP

 

163,000

 

UBS AG

 

4/14/11

 

 

(3,248

)

USD

 

12,272,708

 

EUR

 

8,968,000

 

Citibank NA

 

4/27/11

 

 

(93,809

)

USD

 

409,202

 

EUR

 

303,000

 

Deutsche Bank AG

 

4/27/11

 

 

(8,623

)

USD

 

1,481,734

 

EUR

 

1,082,000

 

Royal Bank
of Scotland

 

4/27/11

 

 

(10,301

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(155,852

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 













    104

 

S&P 500
Index Emini

 

Chicago
Mercantile

 

March 2011

 

$

6,608,302

 

$

(287,418

)
















 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 













K. Hovnanian
Enterprises, Inc.

 

5.00

%

Goldman Sachs
International

 

12/20/11

 

$

510

 

$

(23,256

)

K. Hovnanian
Enterprises, Inc.

 

5.00

%

Goldman Sachs
Bank USA

 

12/20/13

 

$

1,000

 

 

(85,062

)

Louisiana-
Pacific Corp.

 

5.00

%

JPMorgan
Chase Bank NA

 

3/20/14

 

$

500

 

 

(114,192

)

Harrah’s
Operating
Company, Inc.

 

5.00

%

Deutsche
Bank AG

 

12/20/15

 

$

1,300

 

 

(181,365

)

Republic of
Hungary

 

1.00

%

Deutsche
Bank AG

 

12/20/15

 

$

300

 

 

(5,439

)

Israel (State of)

 

1.00

%

Deutsche
Bank AG

 

3/20/16

 

$

675

 

 

(2,594

)

iStar
Financial, Inc.

 

5.00

%

Deutsche
Bank AG

 

12/20/16

 

$

225

 

 

(44,665

)















Total

 

 

 

 

 

 

 

 

 

 

$

(456,573

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded indexes — sold protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 















Dow Jones CDX
North America
High Yield Index
Series 10,
10 – 15%

 

0.00

%

Deutsche
Bank AG

 

6/20/11

 

CCC

 

$

717

 

$

(5,523

)

Dow Jones CDX
North America
High Yield Index
Series 9,
10 – 15%

 

0.00

%

Deutsche
Bank AG

 

12/20/12

 

CCC

 

$

548

 

 

(21,191

)

Dow Jones CDX
North America
High Yield Index
Series 15

 

5.00

%

Credit Suisse
International

 

12/20/15

 

B

 

$

2,000

 

 

(6,389

)

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(33,103

)

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.


32

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 















iStar
Financial, Inc.

 

5.00

%

Deutsche
Bank AG

 

9/20/11

 

CCC–

 

$

225

 

$

24,074

 

MBIA
Insurance Corp.

 

5.00

%

Deutsche
Bank AG

 

3/20/12

 

B–

 

$

120

 

 

10,758

 

Texas
Competitive
Electric Holdings
Co. LLC

 

5.00

%

Goldman Sachs
International

 

9/20/12

 

D

 

$

500

 

 

(50,478

)

MBIA
Insurance Corp.

 

5.00

%

Deutsche
Bank AG

 

12/20/12

 

B–

 

$

715

 

 

77,277

 

Advanced
Micro Devices,
Inc.

 

5.00

%

JPMorgan
Chase Bank NA

 

3/20/15

 

B+

 

$

600

 

 

72,986

 

Realogy Corp.

 

5.00

%

JPMorgan
Chase Bank NA

 

9/20/15

 

CC

 

$

125

 

 

19,128

 

Assured
Guaranty Ltd.

 

5.00

%

Deutsche
Bank AG

 

12/20/15

 

A+

 

$

65

 

 

509

 

D.R. Horton, Inc.

 

1.00

%

JPMorgan
Chase Bank NA

 

12/20/15

 

BB–

 

$

300

 

 

9,230

 

M.D.C.
Holdings, Inc.

 

1.00

%

Deutsche
Bank AG

 

12/20/15

 

BBB–

 

$

350

 

 

3,358

 

M.D.C.
Holdings, Inc.

 

1.00

%

JPMorgan
Chase Bank NA

 

12/20/15

 

BBB–

 

$

350

 

 

1,897

 

Realogy Corp.

 

5.00

%

JPMorgan
Chase Bank NA

 

12/20/15

 

CC

 

$

750

 

 

42,072

 

Chesapeake
Energy Corp.

 

5.00

%

Credit Suisse
International

 

3/20/16

 

BB

 

$

275

 

 

5,156

 

ARAMARK Corp.

 

5.00

%

Goldman Sachs
International

 

3/20/16

 

B

 

$

500

 

 

(907

)

Chesapeake
Energy Corp.

 

5.00

%

Goldman Sachs
International

 

3/20/16

 

BB

 

$

275

 

 

3,059

 

Chesapeake
Energy Corp.

 

5.00

%

JPMorgan
Chase Bank NA

 

3/20/16

 

BB

 

$

275

 

 

5,155

 

Realogy Corp.

 

5.00

%

JPMorgan
Chase Bank NA

 

3/20/16

 

CC

 

$

150

 

 

630

 

General
Motors Co.

 

5.00

%

Deutsche
Bank AG

 

3/20/21

 

BB–

 

$

400

 

 

(1,002

)

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

222,902

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using S&P’s rating.

 

 

2

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


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes 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 and derivatives)

 

 

 

 

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 derivatives 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, 2011 in determining the fair valuation of the Fund’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

15,904,408

 

$

465,685

 

$

719,326

 

$

17,089,419

 

Corporate Bonds

 

 

 

 

284,988,889

 

 

5,493,390

 

 

290,482,279

 

Floating Rate Loan Interests

 

 

 

 

31,579,205

 

 

10,323,930

 

 

41,903,135

 

Other Interests

 

 

94

 

 

6,999,556

 

 

12,664

 

 

7,012,314

 

Preferred Stocks

 

 

5,089,650

 

 

2,428,732

 

 

463,230

 

 

7,981,612

 

Warrants

 

 

 

 

45,176

 

 

234

 

 

45,410

 

Short-Term Securities

 

 

1,845,167

 

 

 

 

 

 

1,845,167

 

Unfunded Loan Commitments

 

 

 

 

2,704

 

 

 

 

2,704

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(25,965

)

 

(25,965

)

 

 









Total

 

$

22,839,319

 

$

326,509,947

 

$

16,986,809

 

$

366,336,075

 

 

 










 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

275,289

 

 

 

$

275,289

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(542,063

)

 

 

 

(542,063

)

Equity contracts

 

$

(287,418

)

 

 

 

 

 

(287,418

)

Foreign currency exchange contracts

 

 

 

 

(155,852

)

 

 

 

(155,852

)

 

 













Total

 

$

(287,418

)

$

(422,626

)

 

 

$

(710,044

)

 

 














 

 

 

 

1

Derivative financial instruments are financial futures contracts, swaps, foreign currency exchange contracts and options. Financial futures contracts, swaps and foreign currency exchange contracts are shown at the unrealized appreciation/ depreciation on the instrument and options are shown at value.


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

FEBRUARY 28, 2011

33




 

 


 

 

Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund III, Inc. (CYE)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Stocks

 

Warrants

 

Unfunded
Loan
Commitments
Assets

 

Unfunded
Loan
Commitments
(Liabilities)

 

Total

 





















Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

79,746

 

$

4,246,019

 

$

21,135,986

 

$

4,699,133

 

$

1

 

$

230

 

$

95

 

$

(115,674

)

$

30,045,536

 

Accrued discounts/premiums

 

 

 

 

27,364

 

 

244,267

 

 

 

 

 

 

 

 

 

 

 

 

271,631

 

Net realized gain (loss)

 

 

 

 

13,371

 

 

272,097

 

 

1,506,252

 

 

 

 

 

 

 

 

 

 

1,791,720

 

Net change in unrealized appreciation/
depreciation2

 

 

(460,899

)

 

(821,110

)

 

(120,555

)

 

1,835,429

 

 

85

 

 

 

 

(95

)

 

89,709

 

 

522,564

 

Purchases

 

 

1,195,932

 

 

2,186,273

 

 

6,573,830

 

 

1,390,300

 

 

463,144

 

 

4

 

 

 

 

 

 

11,809,483

 

Sales

 

 

 

 

(101,069

)

 

(14,577,393

)

 

(2,431,450

)

 

 

 

 

 

 

 

 

 

(17,109,912

)

Transfers in3

 

 

 

 

313,531

 

 

 

 

12,650

 

 

 

 

 

 

 

 

 

 

326,181

 

Transfers out3

 

 

(95,453

)

 

(370,989

)

 

(3,204,302

)

 

(6,999,650

)

 

 

 

 

 

 

 

 

 

(10,670,394

)

 

 




























Balance, as of February 28, 2011

 

$

719,326

 

$

5,493,390

 

$

10,323,930

 

$

12,664

 

$

463,230

 

$

234

 

 

 

$

(25,965

)

$

16,986,809

 

 

 





























 

 

 

 

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, 2011 was $(1,518,751).

 

 

 

 

3

The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.


 

 

 

See Notes to Financial Statements.


34

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

Schedule of Investments February 28, 2011

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 









ARES CLO Funds, Series 2005-10A, Class B,
0.69%, 9/18/17 (a)(b)

USD

 

1,250

 

$

1,100,000

 

Ballyrock CDO Ltd., Series 2006-1A, Class B,
0.66%, 8/28/19 (a)(b)

 

 

1,000

 

 

857,500

 

CSAM Funding, Series 2A, Class B1, 7.05%,
10/15/16

 

 

625

 

 

646,875

 

Canaras Summit CLO Ltd., Series 2007-1A,
Class B, 0.78%, 6/19/21 (a)(b)

 

 

1,225

 

 

1,046,811

 

Gannett Peak CLO Ltd., Class A2 (b):

 

 

 

 

 

 

 

Series 2006-1A, 0.66%, 10/27/20 (a)

 

 

1,355

 

 

1,166,994

 

Series 2006-1X, 0.66%, 10/27/20

 

 

940

 

 

791,950

 

LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)

 

 

1,850

 

 

1,845,375

 

Portola CLO Ltd., Series 2007-1X, Class B1,
1.76%, 11/15/21

 

 

1,245

 

 

1,151,625

 

T2 Income Fund CLO Ltd., Series 2007-1A,
Class B, 0.90%, 7/15/19 (a)(b)

 

 

1,075

 

 

922,275

 









Total Asset-Backed Securities — 2.1%

 

 

 

 

 

9,529,405

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 









Airlines — 0.1%

 

 

 

 

 

 

 

Delta Air Lines, Inc.

 

 

23,544

 

 

264,635

 









Chemicals — 0.1%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

130,272

 

LyondellBasell Industries NV, Class A

 

 

5,315

 

 

202,395

 

Wellman Holdings, Inc.

 

 

5,373

 

 

269

 

 

 

 

 

 




 

 

 

 

 

 

332,936

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

2,970

 

 

132,165

 









Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

451,354

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

6,022

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

11,700

 

HRP PIK Corp., Class B (a)

 

 

5,000

 

 

50

 

 

 

 

 

 




 

 

 

 

 

 

11,750

 









Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

 

619,384

 









Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

294,149

 

 

971,868

 

Ainsworth Lumber Co. Ltd. (a)

 

 

1,335,501

 

 

4,412,492

 

Western Forest Products, Inc. (a)

 

 

211,149

 

 

160,826

 

 

 

 

 

 



 

 

 

 

 

 

 

5,545,186

 









Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

4,892

 

 

82,577

 









Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

1,870

 

 

6,546

 

HMH Holdings/EduMedia

 

 

159,199

 

 

795,995

 

 

 

 

 

 



 

 

 

 

 

 

 

802,541

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

504

 









Total Common Stocks — 1.8%

 

 

 

 

 

8,249,054

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Aerospace & Defense — 0.7%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (a)

USD

 

1,750

 

$

1,898,750

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

1,000

 

 

1,127,500

 

 

 

 

 

 




 

 

 

 

 

 

3,026,250

 









Airlines — 0.7%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (a)

 

 

1,250

 

 

1,337,500

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

902

 

 

973,938

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

786

 

 

877,980

 

 

 

 

 

 




 

 

 

 

 

 

3,189,418

 









Auto Components — 1.3%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

320

 

 

330,400

 

8.00%, 1/15/18

 

 

5,260

 

 

5,444,100

 

Venture Holdings Co. LLC (c)(d):

 

 

 

 

 

 

 

12.00%, 6/01/09

 

 

4,450

 

 

 

Series B, 9.50%, 7/01/05

 

 

1,800

 

 

180

 

 

 

 

 

 




 

 

 

 

 

 

5,774,680

 









Beverages — 0.1%

 

 

 

 

 

 

 

Crown European Holdings SA, 7.13%, 8/15/18 (a)

EUR

 

410

 

 

602,558

 









Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (a)

USD

 

402

 

 

404,913

 









Building Products — 0.9%

 

 

 

 

 

 

 

Associated Materials LLC, 9.13%, 11/01/17 (a)

 

 

810

 

 

875,813

 

Building Materials Corp. of America, 7.00%,

 

 

 

 

 

 

 

2/15/20 (a)

 

 

1,300

 

 

1,369,875

 

Momentive Performance Materials, Inc., 9.00%,

 

 

 

 

 

 

 

1/15/21 (a)

 

 

1,700

 

 

1,808,375

 

 

 

 

 

 




 

 

 

 

 

 

4,054,063

 









Capital Markets — 0.6%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13

 

 

1,175

 

 

1,203,282

 

E*Trade Financial Corp., 4.01%, 8/31/19 (a)(e)(f)

 

 

593

 

 

916,185

 

KKR Group Finance Co., 6.38%, 9/29/20 (a)

 

 

540

 

 

556,376

 

 

 

 

 

 




 

 

 

 

 

 

2,675,843

 









Chemicals — 3.2%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

1,490

 

 

1,463,925

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/31/15 (e)(g)

 

 

4,171

 

 

4,170,787

 

10.00%, 3/31/15

 

 

4,106

 

 

3,797,680

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

455

 

 

488,556

 

9.00%, 11/15/20 (a)

 

 

605

 

 

643,569

 

Huntsman International LLC, 8.63%, 3/15/21 (a)

 

 

825

 

 

915,750

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (a)

 

 

465

 

 

510,337

 

Wellman Holdings, Inc., Subordinate Note (e):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19 (a)

 

 

2,978

 

 

2,590,860

 

(Third Lien), 5.00%, 1/29/19 (g)

 

 

1,002

 

 

390,812

 

 

 

 

 

 




 

 

 

 

 

 

14,972,276

 









Commercial Banks — 2.1%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/14

 

 

410

 

 

417,944

 

7.00%, 5/01/16

 

 

2,655

 

 

2,678,231

 

7.00%, 5/01/17

 

 

6,370

 

 

6,417,775

 

 

 

 

 

 




 

 

 

 

 

 

9,513,950

 









Commercial Services & Supplies — 1.7%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

660

 

 

745,800

 

AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)

 

 

1,024

 

 

1,052,160

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)

 

 

865

 

 

929,875

 

The Geo Group, Inc., 7.75%, 10/15/17

 

 

850

 

 

906,312

 

International Lease Finance Corp., 8.25%, 12/15/20

 

 

323

 

 

359,338

 


 

 

 

 

See Notes to Financial Statements.

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

35




 

 



 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

Mobile Mini, Inc., 7.88%, 12/01/20 (a)

 

USD

375

 

$

399,375

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (a)

 

 

970

 

 

1,115,500

 

West Corp. (a):

 

 

 

 

 

 

 

8.63%, 10/01/18

 

 

1,745

 

 

1,849,700

 

7.88%, 1/15/19

 

 

360

 

 

369,450

 

 

 

 

 

 




 

 

 

 

 

 

7,727,510

 









Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya Inc., 7.00%, 4/01/19 (a)

 

 

255

 

 

252,450

 









Construction Materials — 1.1%

 

 

 

 

 

 

 

Nortek, Inc.:

 

 

 

 

 

 

 

11.00%, 12/01/13

 

 

2,983

 

 

3,177,107

 

10.00%, 12/01/18 (a)

 

 

1,730

 

 

1,846,775

 

 

 

 

 

 




 

 

 

 

 

 

5,023,882

 









Consumer Finance — 0.9%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

 

570

 

 

614,175

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.05%, 1/13/12 (b)

 

 

2,680

 

 

2,707,309

 

6.63%, 8/15/17

 

 

900

 

 

957,220

 

 

 

 

 

 




 

 

 

 

 

 

4,278,704

 









Containers & Packaging — 2.6%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (a)

 

EUR

485

 

 

691,031

 

Ball Corp., 6.75%, 9/15/20

 

USD

625

 

 

654,688

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

2,100

 

 

2,249,625

 

9.75%, 1/15/21 (a)

 

 

1,145

 

 

1,147,862

 

Beverage Packaging Holdings Luxembourg II SA,
8.00%, 12/15/16

 

EUR

260

 

 

362,377

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

USD

975

 

 

1,082,250

 

Smurfit Kappa Acquisitions:

 

 

 

 

 

 

 

7.25%, 11/15/17 (a)

 

EUR

830

 

 

1,214,087

 

7.75%, 11/15/19

 

 

2,300

 

 

3,396,075

 

7.75%, 11/15/19 (a)

 

 

785

 

 

1,159,095

 

 

 

 

 

 




 

 

 

 

 

 

11,957,090

 









Diversified Financial Services — 3.7%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

5.38%, 6/06/11

 

 

436

 

 

601,661

 

7.50%, 12/31/13

 

USD

90

 

 

98,100

 

8.30%, 2/12/15

 

 

1,700

 

 

1,918,875

 

8.00%, 3/15/20

 

 

170

 

 

191,463

 

7.50%, 9/15/20 (a)

 

 

3,260

 

 

3,565,625

 

8.00%, 11/01/31

 

 

2,350

 

 

2,690,750

 

8.00%, 11/01/31

 

 

1,530

 

 

1,752,451

 

Archimedes Funding III Ltd., 5.50%, 11/29/11 (a)

 

 

2,636

 

 

1,186,159

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

665

 

 

733,162

 

Preferred Term Securities VI, Ltd. (a)(c)

 

 

35,000

 

 

1,750

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (a)

 

 

1,445

 

 

1,538,925

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

650

 

 

950,791

 

7.13%, 4/15/19

 

USD

480

 

 

492,000

 

6.88%, 2/15/21

 

 

645

 

 

646,613

 

8.25%, 2/15/21

 

 

800

 

 

802,000

 

 

 

 

 

 




 

 

 

 

 

 

17,170,325

 









Diversified Telecommunication Services — 2.1%

 

 

 

 

 

 

 

Frontier Communications Corp., 8.25%, 4/15/17

 

 

856

 

 

945,880

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

1,260

 

 

1,382,850

 

Level 3 Financing, Inc., 8.75%, 2/15/17

 

 

1,500

 

 

1,473,750

 

Qwest Corp., 8.38%, 5/01/16

 

 

4,000

 

 

4,775,000

 

tw telecom holdings, Inc., 8.00%, 3/01/18

 

 

920

 

 

986,700

 

 

 

 

 

 




 

 

 

 

 

 

9,564,180

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

CDW LLC, 8.00%, 12/15/18 (a)

 

USD

820

 

$

881,500

 

Muzak Holdings, LLC, 13.00%, 3/15/10 (c)(d)

 

 

2,675

 

 

268

 

 

 

 

 

 




 

 

 

 

 

 

881,768

 









Energy Equipment & Services — 0.5%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas,
7.50%, 5/15/15

 

 

1,385

 

 

1,433,475

 

Frac Tech Services LLC, 7.13%, 11/15/18 (a)

 

 

895

 

 

926,325

 

 

 

 

 

 




 

 

 

 

 

 

2,359,800

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

BI-LO LLC, 9.25%, 2/15/19 (a)

 

 

545

 

 

566,800

 

Rite Aid Corp., 9.75%, 6/12/16

 

 

1,590

 

 

1,790,738

 

 

 

 

 

 




 

 

 

 

 

 

2,357,538

 









Food Products — 0.7%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

900

 

 

960,750

 

Blue Merger Sub, Inc., 7.63%, 2/15/19 (a)

 

 

1,730

 

 

1,747,300

 

Smithfield Foods, Inc., 10.00%, 7/15/14

 

 

449

 

 

529,820

 

 

 

 

 

 




 

 

 

 

 

 

3,237,870

 









Gas Utilities — 0.1%

 

 

 

 

 

 

 

Targa Resources Partners LP, 6.88%, 2/01/21 (a)

 

 

485

 

 

480,150

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

1,345

 

 

1,474,456

 









Health Care Providers & Services — 1.8%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)

 

 

455

 

 

474,338

 

HCA, Inc., 7.88%, 2/15/20

 

 

1,620

 

 

1,779,975

 

inVentiv Health, Inc., 10.00%, 8/15/18 (a)

 

 

405

 

 

416,138

 

Omnicare, Inc., 6.88%, 12/15/15

 

 

1,055

 

 

1,089,287

 

Priory Group Ltd., 7.00%, 2/15/18

 

GBP

108

 

 

179,959

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

USD

680

 

 

748,000

 

8.88%, 7/01/19

 

 

3,280

 

 

3,731,000

 

 

 

 

 

 




 

 

 

 

 

 

8,418,697

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (a)

 

 

2,980

 

 

3,494,050

 

MedAssets, Inc., 8.00%, 11/15/18 (a)

 

 

270

 

 

277,425

 

 

 

 

 

 




 

 

 

 

 

 

3,771,475

 









Hotels, Restaurants & Leisure — 1.4%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.,
10.00%, 12/15/18

 

 

475

 

 

446,500

 

CityCenter Holdings LLC, 7.63%, 1/15/16 (a)

 

 

555

 

 

578,588

 

Diamond Resorts Corp., 12.00%, 8/15/18 (a)

 

 

1,040

 

 

1,115,400

 

HRP Myrtle Beach Holdings LLC, 14.67%,
4/01/14 (a)(c)(d)

 

 

6,892

 

 

689

 

HRP Myrtle Beach Operations LLC (a)(c)(d):

 

 

 

 

 

 

 

7.38%, 4/01/12

 

 

5,000

 

 

500

 

11.89%, 4/01/13

 

 

5,000

 

 

500

 

Little Traverse Bay Bands of Odawa Indians,
9.00%, 8/31/20 (a)

 

 

774

 

 

638,550

 

MGM Resorts International, 11.13%, 11/15/17

 

 

1,340

 

 

1,544,350

 

Travelport LLC, 4.94%, 9/01/14 (b)

 

 

2,160

 

 

1,927,800

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (c)(d)

 

 

530

 

 

53

 

 

 

 

 

 




 

 

 

 

 

 

6,252,930

 









Household Durables — 1.4%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

12.00%, 10/15/17

 

 

1,700

 

 

1,976,250

 

9.13%, 6/15/18

 

 

275

 

 

283,938

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

 

1,695

 

 

1,836,956

 

Standard Pacific Corp. (a):

 

 

 

 

 

 

 

8.38%, 5/15/18

 

 

785

 

 

832,100

 

8.38%, 1/15/21

 

 

1,280

 

 

1,350,400

 

 

 

 

 

 




 

 

 

 

 

 

6,279,644

 










 

 

 

See Notes to Financial Statements.

 




36

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









IT Services — 0.5%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

8.25%, 1/15/21

 

USD

1,636

 

$

1,627,820

 

12.63%, 1/15/21

 

 

644

 

 

674,590

 

 

 

 

 

 




 

 

 

 

 

 

2,302,410

 









Independent Power Producers &

 

 

 

 

 

 

 

Energy Traders — 3.0%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (a)

 

 

1,750

 

 

1,898,750

 

Calpine Corp., 7.50%, 2/15/21 (a)

 

 

945

 

 

966,263

 

Energy Future Holdings Corp., 10.00%, 1/15/20 (a)

 

 

3,190

 

 

3,321,913

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

2,515

 

 

2,625,288

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.63%, 1/15/18 (a)

 

 

4,750

 

 

4,945,937

 

8.50%, 6/15/19

 

 

250

 

 

266,250

 

 

 

 

 

 




 

 

 

 

 

 

14,024,401

 









Industrial Conglomerates — 1.6%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

3,092,250

 

13.50%, 12/01/15 (g)

 

 

4,023

 

 

4,455,301

 

 

 

 

 

 




 

 

 

 

 

 

7,547,551

 









Insurance — 0.5%

 

 

 

 

 

 

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (a)

 

 

2,014

 

 

2,144,910

 









Machinery — 0.5%

 

 

 

 

 

 

 

Navistar International Corp., 8.25%, 11/01/21

 

 

1,340

 

 

1,484,050

 

Titan International, Inc., 7.88%, 10/01/17 (a)

 

 

940

 

 

1,005,800

 

 

 

 

 

 




 

 

 

 

 

 

2,489,850

 









Media — 5.7%

 

 

 

 

 

 

 

CCO Holdings LLC, 7.88%, 4/30/18

 

 

2,075

 

 

2,215,063

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

680

 

 

761,600

 

Cengage Learning Acquisitions, Inc., 10.50%,
1/15/15 (a)

 

 

2,385

 

 

2,474,437

 

Checkout Holding Corp., 10.98%, 11/15/15 (a)(f)

 

 

1,425

 

 

919,125

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

709,290

 

Series B, 9.25%, 12/15/17

 

 

5,422

 

 

6,031,975

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

3,000

 

 

3,225,000

 

Interactive Data Corp., 10.25%, 8/01/18 (a)

 

 

1,715

 

 

1,920,800

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (a)

 

 

1,020

 

 

1,096,500

 

Nielsen Finance LLC, 11.63%, 2/01/14

 

 

1,239

 

 

1,455,825

 

ProQuest LLC, 9.00%, 10/15/18 (a)

 

 

415

 

 

429,525

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

640

 

 

684,800

 

UPC Germany GmbH, 8.13%, 12/01/17 (a)

 

 

3,000

 

 

3,217,500

 

Ziggo Finance BV, 6.13%, 11/15/17 (a)

 

EUR

655

 

 

924,209

 

 

 

 

 

 




 

 

 

 

 

 

26,065,649

 









Metals & Mining — 1.6%

 

 

 

 

 

 

 

Drummond Co., Inc., 9.00%, 10/15/14 (a)

 

USD

1,056

 

 

1,127,280

 

FMG Resources August 2006 Property Ltd.,
7.00%, 11/01/15 (a)

 

 

2,070

 

 

2,147,625

 

Novelis, Inc., 8.75%, 12/15/20 (a)

 

 

3,855

 

 

4,250,137

 

RathGibson, Inc., 11.25%, 2/15/14 (c)(d)

 

 

4,440

 

 

444

 

 

 

 

 

 




 

 

 

 

 

 

7,525,486

 









Multiline Retail — 0.4%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (g)

 

 

1,775

 

 

2,052,344

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Oil, Gas & Consumable Fuels — 4.5%

 

 

 

 

 

 

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

USD

2,645

 

$

2,777,250

 

6.13%, 2/15/21

 

 

1,240

 

 

1,264,800

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (a)

 

 

436

 

 

475,240

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

1,750

 

 

1,929,375

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

100

 

 

110,250

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

 

925

 

 

1,049,875

 

8.25%, 2/15/20

 

 

670

 

 

745,375

 

6.38%, 8/15/21

 

 

570

 

 

575,700

 

El Paso Corp., 7.00%, 6/15/17

 

 

1,575

 

 

1,759,620

 

Energy Transfer Equity LP, 7.50%, 10/15/20

 

 

240

 

 

260,100

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

470

 

 

522,875

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (a)

 

 

2,165

 

 

2,284,075

 

Linn Energy LLC (a):

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,115

 

 

1,243,225

 

7.75%, 2/01/21

 

 

1,125

 

 

1,195,312

 

Niska Gas Storage US LLC, 8.88%, 3/15/18 (a)

 

 

1,600

 

 

1,744,000

 

Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)

 

 

375

 

 

380,625

 

Petrohawk Energy Corp., 7.25%, 8/15/18

 

 

855

 

 

884,925

 

Titan Petrochemicals Group Ltd., 8.50%,
3/18/12 (a)

 

 

1,760

 

 

1,372,800

 

United Refining Co., 10.50%, 2/28/18 (a)(h)

 

 

390

 

 

386,100

 

 

 

 

 

 




 

 

 

 

 

 

20,961,522

 









Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)

 

 

4,420

 

 

4,485,792

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

640

 

 

731,200

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (a)

 

 

2,950

 

 

3,326,125

 

NewPage Corp., 11.38%, 12/31/14

 

 

2,615

 

 

2,608,463

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

550

 

 

606,375

 

Series B, 4.05%, 8/01/14 (b)

 

 

890

 

 

885,550

 

 

 

 

 

 




 

 

 

 

 

 

12,643,505

 









Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.06%,
12/01/13 (b)

 

 

1,335

 

 

1,121,400

 

Novasep Holding SAS, 9.63%, 12/15/16 (a)

 

EUR

474

 

 

529,821

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.75%, 10/01/17

 

USD

315

 

 

326,025

 

7.00%, 10/01/20

 

 

400

 

 

413,500

 

 

 

 

 

 




 

 

 

 

 

 

2,390,746

 









Professional Services — 0.1%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20 (a)

 

 

560

 

 

560,000

 









Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/20

 

 

1,010

 

 

1,070,600

 

6.75%, 10/15/22 (a)

 

 

450

 

 

454,500

 

 

 

 

 

 




 

 

 

 

 

 

1,525,100

 









Real Estate Management & Development — 0.8%

 

 

 

 

 

 

 

Realogy Corp. (a):

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

1,295

 

 

1,379,175

 

7.88%, 2/15/19

 

 

2,300

 

 

2,308,625

 

 

 

 

 

 




 

 

 

 

 

 

3,687,800

 









Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

280

 

 

297,150

 

Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)

 

 

370

 

 

386,650

 

The Hertz Corp. (a):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

1,750

 

 

1,852,812

 

6.75%, 4/15/19

 

 

730

 

 

744,600

 

7.38%, 1/15/21

 

 

810

 

 

846,450

 

 

 

 

 

 




 

 

 

 

 

 

4,127,662

 










 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

37




 

 


 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Specialty Retail — 0.3%

 

 

 

 

 

 

 

United Auto Group, Inc., 7.75%, 12/15/16

 

USD

1,275

 

$

1,316,438

 









Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., 7.75%, 11/15/23

 

 

410

 

 

451,548

 









Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

 

 

353

 

 

366,238

 









Wireless Telecommunication Services — 2.5%

 

 

 

 

 

 

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

3,050

 

 

3,225,375

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

3,948

 

 

4,111,842

 

8.25%, 9/01/17

 

 

810

 

 

846,450

 

Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (a)

 

 

980

 

 

1,006,950

 

Nextel Communications, Inc., Series E, 6.88%, 10/31/13

 

 

815

 

 

821,622

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

625

 

 

663,281

 

6.88%, 11/15/28

 

 

760

 

 

684,950

 

 

 

 

 

 




 

 

 

 

 

 

11,360,470

 









Total Corporate Bonds — 56.2%

 

 

 

 

 

259,246,050

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 









Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked Deposit, 0.20%, 3/26/14

 

 

82

 

 

73,486

 

Term Loan, 2.26% – 2.30%, 3/26/14

 

 

1,454

 

 

1,299,411

 

TransDigm, Inc., Term Loan (First Lien), 5.25%,
2/14/17

 

 

1,500

 

 

1,508,955

 

 

 

 

 

 




 

 

 

 

 

 

2,881,852

 









Airlines — 0.4%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit-Linked Deposit Loan,
0.11% – 2.26%, 4/30/12

 

 

1,940

 

 

1,925,450

 









Auto Components — 0.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.02%,
8/07/14

 

 

2,148

 

 

2,140,345

 

Armored Auto Group, Inc. (FKA Viking Acquisition,
Inc.), Term Loan, 6.00%, 11/02/16

 

 

1,560

 

 

1,567,800

 

 

 

 

 

 




 

 

 

 

 

 

3,708,145

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%, 10/01/16

 

 

1,405

 

 

1,421,392

 









Building Products — 1.6%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan B, 6.00%,
2/03/17

 

 

1,200

 

 

1,203,756

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien), 5.75%, 10/13/16

 

 

3,242

 

 

3,265,683

 

Term Loan (Second Lien), 9.00%, 10/13/17

 

 

1,200

 

 

1,236,750

 

Momentive Performance Materials (Blitz 06-103
GmbH), Tranche B-2B Term Loan, 4.36%,
5/05/15

 

EUR

1,069

 

 

1,435,185

 

 

 

 

 

 




 

 

 

 

 

 

7,141,374

 









Capital Markets — 1.0%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan, 6.25%,
12/17/16

 

USD

1,975

 

 

1,984,875

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Extended Term Loan (First Lien),
3.30%, 11/13/14

 

 

968

 

 

938,979

 

Non-Extended Term Loan (First Lien),
5.80% – 5.81%, 5/13/17

 

 

1,682

 

 

1,675,258

 

 

 

 

 

 




 

 

 

 

 

 

4,599,112

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Chemicals — 4.6%

 

 

 

 

 

 

 

AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16

 

USD

1,187

 

$

1,199,353

 

CF Industries, Inc., Term Loan B-1, 4.25%, 4/05/15

 

 

169

 

 

169,669

 

Chemtura Corp., Term Facility, 5.50%, 8/16/16

 

 

1,300

 

 

1,310,292

 

General Chemical Corp., Tranche B Term Loan,
6.75% – 7.25%, 9/30/15

 

 

2,569

 

 

2,607,091

 

MacDermid, Inc., Tranche C Term Loan, 3.07%,
12/15/13

 

EUR

692

 

 

923,558

 

Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17

 

USD

1,100

 

 

1,103,209

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Original
Term Facility (First Lien), 3.52% – 3.56%, 7/30/14

 

 

2,925

 

 

2,877,464

 

Solutia, Inc., Term Loan, 4.50%, 3/17/17

 

 

1,541

 

 

1,543,024

 

Styron Sarl, Term Loan B, 6.00%, 7/27/17

 

 

2,800

 

 

2,825,200

 

Tronox Worldwide LLC, Exit Term Loan, 7.00%,
12/24/15

 

 

3,965

 

 

3,998,029

 

Univar, Inc., Term Loan B, 5.00%, 6/30/17

 

 

2,400

 

 

2,408,251

 

 

 

 

 

 




 

 

 

 

 

 

20,965,140

 









Commercial Banks — 0.4%

 

 

 

 

 

 

 

CIT Group, Inc., Tranche 3 Term Loan, 6.25%,
8/11/15

 

 

1,950

 

 

1,974,781

 









Commercial Services & Supplies — 2.1%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit — 1 Facility, 0.11%, 1/26/14

 

 

28

 

 

27,496

 

Letter of Credit — 2 Facility, 0.11%, 7/26/16

 

 

29

 

 

28,881

 

US Term Loan, 2.18%, 1/26/14

 

 

342

 

 

341,322

 

US Term Loan B, 3.55%, 7/26/16

 

 

438

 

 

439,162

 

AWAS Finance Luxembourg Sarl, Loan, 7.75%,
6/10/16

 

 

830

 

 

852,306

 

Altegrity, Inc. (FKA US Investigations Services, Inc.),
Tranche D Term Loan, 7.75%, 2/21/15

 

 

2,985

 

 

3,044,700

 

Casella Waste Systems, Inc., Term Loan B, 7.00%,
4/09/14

 

 

384

 

 

384,150

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

975

 

 

983,357

 

Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16

 

 

945

 

 

940,918

 

Synagro Technologies, Inc., Term Loan (First Lien),
2.27%, 4/02/16

 

 

981

 

 

912,557

 

Volume Services America, Inc. (Centerplate), Term
Loan B, 10.50% – 10.75%, 8/24/16

 

 

1,796

 

 

1,812,701

 

 

 

 

 

 




 

 

 

 

 

 

9,767,550

 









Communications Equipment — 1.4%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.03%, 10/24/14

 

 

1,842

 

 

1,785,769

 

Term Loan B-3, 4.81%, 10/24/17

 

 

2,951

 

 

2,890,854

 

CommScope, Inc., Term Loan B, 5.00%, 1/06/18

 

 

1,500

 

 

1,521,874

 

 

 

 

 

 




 

 

 

 

 

 

6,198,497

 









Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, First Out Tranche Loan,
9.00%, 12/18/17

 

 

2,750

 

 

2,750,000

 









Construction Materials — 0.1%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Tranche B Term Loan,
6.25% – 6.75%, 8/05/16

 

 

642

 

 

648,785

 









Consumer Finance — 1.1%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 7.25%, 4/21/15

 

 

5,000

 

 

5,044,500

 









Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term Loan C,
2.29% – 2.31%, 4/03/15

 

 

341

 

 

331,776

 

Graham Packaging Co., LP, Term Loan D, 6.00%,
9/16/16

 

 

1,696

 

 

1,708,771

 

 

 

 

 

 




 

 

 

 

 

 

2,040,547

 










 

 

 

See Notes to Financial Statements.

 




38

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Diversified Consumer Services — 2.6%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan,
3.26% – 3.31%, 11/14/14

 

USD

4,559

 

$

4,274,515

 

Laureate Education:

 

 

 

 

 

 

 

Closing Date Term Loan, 3.55%, 8/17/14

 

 

712

 

 

697,097

 

Delayed Draw Term Loan, 3.55%, 8/15/14

 

 

107

 

 

104,365

 

Series A New Term Loan, 7.00%, 8/15/14

 

 

4,000

 

 

4,023,364

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan, 2.76% – 2.81%,
7/24/14

 

 

2,665

 

 

2,623,789

 

Delayed Draw Term Loan, 2.77%, 7/24/14

 

 

265

 

 

261,290

 

 

 

 

 

 




 

 

 

 

 

 

11,984,420

 









Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc., Term Loan E,
4.25%, 2/09/18

 

 

3,000

 

 

3,015,624

 

Whitelabel IV SA (Ontex):

 

 

 

 

 

 

 

Facility B1, 6.75%, 8/11/17

 

EUR

565

 

 

788,938

 

Facility B2, 6.75%, 8/11/17

 

 

935

 

 

1,305,589

 

 

 

 

 

 

 

5,110,151

 









Diversified Telecommunication Services — 1.1%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc., Term Loan,
9.00%, 10/28/15

 

USD

3,618

 

 

3,679,911

 

Level 3 Financing, Inc., Tranche A Incremental
Term Loan, 2.55%, 3/13/14

 

 

1,600

 

 

1,560,000

 

 

 

 

 

 




 

 

 

 

 

 

5,239,911

 









Electric Utilities — 0.7%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan,
7.00%, 7/03/17

 

 

2,962

 

 

2,990,658

 









Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Generac Acquisition Corp., Term Loan (First Lien),
2.76% – 2.80%, 11/10/13

 

 

308

 

 

306,243

 









Electronic Equipment, Instruments &
Components — 0.9%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan B, 3.51%, 7/15/17

 

 

1,793

 

 

1,792,843

 

Non-Extended Term Loan, 4.26%, 10/10/14

 

 

2,295

 

 

2,289,900

 

 

 

 

 

 




 

 

 

 

 

 

4,082,743

 









Energy Equipment & Services — 0.4%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term Loan,
6.00%, 4/03/16

 

 

1,677

 

 

1,692,446

 









Food & Staples Retailing — 2.0%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),
Facility B1, 3.58%, 7/09/15

 

GBP

3,000

 

 

4,700,150

 

Pilot Travel Centers LLC, Initial Tranche B Term Loan,
5.25%, 6/30/16

 

USD

2,146

 

 

2,164,113

 

U.S. Foodservice, Inc., Term Loan B, 2.76%,
7/03/14

 

 

2,209

 

 

2,132,366

 

 

 

 

 

 




 

 

 

 

 

 

8,996,629

 









Food Products — 3.6%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan:

 

 

 

 

 

 

 

11.25%, 9/29/17

 

 

1,800

 

 

1,845,000

 

(Second Lien), 7.00%, 9/29/16

 

 

2,893

 

 

2,912,638

 

Del Monte Corp., Term Loan B, 4.50%, 2/01/18

 

 

5,050

 

 

5,081,562

 

Green Mountain Coffee Roasters, Inc., Term B Facility,
5.50%, 11/09/16

 

 

1,200

 

 

1,207,875

 

Michaels Foods Group, Inc. (FKA M-Foods
Holdings, Inc.), Term Loan B, 4.25%, 2/25/18

 

 

1,159

 

 

1,169,152

 

Pinnacle Foods Finance LLC, Tranche D Term Loan,
6.00%, 4/02/14

 

 

1,505

 

 

1,516,295

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Food Products (concluded)

 

 

 

 

 

 

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 5.00% – 5.50%,
3/02/17

 

USD

793

 

$

798,582

 

Tranche C-1 Term Loan, 5.00% – 5.50%,
3/02/17

 

 

1,969

 

 

1,982,342

 

 

 

 

 

 




 

 

 

 

 

 

16,513,446

 









Health Care Equipment & Supplies — 0.4%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC), Term Loan, 3.26%, 5/20/14

 

 

1,722

 

 

1,709,233

 









Health Care Providers & Services — 4.7%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Extended Term Loan, 3.76% – 3.81%,
1/25/17

 

 

1,440

 

 

1,443,462

 

Non-Extended Delayed Draw Term Loan,
2.51% – 2.56%, 7/25/14

 

 

125

 

 

123,826

 

Non-Extended Term Loan, 2.51% – 2.56%,
7/25/14

 

 

2,443

 

 

2,423,527

 

ConvaTec, Inc., Dollar Term Loan, 5.75%,
10/20/16

 

 

1,300

 

 

1,305,958

 

DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16

 

 

2,000

 

 

2,014,272

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan, 1.55%, 11/16/12

 

 

4,494

 

 

4,469,177

 

Tranche B-1 Term Loan, 2.56%, 11/18/13

 

 

245

 

 

244,183

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

2,518

 

 

2,467,150

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

720

 

 

705,778

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

3,473

 

 

3,488,344

 

Renal Advantage Holdings, Inc., Tranche B Term Loan,
5.75%, 12/03/16

 

 

1,300

 

 

1,317,875

 

Vanguard Health Holding Co. II, LLC (Vanguard
Health Systems, Inc.), Initial Term Loan,
5.00%, 1/29/16

 

 

1,836

 

 

1,847,469

 

 

 

 

 

 




 

 

 

 

 

 

21,851,021

 









Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar Term Loan,
5.25%, 2/26/16

 

 

2,721

 

 

2,743,392

 

MedAssets, Inc., Term Loan B, 5.25%, 11/15/16

 

 

1,600

 

 

1,612,000

 

 

 

 

 

 




 

 

 

 

 

 

4,355,392

 









Hotels, Restaurants & Leisure — 5.1%

 

 

 

 

 

 

 

Blackstone UTP Capital LLC, Loan, 7.75%,
11/06/14

 

 

2,475

 

 

2,524,500

 

Dunkin’ Brands, Inc., Term Loan B-1, 4.25%,
11/09/17

 

 

2,900

 

 

2,919,920

 

Gateway Casinos & Entertainment, Ltd.,
Term Loan B, 6.50% – 7.50%, 5/12/16

 

CAD

1,100

 

 

1,137,165

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.30%, 1/28/15

 

USD

1,424

 

 

1,321,694

 

Term Loan B-2, 3.30%, 1/28/15

 

 

1,260

 

 

1,167,301

 

Term Loan B-3, 3.30%, 1/28/15

 

 

5,815

 

 

5,398,829

 

Term Loan B-4, 9.50%, 10/31/16

 

 

578

 

 

611,989

 

Seaworld Parks & Entertainment, Inc. (FKA SW
Acquisitions Co., Inc.), Term B Loan, 4.00%,
8/17/17

 

 

2,624

 

 

2,630,235

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 5.50%, 6/30/16

 

 

3,386

 

 

3,424,460

 

Travelport LLC (FKA Travelport, Inc.), Extended
Delayed Draw Term Loan, 4.96%, 8/21/15

 

 

499

 

 

484,215

 

VML US Finance LLC (FKA Venetian Macau):

 

 

 

 

 

 

 

New Project Term Loan, 4.79%, 5/27/13

 

 

822

 

 

821,656

 

Term B Delayed Draw Project Loan, 4.79%,
5/25/12

 

 

1,051

 

 

1,052,108

 

Term B Funded Project Loan, 4.79%, 5/27/13

 

 

182

 

 

182,184

 

 

 

 

 

 




 

 

 

 

 

 

23,676,256

 










 

 

 

 

See Notes to Financial Statements.

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

39




 

 


 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Household Durables — 0.8%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens):

 

 

 

 

 

 

 

Term Loan, 5.25%, 12/22/16

 

USD

1,800

 

$

1,800,000

 

Tranche B Term Loan, 7.00%, 12/20/16

 

 

1,895

 

 

1,912,212

 

 

 

 

 

 




 

 

 

 

 

 

3,712,212

 









IT Services — 3.2%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan, 3.26%, 11/09/14

 

 

3,085

 

 

3,037,847

 

EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16

 

 

522

 

 

526,693

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

1,625

 

 

1,538,396

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

3,938

 

 

3,729,008

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

2,326

 

 

2,202,238

 

TransUnion LLC, Replacement Term Loan, 4.75%,
2/03/18

 

 

3,730

 

 

3,750,518

 

 

 

 

 

 




 

 

 

 

 

 

14,784,700

 









Independent Power Producers &
Energy Traders — 0.4%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

2,160

 

 

1,820,444

 

Initial Tranche B-3 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

195

 

 

164,329

 

 

 

 

 

 




 

 

 

 

 

 

1,984,773

 









Industrial Conglomerates — 0.8%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.56%, 12/03/14

 

 

1,393

 

 

1,378,200

 

Tomkins Plc, Term Loan A, 4.25%, 9/16/16

 

 

2,467

 

 

2,486,979

 

 

 

 

 

 




 

 

 

 

 

 

3,865,179

 









Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term Loan,
6.75%, 8/26/14

 

 

1,025

 

 

1,027,562

 









Leisure Equipment & Products — 0.3%

 

 

 

 

 

 

 

EB Sports Corp., Loan, 0%, 5/01/12

 

 

1,551

 

 

1,550,765

 









Media — 10.4%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%, 2/03/18

 

 

1,800

 

 

1,813,500

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/09/16

 

 

993

 

 

997,463

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.55%, 7/03/14

 

 

1,247

 

 

1,199,712

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

1,266

 

 

1,272,009

 

Charter Communications Operating, LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

674

 

 

679,805

 

Term Loan C, 3.56%, 9/06/16

 

 

2,684

 

 

2,689,820

 

Ellis Communications KDOC, LLC, Loan, 10.00%,
12/30/11

 

 

6,303

 

 

2,363,533

 

Getty Images, Inc., Initial Term Loan, 5.25%, 10/29/16

 

 

2,793

 

 

2,827,041

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
6.01%, 6/12/14

 

 

2,368

 

 

2,248,566

 

Intelsat Jackson Holdings SA (FKA Intel Jackson
Holdings Ltd.), Tranche B Term Loan,
5.25%, 3/07/18

 

 

8,000

 

 

8,053,752

 

Interactive Data Corp., Term Loan, 4.75%, 2/08/18

 

 

1,700

 

 

1,713,964

 

Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Facility B1, 3.68%, 6/30/15

 

EUR

304

 

 

385,163

 

Facility C1, 3.93%, 6/30/16

 

 

608

 

 

770,326

 

Mediacom Illinois, LLC (FKA Mediacom
Communications, LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

USD

988

 

 

993,672

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

4,250

 

 

4,518,281

 

Sinclair Television Group, Inc., New Tranche B Term
Loan, 5.50%, 10/29/15

 

 

1,587

 

 

1,604,475

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Springer Science+Business Media SA, Facility A1,
6.75%, 7/01/16

 

EUR

1,900

 

$

2,648,138

 

Sunshine Acquisition Ltd. (FKA HIT Entertainment),
Term Facility, 5.56%, 6/01/12

 

USD

1,926

 

 

1,885,478

 

UPC Broadband Holding B.V., Term U, 4.88%,
12/31/17

 

EUR

1,246

 

 

1,713,299

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.51%, 3/31/17

 

 

2,463

 

 

2,395,371

 

Virgin Media Investment Holdings Ltd., Facility B,
4.52%, 12/31/15

 

GBP

1,250

 

 

2,031,875

 

Weather Channel, Term Loan B, 4.25%, 2/01/17

 

USD

1,700

 

 

1,715,725

 

Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,
2.76%, 8/09/11

 

 

1,266

 

 

1,227,656

 

 

 

 

 

 




 

 

 

 

 

 

47,748,624

 









Metals & Mining — 1.2%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

 

1,286

 

 

1,238,193

 

14.00%, 6/29/13

 

 

1,252

 

 

1,205,462

 

Novelis Corp., Term Loan, 5.25%, 12/01/16

 

 

3,150

 

 

3,187,126

 

 

 

 

 

 




 

 

 

 

 

 

5,630,781

 









Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit, 0.16%, 11/01/13

 

 

9

 

 

8,507

 

Term B Advance (First Lien), 2.81%, 11/01/13

 

 

421

 

 

418,363

 

 

 

 

 

 




 

 

 

 

 

 

426,870

 









Multiline Retail — 1.6%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2 Term Loan,
3.01%, 7/07/14

 

 

1,439

 

 

1,439,290

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 2.91%, 7/05/15

 

EUR

369

 

 

504,799

 

Facility C, 3.66%, 7/05/16

 

 

369

 

 

504,798

 

Facility D, 5.91%, 1/01/17

 

 

2,900

 

 

3,931,844

 

The Neiman Marcus Group, Inc., Tranche B-2 Term
Loan, 4.30%, 4/06/16

 

USD

961

 

 

965,276

 

 

 

 

 

 




 

 

 

 

 

 

7,346,007

 









Oil, Gas & Consumable Fuels — 1.4%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/30/15

 

 

3,856

 

 

3,951,945

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18

 

 

6,306

 

 

2,585,544

 

 

 

 

 

 




 

 

 

 

 

 

6,537,489

 









Paper & Forest Products — 0.9%

 

 

 

 

 

 

 

Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12

 

 

156

 

 

155,837

 

Verso Paper Finance Holdings LLC, Term Loan With
PIK Option, 6.55% – 7.30%, 2/01/13 (g)

 

 

4,351

 

 

3,915,875

 

 

 

 

 

 




 

 

 

 

 

 

4,071,712

 









Personal Products — 0.7%

 

 

 

 

 

 

 

NBTY, Inc., Term Loan B:

 

 

 

 

 

 

 

6.25%, 9/20/17

 

 

1,700

 

 

1,717,354

 

4.75%, 10/01/17

 

 

1,595

 

 

1,595,000

 

 

 

 

 

 




 

 

 

 

 

 

3,312,354

 









Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., Term Loan,
5.50%, 2/03/17

 

 

1,200

 

 

1,203,000

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan C-3, 6.25%, 4/30/15

 

 

673

 

 

677,174

 

Term Loan A, 6.00%, 10/30/14

 

 

671

 

 

670,797

 

Term Loan B, 6.25%, 4/30/15

 

 

268

 

 

269,729

 

Term Loan B-2, 6.25%, 4/30/15

 

 

443

 

 

445,717

 

Term Loan B-3, 6.50%, 2/20/16

 

 

277

 

 

279,045

 

 

 

 

 

 




 

 

 

 

 

 

3,545,462

 










 

 

 

See Notes to Financial Statements.

 




40

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 







Professional Services — 0.9%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche B Term Loan,
4.00%, 8/01/17

USD

 

2,125

 

$

2,145,188

 

Fifth Third Processing Solutions, LLC, Term Loan B
(First Lien), 5.50%, 10/21/16

 

 

2,100

 

 

2,116,275

 

 

 

 

 

 




 

 

 

 

 

 

4,261,463

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
1.76%, 6/28/11

 

 

400

 

 

394,500

 









Real Estate Management & Development — 1.5%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
0.11%, 10/10/16

 

 

585

 

 

561,374

 

Extended Term Loan B, 4.56%, 10/10/16

 

 

5,727

 

 

5,492,345

 

Initial Term Loan B, 4.56%, 10/10/13

 

 

738

 

 

707,560

 

Synthetic Letter of Credit, 4.51%, 10/10/13

 

 

87

 

 

83,851

 

 

 

 

 

 




 

 

 

 

 

 

6,845,130

 









Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Term Loan B,
4.51%, 12/01/16

 

 

735

 

 

733,789

 

Microsemi Corp., Term Loan B, 5.00%, 10/25/17

 

 

1,300

 

 

1,303,250

 

 

 

 

 

 




 

 

 

 

 

 

2,037,039

 









Software — 0.2%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term Loan, 6.75%,
4/30/16

 

 

1,092

 

 

1,097,891

 









Specialty Retail — 2.3%

 

 

 

 

 

 

 

Burlington Coat Factory Warehouse Corp.,
Term Loan B, 6.25%, 2/18/17

 

 

1,425

 

 

1,429,749

 

Gymboree Corp., Term Loan B, 5.00%, 2/11/18

 

 

1,150

 

 

1,153,450

 

J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18

 

 

2,100

 

 

2,100,000

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.56% – 2.63%, 10/31/13

 

 

980

 

 

977,201

 

Term Loan B-2, 4.81% – 4.88%, 7/31/16

 

 

502

 

 

506,526

 

Petco Animal Supplies, Inc., Term Loan B, 4.75%,
11/24/17

 

 

2,735

 

 

2,735,000

 

Toys ‘R’ Us Delaware, Inc., Initial Loan, 6.00%,
8/17/16

 

 

1,731

 

 

1,744,015

 

 

 

 

 

 




 

 

 

 

 

 

10,645,941

 









Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Philips Van Huesen Corp., US Tranche B Term Loan,
5.25%, 5/06/16

 

 

1,215

 

 

1,220,175

 









Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

5,694

 

 

5,893,615

 









Total Floating Rate Loan Interests — 68.9%

 

 

 

 

 

317,515,918

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 








Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A

 

 

833

 

 

8

 









Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred Equity Interests (j)

 

 

1

 

 

1,190,711

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

1,440

 

 

14

 









Household Durables — 0.2%

 

 

 

 

 

 

 

Stanley Martin, Class B Membership Units (j)

 

 

2

 

 

1,166,608

 









 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

Value

 








Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

USD

 

7,500

 

$

75

 

Adelphia Preferred Escrow

 

 

5

 

 

 

Adelphia Recovery Trust

 

 

9,406

 

 

941

 

Adelphia Recovery Trust, Series ACC-6B INT

 

 

500

 

 

5

 

 

 

 

 

 




 

 

 

 

 

 

1,021

 









Metals & Mining — 0.5%

 

 

 

 

 

 

 

RathGibson Acquisition Corp., LLC (j)

 

 

280

 

 

2,399,439

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default Escrow

 

 

21,700

 

 

217

 









Total Other Interests — 1.0%

 

 

 

 

 

4,758,018

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (k)

 

Shares

 

 

 

 








Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

126,761

 

 

1

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.
(Expires 4/29/14)

 

 

1,216

 

 

12

 









Media — 0.0%

 

 

 

 

 

 

 

Charter Communications, Inc. (Expires 11/30/14)

 

 

12,661

 

 

113,949

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

4

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

1,247

 

 

13

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

24,924

 

 

 

 

 

 

 

 




 

 

 

 

 

 

13

 









Total Warrants — 0.0%

 

 

 

 

 

113,975

 









Total Long-Term Investments
(Cost — $646,129,197) — 130.0%

 

 

 

 

 

599,412,420

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 








Bank of New York Cash Reserves, 0.01% (l)

USD

 

4,326

 

 

4,325,609

 









 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 








BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.15% (l)(m)

 

 

436,377

 

 

436,377

 









Total Short-Term Securities
(Cost — $4,761,986) — 1.0%

 

 

 

 

 

4,761,986

 









Total Investments (Cost — $650,891,183*) — 131.0%

 

 

 

 

 

604,174,406

 

Liabilities in Excess of Other Assets — (31.0)%

 

 

 

 

 

(142,927,215

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

461,247,191

 

 

 

 

 

 




 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:


 

 

 

 

 

Aggregate cost

 

$

646,863,438

 

 

 




Gross unrealized appreciation

 

$

32,757,513

 

Gross unrealized depreciation

 

 

(75,446,545

)

 

 




Net unrealized depreciation

 

$

(42,689,032

)

 

 





 

 

 

 

See Notes to Financial Statements.

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

41




 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

(a)

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

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

Convertible security.

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(h)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation

 







Credit Suisse International

 

$

386,100

 

$

9,968

 










 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

The investment is held by a wholly-owned taxable subsidiary of the Fund.

 

 

(k)

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, if any.

 

 

(l)

Represents the current yield as of report date.

 

 

(m)

Investments in companies considered to be an affiliate of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 











BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

1,319,723

 

 

(883,346

)

 

436,377

 

$

6,758

 
















 

 

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 rating group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

Foreign currency exchange contracts as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 















CAD

 

1,665,000

 

USD

 

1,686,879

 

Deutsche Bank AG

 

4/14/11

 

$

25,186

 

USD

 

3,144,142

 

CAD

 

3,122,000

 

Citibank NA

 

4/14/11

 

 

(66,108

)

USD

 

3,777,540

 

GBP

 

2,421,500

 

Citibank NA

 

4/14/11

 

 

(157,331

)

USD

 

2,160,883

 

GBP

 

1,340,500

 

Deutsche Bank AG

 

4/14/11

 

 

(17,393

)

EUR

 

978,000

 

USD

 

1,342,980

 

Citibank NA

 

4/27/11

 

 

5,643

 

USD

 

26,131,156

 

EUR

 

19,102,000

 

Citibank NA

 

4/27/11

 

 

(209,746

)

USD

 

643,525

 

EUR

 

470,000

 

Royal Bank
of Scotland

 

4/27/11

 

 

(4,586

)
















Total

 

 

 

 

 

 

 

 

 

 

$

(424,335

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 













K. Hovnanian
Enterprises, Inc.

 

 

5.00

%

Goldman Sachs
International

 

12/20/11

 

$

855

 

$

(38,989

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian
Enterprises, Inc.

 

 

5.00

%

Goldman Sachs
International

 

9/20/13

 

$

250

 

 

(38,968

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(77,957

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes 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 and derivatives)

 

 

 

 

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 derivatives 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, 2011 in determining the fair valuation of the Fund’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

3,136,080

 

$

6,393,325

 

$

9,529,405

 

Common Stocks

 

$

2,284,046

 

 

5,038,422

 

 

926,586

 

 

8,249,054

 

Corporate Bonds

 

 

 

 

246,469,012

 

 

12,777,038

 

 

259,246,050

 

Floating Rate Loan Interests

 

 

 

 

266,762,262

 

 

50,753,656

 

 

317,515,918

 

Other Interests

 

 

941

 

 

 

 

4,757,077

 

 

4,758,018

 

Warrants

 

 

113,949

 

 

 

 

26

 

 

113,975

 

Short-Term Securities

 

 

436,377

 

 

4,325,609

 

 

 

 

4,761,986

 

Unfunded Loan Commitments

 

 

 

 

37,225

 

 

 

 

37,225

 

 

 













Total

 

$

2,835,313

 

$

525,768,610

 

$

75,607,708

 

$

604,211,631

 

 

 














 

 

 

See Notes to Financial Statements.

 

 




42

ANNUAL REPORT

FEBRUARY 28, 2011



**************

 

 



 

 

Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

 

$

30,829

 

 

 

$

30,829

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(77,957

)

 

 

 

(77,957

)

Foreign currency
exchange
contracts

 

 

 

 

(455,164

)

 

 

 

(455,164

)

 

 













Total

 

 

 

$

(502,292

)

 

 

$

(502,292

)

 

 














 

 

1

Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating
Rate Loan
Interests

 

Other
Interests

 

Warrants

 

Total

 
























Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

 

 

$

311,675

 

$

11,805,208

 

$

58,483,045

 

$

2,253,500

 

$

31,175

 

$

72,884,603

 

Accrued discounts/premiums

 

$

12,821

 

 

 

 

533,581

 

 

686,771

 

 

 

 

 

 

1,233,173

 

Net realized gain (loss)

 

 

50,993

 

 

 

 

238,047

 

 

(9,765,991

)

 

364,537

 

 

(79,953

)

 

(9,192,367

)

Net change in unrealized appreciation/depreciation2

 

 

120,324

 

 

(1,145,463

)

 

2,530,290

 

 

12,157,544

 

 

1,149,754

 

 

48,789

 

 

14,861,238

 

Purchases

 

 

7,206,687

 

 

2,511,924

 

 

740,336

 

 

32,272,189

 

 

2,668,500

 

 

15

 

 

45,399,651

 

Sales

 

 

(997,500

)

 

 

 

(3,070,477

)

 

(46,615,324

)

 

(1,678,273

)

 

 

 

(52,361,574

)

Transfers in3

 

 

 

 

 

 

53

 

 

7,555,783

 

 

 

 

 

 

7,555,836

 

Transfers out3

 

 

 

 

(751,550

)

 

 

 

(4,020,361

)

 

(941

)

 

 

 

(4,772,852

)

 

 






















Balance, as of February 28, 2011

 

$

6,393,325

 

$

926,586

 

$

12,777,038

 

$

50,753,656

 

$

4,757,077

 

$

26

 

$

75,607,708

 

 

 























 

 

2

Included in the 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, 2011 was $2,969,358.

 

 

3

The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 





 

 

Credit
Contracts

 





Liabilities:

 

 

 

 

Balance, as of February 28, 2010

 

$

(94,696

)

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation4

 

 

94,696

 

Purchases

 

 

 

Sales

 

 

 

Transfers in5

 

 

 

Transfers out5

 

 

 

 

 



 

Balance, as of February 28, 2011

 

 

 

 

 



 


 

 

4

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, 2011 was $0.

 

 

5

The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.


 

 

 

 

See Notes to Financial Statements.

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

43




 

 


 

 

Schedule of Investments February 28, 2011

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 









ARES CLO Funds (a)(b):

 

 

 

 

 

 

 

Series 2005-10A, Class B, 0.69%, 9/18/17

 

USD

500

 

$

440,000

 

Series 2011-16A, Class C, 2.90%, 5/17/21 (c)

 

 

500

 

 

493,150

 

Ballyrock CDO Ltd., Series 2006-1A, Class B,
0.66%, 8/28/19 (a)(b)

 

 

500

 

 

428,750

 

Canaras Summit CLO Ltd., Series 2007-1A, Class B,
0.78%, 6/19/21 (a)(b)

 

 

395

 

 

337,543

 

Centurion CDO 9 Ltd., Series 2005-9A, Class B,
1.07%, 7/17/19 (a)(b)

 

 

500

 

 

411,605

 

Flagship CLO, Series 2006-1A, Class B, 0.64%,
9/20/19 (a)(b)

 

 

1,000

 

 

825,000

 

Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,
0.70%, 12/20/20 (a)(b)

 

 

500

 

 

441,875

 

Gannett Peak CLO Ltd., Class A2:

 

 

 

 

 

 

 

Series 2006-1A, 0.66%, 10/27/20 (a)(b)

 

 

440

 

 

378,950

 

Series 2006-1X, 0.66%, 10/27/20

 

 

305

 

 

256,963

 

Goldman Sachs Asset Management CLO Plc,
Series 2007-1A, Class B, 0.75%, 8/01/22 (a)(b)

 

 

665

 

 

558,932

 

KKR CLO Ltd., Series 2005-1A, Class B, 0.75%,
4/26/17 (a)(b)

 

 

500

 

 

456,250

 

Landmark CDO Ltd., Series 2006-8A, Class B,
0.66%, 10/19/20 (a)(b)

 

 

570

 

 

495,809

 

MAPS CLO Fund LLC, Series 2005-1A, Class C,
1.25%, 12/21/17 (a)(b)

 

 

300

 

 

261,750

 

Portola CLO Ltd., Series 2007-1X, Class B1, 1.76%,
11/15/21

 

 

405

 

 

374,625

 

T2 Income Fund CLO Ltd., Series 2007-1A, Class B,
0.90%, 7/15/19 (a)(b)

 

 

345

 

 

295,986

 









Total Asset-Backed Securities — 4.3%

 

 

 

 

 

6,457,188

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Common Stocks (d)

 

Shares

 

 

 

 









Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

10,732

 

 

4,120

 

Wellman Holdings, Inc.

 

 

181

 

 

9

 

 

 

 

 

 




 

 

 

 

 

 

4,129

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

710

 

 

31,595

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

13,053

 

 

274

 









Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

5,332

 

 

90,005

 









Software — 0.1%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

47,227

 

 

236,135

 









Total Common Stocks — 0.2%

 

 

 

 

 

362,138

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 









Airlines — 0.4%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (a)

 

USD

250

 

 

267,500

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

270

 

 

292,181

 

 

 

 

 

 




 

 

 

 

 

 

559,681

 









Auto Components — 0.8%

 

 

 

 

 

 

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

16

 

 

17,769

 

Icahn Enterprises LP, 7.75%, 1/15/16

 

 

1,105

 

 

1,140,912

 

 

 

 

 

 




 

 

 

 

 

 

1,158,681

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Capital Markets — 0.0%

 

 

 

 

 

 

 

E*Trade Financial Corp., 4.25%, 8/31/19 (a)(e)(f)

 

USD

46

 

$

71,070

 









Chemicals — 1.3%

 

 

 

 

 

 

 

CF Industries, Inc., 6.88%, 5/01/18

 

 

480

 

 

530,100

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/31/15 (e)(g)

 

 

702

 

 

702,101

 

10.00%, 3/31/15

 

 

691

 

 

638,768

 

Wellman Holdings, Inc., Subordinate Note
(Third Lien), 5.00%, 1/29/19 (e)(g)

 

 

200

 

 

78,075

 

 

 

 

 

 




 

 

 

 

 

 

1,949,044

 









Commercial Banks — 1.3%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/14

 

 

80

 

 

81,550

 

7.00%, 5/01/16

 

 

220

 

 

221,925

 

7.00%, 5/01/17

 

 

1,660

 

 

1,672,450

 

 

 

 

 

 




 

 

 

 

 

 

1,975,925

 









Commercial Services & Supplies — 0.6%

 

 

 

 

 

 

 

AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)

 

 

626

 

 

643,215

 

Brickman Group Holdings, Inc., 9.13%,
11/01/18 (a)

 

 

280

 

 

301,000

 

 

 

 

 

 




 

 

 

 

 

 

944,215

 









Construction Materials — 0.5%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

713

 

 

759,510

 









Consumer Finance — 0.5%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

 

190

 

 

204,725

 

Inmarsat Finance Plc, 7.38%, 12/01/17 (a)

 

 

525

 

 

564,375

 

 

 

 

 

 




 

 

 

 

 

 

769,100

 









Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Berry Plastics Corp., 8.25%, 11/15/15

 

 

900

 

 

964,125

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

113

 

 

162,367

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

275

 

 

402,258

 

7.75%, 11/15/19

 

 

265

 

 

391,287

 

 

 

 

 

 




 

 

 

 

 

 

1,920,037

 









Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Ally Financial, Inc., 2.51%, 12/01/14 (b)

 

USD

1,175

 

 

1,154,620

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

85

 

 

93,712

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (a)

 

 

300

 

 

319,500

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

200

 

 

292,551

 

6.88%, 2/15/21

 

USD

210

 

 

210,525

 

 

 

 

 

 




 

 

 

 

 

 

2,070,908

 









Diversified Telecommunication Services — 0.6%

 

 

 

 

 

 

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

360

 

 

395,100

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

8.00%, 10/01/15

 

 

300

 

 

327,375

 

Series B, 7.50%, 2/15/14

 

 

217

 

 

220,255

 

 

 

 

 

 




 

 

 

 

 

 

942,730

 









Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

CDW LLC, 8.00%, 12/15/18 (a)

 

 

270

 

 

290,250

 









Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (a)

 

 

170

 

 

168,300

 









Food Products — 0.4%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

300

 

 

320,250

 

Smithfield Foods, Inc., 10.00%, 7/15/14

 

 

187

 

 

220,660

 

 

 

 

 

 




 

 

 

 

 

 

540,910

 










 

 

 

See Notes to Financial Statements.

 

 




44

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

USD

685

 

$

750,931

 









Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

HCA, Inc., 7.25%, 9/15/20

 

 

255

 

 

275,081

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

95

 

 

104,500

 

8.88%, 7/01/19

 

 

690

 

 

784,875

 

 

 

 

 

 




 

 

 

 

 

 

1,164,456

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (a)

 

 

980

 

 

1,149,050

 









Hotels, Restaurants & Leisure — 1.0%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc., 10.00%,
12/15/18

 

 

25

 

 

23,500

 

Little Traverse Bay Bands of Odawa Indians, 9.00%,
8/31/20 (a)

 

 

488

 

 

402,600

 

MGM Resorts International, 10.38%, 5/15/14

 

 

260

 

 

291,200

 

Travelport LLC, 4.94%, 9/01/14 (b)

 

 

815

 

 

727,388

 

 

 

 

 

 




 

 

 

 

 

 

1,444,688

 









Independent Power Producers &
Energy Traders — 2.6%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (a)

 

 

715

 

 

775,775

 

Energy Future Holdings Corp., 10.00%, 1/15/20 (a)

 

 

500

 

 

520,676

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

1,425

 

 

1,487,489

 

NRG Energy, Inc., 7.63%, 1/15/18 (a)

 

 

1,000

 

 

1,041,250

 

 

 

 

 

 




 

 

 

 

 

 

3,825,190

 









Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp., 13.50%, 12/01/15 (a)(g)

 

 

679

 

 

751,624

 









Media — 2.4%

 

 

 

 

 

 

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

230

 

 

257,600

 

Cengage Learning Acquisitions, Inc., 10.50%,
1/15/15 (a)

 

 

460

 

 

477,250

 

Checkout Holding Corp., 10.98%, 11/15/15 (a)(f)

 

 

460

 

 

296,700

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

212

 

 

235,320

 

Series B, 9.25%, 12/15/17

 

 

847

 

 

942,288

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (a)

 

 

330

 

 

354,750

 

UPC Germany GmbH, 8.13%, 12/01/17 (a)

 

 

1,000

 

 

1,072,500

 

 

 

 

 

 




 

 

 

 

 

 

3,636,408

 









Metals & Mining — 0.7%

 

 

 

 

 

 

 

FMG Resources August 2006 Property Ltd., 7.00%,
11/01/15 (a)

 

 

445

 

 

461,688

 

Novelis, Inc., 8.38%, 12/15/17 (a)

 

 

495

 

 

545,737

 

 

 

 

 

 




 

 

 

 

 

 

1,007,425

 









Multiline Retail — 0.2%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (g)

 

 

235

 

 

271,719

 









Oil, Gas & Consumable Fuels — 0.1%

 

 

 

 

 

 

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (a)

 

 

144

 

 

156,960

 









Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Verso Paper Holdings LLC, Series B, 4.05%,
8/01/14 (b)

 

 

180

 

 

179,100

 









Pharmaceuticals — 0.2%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.06%,
12/01/13 (b)

 

 

255

 

 

214,200

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.75%, 10/01/17

 

 

50

 

 

51,750

 

7.00%, 10/01/20

 

 

65

 

 

67,194

 

 

 

 

 

 




 

 

 

 

 

 

333,144

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Professional Services — 0.1%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20 (a)

 

USD

95

 

$

95,000

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc., 6.75%,
10/15/22 (a)

 

 

75

 

 

75,750

 









Wireless Telecommunication Services — 1.5%

 

 

 

 

 

 

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

825

 

 

872,437

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15 (g)

 

 

399

 

 

415,559

 

8.25%, 9/01/17

 

 

265

 

 

276,925

 

iPCS, Inc., 2.43%, 5/01/13 (b)

 

 

500

 

 

493,750

 

Nextel Communications, Inc., Series E, 6.88%,
10/31/13

 

 

155

 

 

156,259

 

 

 

 

 

 




 

 

 

 

 

 

2,214,930

 









Total Corporate Bonds — 21.0%

 

 

 

 

 

31,176,736

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 









Aerospace & Defense — 3.0%

 

 

 

 

 

 

 

DynCorp International, Term Loan, 6.25%, 7/07/16

 

 

923

 

 

930,184

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked Deposit, 0.20%,
3/26/14

 

 

42

 

 

37,407

 

Term Loan, 2.26% – 2.30%, 3/26/14

 

 

685

 

 

612,434

 

The SI Organization, Inc., New Tranche B, Term Loan,
4.50%, 11/22/16

 

 

1,100

 

 

1,108,250

 

Scitor Corp., Term Loan B, 5.75%, 2/01/17

 

 

850

 

 

846,813

 

TransDigm, Inc., Term Loan (First Lien), 5.25%,
2/14/17

 

 

950

 

 

955,671

 

 

 

 

 

 




 

 

 

 

 

 

4,490,759

 









Auto Components — 1.2%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.02%,
8/07/14

 

 

834

 

 

831,186

 

Armored Auto Group, Inc. (FKA Viking
Acquisition, Inc.), Term Loan, 6.00%, 11/05/16

 

 

580

 

 

582,900

 

GPX International Tire Corp., Tranche B Term
Loan (d)(h):

 

 

 

 

 

 

 

8.37%, 3/30/12

 

 

549

 

 

 

0.00%, 4/11/12

 

 

9

 

 

 

UCI International, Inc., Term Loan, 5.50%, 7/06/17

 

 

400

 

 

401,375

 

 

 

 

 

 




 

 

 

 

 

 

1,815,461

 









Automobiles — 0.8%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan, 3.02%,
12/15/13

 

 

1,221

 

 

1,220,415

 









Biotechnology — 0.4%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%, 10/01/16

 

 

575

 

 

581,709

 









Building Products — 3.3%

 

 

 

 

 

 

 

Armstrong World Industries, Inc., Term Loan B,
5.00%, 5/17/17

 

 

825

 

 

834,273

 

CPG International I, Inc., Term Loan B, 6.00%,
2/03/17

 

 

950

 

 

952,974

 

Goodman Global, Inc., Initial Term Loan (First Lien),
5.75%, 10/13/16

 

 

2,494

 

 

2,512,064

 

Momentive Performance Materials (Blitz 06-103
GmbH), Tranche B-25 Term Loan, 4.36%,
5/05/15

 

EUR

343

 

 

460,594

 

PGT Industries, Inc., Tranche A-2 Term Loan, 6.75%,
2/14/12

 

USD

213

 

 

209,076

 

 

 

 

 

 




 

 

 

 

 

 

4,968,981

 









Capital Markets — 1.9%

 

 

 

 

 

 

 

American Capital Ltd., Term Loan B, 7.50%,
12/31/13

 

 

237

 

 

238,174

 

HarbourVest Partners, Term Loan, 6.25%,
12/17/16

 

 

988

 

 

992,438

 


 

 

 

 

See Notes to Financial Statements.

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

45




 

 


 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Capital Markets (concluded)

 

 

 

 

 

 

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Extended Term Loan (First Lien),
3.30%, 11/13/14

 

USD

634

 

$

614,808

 

Non-Extended Term Loan (First Lien),
5.80% – 5.81%, 5/13/17

 

 

916

 

 

912,470

 

 

 

 

 

 




 

 

 

 

 

 

2,757,890

 









Chemicals — 6.9%

 

 

 

 

 

 

 

AZ Chem US, Inc., Term Loan B, 6.75%, 11/21/16

 

 

594

 

 

599,677

 

Chemtura Corp., Exit Term Loan, 5.50%, 8/29/16

 

 

800

 

 

806,333

 

General Chemical Corp., Tranche B Term Loan,
6.75% – 7.25%, 10/06/15

 

 

1,047

 

 

1,063,086

 

MacDermid, Inc., Tranche C Term Loan, 3.07%,
4/12/14

 

EUR

283

 

 

377,482

 

Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17

 

USD

625

 

 

626,823

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Original
Term Facility (First Lien), 3.52% – 3.56%, 7/30/14

 

 

988

 

 

971,646

 

Rockwood Specialties Group, Inc., Term Loan B,
3.75%, 2/01/18

 

 

950

 

 

960,094

 

Solutia, Inc., Term Loan, 4.50%, 3/17/17

 

 

548

 

 

548,939

 

Styron Sarl, Term Loan B, 6.00%, 7/27/17

 

 

1,400

 

 

1,412,600

 

Tronox Worldwide LLC, Exit Term Loan, 7.00%,
12/14/15

 

 

1,460

 

 

1,472,162

 

Univar, Inc., Term Loan B, 5.00%, 6/30/17

 

 

1,400

 

 

1,404,813

 

 

 

 

 

 




 

 

 

 

 

 

10,243,655

 









Commercial Banks — 1.2%

 

 

 

 

 

 

 

CIT Group, Inc., Tranche 3 Term Loan, 6.25%,
8/11/15

 

 

1,700

 

 

1,721,604

 









Commercial Services & Supplies — 4.3%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit — 1 Facility, 0.11%, 1/26/14

 

 

9

 

 

8,927

 

Letter of Credit — 2 Facility, 0.11%, 7/26/16

 

 

13

 

 

12,910

 

US Term Loan, 2.18%, 1/26/14

 

 

111

 

 

110,814

 

US Term Loan B, 3.55%, 7/26/16

 

 

196

 

 

196,297

 

AWAS Finance Luxembourg Sarl, Loan, 7.75%,
6/10/16

 

 

287

 

 

294,200

 

Advanced Disposal Services, Inc., Term Loan
(First Lien), 6.00%, 1/14/15

 

 

495

 

 

498,094

 

Altegrity, Inc. (FKA US Investigations Services, Inc.),
Tranche D Term Loan, 7.75%, 2/21/15

 

 

995

 

 

1,014,900

 

Casella Waste Systems, Inc., Term Loan B, 7.00%,
4/09/14

 

 

492

 

 

492,500

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

1,000

 

 

1,008,571

 

Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B
Dollar Term Loan, 5.25%, 11/24/15

 

 

429

 

 

428,958

 

Protection One, Inc., Term Loan, 6.00%, 6/04/16

 

 

538

 

 

539,230

 

Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16

 

 

299

 

 

297,132

 

Synagro Technologies, Inc., Term Loan (First Lien),
2.27%, 4/02/14

 

 

965

 

 

897,450

 

Volume Services America, Inc. (Centerplate), Term
Loan B, 10.50% – 10.75%, 8/24/16

 

 

524

 

 

528,704

 

 

 

 

 

 




 

 

 

 

 

 

6,328,687

 









Communications Equipment — 1.8%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.03%, 10/24/14

 

 

628

 

 

608,415

 

Term Loan B-3, 4.81%, 10/24/17

 

 

1,019

 

 

998,552

 

CommScope, Inc., Term Loan B, 5.00%, 1/06/18

 

 

1,000

 

 

1,014,583

 

 

 

 

 

 




 

 

 

 

 

 

2,621,550

 









Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, First Out Tranche Loan, 9.00%,
12/18/17

 

 

900

 

 

900,000

 









Construction Materials — 0.3%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Tranche B Term Loan,
6.25% – 6.75%, 8/05/16

 

 

452

 

 

456,553

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Consumer Finance — 1.4%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 7.25%, 4/21/15

 

USD

2,075

 

$

2,093,467

 









Containers & Packaging — 0.8%

 

 

 

 

 

 

 

Anchor Glass Container Corp., Term Loan (First Lien),
6.00%, 3/02/16

 

 

153

 

 

153,790

 

Berry Plastics Holding Corp., Term Loan C,
2.29% – 2.31%, 4/03/15

 

 

139

 

 

135,002

 

Graham Packaging Co., LP:

 

 

 

 

 

 

 

Term Loan C, 6.75%, 4/05/14

 

 

273

 

 

274,308

 

Term Loan D, 6.00%, 9/16/16

 

 

599

 

 

603,096

 

 

 

 

 

 




 

 

 

 

 

 

1,166,196

 









Diversified Consumer Services — 3.1%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.26% – 3.31%,
11/14/14

 

 

1,755

 

 

1,644,854

 

Laureate Education:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 3.55%, 8/15/14

 

 

98

 

 

95,619

 

Series A New Term Loan, 7.00%, 8/15/14

 

 

1,299

 

 

1,306,640

 

Term Loan B, 3.55%, 8/17/14

 

 

652

 

 

638,678

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan, 2.76% – 2.81%,
7/24/14

 

 

923

 

 

908,790

 

Delayed Draw Term Loan, 2.77%, 7/24/14

 

 

92

 

 

90,502

 

 

 

 

 

 




 

 

 

 

 

 

4,685,083

 









Diversified Financial Services — 2.6%

 

 

 

 

 

 

 

MSCI, Inc., Term Loan B, 4.75%, 6/01/16

 

 

880

 

 

884,146

 

Reynolds Group Holdings, Inc., Term Loan E, 4.25%,
2/09/18

 

 

2,300

 

 

2,311,978

 

Whitelabel IV SA (Ontex):

 

 

 

 

 

 

 

Facility B1, 6.75%, 8/11/17

 

EUR

188

 

 

262,980

 

Facility B2, 6.75%, 8/11/17

 

 

312435,196

 

 

 

 

 

 

 

 

 

 

3,894,300

 









Diversified Telecommunication Services — 2.8%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc., Term Loan,
9.00%, 10/28/15

 

USD

700

 

 

711,958

 

Integra Telecom Holdings, Inc., Term Loan, 9.25%,
4/15/15

 

 

796

 

 

805,552

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B, 11.50%, 3/13/14

 

 

150

 

 

160,875

 

Tranche A Incremental Term Loan, 2.55%,
3/13/14

 

 

1,550

 

 

1,511,250

 

US Telepacific Corp., Term Loan B, 5.75%, 2/18/17

 

 

900

 

 

905,062

 

 

 

 

 

 




 

 

 

 

 

 

4,094,697

 









Electric Utilities — 1.1%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan, 7.00%,
7/03/17

 

 

1,561

 

 

1,575,967

 









Electronic Equipment, Instruments &
Components — 0.9%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan B, 3.51%, 7/15/17

 

 

526

 

 

525,909

 

Non-Extended Term Loan, 4.26%, 10/10/14

 

 

790

 

 

788,245

 

Flextronics International Ltd.:

 

 

 

 

 

 

 

Delayed Draw Term Loan A-2, 2.51%, 10/01/14

 

 

24

 

 

24,046

 

Delayed Draw Term Loan A-3, 2.51%, 10/01/14

 

 

21

 

 

20,611

 

 

 

 

 

 




 

 

 

 

 

 

1,358,811

 









Energy Equipment & Services — 0.7%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term Loan, 6.00%,
4/03/16

 

 

1,015

 

1,024,435

 








Food & Staples Retailing — 2.8%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),
Facility B1, 3.58%, 7/06/15 – 7/09/15

 

GBP

675

 

1,057,534

 

Bolthouse Farms, Inc., Term Loan (First Lien),
5.50% – 5.75%, 2/11/16

 

USD

574

 

577,309

 

Pilot Travel Centers LLC, Initial Tranche B Term Loan,
5.25%, 6/30/16

 

 

1,288

 

1,298,468

 


 

 

 

See Notes to Financial Statements.

 

 




46

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Food & Staples Retailing (concluded)

 

 

 

 

 

 

 

Rite Aid Corp., Term Loan B, 6.00%, 7/09/14

 

USD

249

 

$

249,180

 

U.S. Foodservice, Inc., Term Loan B, 2.76%,
7/03/14

 

 

948

 

 

915,305

 

 

 

 

 

 




 

 

 

 

 

 

4,097,796

 









Food Products — 6.0%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan:

 

 

 

 

 

 

 

11.25%, 9/29/17

 

 

600

 

 

615,000

 

(Second Lien), 7.00%, 9/29/16

 

 

1,038

 

 

1,044,708

 

CII Investment, LLC (FKA Cloverhill):

 

 

 

 

 

 

 

Delayed Draw Term Loan, 8.50%,12/31/11

 

 

103

 

 

128,322

 

Term Loan A, 8.50%, 10/14/14

 

 

394

 

 

389,966

 

Term Loan B, 8.50%, 10/14/14

 

 

479

 

 

474,284

 

Del Monte Corp., Term Loan B, 4.50%, 2/01/18

 

 

3,650

 

 

3,672,812

 

Green Mountain Coffee Roasters, Inc., Term B Facility,
5.50%, 11/09/16

 

 

500

 

 

503,282

 

Michaels Foods Group, Inc. (FKA M-Foods Holdings,
Inc.), Term Loan B, 4.25%, 2/25/18

 

 

547

 

 

551,819

 

Pinnacle Foods Finance LLC:

 

 

 

 

 

 

 

Term Loan B, 2.76%, 4/02/14

 

 

160

 

 

159,400

 

Tranche D Term Loan, 6.00%, 4/02/14

 

 

631

 

 

635,760

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 5.00% – 5.50%, 3/02/17

 

 

206

 

 

207,592

 

Tranche C-1 Term Loan, 5.00% – 5.50%, 3/02/17

 

 

519

 

 

522,694

 

 

 

 

 

 




 

 

 

 

 

 

8,905,639

 









Health Care Equipment & Supplies — 0.8%

 

 

 

 

 

 

 

Biomet, Inc., Dollar Term Loan, 3.26% – 3.30%,
3/25/15

 

 

202

 

 

201,297

 

DJO Finance LLC (FKA ReAble Therapeutics Finance
LLC), Term Loan, 3.26%, 5/20/14

 

 

400

 

 

396,911

 

Fresenius SE:

 

 

 

 

 

 

 

Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14

 

 

341

 

 

342,173

 

Tranche C-2 Term Loan, 4.50%, 9/10/14

 

 

182

 

 

182,806

 

 

 

 

 

 




 

 

 

 

 

 

1,123,187

 









Health Care Providers & Services — 6.3%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Extended Term Loan, 3.76% – 3.81%, 1/25/17

 

 

416

 

 

418,006

 

Non-Extended Delayed Draw Term Loan,
2.51% – 2.56%, 7/25/14

 

 

62

 

 

61,905

 

Non-Extended Term Loan, 2.51% – 2.56%,
7/25/14

 

 

1,172

 

 

1,162,436

 

ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16

 

 

700

 

 

703,208

 

DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16

 

 

900

 

 

906,423

 

HCA, Inc.:

 

 

 

 

 

 

 

Term Loan B2, 3.55%, 3/31/17

 

 

553

 

 

554,349

 

Tranche A-1 Term Loan, 1.55%, 11/16/12

 

 

801

 

 

796,190

 

Tranche B-1 Term Loan, 2.55%, 11/18/13

 

 

311

 

 

309,507

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

665

 

 

651,700

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

360

 

 

352,889

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.):

 

 

 

 

 

 

 

Term Loan B, 6.50%, 7/31/16

 

 

1,269

 

 

1,274,363

 

Term Loan B2, 4.75%, 8/04/16

 

 

450

 

 

451,781

 

Renal Advantage Holdings, Inc., Tranche B Term Loan,
5.75%, 12/03/16

 

 

700

 

 

709,625

 

Vanguard Health Holding Co. II, LLC (Vanguard
Health Systems, Inc.), Initial Term Loan, 5.00%,
1/29/16

 

 

1,003

 

 

1,009,336

 

 

 

 

 

 




 

 

 

 

 

 

9,361,718

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar Term Loan, 5.25%,
2/26/16

 

 

977

 

 

985,456

 

MedAssets, Inc., Term Loan B, 5.25%, 11/15/16

 

 

650

 

 

654,875

 

 

 

 

 

 




 

 

 

 

 

 

1,640,331

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Hotels, Restaurants & Leisure — 9.1%

 

 

 

 

 

 

 

BLB Management Services, Inc. (Wembly, Inc.), Loan
(Exit), 8.50%, 11/05/15

 

USD

473

 

$

475,256

 

Blackstone UTP Capital LLC, Loan, 7.75%,
11/06/14

 

 

743

 

 

757,350

 

Boyd Gaming Corp., Term Loan A, 3.81%, 12/31/15

 

 

325

 

 

321,074

 

Dunkin’ Brands, Inc., Term Loan B-1, 4.25%,
11/09/17

 

 

1,200

 

 

1,208,243

 

Gateway Casinos & Entertainment, Ltd., Term Loan B,
6.50% – 7.50%, 5/12/16

 

CAD

1,198

 

 

1,237,959

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.30%, 1/28/15

 

USD

128

 

 

118,981

 

Term Loan B-2, 3.30%, 1/28/15

 

 

165

 

 

152,861

 

Term Loan B-3, 3.30%, 1/28/15

 

 

3,585

 

 

3,329,025

 

Term Loan B-4, 9.50%, 10/31/16

 

 

400

 

 

423,889

 

Seaworld Parks & Entertainment, Inc.
(FKA SW Acquisitions Co., Inc.), Term B Loan,
4.00%, 8/17/17

 

 

1,287

 

 

1,289,564

 

Sea World, Term Loan B, 4.00%, 8/16/17

 

 

313

 

 

314,719

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 5.50%, 6/30/16

 

 

943

 

 

953,957

 

Travelport LLC (FKA Travelport, Inc.), Extended
Delayed Draw Term Loan, 4.96%, 8/21/15

 

 

249

 

 

241,665

 

Universal City Development Partners Ltd., Term Loan,
5.50%, 11/16/14

 

 

769

 

 

776,705

 

VML US Finance LLC (FKA Venetian Macau):

 

 

 

 

 

 

 

New Project Term Loan, 4.79%, 5/27/13

 

 

325

 

 

324,932

 

Term B Delayed Draw Project Loan, 4.79%,
5/25/12

 

 

529

 

 

529,816

 

Term B Funded Project Loan, 4.79%, 5/27/13

 

 

1,027

 

 

1,027,816

 

 

 

 

 

 




 

 

 

 

 

 

13,483,812

 









Household Durables — 1.0%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens):

 

 

 

 

 

 

 

Term Loan, 5.25%, 12/22/16

 

 

775

 

 

775,000

 

Tranche B Term Loan, 7.00%, 12/22/17

 

 

698

 

 

704,499

 

 

 

 

 

 




 

 

 

 

 

 

1,479,499

 









IT Services — 4.7%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan, 3.26%, 11/09/14

 

 

1,101

 

 

1,084,208

 

EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16

 

 

194

 

 

195,698

 

First Data Corp.:

 

 

 

 

 

 

 

Initial B-1 Term Loan, 3.01%, 9/24/14

 

 

1,515

 

 

1,434,657

 

Initial B-2 Term Loan, 3.01%, 9/24/14

 

 

1,787

 

 

1,692,113

 

Initial B-3 Term Loan, 3.01%, 9/24/14

 

 

869

 

 

822,173

 

TransUnion LLC, Term Loan, 4.75%, 2/03/18

 

 

1,742

 

 

1,751,454

 

 

 

 

 

 




 

 

 

 

 

 

6,980,303

 









Independent Power Producers &
Energy Traders — 0.8%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

815

 

 

686,737

 

Initial Tranche B-3 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

611

 

 

513,957

 

 

 

 

 

 




 

 

 

 

 

 

1,200,694

 









Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.56%, 12/03/14

 

 

796

 

 

787,703

 

Tomkins Plc, Term Loan A, 4.25%, 9/16/16

 

 

1,480

 

 

1,492,187

 

 

 

 

 

 




 

 

 

 

 

 

2,279,890

 









Insurance — 0.8%

 

 

 

 

 

 

 

CNO Financial Group, Inc., Term Loan, 7.50%,
9/30/16

 

 

1,225

 

 

1,232,145

 









Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term Loan, 6.75%,
8/26/14

 

 

357

 

 

358,172

 










 

 

 

 

See Notes to Financial Statements.

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

47




 

 


 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Machinery — 0.3%

 

 

 

 

 

 

 

Navistar Financial Corp., Term Loan B, 4.55%,
12/16/12

 

USD

425

 

$

423,406

 









Marine — 0.2%

 

 

 

 

 

 

 

Horizon Lines, LLC:

 

 

 

 

 

 

 

Revolving Loan, 3.31%, 8/08/12

 

 

246

 

 

228,439

 

Term Loan, 3.31%, 8/08/12

 

 

134

 

 

127,782

 

 

 

 

 

 




 

 

 

 

 

 

356,221

 









Media — 19.5%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%, 2/03/18

 

 

1,250

 

 

1,259,375

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/09/16

 

 

1,044

 

 

1,049,222

 

Atlantic Broadband Finance, LLC, Tranche B Term Loan,
5.00%, 11/12/15

 

 

483

 

 

482,508

 

Bresnan Telecommunications Co. LLC, Term Loan,
4.50%, 11/30/17

 

 

1,600

 

 

1,609,778

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning):

 

 

 

 

 

 

 

Term Loan, 2.55%, 7/03/14

 

 

1,247

 

 

1,199,712

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

499

 

 

501,540

 

Charter Communications Operating, LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

211

 

 

213,073

 

Term Loan C, 3.56%, 9/06/16

 

 

1,292

 

 

1,295,269

 

Clarke American Corp., Term Facility, 2.76% – 2.80%,

 

 

 

 

 

 

 

6/30/14

 

 

719

 

 

685,806

 

Foxco Acquisition Sub. LLC, Term Loan B,
7.50%, 7/14/15

 

 

492

 

 

490,774

 

Getty Images, Inc., Initial Term Loan B, 5.25%,
10/29/16

 

 

1,147

 

 

1,161,106

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
6.01%, 11/07/16

 

 

748

 

 

709,852

 

Intelsat Jackson Holdings SA (FKA Intel Jackson
Holdings Ltd.), Tranche B Term Loan, 5.25%,
3/07/18

 

 

3,500

 

 

3,523,517

 

Interactive Data Corp., Term Loan, 4.75%, 2/08/18

 

 

1,450

 

 

1,461,910

 

Knology, Inc., Term Loan B, 4.00%, 8/31/17

 

 

650

 

 

654,063

 

Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),
Facility B1, 3.68%, 6/03/15

 

EUR

304

 

 

385,163

 

MCNA Cable Holdings LLC (OneLink
Communications), Loan, 0%, 3/01/13

 

USD

541

 

 

502,725

 

Mediacom Illinois, LLC (FKA Mediacom
Communications, LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

 

494

 

 

496,836

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

 

 

 

 

 

Nielsen Finance LLC:

 

 

1,325

 

 

1,408,641

 

Class A Dollar Term Loan, 2.26%, 8/09/13

 

 

13

 

 

12,813

 

Class B Dollar Term Loan, 4.01%, 5/01/16

 

 

1,348

 

 

1,353,825

 

Sinclair Television Group, Inc., New Tranche B Term
Loan, 5.50%, 10/29/15

 

 

614

 

 

620,284

 

Springer Science+Business Media SA, Facility A1,
6.75%, 7/01/16

 

EUR

1,000

 

 

1,393,757

 

Sunshine Acquisition Ltd. (FKA HIT Entertainment),
Term Facility, 5.56%, 6/01/12

 

USD

1,017

 

 

995,532

 

UPC Broadband Holding B.V., Term U, 4.88%,
12/31/17

 

EUR

810

 

 

1,114,676

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.51%, 3/31/17

 

 

1,219

 

 

1,185,680

 

Virgin Media Investment Holdings Ltd., Facility B,
4.52%, 12/31/15

 

GBP

750

 

 

1,219,125

 

Weather Channel, Term Loan B, 4.25%, 2/01/17

 

USD

1,350

 

 

1,362,488

 

Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,
2.76%, 8/09/11

 

 

633

 

 

613,828

 

 

 

 

 

 




 

 

 

 

 

 

28,962,878

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 









Metals & Mining — 1.4%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

USD

282

 

$

271,825

 

14.00%, 6/29/13

 

 

275

 

 

264,632

 

Novelis, Inc., Term Loan B, 5.25%, 12/17/16

 

 

1,600

 

 

1,618,858

 

 

 

 

 

 




 

 

 

 

 

 

2,155,315

 









Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit, 0.16%, 11/01/13

 

 

4

 

 

3,742

 

Term B Advance (First Lien), 2.81%, 11/01/13

 

 

185

 

 

184,037

 

 

 

 

 

 




 

 

 

 

 

 

187,779

 









Multiline Retail — 1.0%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2 Term Loan, 3.01%,
7/07/14

 

 

360

 

 

360,572

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 2.91%, 7/06/15

 

EUR

209

 

 

286,052

 

Facility C, 3.66%, 7/05/16

 

 

209

 

 

286,052

 

The Neiman Marcus Group, Inc., Tranche B-2
Term Loan, 4.30%, 4/06/16

 

USD

537

 

 

539,419

 

 

 

 

 

 




 

 

 

 

 

 

1,472,095

 









Oil, Gas & Consumable Fuels — 1.4%

 

 

 

 

 

 

 

EquiPower Resources Holdings, LLC, Term Facility B,
5.75%, 1/11/18

 

 

750

 

 

755,625

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/30/15

 

 

1,245

 

 

1,276,587

 

 

 

 

 

 




 

 

 

 

 

 

2,032,212

 









Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

Georgia-Pacific LLC, Term Loan B, 2.30%, 12/23/12

 

 

617

 

 

617,020

 

Verso Paper Finance Holdings LLC, Term Loan With
PIK Option, 6.55% – 7.30%, 2/01/13 (g)

 

 

1,372

 

 

1,235,209

 

 

 

 

 

 




 

 

 

 

 

 

1,852,229

 









Personal Products — 0.9%

 

 

 

 

 

 

 

NBTY, Inc., Term Loan B:

 

 

 

 

 

 

 

4.75%, 10/01/17

 

 

675

 

 

675,000

 

6.25%, 9/20/17

 

 

700

 

 

707,146

 

 

 

 

 

 




 

 

 

 

 

 

1,382,146

 









Pharmaceuticals — 1.2%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., Term Loan, 5.50%, 2/10/17

 

 

767

 

 

768,583

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan C-3, 6.25%, 4/30/15

 

 

216

 

 

217,636

 

Term Loan A, 6.00%, 10/30/14

 

 

377

 

 

376,880

 

Term Loan B-1, 6.25%, 4/30/15

 

 

98

 

 

99,056

 

Term Loan B-2, 6.25%, 4/30/15

 

 

166

 

 

166,573

 

Term Loan B-3, 6.50%, 2/20/16

 

 

85

 

 

85,869

 

 

 

 

 

 




 

 

 

 

 

 

1,714,597

 









 

 

 

 

 

 

 

 

Professional Services — 1.6%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche B Term Loan,
4.00%, 8/01/17

 

 

1,550

 

 

1,564,725

 

Fifth Third Processing Solutions, LLC, Term Loan B
(First Lien), 5.50%, 10/21/16

 

 

800

 

 

806,200

 

 

 

 

 

 




 

 

 

 

 

 

2,370,925

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
1.76%, 6/28/11

 

 

125

 

 

123,281

 









Real Estate Management & Development — 2.4%

 

 

 

 

 

 

 

Mattamy Funding Partnership, Term Loan, 2.56%,
4/11/13

 

 

228

 

 

217,934

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan, 0.11%,
10/10/16

 

 

229

 

 

219,623

 

Extended Term Loan B, 4.56%, 10/10/16

 

 

3,190

 

 

3,059,879

 

 

 

 

 

 




 

 

 

 

 

 

3,497,436

 










 

 

 

See Notes to Financial Statements.

 

 




48

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 







Road & Rail — 0.2%

 

 

 

 

 

 

 

Transtar Industries, Term Loan (First Lien), 6.25%,
12/07/16

USD

 

275

 

$

279,125

 









Semiconductors & Semiconductor
Equipment — 0.7%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Term Loan B, 4.51%,
12/01/16

 

 

467

 

 

466,180

 

Microsemi Corp., Term Loan B, 5.00%, 10/25/17

 

 

550

 

 

551,375

 

 

 

 

 

 




 

 

 

 

 

 

1,017,555

 









Software — 1.1%

 

 

 

 

 

 

 

Rovi Solutions Corp., Tranche B Term Loan,
4.00%, 2/01/18

 

 

550

 

 

555,500

 

Telcordia Technologies, Inc., Term Loan, 6.75%,
4/30/16

 

 

695

 

 

698,658

 

Vertafore, Inc., Term Loan B, 5.25%, 7/29/16

 

 

360

 

 

362,700

 

 

 

 

 

 




 

 

 

 

 

 

1,616,858

 









Specialty Retail — 4.0%

 

 

 

 

 

 

 

Burlington Coat Factory Warehouse Corp., Term
Loan B, 6.25%, 2/18/17

 

 

475

 

 

476,583

 

Gymboree Corp., Term Loan B, 5.00%, 2/11/18

 

 

750

 

 

752,250

 

J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18

 

 

1,500

 

 

1,500,000

 

Matalan Finance Plc, Term Facility, 5.61%, 3/24/16

GBP

 

277

 

 

448,263

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.56% – 2.63%, 10/31/13

USD

 

392

 

 

390,766

 

Term Loan B-2, 4.81% – 4.88%, 7/31/16

 

 

256

 

 

258,078

 

Petco Animal Supplies, Inc., Term Loan B, 4.75%,
11/24/17

 

 

1,250

 

 

1,250,000

 

Toys ‘R’ Us Delaware, Inc., Initial Loan, 6.00%,
8/17/16

 

 

871

 

 

877,019

 

 

 

 

 

 




 

 

 

 

 

 

5,952,959

 









Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Philips Van Huesen Corp., US Tranche B Term Loan,
5.25%, 5/06/16

 

 

620

 

 

621,512

 









Wireless Telecommunication Services — 1.0%

 

 

 

 

 

 

 

MetroPCS Wireless, Inc., Tranche B-2 Term Loan,
3.81%, 11/03/16

 

 

481

 

 

483,309

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

1,035

 

 

1,071,566

 

 

 

 

 

 




 

 

 

 

 

 

1,554,875

 









Total Floating Rate Loan Interests — 112.9%

 

 

 

 

 

167,716,810

 










 

 

 

 

 

 

 

 









 

Other Interests (i)

 

 

Beneficial
Interest
(000)

 

 

 

 









Auto Components — 1.1%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP,
Class B Membership Interests

 

 

(j)

 

1,581,837

 









Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred Equity Interests (n)

 

 

(j)

 

299,336

 









Total Other Interests — 1.3%

 

 

 

 

 

1,881,173

 










 

 

 

 

 

 

 

 









 

Warrants (k)

 

Shares

 

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

5,330

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments

 

 

 

 

 

 

 

(Cost — $205,618,477) — 139.7%

 

 

 

 

 

207,594,045

 










 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (l)(m)

 

 

2,714,267

 

$

2,714,267

 









Total Short-Term Securities
(Cost — $2,714,267) — 1.8%

 

 

 

 

 

2,714,267

 










 

 

 

 

 

 

 

 









 

Options Purchased

 

Contracts

 

 

 

 









Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike
Price USD 942.86, Expires 12/01/19,
Broker Goldman Sachs Bank USA

 

 

11

 

 

 









 

 

 

 

 

 

 

 

Total Options Purchased
(Cost — $10,756) — 0.0%

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Total Investments (Cost — $208,343,500*) — 141.5%

 

 

 

 

 

210,308,312

 

Liabilities in Excess of Other Assets — (41.5)%

 

 

 

 

 

(61,756,626

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

148,551,686

 

 

 

 

 

 




 










*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:


 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

207,676,963

 

 

 

 

 

 




Gross unrealized appreciation

 

 

 

 

$

6,743,816

 

Gross unrealized depreciation

 

 

 

 

 

(4,112,467

)

 

 

 

 

 




Net unrealized appreciation

 

 

 

 

$

2,631,349

 

 

 

 

 

 





 

 

(a)

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

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 









Counterparty

 

Value

 

Unrealized
Appreciation

 







Bank of America

 

$

493,150

 

 

 










 

 

(d)

Non-income producing security.

 

 

(e)

Convertible security.

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(h)

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

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

Amount is less than $1,000.

 

 

(k)

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, if any.


 

 

 

 

See Notes to Financial Statements.

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

49




 

 



 

 

Schedule of Investments (continued)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)


 

 

(l)

Investments in companies considered to be an affiliate of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 















BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

1,797,812

 

 

916,455

 

 

2,714,267

 

$

4,635

 
















 

 

(m)

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 rating group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

    •

Foreign currency exchange contracts as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 














Currency
Purchased

 

Currency
    Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











USD

1,198,856

 

CAD

1,189,500

 

Citibank NA

 

4/14/11

 

$

(24,267

)

USD

2,281,189

 

GBP

1,462,000

 

Citibank NA

 

4/14/11

 

 

(94,521

)

EUR

500,000

 

USD

685,732

 

Citibank NA

 

4/27/11

 

 

3,748

 

USD

6,636,588

 

EUR

4,851,000

 

Citibank NA

 

4/27/11

 

 

(52,749

)

USD

205,380

 

EUR

150,000

 

Royal Bank
of Scotland

 

4/27/11

 

 

(1,464

)














Total

 

 

 

 

 

 

 

 

 

$

(169,253

)

 

 

 

 

 

 

 

 

 

 





 

 

 

(n)

The investment is held by a wholly-owned taxable subsidiary of the Fund.

 

 

    •

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes 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 and derivatives)

 

 

 

 

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 derivatives, 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, 2011 in determining the fair valuation of the Fund’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

1,919,893

 

$

4,537,295

 

$

6,457,188

 

Common Stocks

 

$

121,874

 

 

 

 

240,264

 

 

362,138

 

Corporate Bonds

 

 

 

 

29,337,423

 

 

1,839,313

 

 

31,176,736

 

Floating Rate
Loan Interests

 

 

 

 

146,750,834

 

 

20,965,976

 

 

167,716,810

 

Other Interests

 

 

 

 

1,581,837

 

 

299,336

 

 

1,881,173

 

Short-Term Securities

 

 

2,714,267

 

 

 

 

 

 

2,714,267

 

Unfunded Loan Commitments

 

 

 

 

33,410

 

 

2,079

 

 

35,489

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(5,523

)

 

(5,523

)

 













 

Total

 

$

2,836,141

 

$

179,623,397

 

$

27,878,740

 

$

210,338,278

 

 













 


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Derivative Financial Instruments1

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

$

3,748

 

 

 

$

3,748

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

 

(173,001

)

 

 

 

(173,001

)

 

 













Total

 

 

 

$

(169,253

)

 

 

$

(169,253

)

 

 














 

 

1

Derivative financial instruments are foreign currency exchange contracts, which are shown at the unrealized appreciation/depreciation on the instrument.


 

 

 

See Notes to Financial Statements.


50

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

 

Schedule of Investments (concluded)

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Unfunded
Loan
Commitments
Assets

 

Unfunded
Loan
Commitments
(Liabilities)

 

Total

 



























Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

 

 

$

30,435

 

$

1,016,670

 

$

18,711,638

 

$

1,622,470

 

$

4,076

 

$

(38,101

)

$

21,347,188

 

Accrued discounts/premiums

 

$

8,655

 

 

 

 

51,257

 

 

152,065

 

 

 

 

 

 

 

 

211,977

 

Net realized gain (loss)

 

 

 

 

 

 

2,082

 

 

(1,528,382

)

 

522,162

 

 

 

 

 

 

(1,004,138

)

Net change in unrealized appreciation/depreciation2

 

 

6,345

 

 

(427,908

)

 

358,286

 

 

2,504,090

 

 

482,325

 

 

(1,997

)

 

32,578

 

 

2,953,719

 

Purchases

 

 

4,522,295

 

 

669,332

 

 

433,768

 

 

14,980,795

 

 

 

 

 

 

 

 

20,606,190

 

Sales

 

 

 

 

 

 

(22,750

)

 

(13,608,197

)

 

(745,700

)

 

 

 

 

 

(14,376,647

)

Transfers in3

 

 

 

 

 

 

 

 

4,239,553

 

 

 

 

 

 

 

 

4,239,553

 

Transfers out3

 

 

 

 

(31,595

)

 

 

 

(4,485,586

)

 

(1,581,921

)

 

 

 

 

 

(6,099,102

)

 

 

























Balance, as of February 28, 2011

 

$

4,537,295

 

$

240,264

 

$

1,839,313

 

$

20,965,976

 

$

299,336

 

$

2,079

 

$

(5,523

)

$

27,878,740

 

 

 


























 

 

 

 

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, 2011 was $725,447.

 

 

 

 

3

The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.


 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

51




 

 


 

 

Schedule of Investments February 28, 2011

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 









ARES CLO Funds, Series 2005-10A, Class B, 0.69%,
9/18/17 (a)(b)

 

$

500

 

$

440,000

 

CSAM Funding, Series 2A, Class B1, 7.05%,
10/15/16

 

 

500

 

 

517,500

 

Canaras Summit CLO Ltd., Series 2007-1A,
Class B, 0.78%, 6/19/21 (a)(b)

 

 

635

 

 

542,633

 

Gannett Peak CLO Ltd.:

 

 

 

 

 

 

 

Series 2006-1A, Class A2, 0.66%,
10/27/20 (a)(b)

 

 

705

 

 

607,181

 

Series 2006-1X, Class A2, 0.66%, 10/27/20

 

 

495

 

 

417,038

 

LCM LP, Series 8A, Class C, 3.37%, 1/14/21 (a)(b)

 

 

1,500

 

 

1,496,250

 

Portola CLO Ltd., Series 2007-1X, Class B1, 1.76%,
11/15/21

 

 

645

 

 

596,625

 

T2 Income Fund CLO Ltd., Series 2007-1A, Class B,
0.90%, 7/15/19 (a)(b)

 

 

560

 

 

480,441

 









Total Asset-Backed Securities — 2.2%

 

 

 

 

 

5,097,668

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 








Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp.

 

 

27,100

 

 

433,058

 









Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

142,466

 

 

54,693

 

Wellman Holdings, Inc.

 

 

5,131

 

 

256

 

 

 

 

 

 




 

 

 

 

 

 

54,949

 









Commercial Banks — 0.1%

 

 

 

 

 

 

 

CIT Group, Inc.

 

 

3,300

 

 

142,956

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

2,570

 

 

114,365

 









Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

18,171

 

 

225,677

 









Machinery — 0.1%

 

 

 

 

 

 

 

Navistar International Corp.

 

 

2,000

 

 

123,960

 









Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

935

 

 

247,748

 









Paper & Forest Products — 0.9%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

215,634

 

 

712,455

 

Ainsworth Lumber Co. Ltd. (a)

 

 

421,556

 

 

1,392,820

 

 

 

 

 

 




 

 

 

 

 

 

2,105,275

 









Software — 0.1%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

75,677

 

 

378,384

 









Total Common Stocks — 1.6%

 

 

 

 

 

3,826,372

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 









Aerospace & Defense — 0.7%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (a)

 

$

900

 

 

976,500

 

Kratos Defense & Security Solutions, Inc., 10.00%,
6/01/17

 

 

520

 

 

586,300

 

 

 

 

 

 




 

 

 

 

 

 

1,562,800

 









Airlines — 0.8%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (a)

 

 

700

 

 

749,000

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

451

 

 

486,969

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

589

 

 

658,485

 

 

 

 

 

 




 

 

 

 

 

 

1,894,454

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Auto Components — 1.2%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

$

160

 

$

165,200

 

8.00%, 1/15/18

 

 

2,690

 

 

2,784,150

 

Venture Holdings Co. LLC (c)(d):

 

 

 

 

 

 

 

12.00%, 6/01/09

 

 

700

 

 

 

Series B, 9.50%, 7/01/05

 

 

3,325

 

 

333

 

 

 

 

 

 




 

 

 

 

 

 

2,949,683

 









Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (a)

 

 

214

 

 

216,182

 









Building Products — 0.5%

 

 

 

 

 

 

 

Associated Materials LLC, 9.13%, 11/01/17 (a)

 

 

430

 

 

464,938

 

Building Materials Corp. of America, 7.00%,
2/15/20 (a)

 

 

675

 

 

711,281

 

 

 

 

 

 




 

 

 

 

 

 

1,176,219

 









Capital Markets — 0.4%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13 (e)

 

 

600

 

 

614,442

 

KKR Group Finance Co., 6.38%, 9/29/20 (a)

 

 

280

 

 

288,491

 

 

 

 

 

 




 

 

 

 

 

 

902,933

 









Chemicals — 3.2%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

610

 

 

599,325

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/31/15 (f)(g)

 

 

1,869

 

 

1,868,623

 

10.00%, 3/31/15

 

 

1,839

 

 

1,700,816

 

Huntsman International LLC, 8.63%, 3/15/21 (a)

 

 

435

 

 

482,850

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (a)

 

 

240

 

 

263,400

 

Wellman Holdings, Inc., Subordinate Note (g):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19

 

 

2,383

 

 

2,073,210

 

(Third Lien), 5.00%, 1/29/19 (f)

 

 

1,722

 

 

671,628

 

 

 

 

 

 




 

 

 

 

 

 

7,659,852

 









Commercial Banks — 2.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/14

 

 

250

 

 

254,844

 

7.00%, 5/01/16

 

 

640

 

 

645,600

 

7.00%, 5/01/17

 

 

3,955

 

 

3,984,662

 

 

 

 

 

 




 

 

 

 

 

 

4,885,106

 









Commercial Services & Supplies — 1.8%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

365

 

 

412,450

 

AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)

 

 

724

 

 

743,910

 

Brickman Group Holdings, Inc., 9.13%,
11/01/18 (a)

 

 

455

 

 

489,125

 

The Geo Group, Inc. 7.75%, 10/15/17

 

 

450

 

 

479,813

 

International Lease Finance Corp., 8.25%,
12/15/20

 

 

136

 

 

151,300

 

Mobile Mini, Inc., 7.88%, 12/01/20 (a)

 

 

195

 

 

207,675

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (a)

 

 

550

 

 

632,500

 

West Corp. (a):

 

 

 

 

 

 

 

8.63%, 10/01/18

 

 

910

 

 

964,600

 

7.88%, 1/15/19

 

 

185

 

 

189,856

 

 

 

 

 

 




 

 

 

 

 

 

4,271,229

 









Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya Inc., 7.00%, 4/01/19 (a)

 

 

200

 

 

198,000

 









Construction Materials — 1.1%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

2,581

 

 

2,749,214

 









Consumer Finance — 0.9%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

 

300

 

 

323,250

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.05%, 1/13/12 (b)

 

 

1,340

 

 

1,353,655

 

6.63%, 8/15/17

 

 

400

 

 

425,431

 

 

 

 

 

 




 

 

 

 

 

 

2,102,336

 










See Notes to Financial Statements.

 

 

 


52

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Containers & Packaging — 0.9%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

$

325

 

$

340,438

 

Berry Plastics Corp., 8.25%, 11/15/15

 

 

1,100

 

 

1,178,375

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

555

 

 

616,050

 

 

 

 

 

 




 

 

 

 

 

 

2,134,863

 









Diversified Financial Services — 4.4%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

4,700

 

 

5,305,125

 

7.50%, 9/15/20 (a)

 

 

1,020

 

 

1,115,625

 

8.00%, 11/01/31

 

 

420

 

 

480,900

 

8.00%, 11/01/31

 

 

480

 

 

549,789

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

350

 

 

385,875

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (a)

 

 

850

 

 

905,250

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.13%, 4/15/19

 

 

250

 

 

256,250

 

6.88%, 2/15/21

 

 

335

 

 

335,837

 

8.25%, 2/15/21

 

 

1,210

 

 

1,213,025

 

 

 

 

 

 




 

 

 

 

 

 

10,547,676

 









Diversified Telecommunication Services — 2.1%

 

 

 

 

 

 

 

Frontier Communications Corp., 8.25%, 4/15/17

 

 

415

 

 

458,575

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

650

 

 

713,375

 

Qwest Corp., 8.38%, 5/01/16

 

 

3,000

 

 

3,581,250

 

tw telecom holdings, Inc., 8.00%, 3/01/18

 

 

230

 

 

246,675

 

 

 

 

 

 




 

 

 

 

 

 

4,999,875

 









Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

CDW LLC, 8.00%, 12/15/18 (a)

 

 

430

 

 

462,250

 









Energy Equipment & Services — 0.5%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas,
7.50%, 5/15/15

 

 

725

 

 

750,375

 

Frac Tech Services LLC, 7.13%, 11/15/18 (a)

 

 

470

 

 

486,450

 

 

 

 

 

 




 

 

 

 

 

 

1,236,825

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

BI-LO LLC, 9.25%, 2/15/19 (a)

 

 

285

 

 

296,400

 

Rite Aid Corp., 9.75%, 6/12/16

 

 

825

 

 

929,156

 

 

 

 

 

 




 

 

 

 

 

 

1,225,556

 









Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

500

 

 

533,750

 

Blue Merger Sub, Inc., 7.63%, 2/15/19 (a)

 

 

220

 

 

222,200

 

Smithfield Foods, Inc., 10.00%, 7/15/14

 

 

299

 

 

352,820

 

 

 

 

 

 




 

 

 

 

 

 

1,108,770

 









Gas Utilities — 0.1%

 

 

 

 

 

 

 

Targa Resources Partners LP, 6.88%, 2/01/21 (a)

 

 

250

 

 

247,500

 









Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

710

 

 

778,338

 

Hologic, Inc., 2.00%, 12/15/37 (e)(g)

 

 

830

 

 

799,912

 

 

 

 

 

 




 

 

 

 

 

 

1,578,250

 









Health Care Providers & Services — 3.2%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19 (a)

 

 

235

 

 

244,988

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

210

 

 

235,200

 

7.88%, 2/15/20

 

 

2,584

 

 

2,839,170

 

inVentiv Health, Inc., 10.00%, 8/15/18 (a)

 

 

210

 

 

215,775

 

Omnicare, Inc., 6.88%, 12/15/15

 

 

555

 

 

573,037

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

850

 

 

998,750

 

8.88%, 7/01/19

 

 

2,230

 

 

2,536,625

 

 

 

 

 

 




 

 

 

 

 

 

7,643,545

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (a)

 

$

1,580

 

$

1,852,550

 

MedAssets, Inc., 8.00%, 11/15/18 (a)

 

 

140

 

 

143,850

 

 

 

 

 

 




 

 

 

 

 

 

1,996,400

 









Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

CityCenter Holdings LLC, 7.63%, 1/15/16 (a)

 

 

290

 

 

302,325

 

Diamond Resorts Corp., 12.00%, 8/15/18 (a)

 

 

540

 

 

579,150

 

Little Traverse Bay Bands of Odawa Indians,
9.00%, 8/31/20 (a)

 

 

357

 

 

294,525

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

720

 

 

806,400

 

11.13%, 11/15/17

 

 

750

 

 

864,375

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (c)(d)

 

 

220

 

 

22

 

 

 

 

 

 




 

 

 

 

 

 

2,846,797

 









Household Durables — 1.6%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

1,000

 

 

1,162,500

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

 

900

 

 

975,375

 

Standard Pacific Corp. (a):

 

 

 

 

 

 

 

8.38%, 5/15/18

 

 

410

 

 

434,600

 

8.38%, 1/15/21

 

 

1,170

 

 

1,234,350

 

 

 

 

 

 




 

 

 

 

 

 

3,806,825

 









IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

8.25%, 1/15/21

 

 

561

 

 

558,195

 

12.63%, 1/15/21

 

 

333

 

 

348,818

 

 

 

 

 

 




 

 

 

 

 

 

907,013

 









Independent Power Producers &
Energy Traders — 3.1%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (a)

 

 

1,600

 

 

1,736,000

 

Calpine Corp., 7.50%, 2/15/21 (a)

 

 

495

 

 

506,137

 

Energy Future Holdings Corp., 10.00%, 1/15/20 (a)

 

 

1,065

 

 

1,109,040

 

Energy Future Intermediate Holding Co. LLC, 10.00%,
12/01/20

 

 

2,135

 

 

2,228,624

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.63%, 1/15/18 (a)

 

 

1,580

 

 

1,645,175

 

8.50%, 6/15/19

 

 

165

 

 

175,725

 

 

 

 

 

 




 

 

 

 

 

 

7,400,701

 









Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,430

 

 

1,551,550

 

13.50%, 12/01/15 (f)

 

 

1,930

 

 

2,137,450

 

 

 

 

 

 




 

 

 

 

 

 

3,689,000

 









Insurance — 0.5%

 

 

 

 

 

 

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (a)

 

 

1,036

 

 

1,103,340

 









Machinery — 0.7%

 

 

 

 

 

 

 

Navistar International Corp., 8.25%, 11/01/21

 

 

960

 

 

1,063,200

 

Titan International, Inc., 7.88%, 10/01/17 (a)

 

 

490

 

 

524,300

 

 

 

 

 

 




 

 

 

 

 

 

1,587,500

 









Media — 6.2%

 

 

 

 

 

 

 

CCO Holdings LLC, 7.88%, 4/30/18

 

 

1,075

 

 

1,147,562

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

390

 

 

436,800

 

Checkout Holding Corp., 10.64%, 11/15/15 (a)(h)

 

 

745

 

 

480,525

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

340

 

 

377,400

 

Series B, 9.25%, 12/15/17

 

 

4,326

 

 

4,812,675

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

850

 

 

913,750

 

6.63%, 10/01/14

 

 

750

 

 

795,000

 


See Notes to Financial Statements.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

53



************

 

 


 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

Interactive Data Corp., 10.25%, 8/01/18 (a)

 

$

900

 

$

1,008,000

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (a)

 

 

530

 

 

569,750

 

Nielsen Finance LLC, 11.63%, 2/01/14

 

 

636

 

 

747,300

 

ProQuest LLC, 9.00%, 10/15/18 (a)

 

 

220

 

 

227,700

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

290

 

 

310,300

 

UPC Germany GmbH, 8.13%, 12/01/17 (a)

 

 

1,500

 

 

1,608,750

 

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

 

 

1,250

 

 

1,368,750

 

 

 

 

 

 




 

 

 

 

 

 

14,804,262

 









Metals & Mining — 1.6%

 

 

 

 

 

 

 

Drummond Co., Inc., 9.00%, 10/15/14 (a)

 

 

553

 

 

590,327

 

FMG Resources August 2006 Pty Ltd., 7.00%,
11/01/15 (a)

 

 

1,080

 

 

1,120,500

 

Novelis, Inc., 8.75%, 12/15/20 (a)

 

 

2,015

 

 

2,221,537

 

RathGibson, Inc., 11.25%, 2/15/14 (c)(d)

 

 

2,175

 

 

218

 

 

 

 

 

 




 

 

 

 

 

 

3,932,582

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (f)

 

 

948

 

 

1,096,125

 









Oil, Gas & Consumable Fuels — 4.4%

 

 

 

 

 

 

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

1,382

 

 

1,451,100

 

6.13%, 2/15/21

 

 

775

 

 

790,500

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (a)

 

 

240

 

 

261,600

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

900

 

 

992,250

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

55

 

 

60,637

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

 

520

 

 

590,200

 

8.25%, 2/15/20

 

 

351

 

 

390,487

 

6.38%, 8/15/21

 

 

295

 

 

297,950

 

El Paso Corp., 7.00%, 6/15/17

 

 

825

 

 

921,706

 

Energy Transfer Equity LP, 7.50%, 10/15/20

 

 

125

 

 

135,469

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

280

 

 

311,500

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (a)

 

 

1,140

 

 

1,202,700

 

Linn Energy LLC (a):

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

580

 

 

646,700

 

7.75%, 2/01/21

 

 

590

 

 

626,875

 

Niska Gas Storage US LLC, 8.88%, 3/15/18 (a)

 

 

815

 

 

888,350

 

Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)

 

 

190

 

 

192,850

 

Petrohawk Energy Corp., 7.25%, 8/15/18

 

 

450

 

 

465,750

 

United Refining Co., 10.50%, 2/28/18 (a)(i)

 

 

210

 

 

207,900

 

 

 

 

 

 




 

 

 

 

 

 

10,434,524

 









Paper & Forest Products — 1.9%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(f)

 

 

1,390

 

 

1,410,929

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

365

 

 

417,012

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (a)

 

 

1,630

 

 

1,837,825

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

315

 

 

347,288

 

Series B, 4.05%, 8/01/14 (b)

 

 

485

 

 

482,575

 

 

 

 

 

 




 

 

 

 

 

 

4,495,629

 









Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.06%, 12/01/13 (b)

 

 

810

 

 

680,400

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.75%, 10/01/17

 

 

165

 

 

170,775

 

7.00%, 10/01/20

 

 

210

 

 

217,088

 

 

 

 

 

 




 

 

 

 

 

 

1,068,263

 









Professional Services — 0.1%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20 (a)

 

 

295

 

 

295,000

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/20

 

$

530

 

$

561,800

 

6.75%, 10/15/22 (a)

 

 

235

 

 

237,350

 

 

 

 

 

 




 

 

 

 

 

 

799,150

 









Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

185

 

 

196,331

 

Florida East Coast Railway Corp., 8.13%,
2/01/17 (a)

 

 

200

 

 

209,000

 

The Hertz Corp. (a):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

915

 

 

968,757

 

6.75%, 4/15/19

 

 

375

 

 

382,500

 

7.38%, 1/15/21

 

 

425

 

 

444,125

 

 

 

 

 

 




 

 

 

 

 

 

2,200,713

 









Specialty Retail — 0.4%

 

 

 

 

 

 

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

845

 

 

872,463

 









Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., 7.75%, 11/15/23

 

 

215

 

 

236,787

 









Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

 

 

176

 

 

182,600

 









Wireless Telecommunication Services — 2.7%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

90

 

 

99,225

 

7.75%, 5/15/16

 

 

1,770

 

 

1,871,775

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

12.00%, 4/01/14

 

 

800

 

 

938,000

 

8.25%, 9/01/17

 

 

270

 

 

282,150

 

Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (a)

 

 

505

 

 

518,888

 

Nextel Communications, Inc., Series E, 6.88%,
10/31/13

 

 

415

 

 

418,372

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

325

 

 

344,906

 

6.88%, 11/15/28

 

 

2,310

 

 

2,081,887

 

 

 

 

 

 




 

 

 

 

 

 

6,555,203

 









Total Corporate Bonds — 55.3%

 

 

 

 

 

132,063,995

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 









Aerospace & Defense — 1.0%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked Deposit, 0.20%,
3/26/14

 

 

44

 

 

39,720

 

Term Loan, 2.26% – 2.30%, 3/26/14

 

 

744

 

 

664,785

 

TASC, Inc., Tranche B Term Loan, 5.75%, 12/18/15

 

 

871

 

 

870,966

 

TransDigm, Inc., Term Loan (First Lien), 5.25%, 2/14/17

 

 

750

 

 

754,477

 

 

 

 

 

 




 

 

 

 

 

 

2,329,948

 









Airlines — 0.5%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit-Linked Deposit Loan,
0.11% – 2.26%, 4/30/12

 

 

1,213

 

 

1,203,406

 









Auto Components — 0.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.02%, 8/07/14

 

 

1,203

 

 

1,198,374

 

Armored Auto Group, Inc. (FKA Viking Acquisition, Inc.),
Term Loan, 6.00%, 11/02/16

 

 

815

 

 

819,075

 

 

 

 

 

 




 

 

 

 

 

 

2,017,449

 









Automobiles — 0.6%

 

 

 

 

 

 

 

Ford Motor Co.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 3.02%, 12/15/13

 

 

1,281

 

 

1,280,616

 

Tranche B-2 Term Loan, 3.02%, 12/15/13

 

 

141

 

 

140,834

 

 

 

 

 

 




 

 

 

 

 

 

1,421,450

 










 

 

 

See Notes to Financial Statements.


54

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 







Biotechnology — 0.3%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%, 10/01/16

 

$

710

 

$

718,284

 









Building Products — 1.3%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan B, 6.00%,
2/03/17

 

 

600

 

 

601,878

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien), 5.75%, 10/13/16

 

 

1,746

 

 

1,758,445

 

Term Loan (Second Lien), 9.00%, 10/13/17

 

 

600

 

 

618,375

 

 

 

 

 

 




 

 

 

 

 

 

2,978,698

 









Capital Markets — 1.0%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan, 6.25%,
12/17/16

 

 

988

 

 

992,438

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Term Loan, 5.80% – 5.81%, 5/13/17

 

 

754

 

 

751,547

 

Term Loan (First Lien), 3.30%, 11/13/14

 

 

646

 

 

625,986

 

 

 

 

 

 




 

 

 

 

 

 

2,369,971

 









Chemicals — 4.6%

 

 

 

 

 

 

 

AZ Chem US, Inc., Term Loan B, 6.75%, 11/18/16

 

 

594

 

 

599,677

 

CF Industries, Inc., Term Loan B-1, 4.25%, 4/05/15

 

 

88

 

 

88,000

 

Chemtura Corp., Exit Term Loan, 5.50%, 8/16/16

 

 

800

 

 

806,334

 

General Chemical Corp., Tranche B Term Loan,
6.75% – 7.25%, 9/30/15

 

 

1,397

 

 

1,417,448

 

Nexeo Solutions LLC, Term Loan B, 5.00%, 8/31/17

 

 

600

 

 

601,750

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term
Facility (First Lien), 3.52% – 3.56%, 7/30/14

 

 

1,671

 

 

1,644,131

 

Solutia, Inc., Term Loan, 4.50%, 3/17/17

 

 

845

 

 

845,502

 

Styron Sarl, Term Loan B, 6.00%, 7/27/17

 

 

1,600

 

 

1,614,400

 

Tronox Worldwide LLC, Exit Term Loan, 7.00%,
12/24/15

 

 

2,080

 

 

2,097,326

 

Univar, Inc., Term Loan B, 5.00%, 6/30/17

 

 

1,300

 

 

1,304,469

 

 

 

 

 

 




 

 

 

 

 

 

11,019,037

 









Commercial Banks — 0.5%

 

 

 

 

 

 

 

CIT Group, Inc., Tranche 3 Term Loan, 6.25%, 8/11/15

 

 

1,213

 

 

1,227,908

 









Commercial Services & Supplies — 2.4%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit — 1 Facility, 0.11%, 1/26/14

 

 

17

 

 

16,503

 

Letter of Credit — 2 Facility, 0.11%, 7/26/16

 

 

19

 

 

18,704

 

US Term Loan, 2.18%, 1/26/14

 

 

205

 

 

204,864

 

US Term Loan B, 3.55%, 7/26/16

 

 

284

 

 

284,402

 

AWAS Finance Luxembourg Sarl, Term Loan B,
7.75%, 6/10/16

 

 

428

 

 

438,989

 

Altegrity, Inc. (FKA US Investigations Services, Inc.),
Tranche D Term Loan, 7.75%, 2/21/15

 

 

1,493

 

 

1,522,350

 

Casella Waste Systems, Inc., Term Loan B, 7.00%,
4/09/14

 

 

217

 

 

216,700

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

1,075

 

 

1,084,214

 

Quad/Graphics, Inc., Term Loan, 5.50%, 4/20/16

 

 

498

 

 

495,220

 

Synagro Technologies, Inc., Term Loan (First Lien),
2.27%, 4/02/14

 

 

552

 

 

513,664

 

Volume Services America, Inc. (Centerplate),

 

 

 

 

 

 

 

Term Loan B, 10.50% – 10.75%, 8/24/16

 

 

998

 

 

1,007,056

 

 

 

 

 

 




 

 

 

 

 

 

5,802,666

 









Communications Equipment — 1.3%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.03%, 10/24/14

 

 

967

 

 

937,172

 

Term Loan B-3, 4.81%, 10/24/17

 

 

1,550

 

 

1,518,081

 

CommScope, Inc., Term Loan B, 5.00%, 1/06/18

 

 

750

 

 

760,937

 

 

 

 

 

 




 

 

 

 

 

 

3,216,190

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 







Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Brand Energy & Infrastructure Services, Inc.

 

 

 

 

 

 

 

(FR Brand Acquisition Corp.), Synthetic Letter of

 

 

 

 

 

 

 

Credit, Term Loan (First Lien), 0.19%, 2/07/14

 

$

500

 

$

489,792

 

Safway Services, LLC, First Out Tranche Loan,
9.00%, 12/18/17

 

 

1,500

 

 

1,500,000

 

 

 

 

 

 




 

 

 

 

 

 

1,989,792

 









Construction Materials — 0.1%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Tranche B Term Loan,
6.25% – 6.75%, 8/05/16

 

 

333

 

 

336,407

 









Consumer Finance — 1.5%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS

 

 

 

 

 

 

 

Funding Co.), Term Loan, 7.25%, 4/21/15

 

 

3,500

 

 

3,531,150

 









Containers & Packaging — 0.6%

 

 

 

 

 

 

 

Anchor Glass Container Corp., Term Loan (First Lien),
6.00%, 3/02/16

 

 

142

 

 

142,828

 

Berry Plastics Holding Corp., Term Loan C,
2.29% – 2.31%, 4/03/15

 

 

494

 

 

479,810

 

Graham Packaging Co., LP, Term Loan D, 6.00%,
9/16/16

 

 

898

 

 

904,644

 

 

 

 

 

 




 

 

 

 

 

 

1,527,282

 









Diversified Consumer Services — 2.7%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.26% – 3.31%,
11/14/14

 

 

2,188

 

 

2,051,222

 

Laureate Education:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 3.55%, 8/15/14

 

 

111

 

 

108,368

 

Series A New Term Loan, 7.00%, 8/15/14

 

 

2,080

 

 

2,092,460

 

Term Loan B, 3.55%, 8/17/14

 

 

739

 

 

723,836

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan, 2.76% – 2.81%,
7/24/14

 

 

1,398

 

 

1,376,509

 

Delayed Draw Term Loan, 2.77%, 7/24/14

 

 

139

 

 

137,080

 

 

 

 

 

 




 

 

 

 

 

 

6,489,475

 









Diversified Financial Services — 0.7%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc., Term Loan E, 4.25%,
2/09/18

 

 

1,550

 

 

1,558,072

 









Diversified Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc., Term Loan,
9.00%, 10/28/15

 

 

850

 

 

864,521

 

Integra Telecom Holdings, Inc., Term Loan, 9.25%,
4/15/15

 

 

920

 

 

931,419

 

Level 3 Financing, Inc., Tranche A Incremental
Term Loan, 2.55%, 3/13/14

 

 

1,350

 

 

1,316,250

 

 

 

 

 

 




 

 

 

 

 

 

3,112,190

 









Electric Utilities — 0.7%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan, 7.00%,
7/03/17

 

 

1,728

 

 

1,744,550

 









Electronic Equipment, Instruments &
Components — 0.9%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Term Loan, 4.26%, 10/10/14

 

 

1,195

 

 

1,192,345

 

Term Loan B, 5.26%, 7/15/17

 

 

959

 

 

959,194

 

 

 

 

 

 




 

 

 

 

 

 

2,151,539

 









Energy Equipment & Services — 0.4%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term Loan, 6.00%,
4/03/16

 

 

837

 

 

844,870

 









Food & Staples Retailing — 1.1%

 

 

 

 

 

 

 

Pilot Travel Centers LLC, Initial Tranche B Term Loan,
5.25%, 6/30/16

 

 

1,073

 

 

1,082,057

 

U.S. Foodservice, Inc., Term Loan B, 2.76%,
7/03/14

 

 

1,532

 

 

1,478,742

 

 

 

 

 

 




 

 

 

 

 

 

2,560,799

 










 

 

 

 

See Notes to Financial Statements.

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

55




 

 


 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 







Food Products — 3.6%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
7.00%, 9/29/16

 

$

2,359

 

$

2,375,306

 

Del Monte Corp., Term Loan B, 4.50%, 2/01/18

 

 

2,650

 

 

2,666,563

 

Green Mountain Coffee Roasters, Inc., Term B
Facility, 5.50%, 11/09/16

 

 

700

 

 

704,594

 

Michaels Foods Group, Inc. (FKA M-Foods
Holdings, Inc.), Term Loan B, 4.25%, 2/25/18

 

 

587

 

 

592,135

 

Pinnacle Foods Finance LLC, Tranche D Term Loan,
6.00%, 4/02/14

 

 

800

 

 

805,952

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 5.00% – 5.50%,
3/02/17

 

 

434

 

 

437,295

 

Tranche C-1 Term Loan, 5.00% – 5.50%,
3/02/17

 

 

1,076

 

 

1,083,066

 

 

 

 

 

 




 

 

 

 

 

 

8,664,911

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC), Term Loan, 3.26%, 5/20/14

 

 

800

 

 

793,822

 









Health Care Providers & Services — 5.1%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Extended Term Loan, 3.76% – 3.81%, 1/25/17

 

 

836

 

 

837,726

 

Non-Extended Delayed Draw Term Loan,
2.51% – 2.56%, 7/25/14

 

 

76

 

 

75,134

 

Non-Extended Term Loan, 2.51% – 2.56%,
7/25/14

 

 

1,443

 

 

1,431,229

 

ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/20/16

 

 

700

 

 

703,208

 

DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16

 

 

1,100

 

 

1,107,850

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan, 1.55%, 11/16/12

 

 

2,395

 

 

2,381,572

 

Tranche B-1 Term Loan, 2.55%, 11/18/13

 

 

125

 

 

124,583

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

1,330

 

 

1,303,400

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

360

 

 

352,889

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

2,115

 

 

2,123,938

 

Renal Advantage Holdings, Inc., Tranche B Term Loan,
5.75%, 12/03/16

 

 

700

 

 

709,625

 

Vanguard Health Holding Co. II, LLC
(Vanguard Health Systems, Inc.), Initial Term Loan,
5.00%, 1/29/16

 

 

962

 

 

968,676

 

 

 

 

 

 




 

 

 

 

 

 

12,119,830

 









Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar Term Loan, 5.25%,
2/26/16

 

 

1,454

 

 

1,466,503

 

MedAssets, Inc., Term Loan B, 5.25%, 11/15/16

 

 

900

 

 

906,750

 

 

 

 

 

 




 

 

 

 

 

 

2,373,253

 









Hotels, Restaurants & Leisure — 5.2%

 

 

 

 

 

 

 

Blackstone UTP Capital LLC, Loan, 7.75%, 11/06/14

 

 

1,238

 

 

1,262,250

 

Dunkin’ Brands, Inc., Term Loan B-1, 4.25%,
11/09/17

 

 

1,300

 

 

1,308,930

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-2, 3.30%, 1/28/15

 

 

265

 

 

245,504

 

Term Loan B-3, 3.30%, 1/28/15

 

 

3,766

 

 

3,496,785

 

Term Loan B-4, 9.50%, 10/31/16

 

 

638

 

 

675,573

 

Seaworld Parks & Entertainment, Inc.
(FKA SW Acquisitions Co., Inc.), Term B Loan,
4.00%, 8/17/17

 

 

1,436

 

 

1,439,138

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 5.50%, 6/30/16

 

 

1,838

 

 

1,858,993

 

Travelport LLC (FKA Travelport, Inc.), Extended
Delayed Draw Term Loan, 4.96%, 8/21/15

 

 

249

 

 

242,107

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 







Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

VML US Finance LLC (FKA Venetian Macau):

 

 

 

 

 

 

 

New Project Term Loan, 4.79%, 5/27/13

 

$

822

 

$

821,656

 

Term B Delayed Draw Project Loan, 4.79%,
5/25/12

 

 

541

 

 

541,739

 

Term B Funded Project Loan, 4.79%, 5/27/13

 

 

581

 

 

581,749

 

 

 

 

 

 




 

 

 

 

 

 

12,474,424

 









Household Durables — 0.9%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens):

 

 

 

 

 

 

 

Term Loan, 7.00%, 12/20/16

 

 

1,202

 

 

1,212,745

 

Tranche B Term Loan, 5.25%, 12/22/16

 

 

950

 

 

950,000

 

 

 

 

 

 




 

 

 

 

 

 

2,162,745

 









IT Services — 3.6%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan, 3.26%, 11/09/14

 

 

1,560

 

 

1,536,366

 

EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16

 

 

348

 

 

351,360

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

1,085

 

 

1,027,175

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

1,905

 

 

1,803,997

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

1,564

 

 

1,480,587

 

SunGard Data Systems, Inc. (Solar Capital Corp.),
Tranche B US Term Loan, 3.91% – 3.94%, 2/28/16

 

 

402

 

 

402,914

 

TransUnion LLC, Term Loan, 4.75%, 2/03/18

 

 

1,964

 

 

1,975,244

 

 

 

 

 

 




 

 

 

 

 

 

8,577,643

 









Independent Power Producers &
Energy Traders — 0.3%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

479

 

 

403,562

 

Initial Tranche B-3 Term Loan, 3.76% – 3.80%,
10/10/14

 

 

225

 

 

188,978

 

 

 

 

 

 




 

 

 

 

 

 

592,540

 









Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.56%, 12/03/14

 

 

475

 

 

469,756

 

Tomkins Plc, Term Loan A, 4.25%, 9/16/16

 

 

1,233

 

 

1,243,489

 

 

 

 

 

 




 

 

 

 

 

 

1,713,245

 









Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14

 

 

536

 

 

537,258

 









Media — 10.9%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%, 2/03/18

 

 

900

 

 

906,750

 

Affinion Group Holdings, Inc., Tranche B Term Loan,
5.00%, 10/09/16

 

 

744

 

 

748,097

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.55%, 7/03/14

 

 

2,743

 

 

2,639,367

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

675

 

 

677,719

 

Charter Communications Operating, LLC:

 

 

 

 

 

 

 

Term Loan B-1, 7.25%, 3/06/14

 

 

352

 

 

355,122

 

Term Loan C, 3.56%, 9/06/16

 

 

2,232

 

 

2,237,356

 

Ellis Communications KDOC, LLC, Loan, 10.00%,
12/30/11

 

 

3,879

 

 

1,454,482

 

Getty Images, Inc., Initial Term Loan B, 5.25%,
10/29/16

 

 

1,496

 

 

1,514,486

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
6.01%, 6/12/14

 

 

1,366

 

 

1,297,159

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings Ltd.), Tranche B Term Loan, 5.25%,
3/07/18

 

 

4,250

 

 

4,278,556

 

Interactive Data Corp., Term Loan, 4.75%, 2/08/18

 

 

900

 

 

907,393

 

Mediacom Illinois, LLC (FKA Mediacom
Communications, LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

 

494

 

 

496,836

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

3,250

 

 

3,455,156

 


 

 

 

See Notes to Financial Statements.


56

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

Sinclair Television Group, Inc., New Tranche B Term
Loan, 5.50%, 10/29/15

 

$

1,011

 

$

1,022,094

 

Sunshine Acquisition Ltd. (FKA HIT Entertainment),
Term Facility, 5.56%, 6/01/12

 

 

965

 

 

944,551

 

UPC Financing Partnership, Facility Term Loan,
3.76%, 12/30/16

 

 

425

 

 

425,351

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.51%, 3/31/17

 

 

1,289

 

 

1,253,563

 

Weather Channel, Term Loan B, 4.25%, 2/01/17

 

 

900

 

 

908,325

 

Yell Group Plc/Yell Finance (UK) Ltd., Facility A3,
2.76%, 8/09/11

 

 

633

 

 

613,828

 

 

 

 

 

 




 

 

 

 

 

 

26,136,191

 









Metals & Mining — 1.4%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

 

858

 

 

825,558

 

14.00%, 6/29/13

 

 

835

 

 

803,781

 

Novelis Corp., Term Loan B, 5.25%, 12/01/16

 

 

1,650

 

 

1,669,447

 

 

 

 

 

 




 

 

 

 

 

 

3,298,786

 









Multi-Utilities — 0.2%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit, 0.16%, 11/01/13

 

 

7

 

 

7,145

 

Term B Advance (First Lien), 2.81%, 11/01/13

 

 

354

 

 

351,398

 

 

 

 

 

 




 

 

 

 

 

 

358,543

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2 Term Loan, 3.01%,
7/07/14

 

 

598

 

 

597,878

 

The Neiman Marcus Group, Inc., Tranche B-2 Term
Loan, 4.30%, 4/06/16

 

 

504

 

 

506,297

 

 

 

 

 

 




 

 

 

 

 

 

1,104,175

 









Personal Products — 0.7%

 

 

 

 

 

 

 

NBTY, Inc., Term Loan B:

 

 

 

 

 

 

 

6.25%, 9/20/17

 

 

700

 

 

707,146

 

4.75%, 10/01/17

 

 

875

 

 

875,000

 

 

 

 

 

 




 

 

 

 

 

 

1,582,146

 









Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., Term Loan,
5.50%, 2/03/17

 

 

633

 

 

634,917

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan C-3, 6.25%, 4/30/15

 

 

358

 

 

360,754

 

Term Loan A, 6.00%, 10/30/14

 

 

362

 

 

362,083

 

Term Loan B, 6.25%, 4/30/15

 

 

148

 

 

148,723

 

Term Loan B-2, 6.25%, 4/30/15

 

 

245

 

 

245,935

 

Term Loan B-3, 6.50%, 2/20/16

 

 

115

 

 

116,284

 

 

 

 

 

 




 

 

 

 

 

 

1,868,696

 









Professional Services — 0.9%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche B Term Loan,
4.00%, 8/01/17

 

 

1,100

 

 

1,110,450

 

Fifth Third Processing Solutions, LLC, Term Loan B
(First Lien), 5.50%, 10/21/16

 

 

1,100

 

 

1,108,525

 

 

 

 

 

 




 

 

 

 

 

 

2,218,975

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
1.76%, 6/28/11

 

 

225

 

 

221,906

 









Real Estate Management & Development — 1.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan, 0.11%,
10/16/16

 

 

1,382

 

 

1,325,145

 

Extended Term Loan B, 4.56%, 10/10/16

 

 

1,643

 

 

1,575,336

 

 

 

 

 

 




 

 

 

 

 

 

2,900,481

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 







Semiconductors & Semiconductor
Equipment — 0.5%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Term Loan B,
4.51%, 12/01/16

 

$

387

 

$

386,726

 

Microsemi Corp., Term Loan B, 5.00%, 10/25/17

 

 

700

 

 

701,750

 

 

 

 

 

 




 

 

 

 

 

 

1,088,476

 









Software — 0.2%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term Loan, 6.75%,
4/30/16

 

 

546

 

 

548,946

 









Specialty Retail — 2.6%

 

 

 

 

 

 

 

Burlington Coat Factory Warehouse Corp., Term
Loan B, 6.25%, 2/18/17

 

 

800

 

 

802,666

 

Gymboree Corp., Term Loan B, 5.00%, 2/11/18

 

 

600

 

 

601,800

 

J. Crew Group, Inc., Term Loan B, 5.25%, 2/01/18

 

 

1,100

 

 

1,100,000

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.56% – 2.63%, 10/31/13

 

 

239

 

 

238,280

 

Term Loan B-2, 4.81% – 4.88%, 7/31/16

 

 

739

 

 

744,696

 

Petco Animal Supplies, Inc., Term Loan B, 4.75%,
11/24/17

 

 

1,535

 

 

1,535,000

 

Toys ‘R’ US Delaware, Inc., Initial Loan, 6.00%,
8/17/16

 

 

1,119

 

 

1,127,596

 

 

 

 

 

 




 

 

 

 

 

 

6,150,038

 









Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Philips Van Huesen Corp., US Tranche B Term Loan,
5.25%, 5/06/16

 

 

685

 

 

688,527

 









Wireless Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Digicel International Finance Ltd., US Term Loan
(Non-Rollover), 2.81%, 3/30/12

 

 

1,314

 

 

1,297,461

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

2,847

 

 

2,946,808

 

 

 

 

 

 




 

 

 

 

 

 

4,244,269

 









Total Floating Rate Loan Interests — 68.1%

 

 

 

 

 

162,570,959

 









 

 

 

 

 

 

 


 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000
)

 

 

 

 








Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A

 

 

320

 

 

3

 









Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred Equity Interests (k)

 

 

(l)

 

951,244

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Preferred Escrow

 

 

3

 

 

 

Adelphia Recovery Trust, Series ACC-6B INT

 

 

250

 

 

2

 

 

 

 

 

 




 

 

 

 

 

 

2

 









Metals & Mining — 0.5%

 

 

 

 

 

 

 

RathGibson Acquisition Corp., LLC (k)

 

 

137

 

 

1,174,574

 









Total Other Interests — 0.9%

 

 

 

 

 

2,125,823

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (m)

 

Shares

 

 

 

 








 

 

 

 

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

Charter Communications, Inc. (Expires 11/30/14)

 

 

6,862

 

 

61,758

 









Total Warrants — 0.0%

 

 

 

 

 

61,758

 









Total Long-Term Investments
(Cost — $312,332,944) — 128.1%

 

 

 

 

 

305,746,575

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

FEBRUARY 28, 2011

57




 

 


 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

Value

 







Bank of New York Cash Reserves, 0.01% (n)

 

$

2,001

 

$

2,001,455

 










 

 

 

 

 

 

 

 

 

 

Shares

 

 

 







BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.15% (n)(o)

 

 

270,650

 

 

270,650

 









Total Short-Term Securities
(Cost — $2,272,105) — 0.1%

 

 

 

 

 

2,272,105

 









Total Investments (Cost — $314,605,049*) — 128.2%

 

 

 

 

 

308,018,680

 

Liabilities in Excess of Other Assets — (28.2)%

 

 

 

 

 

(69,258,260

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

238,760,420

 

 

 

 

 

 




 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes were as follows:


 

 

 

 

 

Aggregate cost

 

$

313,384,900

 

 

 




Gross unrealized appreciation

 

$

15,846,098

 

Gross unrealized depreciation

 

 

(21,212,318

)

 

 




Net unrealized depreciation

 

$

(5,366,220

)

 

 





 

 

(a)

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

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

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.

 

 

(f)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(g)

Convertible security.

 

 

(h)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(i)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation

 







Credit Suisse

 

$

207,900

 

$

5,368

 










 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

The investment is held by a wholly-owned taxable subsidiary of the Fund.

 

 

(l)

Amount is less than $1,000.

 

 

(m)

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, if any.

 

 

(n)

Represents the current yield as of report date.

 

 

(o)

Investments in companies considered to be an affiliate of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 











BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

1,938,484

 

 

(1,667,834

)

 

270,650

 

$

5,351

 
















 

 

Foreign currency exchange contracts as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Depreciation

 











USD                    671,195

 

 

CAD

 

665,500

 

 

Citibank NA

 

 

4/14/11

 

$

(13,117

)


















 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 













K. Hovnanian Enterprises, Inc.

 

 

5.00

%

 

Goldman Sachs
International

 

 

12/20/11

 

$

460

 

$

(20,976

)

K. Hovnanian Enterprises, Inc.

 

 

5.00

%

 

Goldman Sachs
International

 

 

9/20/13

 

$

200

 

 

(31,175

)


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(52,151

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

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 rating group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes 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 and derivatives)

 

 

 

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 derivatives and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

See Notes to Financial Statements.

 

 




58

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (concluded)

BlackRock Senior High Income Fund, Inc. (ARK)

The following tables summarize the inputs used as of February 28, 2011 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

1,630,255

 

$

3,467,413

 

$

5,097,668

 

Common Stocks

 

$

1,752,470

 

 

1,640,569

 

 

433,333

 

 

3,826,372

 

Corporate Bonds

 

 

 

 

125,454,839

 

 

6,609,156

 

 

132,063,995

 

Floating Rate Loan Interests

 

 

 

 

143,885,523

 

 

18,685,436

 

 

162,570,959

 

Other Interests

 

 

 

 

 

 

2,125,823

 

 

2,125,823

 

Warrants

 

 

61,758

 

 

 

 

 

 

61,758

 

Short-Term Securities

 

 

270,650

 

 

2,001,455

 

 

 

 

2,272,105

 

Unfunded Loan Commitments

 

 

 

 

16,218

 

 

 

 

16,218

 

 

 













Total

 

$

2,084,878

 

$

274,628,859

 

$

31,321,161

 

$

308,034,898

 

 

 














 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

(52,151

)

 

 

$

(52,151

)

Foreign currency exchange contracts

 

 

 

 

(13,117

)

 

 

 

(13,117

)

 

 













Total

 

 

 

$

(65,268

)

 

 

$

(65,268

)

 

 














 

 

1

Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Total

 















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

 

 

$

179,112

 

$

8,012,790

 

$

17,012,972

 

$

1,066,529

 

$

26,271,403

 

Accrued discounts/premiums

 

$

5,638

 

 

 

 

157,976

 

 

145,179

 

 

 

 

308,793

 

Net realized gain (loss)

 

 

 

 

 

 

(1,232,710

)

 

(764,108

)

 

140,206

 

 

(1,856,612

)

Net change in unrealized appreciation/depreciation2

 

 

106,112

 

 

(133,322

)

 

2,058,119

 

 

845,778

 

 

(233,736

)

 

2,642,951

 

Purchases

 

 

3,355,663

 

 

749,657

 

 

410,284

 

 

13,234,580

 

 

 

 

17,750,184

 

Sales

 

 

 

 

 

 

(2,797,325

)

 

(10,166,063

)

 

(200,295

)

 

(13,163,683

)

Transfers in3

 

 

 

 

 

 

22

 

 

1,876,078

 

 

1,353,119

 

 

3,229,219

 

Transfers out3

 

 

 

 

(362,114

)

 

 

 

(3,498,980

)

 

 

 

(3,861,094

)

 

 



















Balance, as of February 28, 2011

 

$

3,467,413

 

$

433,333

 

$

6,609,156

 

$

18,685,436

 

$

2,125,823

 

$

31,321,161

 

 

 




















 

 

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, 2011 was $637,378.

 

 

3

The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer.


 

 

 

 

See Notes to Financial Statements.

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

59




 


 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2011

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

BlackRock
Corporate
High Yield
Fund III, Inc.
(CYE)

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

BlackRock
Floating
Rate Income
Strategies
Fund II, Inc.
(FRB)

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 













Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investments at value — unaffiliated1

 

$

312,440,582

 

$

364,514,169

 

$

603,738,029

 

$

207,594,045

 

$

307,748,030

 

Investments at value — affiliated2

 

 

1,721,866

 

 

1,845,167

 

 

436,377

 

 

2,714,267

 

 

270,650

 

Unrealized appreciation on swaps

 

 

258,038

 

 

275,289

 

 

 

 

 

 

 

Unrealized appreciation on foreign currency exchange contracts

 

 

889

 

 

 

 

30,829

 

 

3,748

 

 

 

Unrealized appreciation on unfunded loan commitments

 

 

 

 

2,704

 

 

37,225

 

 

35,489

 

 

16,218

 

Foreign currency at value3

 

 

109,806

 

 

67,653

 

 

111,649

 

 

134,947

 

 

101,727

 

Cash

 

 

 

 

351,653

 

 

 

 

 

 

 

Cash pledged as collateral for financial futures contracts

 

 

510,000

 

 

565,000

 

 

 

 

 

 

 

Interest receivable

 

 

5,622,299

 

 

6,231,204

 

 

7,124,250

 

 

1,403,076

 

 

3,268,318

 

Investments sold receivable

 

 

4,247,848

 

 

4,847,418

 

 

7,787,688

 

 

5,231,700

 

 

2,807,533

 

Receivable from custodian

 

 

 

 

 

 

 

 

 

 

602,027

 

Swap premiums paid

 

 

956,294

 

 

898,154

 

 

63,009

 

 

 

 

45,480

 

Swaps receivable

 

 

67,065

 

 

70,753

 

 

 

 

 

 

 

Dividends receivable

 

 

35,701

 

 

65,235

 

 

56,337

 

 

 

 

 

Principal paydowns receivable

 

 

 

 

 

 

378,055

 

 

122,724

 

 

 

Commitment fees receivable

 

 

 

 

97

 

 

1,385

 

 

1,043

 

 

573

 

Prepaid expenses

 

 

16,056

 

 

17,791

 

 

30,038

 

 

9,232

 

 

15,317

 

Other assets

 

 

5,843

 

 

7,935

 

 

474,535

 

 

 

 

8,967

 

 

 
















Total assets

 

 

325,992,287

 

 

379,760,222

 

 

620,269,406

 

 

217,250,271

 

 

314,884,840

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Loan payable

 

 

63,000,000

 

 

91,000,000

 

 

117,000,000

 

 

36,000,000

 

 

50,000,000

 

Unrealized depreciation on swaps

 

 

630,730

 

 

542,063

 

 

77,957

 

 

 

 

52,151

 

Unrealized depreciation on foreign currency exchange contracts

 

 

156,373

 

 

155,852

 

 

455,164

 

 

173,001

 

 

13,117

 

Unrealized depreciation on unfunded loan commitments

 

 

11,592

 

 

25,965

 

 

 

 

5,523

 

 

 

Cash held as collateral for swaps

 

 

100,000

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

299,961

 

 

 

 

 

 

406,865

 

 

 

Investments purchased payable

 

 

2,662,408

 

 

4,404,070

 

 

40,383,841

 

 

31,695,585

 

 

25,576,712

 

Swap premiums received

 

 

650,305

 

 

694,216

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

122,562

 

 

170,608

 

 

268,205

 

 

109,037

 

 

111,440

 

Interest expense payable

 

 

119,244

 

 

167,561

 

 

243,004

 

 

80,388

 

 

111,053

 

Income dividends payable

 

 

93,384

 

 

80,481

 

 

196,831

 

 

 

 

121,151

 

Swaps payable

 

 

71,315

 

 

60,222

 

 

10,897

 

 

 

 

14,850

 

Margin variation payable

 

 

33,945

 

 

37,960

 

 

 

 

 

 

 

Other affiliates payable

 

 

1,404

 

 

1,572

 

 

2,511

 

 

820

 

 

1,278

 

Officer’s and Directors’ fees payable

 

 

683

 

 

744

 

 

80,472

 

 

397

 

 

770

 

Deferred income

 

 

 

 

1,662

 

 

63,797

 

 

62,507

 

 

26,800

 

Other accrued expenses payable

 

 

127,155

 

 

128,067

 

 

239,536

 

 

109,912

 

 

95,098

 

Other liabilities

 

 

2,000

 

 

30,652

 

 

 

 

54,550

 

 

 

 

 
















Total liabilities

 

 

68,083,061

 

 

97,501,695

 

 

159,022,215

 

 

68,698,585

 

 

76,124,420

 

 

 
















Net Assets

 

$

257,909,226

 

$

282,258,527

 

$

461,247,191

 

$

148,551,686

 

$

238,760,420

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Paid-in capital4

 

$

308,965,873

 

$

324,916,847

 

$

796,487,496

 

$

199,373,640

 

$

371,250,837

 

Undistributed net investment income

 

 

2,741,291

 

 

1,838,053

 

 

73,470

 

 

107,953

 

 

2,561,360

 

Accumulated net realized loss

 

 

(67,277,548

)

 

(60,771,640

)

 

(288,525,254

)

 

(52,754,423

)

 

(128,418,219

)

Net unrealized appreciation/depreciation

 

 

13,479,610

 

 

16,275,267

 

 

(46,788,521

)

 

1,824,516

 

 

(6,633,558

)

 

 
















Net Assets

 

$

257,909,226

 

$

282,258,527

 

$

461,247,191

 

$

148,551,686

 

$

238,760,420

 

 

 
















Net asset value

 

$

7.42

 

$

7.56

 

$

4.28

 

$

14.07

 

$

4.22

 

 

 

 
















1

Investments at cost — unaffiliated

 

$

298,181,456

 

$

347,521,714

 

$

650,454,806

 

$

205,629,233

 

$

314,334,399

 

 

 

 
















2

Investments at cost — affiliated

 

$

1,721,866

 

$

1,845,167

 

$

436,377

 

$

2,714,267

 

$

270,650

 

 

 

 
















3

Foreign currency at cost

 

$

108,977

 

$

66,756

 

$

110,811

 

$

142,188

 

$

99,866

 

 

 

 
















4

Shares outstanding, 200 million shares authorized, par value $0.10 per share

 

 

34,754,122

 

 

37,356,898

 

 

107,772,006

 

 

10,559,321

 

 

56,606,319

 

 

 

 

















See Notes to Financial Statements.

 

 

 


60

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 28, 2011

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

BlackRock
Corporate
High Yield
Fund III, Inc.
(CYE)

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

BlackRock
Floating
Rate Income
Strategies
Fund II, Inc.
(FRB)

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 













Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Interest

 

$

25,184,320

 

$

27,328,914

 

$

40,728,972

 

$

11,122,482

 

$

20,024,364

 

Dividends — unaffiliated

 

 

115,569

 

 

311,641

 

 

 

 

 

 

 

Facility and other fees

 

 

99,943

 

 

146,145

 

 

809,090

 

 

283,695

 

 

455,900

 

Dividends — affiliated

 

 

4,563

 

 

3,522

 

 

12,680

 

 

4,635

 

 

5,351

 

 

 
















Total income

 

 

25,404,395

 

 

27,790,222

 

 

41,550,742

 

 

11,410,812

 

 

20,485,615

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investment advisory

 

 

1,491,017

 

 

2,005,126

 

 

3,160,807

 

 

1,282,722

 

 

1,349,606

 

Borrowing costs1

 

 

272,115

 

 

286,745

 

 

451,932

 

 

175,447

 

 

274,895

 

Professional

 

 

147,269

 

 

141,553

 

 

347,402

 

 

168,549

 

 

189,975

 

Accounting services

 

 

55,504

 

 

57,889

 

 

96,674

 

 

33,019

 

 

51,472

 

Transfer agent

 

 

44,688

 

 

41,187

 

 

113,543

 

 

41,636

 

 

56,111

 

Printing

 

 

32,450

 

 

35,143

 

 

58,310

 

 

19,929

 

 

31,810

 

Officer and Directors

 

 

26,209

 

 

28,365

 

 

56,851

 

 

15,999

 

 

25,093

 

Custodian

 

 

18,773

 

 

51,087

 

 

58,829

 

 

63,171

 

 

32,737

 

Registration

 

 

12,474

 

 

13,034

 

 

39,076

 

 

9,330

 

 

19,828

 

Miscellaneous

 

 

70,746

 

 

70,004

 

 

60,139

 

 

33,526

 

 

30,985

 

 

 
















Total expenses excluding interest expense

 

 

2,171,245

 

 

2,730,133

 

 

4,443,563

 

 

1,843,328

 

 

2,062,512

 

Interest expense

 

 

700,083

 

 

887,169

 

 

1,133,242

 

 

369,092

 

 

525,267

 

 

 
















Total expenses

 

 

2,871,328

 

 

3,617,302

 

 

5,576,805

 

 

2,212,420

 

 

2,587,779

 

Less fees waived by advisor

 

 

(1,970

)

 

(1,439

)

 

(2,372

)

 

(1,925

)

 

(2,085

)

 

 
















Total expenses after fees waived

 

 

2,869,358

 

 

3,615,863

 

 

5,574,433

 

 

2,210,495

 

 

2,585,694

 

 

 
















Net investment income

 

 

22,535,037

 

 

24,174,359

 

 

35,976,309

 

 

9,200,317

 

 

17,899,921

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

6,397,246

 

 

8,160,623

 

 

(4,003,230

)

 

109,963

 

 

(2,912,063

)

Financial futures contracts

 

 

(473,482

)

 

(483,910

)

 

 

 

 

 

 

Swaps

 

 

(545,467

)

 

(85,180

)

 

(42,426

)

 

2,111

 

 

(9,648

)

Foreign currency transactions

 

 

1,587,534

 

 

1,633,063

 

 

1,611,427

 

 

462,020

 

 

(61,607

)

 

 
















 

 

 

6,965,831

 

 

9,224,596

 

 

(2,434,229

)

 

574,094

 

 

(2,983,318

)

 

 
















Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

20,525,187

 

 

23,693,433

 

 

47,132,997

 

 

10,005,072

 

 

20,944,050

 

Financial futures contracts

 

 

(251,679

)

 

(287,418

)

 

 

 

 

 

 

Swaps

 

 

(10,133

)

 

(36,782

)

 

26,857

 

 

(856

)

 

(51,653

)

Foreign currency transactions

 

 

(1,512,741

)

 

(1,579,906

)

 

(2,326,031

)

 

(759,815

)

 

(14,099

)

Unfunded loan commitments

 

 

40,051

 

 

92,413

 

 

37,225

 

 

63,991

 

 

16,218

 

 

 
















 

 

 

18,790,685

 

 

21,881,740

 

 

44,871,048

 

 

9,308,392

 

 

20,894,516

 

 

 
















Total realized and unrealized gain

 

 

25,756,516

 

 

31,106,336

 

 

42,436,819

 

 

9,882,486

 

 

17,911,198

 

 

 
















Net Increase in Net Assets Resulting from Operations

 

$

48,291,553

 

$

55,280,695

 

$

78,413,128

 

$

19,082,803

 

$

35,811,119

 

 

 

















 

 

 

 

1

See Note 6 of the Notes to Financial Statements for details of borrowings.


See Notes to Financial Statements.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

61




 


 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund, Inc. (COY)

 

BlackRock Corporate
High Yield Fund III, Inc. (CYE)

 

 

 


 



 

 

Year Ended
February 28,

 

Year Ended
February 28,

 

 

 


 



Increase (Decrease) in Net Assets:

 

2011

 

2010

 

2011

 

2010

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

22,535,037

 

$

22,380,112

 

$

24,174,359

 

$

23,836,686

 

Net realized gain (loss)

 

 

6,965,831

 

 

(18,246,371

)

 

9,224,596

 

 

(16,068,173

)

Net change in unrealized appreciation/depreciation

 

 

18,790,685

 

 

106,169,011

 

 

21,881,740

 

 

115,769,455

 

 

 






 







Net increase in net assets resulting from operations

 

 

48,291,553

 

 

110,302,752

 

 

55,280,695

 

 

123,537,968

 

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(21,257,066

)

 

(25,342,365

)

 

(22,906,514

)

 

(25,189,541

)

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

282,201

 

 

832,119

 

 

163,777

 

 

111,029

 

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase in net assets

 

 

27,316,688

 

 

85,792,506

 

 

32,537,958

 

 

98,459,456

 

Beginning of year

 

 

230,592,538

 

 

144,800,032

 

 

249,720,569

 

 

151,261,113

 

 

 






 







End of year

 

$

257,909,226

 

$

230,592,538

 

$

282,258,527

 

$

249,720,569

 

 

 






 







Undistributed (distributions in excess of) net investment income

 

$

2,741,291

 

$

649,435

 

$

1,838,053

 

$

(405,353

)

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Debt
Strategies Fund, Inc. (DSU)

 

BlackRock Floating Rate Income
Strategies Fund II, Inc. (FRB)

 

 

 


 



 

 

Year Ended
February 28,

 

Year Ended
February 28,

 

 

 


 



Increase (Decrease) in Net Assets:

 

2011

 

2010

 

2011

 

2010

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

35,976,309

 

$

42,389,165

 

$

9,200,317

 

$

9,000,682

 

Net realized gain (loss)

 

 

(2,434,229

)

 

(109,291,069

)

 

574,094

 

 

(18,507,006

)

Net change in unrealized appreciation/depreciation

 

 

44,871,048

 

 

275,497,465

 

 

9,308,392

 

 

65,070,894

 

 

 






 







Net increase in net assets resulting from operations

 

 

78,413,128

 

 

208,595,561

 

 

19,082,803

 

 

55,564,570

 

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(35,928,501

)

 

(41,936,207

)

 

(8,767,675

)

 

(10,283,447

)

Tax return of capital

 

 

(924,228

)

 

(926,392

)

 

(716,193

)

 

(825,748

)

 

 






 







Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(36,852,729

)

 

(42,862,599

)

 

(9,483,868

)

 

(11,109,195

)

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

464,804

 

 

1,409,077

 

 

582,067

 

 

259,478

 

 

 






 







 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase in net assets

 

 

42,025,203

 

 

167,142,039

 

 

10,181,002

 

 

44,714,853

 

Beginning of year

 

 

419,221,988

 

 

252,079,949

 

 

138,370,684

 

 

93,655,831

 

 

 






 







End of year

 

$

461,247,191

 

$

419,221,988

 

$

148,551,686

 

$

138,370,684

 

 

 






 







Undistributed (distributions in excess of) net investment income

 

$

73,470

 

$

(1,165,262

)

$

107,953

 

$

(718,024

)

 

 






 








See Notes to Financial Statements.

 

 

 


62

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Statements of Changes in Net Assets (concluded)


 

 

 

 

 

 

 

 

 

 

BlackRock Senior High
Income Fund, Inc. (ARK)

 

 

 



 

 

Year Ended
February 28,

 

 

 



Increase (Decrease) in Net Assets:

 

2011

 

2010

 







Operations

 

 

 

 

 

 

 









Net investment income

 

$

17,899,921

 

$

20,424,882

 

Net realized loss

 

 

(2,983,318

)

 

(40,130,950

)

Net change in unrealized appreciation/depreciation

 

 

20,894,516

 

 

114,058,095

 

 

 







Net increase in net assets resulting from operations

 

 

35,811,119

 

 

94,352,027

 

 

 







 

 

 

 

 

 

 

 









Dividends to Shareholders From

 

 

 

 

 

 

 









Net investment income

 

 

(18,479,539

)

 

(16,952,851

)

 

 







 

 

 

 

 

 

 

 









Capital Share Transactions

 

 

 

 

 

 

 









Reinvestment of dividends

 

 

255,895

 

 

130,893

 

 

 







 

 

 

 

 

 

 

 









Net Assets

 

 

 

 

 

 

 









Total increase in net assets

 

 

17,587,475

 

 

77,530,069

 

Beginning of year

 

 

221,172,945

 

 

143,642,876

 

 

 







End of year

 

$

238,760,420

 

$

221,172,945

 

 

 







Undistributed net investment income

 

$

2,561,360

 

$

3,223,424

 

 

 








See Notes to Financial Statements.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

63




 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 28, 2011

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

BlackRock
Corporate
High Yield
Fund III, Inc.
(CYE)

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

BlackRock
Floating
Rate Income
Strategies
Fund II, Inc.
(FRB)

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 













Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net increase in net assets resulting from operations

 

$

48,291,553

 

$

55,280,695

 

$

78,413,128

 

$

19,082,803

 

$

35,811,119

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

(126,587

)

 

(595,641

)

 

(456,069

)

 

214,416

 

 

(90,682

)

Decrease in swap receivable

 

 

53,685

 

 

50,969

 

 

5,337

 

 

7,389

 

 

 

(Increase) decrease in other assets

 

 

(1,328

)

 

(3,420

)

 

113,708

 

 

 

 

91,187

 

Increase in commitment fees receivable

 

 

 

 

(66

)

 

(1,385

)

 

(383

)

 

(573

)

Increase in receivable from custodian

 

 

 

 

 

 

 

 

 

 

(602,027

)

(Increase) decrease in dividends receivable

 

 

(17,301

)

 

(32,075

)

 

3,159

 

 

 

 

 

Decrease in prepaid expenses

 

 

2,289

 

 

1,719

 

 

5,477

 

 

1,895

 

 

2,976

 

Increase in cash pledged as collateral for financial futures contracts

 

 

(510,000

)

 

(565,000

)

 

 

 

 

 

 

Decrease in cash pledged as collateral for swaps

 

 

500,000

 

 

 

 

 

 

 

 

 

Decrease in cash held as collateral in connection with swaps

 

 

(500,000

)

 

 

 

 

 

 

 

 

Increase in investment advisory fees payable

 

 

10,031

 

 

22,683

 

 

44,735

 

 

13,921

 

 

12,503

 

Increase in interest expense payable

 

 

4,039

 

 

37,314

 

 

115,332

 

 

26,081

 

 

72,349

 

Increase in other affiliates payable

 

 

566

 

 

654

 

 

1,063

 

 

324

 

 

502

 

Increase (decrease) in other liabilities

 

 

2,000

 

 

30,652

 

 

(204,300

)

 

54,538

 

 

(99,899

)

Increase (decrease) in other accrued expenses payable

 

 

41,899

 

 

40,208

 

 

95,533

 

 

49,619

 

 

(33,326

)

Increase in margin variation payable

 

 

33,945

 

 

37,960

 

 

 

 

 

 

 

Increase (decrease) in swaps payable

 

 

7,284

 

 

26,996

 

 

(6,457

)

 

 

 

7,218

 

Increase (decrease) in Officer’s and Directors’ fees payable

 

 

56

 

 

(77

)

 

14,782

 

 

24

 

 

499

 

Net periodic and termination payments of swaps

 

 

(203,437

)

 

(84,919

)

 

40,224

 

 

 

 

36,197

 

Net realized and unrealized gain on investments

 

 

(23,991,542

)

 

(29,144,280

)

 

(38,164,280

)

 

(9,334,952

)

 

(17,158,002

)

Amortization of premium and accretion of discount on investments and swaps

 

 

(1,550,567

)

 

(1,533,284

)

 

(4,358,967

)

 

(1,466,984

)

 

(1,687,778

)

Paid-in-kind income

 

 

(649,847

)

 

(764,393

)

 

(1,807,560

)

 

(273,465

)

 

(499,649

)

Proceeds from sales of long-term investments

 

 

255,748,885

 

 

300,553,755

 

 

463,352,002

 

 

181,254,865

 

 

238,061,864

 

Purchases of long-term investments

 

 

(251,701,180

)

 

(316,329,802

)

 

(507,922,348

)

 

(192,404,384

)

 

(243,399,623

)

Net proceeds from sales (purchases) of short-term securities

 

 

3,209,808

 

 

1,431,588

 

 

(3,442,263

)

 

(916,455

)

 

677,035

 

 

 
















Cash provided by (used for) operating activities

 

 

28,654,251

 

 

8,462,236

 

 

(14,159,149

)

 

(3,690,748

)

 

11,201,890

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash receipts from borrowings

 

 

122,000,000

 

 

160,000,000

 

 

338,000,000

 

 

133,000,000

 

 

170,000,000

 

Cash payments on borrowings

 

 

(131,000,000

)

 

(145,000,000

)

 

(288,000,000

)

 

(121,000,000

)

 

(163,000,000

)

Cash dividends paid

 

 

(20,881,481

)

 

(22,662,256

)

 

(36,191,093

)

 

(8,901,801

)

 

(18,102,493

)

Increase (decrease) in custodian bank payable

 

 

299,961

 

 

(1,393,499

)

 

 

 

402,419

 

 

 

 

 
















Cash provided by (used for) financing activities

 

 

(29,581,520

)

 

(9,055,755

)

 

13,808,907

 

 

3,500,618

 

 

(11,102,493

)

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash impact from foreign exchange fluctuations

 

 

455

 

 

1,863

 

 

(98,645

)

 

(2,759

)

 

1,855

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net increase (decrease) in cash

 

 

(926,814

)

 

(591,656

)

 

(448,887

)

 

(192,889

)

 

101,252

 

Cash and foreign currency at beginning of year

 

 

1,036,620

 

 

1,010,962

 

 

560,536

 

 

327,836

 

 

475

 

 

 
















Cash and foreign currency at end of year

 

$

109,806

 

$

419,306

 

$

111,649

 

$

134,947

 

$

101,727

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash Flow information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Cash paid during the year for interest

 

$

696,044

 

$

849,855

 

$

1,017,910

 

$

343,011

 

$

452,918

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Noncash Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Capital shares issued in reinvestment of dividends

 

$

282,201

 

$

163,777

 

$

464,804

 

$

582,067

 

$

255,895

 

 

 

















 

 

 

A Statement of Cash Flows is presented when a Fund had a significant amount of borrowing during the year, based on the average borrowing outstanding in relation to average total assets.


See Notes to Financial Statements.

 

 

 


64

ANNUAL REPORT

FEBRUARY 28, 2011




 

 



 

 

Financial Highlights

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Year Ended
February 28,

 

Period
June 1,
2008 to
February 28,
2009

 

Year Ended May 31,

 

 

 


 

 


 

 

 

2011

 

2010

 

 

2008

 

2007

 

2006

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.64

 

$

4.19

 

$

7.74

 

$

9.07

 

$

8.52

 

$

8.53

 

 

 



















Net investment income1

 

 

0.65

 

 

0.65

 

 

0.50

 

 

0.75

 

 

0.73

 

 

0.74

 

Net realized and unrealized gain (loss)

 

 

0.74

 

 

2.53

 

 

(3.50

)

 

(1.32

)

 

0.49

 

 

0.02

 

 

 



















Net increase (decrease) from investment operations

 

 

1.39

 

 

3.18

 

 

(3.00

)

 

(0.57

)

 

1.22

 

 

0.76

 

 

 



















Dividends from net investment income

 

 

(0.61

)

 

(0.73

)

 

(0.55

)

 

(0.76

)

 

(0.67

)

 

(0.77

)

 

 



















Net asset value, end of period

 

$

7.42

 

$

6.64

 

$

4.19

 

$

7.74

 

$

9.07

 

$

8.52

 

 

 



















Market price, end of period

 

$

7.03

 

$

6.88

 

$

3.91

 

$

7.28

 

$

8.47

 

$

7.42

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

22.11

%

 

79.91

%

 

(38.98

)%3

 

(5.49

)%

 

15.60

%

 

9.75

%

 

 



















Based on market price

 

 

11.66

%

 

99.76

%

 

(39.46

)%3

 

(4.81

)%

 

23.96

%

 

(3.63

)%

 

 







































Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.18

%

 

1.18

%

 

2.29

%4

 

2.33

%

 

3.25

%

 

2.39

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.18

%

 

1.18

%

 

2.29

%4

 

2.33

%

 

3.25

%

 

2.39

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense and fees

 

 

0.89

%

 

0.92

%

 

1.17

%4

 

0.83

%

 

0.91

%

 

0.90

%

 

 



















Net investment income

 

 

9.28

%

 

11.36

%

 

11.45

%4

 

9.15

%

 

8.36

%

 

8.55

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

257,909

 

$

230,593

 

$

144,800

 

$

267,698

 

$

313,821

 

$

294,759

 

 

 



















Borrowings outstanding, end of period (000)

 

$

63,000

 

$

72,000

 

$

38,700

 

$

64,700

 

$

126,200

 

$

127,700

 

 

 



















Average borrowings outstanding during the period (000)

 

$

55,304

 

$

42,184

 

$

59,553

 

$

81,598

 

$

125,974

 

$

101,539

 

 

 



















Portfolio turnover

 

 

83

%

 

85

%

 

37

%

 

38

%

 

62

%

 

57

%

 

 



















Asset coverage, end of period per $1,000

 

$

5,094

 

$

4,203

 

$

4,742

 

$

5,138

 

$

3,487

 

$

3,308

 

 

 




















 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


See Notes to Financial Statements.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

65




 

 


 

 

Financial Highlights

BlackRock Corporate High Yield Fund III, Inc. (CYE)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Year Ended
February 28,

 

 

Period
June 1,
2008 to
February 28,
2009

 

Year Ended May 31,

 

 

 


 

 

 



 

 

 

2011

 

 

2010

 

 

 

 

2008

 

 

2007

 

 

2006

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

6.69

 

$

4.05

 

$

7.62

 

$

8.99

 

$

8.46

 

$

8.46

 

 

 



















Net investment income1

 

 

0.65

 

 

0.64

 

 

0.50

 

 

0.73

 

 

0.71

 

 

0.72

 

Net realized and unrealized gain (loss)

 

 

0.83

 

 

2.68

 

 

(3.51

)

 

(1.33

)

 

0.49

 

 

0.02

 

 

 



















Net increase (decrease) from investment operations

 

 

1.48

 

 

3.32

 

 

(3.01

)

 

(0.60

)

 

1.20

 

 

0.74

 

 

 



















Dividends from net investment income

 

 

(0.61

)

 

(0.68

)

 

(0.56

)

 

(0.77

)

 

(0.67

)

 

(0.74

)

 

 



















Net asset value, end of period

 

$

7.56

 

$

6.69

 

$

4.05

 

$

7.62

 

$

8.99

 

$

8.46

 

 

 



















Market price, end of period

 

$

7.14

 

$

6.67

 

$

3.57

 

$

7.03

 

$

8.53

 

$

7.36

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

23.50

%

 

86.65

%

 

(39.69

)%3

 

(5.69

)%

 

15.51

%

 

9.78

%

 

 



















Based on market price

 

 

16.99

%

 

111.12

%

 

(42.38

)%3

 

(8.30

)%

 

25.98

%

 

(3.59

)%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.37

%

 

1.34

%

 

2.45

%4

 

2.47

%

 

3.38

%

 

2.49

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.37

%

 

1.33

%

 

2.45

%4

 

2.47

%

 

3.38

%

 

2.49

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.03

%

 

1.04

%

 

1.29

%4

 

0.96

%

 

1.04

%

 

1.00

%

 

 



















Net investment income

 

 

9.15

%

 

11.35

%

 

11.80

%4

 

9.01

%

 

8.25

%

 

8.45

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

282,259

 

$

249,721

 

$

151,261

 

$

284,361

 

$

335,479

 

$

315,699

 

 

 



















Borrowings outstanding, end of period (000)

 

$

91,000

 

$

76,000

 

$

44,200

 

$

71,700

 

$

129,700

 

$

141,000

 

 

 



















Average borrowings outstanding during the period (000)

 

$

69,937

 

$

49,196

 

$

65,500

 

$

88,466

 

$

134,704

 

$

109,144

 

 

 



















Portfolio turnover

 

 

89

%

 

89

%

 

37

%

 

38

%

 

62

%

 

56

%

 

 



















Asset coverage, end of period (000)

 

$

4,102

 

$

4,286

 

$

4,422

 

$

4,966

 

$

3,587

 

$

3,239

 

 

 




















 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


See Notes to Financial Statements.

 

 

 


66

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Financial Highlights

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Year Ended February 28,

 

Year
Ended
February 29,
2008

 

Year
Ended
February 28,
2007

 

 

 


 

 

 

 

 

2011

 

2010

 

2009

 

 

 













Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net asset value, beginning of year

 

$

3.89

 

$

2.35

 

$

5.57

 

$

7.01

 

$

6.69

 

 

 
















Net investment income1

 

 

0.33

 

 

0.39

 

 

0.52

 

 

0.66

 

 

0.68

 

Net realized and unrealized gain (loss)

 

 

0.40

 

 

1.55

 

 

(3.12

)

 

(1.43

)

 

0.28

 

 

 
















Net increase (decrease) from investment operations

 

 

0.73

 

 

1.94

 

 

(2.60

)

 

(0.77

)

 

0.96

 

 

 
















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.33

)

 

(0.39

)

 

(0.62

)

 

(0.67

)

 

(0.64

)

Tax return of capital

 

 

(0.01

)

 

(0.01

)

 

 

 

 

 

 

 

 
















Total dividends and distributions

 

 

(0.34

)

 

(0.40

)

 

(0.62

)

 

(0.67

)

 

(0.64

)

 

 
















Net asset value, end of year

 

$

4.28

 

$

3.89

 

$

2.35

 

$

5.57

 

$

7.01

 

 

 
















Market price, end of year

 

$

4.05

 

$

3.91

 

$

2.07

 

$

5.43

 

$

7.28

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Based on net asset value

 

 

19.92

%

 

87.82

%

 

(50.19

)%

 

(11.72

)%

 

15.35

%

 

 
















Based on market price

 

 

12.90

%

 

114.32

%

 

(54.99

)%

 

(17.13

)%

 

18.37

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total expenses

 

 

1.27

%

 

1.23

%

 

2.42

%

 

3.13

%

 

3.16

%

 

 
















Total expenses after fees waived

 

 

1.27

%

 

1.23

%

 

2.42

%

 

3.13

%

 

3.16

%

 

 
















Total expenses after fees waived and excluding interest expense

 

 

1.02

%

 

1.02

%

 

1.20

%

 

0.99

%

 

0.99

%

 

 
















Net investment income

 

 

8.22

%

 

12.16

%

 

11.79

%

 

9.90

%

 

9.97

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net assets, end of year (000)

 

$

461,247

 

$

419,222

 

$

252,080

 

$

594,204

 

$

745,944

 

 

 
















Borrowings outstanding, end of year (000)

 

$

117,000

 

$

67,000

 

$

90,000

 

$

199,000

 

$

298,600

 

 

 
















Average borrowings outstanding during the year (000)

 

$

89,362

 

$

58,574

 

$

163,286

 

$

272,846

 

$

283,906

 

 

 
















Portfolio turnover

 

 

81

%

 

86

%

 

44

%

 

51

%

 

65

%

 

 
















Asset coverage, end of year per $1,000

 

$

4,942

 

$

7,257

 

$

3,801

 

$

3,986

 

$

3,498

 

 

 

















 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.


See Notes to Financial Statements.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

67




 

 


 

 

Financial Highlights

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Year Ended February 28,

 

Year
Ended
February 29,
2008

 

Year
Ended
February 28,
2007

 

 

 


 

 

 

 

 

2011

 

2010

 

2009

 

 

 
















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net asset value, beginning of year

 

$

13.16

 

$

8.92

 

$

16.06

 

$

19.28

 

$

19.39

 

 

 
















Net investment income1

 

 

0.87

 

 

0.86

 

 

1.37

 

 

1.55

 

 

1.55

 

Net realized and unrealized gain (loss)

 

 

0.94

 

 

4.44

 

 

(6.98

)

 

(3.27

)

 

(0.12

)

 

 
















Net increase (decrease) from investment operations

 

 

1.81

 

 

5.30

 

 

(5.61

)

 

(1.72

)

 

1.43

 

 

 
















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.83

)

 

(0.98

)

 

(1.53

)

 

(1.50

)

 

(1.54

)

Tax return of capital

 

 

(0.07

)

 

(0.08

)

 

 

 

 

 

 

 

 
















Total dividends and distributions

 

 

(0.90

)

 

(1.06

)

 

(1.53

)

 

(1.50

)

 

(1.54

)

 

 
















Net asset value, end of year

 

$

14.07

 

$

13.16

 

$

8.92

 

$

16.06

 

$

19.28

 

 

 
















Market price, end of year

 

$

14.22

 

$

15.01

 

$

8.28

 

$

14.75

 

$

18.50

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Based on net asset value

 

 

14.20

%

 

62.08

%

 

(36.46

)%

 

(8.98

)%

 

8.31

%

 

 
















Based on market price

 

 

1.19

%

 

99.15

%

 

(35.78

)%

 

(12.88

)%

 

13.47

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total expenses

 

 

1.56

%

 

1.50

%

 

2.48

%

 

2.78

%

 

2.87

%

 

 
















Total expenses after fees waived and paid indirectly

 

 

1.56

%

 

1.50

%

 

2.48

%

 

2.78

%

 

2.87

%

 

 
















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.30

%

 

1.27

%

 

1.38

%

 

1.20

%

 

1.22

%

 

 
















Net investment income

 

 

6.48

%

 

7.40

%

 

10.08

%

 

8.39

%

 

8.03

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net assets, end of year (000)

 

$

148,552

 

$

138,371

 

$

93,656

 

$

168,553

 

$

202,364

 

 

 
















Borrowings outstanding, end of year (000)

 

$

36,000

 

$

24,000

 

$

26,000

 

$

50,000

 

$

47,000

 

 

 
















Average borrowings outstanding during the year (000)

 

$

29,101

 

$

22,225

 

$

45,165

 

$

55,269

 

$

61,022

 

 

 
















Portfolio turnover

 

 

100

%

 

92

%

 

47

%

 

65

%

 

65

%

 

 
















Asset coverage, end of year per $1,000

 

$

5,126

 

$

6,765

 

$

4,602

 

$

4,371

 

$

5,306

 

 

 

















 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.


See Notes to Financial Statements.

 

 

 


68

ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Financial Highlights

BlackRock Senior High Income Fund, Inc. (ARK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Year Ended February 28,

 

Year
Ended
February 29,
2008

 

Year
Ended
February 28,
2007

 

 

 


 

 

 

 

 

2011

 

2010

 

2009

 

 

 













Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net asset value, beginning of year

 

$

3.91

 

$

2.54

 

$

5.04

 

$

6.17

 

$

6.00

 

 

 
















Net investment income1

 

 

0.32

 

 

0.36

 

 

0.41

 

 

0.54

 

 

0.57

 

Net realized and unrealized gain (loss)

 

 

0.32

 

 

1.31

 

 

(2.43

)

 

(1.11

)

 

0.16

 

 

 
















Net increase (decrease) from investment operations

 

 

0.64

 

 

1.67

 

 

(2.02

)

 

(0.57

)

 

0.73

 

 

 
















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment Income

 

 

(0.33

)

 

(0.30

)

 

(0.43

)

 

(0.56

)

 

(0.56

)

Tax return of capital

 

 

 

 

 

 

(0.05

)

 

 

 

 

 

 
















Total dividends and distributions

 

 

(0.33

)

 

(0.30

)

 

(0.48

)

 

(0.56

)

 

(0.56

)

 

 
















Net asset value, end of year

 

$

4.22

 

$

3.91

 

$

2.54

 

$

5.04

 

$

6.17

 

 

 
















Market price, end of year

 

$

4.18

 

$

3.94

 

$

2.21

 

$

4.91

 

$

6.53

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Based on net asset value

 

 

17.13

%

 

68.90

%

 

(42.15

)%

 

(9.76

)%

 

12.82

%

 

 
















Based on market price

 

 

15.13

%

 

95.61

%

 

(48.33

)%

 

(16.94

)%

 

21.84

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total expenses

 

 

1.13

%

 

1.13

%

 

2.24

%

 

2.70

%

 

3.03

%

 

 
















Total expenses after fees waived

 

 

1.13

%

 

1.13

%

 

2.24

%

 

2.70

%

 

3.03

%

 

 
















Total expenses after fees waived and excluding interest expense

 

 

0.90

%

 

0.93

%

 

1.05

%

 

0.86

%

 

0.90

%

 

 
















Net investment income

 

 

7.83

%

 

10.70

%

 

9.96

%

 

9.16

%

 

9.42

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net assets, end of year (000)

 

$

238,760

 

$

221,173

 

$

143,643

 

$

284,692

 

$

347,449

 

 

 
















Borrowings outstanding, end of year (000)

 

$

50,000

 

$

43,000

 

$

47,000

 

$

91,500

 

$

132,000

 

 

 
















Average borrowings outstanding during the year (000)

 

$

41,405

 

$

29,978

 

$

79,422

 

$

109,978

 

$

131,575

 

 

 
















Portfolio turnover

 

 

83

%

 

80

%

 

49

%

 

48

%

 

62

%

 

 
















Asset coverage, end of year (000)

 

$

5,775

 

$

6,144

 

$

4,056

 

$

4,112

 

$

3,632

 

 

 

















 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.


See Notes to Financial Statements.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

69




 


 

Notes to Financial Statements

1. Organization and Significant Accounting Policies:

BlackRock Corporate High Yield Fund, Inc. (“COY”), BlackRock Corporate High Yield Fund III, Inc. (“CYE”), BlackRock Debt Strategies Fund, Inc. (“DSU”) and BlackRock Floating Rate Income Strategies Fund II, Inc. (“FRB”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as diversified, closed-end management investment companies. BlackRock Senior High Income Fund, Inc. (“ARK”) is registered under the 1940 Act as a non-diversified, closed-end management investment company. COY, CYE, DSU, FRB and ARK are referred to collectively as “Funds” or individually as a “Fund.” The Funds are organized as Maryland corporations. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Funds determine, and make available for publication the net asset values of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Funds:

Valuation: US GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies approved by each Fund’s Board of Directors (the “Board”). The Funds value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows and trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Fund’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.

Foreign Currency Transactions: The Funds’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the date the transactions are entered into. Generally, when the US dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

 

 

 




70

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Notes to Financial Statements (continued)

The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Zero-Coupon Bonds: The Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Asset-Backed Securities: The Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Preferred Stock: The Funds may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: The Funds may invest in floating rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly levered. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Inter Bank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of their investment policies.

When a Fund buys a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. The Funds earn and/or pay facility and other fees on floating rate loan interests, which are shown as facility and other fees in the Statements of Operations. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Funds may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Funds either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts, foreign currency exchange contracts or swaps), or certain borrowings (e.g., loan payable), the Funds will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books

 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

71




 


 

Notes to Financial Statements (continued)

and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies (“RIC”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Certain Funds have wholly owned taxable subsidiaries organized as limited liability companies (the “Taxable Subsidiaries”), each of which holds one of the investments listed in the Schedules of Investments. The Taxable Subsidiaries allow a Fund to hold an investment that is organized as an operating partnership while still satisfying RIC tax requirements. Income earned on the investment held by the Taxable Subsidiaries is taxable to such subsidiaries. Income tax expense, if any, of the Taxable Subsidiaries is reflected in the value of the investment held by the Taxable Subsidiaries.

Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ US federal tax returns remains open for each of the four periods ended as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Four Years
Ended

 

Two Years
Ended

 

Period
Ended

 

Year
Ended

 















COY

 

 

 

 

February 28,

 

 

February 28,

 

 

May 31,

 

 

 

 

 

 

 

2011

 

 

2009

 

 

2008

 















CYE

 

 

 

 

February 28,

 

 

February 28,

 

 

May 31,

 

 

 

 

 

 

 

2011

 

 

2009

 

 

2008

 















DSU

 

 

February 28,

 

 

 

 

 

 

 

 

 

 

2011

 

 

 

 

 

 

 

 

 

 















FRB

 

 

February 28,

 

 

 

 

 

 

 

 

 

 

2011

 

 

 

 

 

 

 

 

 

 















ARK

 

 

February 28,

 

 

 

 

 

 

 

 

 

 

2011

 

 

 

 

 

 

 

 

 

 















The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Fund’s Board, non-interested Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments, if any, under the plan are included in income — affiliated in the Statements of Operations.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. The Funds have an arrangement with the custodians whereby fees may be reduced by credits earned on uninvested cash balances, which if applicable are shown as fees paid indirectly in the Statements of Operations. The custodians impose fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

 

 

 




72

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Notes to Financial Statements (continued)

The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement implemented between a Fund and each of its respective counterparties. The ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counter-party non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Funds purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Fund and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Funds as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Foreign Currency Exchange Contracts: The Funds enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currency backing some of the investments held by the Funds. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Options: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (equity risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise price at any time or at a specified time during the option period. When the Funds purchase (write) an option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is “covered,” meaning that the Funds hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security at a price different from the current market value.

Swaps: The Funds enter into swap agreements, in which the Funds and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

73




 


 

Notes to Financial Statements (continued)

•         Credit default swaps — The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which they are not otherwise exposed (as seller of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Funds will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Instruments Categorized by Risk Exposure:

 

















Fair Values of Derivative Instruments as of February 28, 2011

 

















 

 

Asset Derivatives

 

 

 















 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 













 

 

Statements of Assets and Liabilities Location

 

Value

 

















Foreign currency exchange contracts

 


Unrealized appreciation on foreign currency exchange contracts

 

$

889

 

 

 

$

30,829

 

$

3,748

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

258,038

 

$

275,289

 

 

 

 

 

















Total

 

 

 

$

258,927

 

$

275,289

 

$

30,829

 

$

3,748

 

 

 

 

 














 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 




















 

 

Liability Derivatives

 

 

 


















 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 




















 

 

Statements of Assets and Liabilities Location

 

Value

 




















Foreign currency exchange contracts

 


Unrealized depreciation on foreign currency exchange contracts

 

$

156,373

 

$

155,852

 

$

455,164

 

$

173,001

 

$

13,117

 

Credit contracts

 

Unrealized depreciation on swaps

 

 

630,730

 

 

542,063

 

 

77,957

 

 

 

 

52,151

 

Equity contracts

 


Net unrealized appreciation/depreciation*; Investments at value — unaffiliated**

 

 

251,679

 

 

287,418

 

 

 

 

 

 

 




















Total

 

 

 

$

1,038,782

 

$

985,333

 

$

533,121

 

$

173,001

 

$

65,268

 

 

 

 

 

















 

 

Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

 

 

** 

Includes options purchased at value as reported in the Schedules of Investments.


 

 

 




74

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


The Effect of Derivative Instruments in the Statements of Operations
Year Ended February 28, 2011





 

 

Net Realized Gain (Loss) from

 

 

 



 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

$

1,629,572

 

$

1,587,025

 

$

1,135,487

 

$

377,757

 

$

(61,983

)

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(545,467

)

 

(85,180

)

 

(42,426

)

 

2,111

 

 

(9,648

)

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(473,482

)

 

(483,910

)

 

 

 

 

 

 

Options***

 

 

31,083

 

 

34,355

 

 

 

 

 

 

 


















Total

 

$

641,706

 

$

1,052,290

 

$

1,093,061

 

$

379,868

 

$

(71,631

)

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 



 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

$

(1,531,597

)

$

(1,592,588

)

$

(2,003,668

)

$

(650,156

)

$

(15,953

)

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(10,133

)

 

(36,782

)

 

26,857

 

 

(856

)

 

(51,653

)

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(251,679

)

 

(287,418

)

 

 

 

 

 

 

Options***

 

 

(3,230

)

 

(3,610

)

 

 

 

(2,090

)

 

 


















Total

 

$

(1,796,639

)

$

(1,920,398

)

$

(1,976,811

)

$

(653,102

)

$

(67,606

)

 

 

















 

 

***

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

For the year ended February 28, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













Financial futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts sold

 

 

71

 

 

77

 

 

 

 

 

 

 

Average notional value of contracts sold

 

$

6,888,584

 

$

7,273,484

 

 

 

 

 

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — US dollars purchased

 

 

8

 

 

8

 

 

6

 

 

5

 

 

1

 

Average number of contracts — US dollars sold

 

 

2

 

 

2

 

 

3

 

 

2

 

 

1

 

Average US dollar amounts purchased

 

$

18,119,486

 

$

18,495,168

 

$

33,520,931

 

$

10,728,978

 

$

841,346

 

Average US dollar amounts sold

 

$

698,238

 

$

814,761

 

$

4,043,932

 

$

1,248,996

 

$

57,299

 

Options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of option contracts purchased

 

 

17

 

 

19

 

 

 

 

11

 

 

 

Average notional value of option contracts purchased

 

$

16,029

 

$

17,914

 

 

 

$

10,371

 

 

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — buy protection

 

 

8

 

 

6

 

 

3

 

 

 

 

2

 

Average number of contracts — sell protection

 

 

17

 

 

16

 

 

1

 

 

1

 

 

 

Average notional value — buy protection

 

$

6,177,500

 

$

4,431,875

 

$

1,536,250

 

 

 

$

791,250

 

Average notional value — sell protection

 

$

5,088,403

 

$

5,116,133

 

$

895,455

 

$

250,000

 

 

 


















3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Funds for 1940 Act purposes, but BAC and Barclays are not.

Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee at the following annual rates of each Fund’s average daily net assets, plus the proceeds of any outstanding borrowings used for leverage:

 

 

 

 

 






COY

 

 

0.50

%

CYE

 

 

0.60

%

DSU

 

 

0.60

%

FRB

 

 

0.75

%

ARK

 

 

0.50

%







 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

75




 



 

Notes to Financial Statements (continued)

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds, however the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through each Fund’s investment in other affiliated investment companies, if any. This amount is shown as fees waived by advisor in the Statements of Operations.

For the period March 1, 2010 through December 31, 2010, each Fund reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:

 

 

 

 

 






COY

 

$

4,766

 

CYE

 

$

5,288

 

DSU

 

$

8,322

 

FRB

 

$

2,707

 

ARK

 

$

4,242

 







Effective January 1, 2011, the Funds no longer reimburse the Manager for accounting services.

Certain officers and/or directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensa–tion paid to the Funds’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments, including paydowns and excluding short-term securities, for the year ended ended February 28, 2011, were as follows:

 

 

 

 

 

 

 

 









 

 

Purchases

 

Sales

 









COY

 

$

243,053,474

 

$

248,687,824

 

CYE

 

$

312,215,363

 

$

294,067,059

 

DSU

 

$

507,346,077

 

$

457,122,624

 

FRB

 

$

206,298,603

 

$

178,904,595

 

ARK

 

$

251,078,316

 

$

228,453,221

 









5. Commitments:

The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded loan commitments (“commitments”). Commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of February 28, 2011, the Funds had the following unfunded loan commitments:

 

 

 

 

 

 

 

 







Borrower

 

Unfunded
Commitment

 

Value of
Underlying Loan

 







COY

 

 

 

 

 

 

 









Delphi Holdings LLP

 

$

496,021

 

$

484,429

 

Echostar Corp.

 

$

2,660,000

 

$

2,660,000

 









CYE

 

 

 

 

 

 

 









Axcan Intermediate Holdings, Inc.

 

$

333,333

 

$

336,037

 

Delphi Holdings LLP

 

$

865,487

 

$

839,522

 

Echostar Corp.

 

$

2,910,000

 

$

2,910,000

 









DSU

 

 

 

 

 

 

 









Axcan

 

$

600,000

 

$

604,868

 

Delta, Inc.

 

$

1,475,000

 

$

1,507,357

 

Echostar Corp.

 

$

4,675,000

 

$

4,675,000

 









FRB

 

 

 

 

 

 

 









Axcan Intermediate Holdings, Inc.

 

$

383,333

 

$

386,444

 

CII Investments LLC

 

$

97,137

 

$

99,216

 

Delphi Holdings LLP

 

$

153,455

 

$

148,851

 

Delta, Inc.

 

$

1,125,000

 

$

1,155,299

 

Echostar Corp.

 

$

1,510,000

 

$

1,510,000

 

Horizon Lines LLC

 

$

92,394

 

$

91,475

 









ARK

 

 

 

 

 

 

 









Axcan Intermediate Holdings, Inc.

 

$

316,666

 

$

319,236

 

Delta, Inc.

 

$

600,000

 

$

613,648

 









6. Borrowings:

On March 4, 2010, the Funds entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Funds have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:

 

 

 

 

 







 

 

Commitment
Amounts

 







COY

 

$

90,000,000

 

CYE

 

$

95,000,000

 

DSU

 

$

150,000,000

 

FRB

 

$

58,000,000

 

ARK

 

$

91,000,000

 







Advances were made by SSB to the Funds, at the Fund’s option of (a) the higher of (i) 1.0% above the Fed Funds rate and (ii) 1.0% above the Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR.

 

 

 


76

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Notes to Financial Statements (continued)

Effective March 3, 2011, the SSB Agreement was renewed for 364 days. The SSB Agreement allows for the following maximum commitment amounts:

 

 

 

 

 





 

 

Commitment
Amounts

 





COY

 

$

126,600,000

 

CYE

 

$

138,000,000

 

DSU

 

$

224,500,000

 

FRB

 

$

72,500,000

 

ARK

 

$

117,500,000

 






Advances are made by SSB to the Funds, at the Fund’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Funds pay a facility fee and a commitment fee based upon SSB’s total commitment to each of the Funds. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of February 28, 2011 are shown in the Statements of Assets and Liabilities as loan payable.

For the year ended February 28, 2011, the Funds’ daily weighted average interest rates under the revolving line of credit agreement were as follows:

 

 

 

 

 






COY

 

 

1.27

%

CYE

 

 

1.27

%

DSU

 

 

1.27

%

FRB

 

 

1.27

%

ARK

 

 

1.27

%






7. Income Tax Information:

Reclassifications: US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of February 28, 2011 attributable to the accounting for swap agreements, amortization methods on fixed income securities, the classification of settlement proceeds, the classification of investments, foreign currency transactions, securities in default, income recognized from pass-through entities, the expiration of capital loss carryforwards and distributions paid in excess of taxable income were reclassified to the following accounts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













Paid-in capital

 

$

(73,000,825

)

$

(114,670,561

)

$

(85,242,929

)

$

(95,590

)

$

(30,681,220

)

Undistributed net investment income

 

$

813,885

 

$

975,561

 

$

1,190,924

 

$

393,335

 

$

(82,446

)

Accumulated net realized loss

 

$

72,186,940

 

$

113,695,000

 

$

84,052,005

 

$

(297,745

)

$

30,763,666

 


















The tax character of distributions paid during the fiscal years ended February 28, 2011, February 28, 2010, February 28, 2009 and the fiscal period June 1, 2008 through February 28, 2009 was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













Ordinary income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/28/2011

 

$

21,257,066

 

$

22,906,514

 

$

35,928,501

 

$

8,767,675

 

$

18,479,539

 

2/28/2010

 

 

25,342,365

 

 

25,189,541

 

 

41,936,207

 

 

10,286,099

 

 

16,952,851

 

2/28/2009

 

 

 

 

 

 

65,857,392

 

 

16,017,675

 

 

24,063,310

 

6/1/2008 – 2/28/2009

 

 

19,134,959

 

 

20,800,925

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/28/2011

 

 

 

 

 

 

924,228

 

 

716,193

 

 

 

2/28/2010

 

 

 

 

 

 

926,392

 

 

823,096

 

 

 

2/28/2009

 

 

 

 

 

 

 

 

 

 

3,089,535

 


















Total distributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/28/2011

 

$

21,257,066

 

$

22,906,514

 

$

36,852,729

 

$

9,483,868

 

$

18,479,539

 

 

 
















2/28/2010

 

$

25,342,365

 

$

25,189,541

 

$

42,862,599

 

$

11,109,195

 

$

16,952,851

 

 

 
















2/28/2009

 

 

 

 

 

$

65,857,392

 

$

16,017,675

 

$

27,152,845

 

 

 
















6/1/2008 – 2/28/2009

 

$

19,134,959

 

$

20,800,925

 

 

 

 

 

 

 

 

 
















As of February 28, 2011, the tax components of accumulated net losses were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













Undistributed ordinary income

 

$

3,578,465

 

$

2,773,693

 

 

 

 

 

$

3,563,148

 

Capital loss carryforwards

 

 

(66,787,167

)

 

(60,846,589

)

$

(283,217,785

)

$

(52,415,577

)

 

(126,762,290

)

Net unrealized gains (losses)*

 

 

12,152,055

 

 

15,414,576

 

 

(52,022,520

)

 

1,593,623

 

 

(9,291,275

)

 

 
















Total

 

$

(51,056,647

)

$

(42,658,320

)

$

(335,240,305

)

$

(50,821,954

)

$

(132,490,417

)

 

 

















 

 

*

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the deferral of post-October currency and capital losses for tax purposes, the timing and recognition of partnership income, the accounting for swap agreements, investments in passive foreign investment companies, the classification of settlement proceeds, the deferral of compensation to directors, the classification of investments and investments in wholly owned subsidiaries.


 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

77




 


 

Notes to Financial Statements (concluded)

As of February 28, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Expires

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 













2012

 

$

6,647,369

 

$

1,938,881

 

$

17,223,475

 

 

 

$

22,345,071

 

2013

 

 

 

 

 

 

21,126,025

 

 

 

 

 

2014

 

 

 

 

 

 

20,233,987

 

$

100,255

 

 

4,906,362

 

2015

 

 

 

 

 

 

3,578,574

 

 

1,315,945

 

 

1,585,622

 

2016

 

 

454,146

 

 

363,401

 

 

 

 

 

 

 

2017

 

 

23,362,415

 

 

24,709,530

 

 

56,690,782

 

 

12,168,927

 

 

27,675,242

 

2018

 

 

36,323,237

 

 

33,834,777

 

 

148,062,952

 

 

38,830,450

 

 

60,685,648

 

2019

 

 

 

 

 

 

16,301,990

 

 

 

 

9,564,345

 

 

 
















Total

 

$

66,787,167

 

$

60,846,589

 

$

283,217,785

 

$

52,415,577

 

$

126,762,290

 

 

 
















Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after February 28, 2011 will not be subject to expiration. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment.

8. Market and Credit Risk:

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds’ Statements of Assets and Liabilities, less any collateral held by the Funds.

9. Capital Share Transactions:

Each Fund is authorized to issue 200 million shares, par value $0.10 per share, all of which were initially classified as Common Shares. At February 28, 2011, the shares owned by affiliates of the Manager of FRB were 9,136. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

 

 

 

 

 

 

 

 







 

 

Year Ended
February 28, 2011

 

Year Ended
February 28, 2010

 







COY

 

40,744

 

 

132,418

 

 

CYE

 

23,432

 

 

16,969

 

 

DSU

 

114,520

 

 

422,001

 

 

FRB

 

42,733

 

 

19,658

 

 

ARK

 

63,426

 

 

33,391

 

 









10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Fund paid a net investment income dividend on March 31, 2011 to Common Shareholders of record on March 15, 2011 as follows:

 

 

 

 

 

 

 





 

 

Common Dividend
Per Share

 





COY

 

 

$

0.0510

 

 

CYE

 

 

$

0.0500

 

 

DSU

 

 

$

0.0270

 

 

FRB

 

 

$

0.0750

 

 

ARK

 

 

$

0.0250

 

 









 

 

 


78

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Directors of
BlackRock Corporate High Yield Fund, Inc.,
BlackRock Corporate High Yield Fund III, Inc.,
BlackRock Debt Strategies Fund, Inc.,
BlackRock Floating Rate Income Strategies Fund II, Inc. and
BlackRock Senior High Income Fund, Inc.
(collectively the “Funds”):

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Corporate High Yield Fund, Inc., BlackRock Corporate High Yield Fund III, Inc., BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund II, Inc., and BlackRock Senior High Income Fund, Inc., as of February 28, 2011, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of the securities owned as of February 28, 2011, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Corporate High Yield Fund, Inc., BlackRock Corporate High Yield Fund III, Inc., BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund II, Inc., and BlackRock Senior High Income Fund, Inc. as of February 28, 2011, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Princeton, New Jersey
April 29, 2011

 


Important Tax Information (Unaudited)


The following information is provided with respect to the ordinary income distributions paid by the Funds for the taxable year ended February 28, 2011:

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 















Interest-Related Dividends for
Non-U.S. Residents(1)

 

Months Paid:

 

March 2010

 

55.19

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

April 2010

 

57.85

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

May 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

June 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

July 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

August 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

September 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

October 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

November 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

December 2010

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

January 2011

 

87.13

%

91.02

%

72.25

%

65.50

%

93.87

%

 

 

February 2011

 

92.91

%

59.91

%

100.00

%

100.00

%

48.64

%
















 

 

(1)

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

Of the February 2011 distribution for DSU, 58.29% qualifies for the dividends received deduction for corporations and 58.29% consists of qualified dividend income for individuals.

Of the February 2011 distribution for ARK, 39.39% qualifies for the dividends received deduction for corporations and 39.39% consists of qualified dividend income for individuals.

 

 

 

 


 

ANNUAL REPORT

FEBRUARY 28, 2011

79




 


 

Automatic Dividend Reinvestment Plans

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Plan”), common shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by BNY Mellon Shareowner Services for DSU and ARK and Computershare Trust Company, N.A. for COY, CYE and FRB (individually, the “Plan Agent” or together, the “Plan Agents”) in the respective Fund’s shares pursuant to the Plan. Shareholders who do not participate in the plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.

After the Funds declare a dividend or determine to make a capital gain distribution, the Plan Agents will acquire shares for the participant’s account, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Plan Agent is unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Plan Agent will invest any un-invested portion in newly issued shares.

Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Plan Agent prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however each Fund reserves the right to amend the Plan to include a service charge payable by the participants. Participants that request a sale of shares through Computershare Trust Company, N.A. are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. Participants that request a sale of shares through BNY Mellon Shareowner Services are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Plan should be directed to the respective Plan Agent: BNY Mellon Shareowner Services, P.O. Box 358035, Pittsburgh, PA 15252-8035 for shareholders of DSU and ARK or Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI 02940-3078, Telephone (800) 699-1BFM or overnight correspondence should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021 for shareholders of COY, CYE and FRB.

 

 

 


80

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Officers and Directors


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Funds

 

Length
of Time
Served as
a Director2

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships












Non-Interested Directors1

 

 

 

 


Richard E. Cavanagh
55 East 52nd Street
New York, NY 10055
1946

 

Chairman of the Board and Director

 

Since
2007

 

Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Trustee, Educational Testing Service since 1997; Senior Advisor since 2008 and Director since 1996, The Fremont Group; Adjunct Lecturer, Harvard University since 2007; Formerly President and Chief Executive Officer of The Conference Board, Inc. (global business research organization) from 1995 to 2007.

 

97 RICs consisting of 95 Portfolios

 

Arch Chemical (chemical and allied products)












Karen P. Robards
55 East 52nd Street
New York, NY 10055
1950

 

Vice Chair of the Board, Chair of the Audit Committee and Director

 

Since
2007

 

Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Director of Enable Medical Corp. from 1996 to 2005; Investment Banker at Morgan Stanley from 1976 to 1987.

 

97 RICs consisting of 95 Portfolios

 

AtriCure, Inc. (medical devices)












Frank J. Fabozzi
55 East 52nd Street
New York, NY 10055
1948

 

Director and Member of the Audit Committee

 

Since
2007

 

Consultant/Editor of The Journal of Portfolio Management since 2006; Professor in the Practice of Finance and Becton Fellow, Yale University, School of Management, since 2006; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.

 

97 RICs consisting of 95 Portfolios

 

None












Kathleen F. Feldstein
55 East 52nd Street
New York, NY 10055
1941

 

Director

 

Since
2007

 

President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Member of the Corporation of Sherrill House (health care) since 1990; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.

 

97 RICs consisting of 95 Portfolios

 

The McClatchy Company (publishing)












James T. Flynn
55 East 52nd Street
New York, NY 10055
1939

 

Director and Member of the Audit Committee

 

Since
2007

 

Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.

 

97 RICs consisting of 95 Portfolios

 

None












Jerrold B. Harris
55 East 52nd Street
New York, NY 10055
1942

 

Director

 

Since
2007

 

Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000.

 

97 RICs consisting of 95 Portfolios

 

BlackRock Kelso Capital Corp.













 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

81





 


 

Officers and Directors (continued)


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Funds

 

Length
of Time
Served as
a Director2

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships












Non-Interested Directors1 (concluded)


R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958

 

Director

 

Since
2007

 

Dean, Columbia Business School since 2004; Columbia faculty member since 1988; Co-Director, Columbia Business School’s Entrepreneurship Program from 1997 to 2004; Visiting Professor, John F. Kennedy School of Government at Harvard University and the Harvard Business School since 1985 and at the University of Chicago since 1994; Chairman, US Council of Economic Advisers under the President of the United States from 2001 to 2003.

 

97 RICs consisting of 95 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Duke Realty (real estate); Metropolitan Life Insurance Company (insurance); Information Services Group (media/technology)












W. Carl Kester
55 East 52nd Street
New York, NY 10055
1951

 

Director and Member of the Audit Committee

 

Since
2007

 

George Fisher Baker Jr. Professor of Business Administration, Harvard Business School; Deputy Dean for Academic Affairs from 2006 to 2010; Unit Head, Finance, Harvard Business School from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.

 

97 RICs consisting of 95 Portfolios

 

None


 

 

 

 



 

1

Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

 

 

 

 

2

Date shown is the earliest date a person has served for the Fund covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Funds’ board in 2007, each director first became a member of the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh since 1994; Frank J. Fabozzi since 1988; Kathleen F. Feldstein since 2005; James T. Flynn since 1996; Jerrold B. Harris since 1999; R. Glenn Hubbard since 2004; W. Carl Kester since 1998 and Karen P. Robards since 1998.


 

 

 

 

 

 

 

 

 

 

 












Interested Directors3












Richard S. Davis
55 East 52nd Street
New York, NY 10055
1945

 

Director

 

Since
2007

 

Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005; Chairman, SSR Realty from 2000 to 2004.

 

167 RICs consisting of 287 Portfolios

 

None












Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947

 

Director

 

Since
2007

 

Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

 

167 RICs consisting of 287 Portfolios

 

None


 

 

 

 



 

3

Mr. Davis is an “interested person,” as defined in the Investment Company Act of 1940, of the Funds based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Funds based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.


 

 

 




82

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Officers and Directors (concluded)


 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Funds

 

Length
of Time
Served

 

Principal Occupation(s) During Past Five Years


Funds Officers1


John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964

 

President and Chief Executive Officer

 

Since
2010

 

Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009.








Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977

 

Vice President

 

Since
2009

 

Managing Director of BlackRock, Inc. Since
2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.








Anne Ackerley
55 East 52nd Street
New York, NY 10055
1962

 

Vice President

 

Since
2009

 

Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised Funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group (GCG) since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.








Neal Andrews
55 East 52nd Street
New York, NY 10055
1966

 

Chief Financial Officer

 

Since
2007

 

Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. (formerly PFPC Inc.) from 1992 to 2006.








Jay Fife
55 East 52nd Street
New York, NY 10055
1970

 

Treasurer

 

Since
2007

 

Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Formerly Assistant Treasurer of the MLIM/FAM-advised Funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.








Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959

 

Chief Compliance Officer

 

Since
2007

 

Chief Compliance Officer of the BlackRock-advised Funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005; Formerly Director and Senior Counsel of BlackRock Advisors, Inc. from 2001 to 2004.








Ira Shapiro
55 East 52nd Street
New York, NY 10055
1963

 

Secretary

 

Since
2010

 

Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.


 

 

 

 



 

1

Officers of the Funds serve at the pleasure of the Board of Directors.





 

Investment Advisor

 

BlackRock Advisors, LLC
Wilmington, DE 19809

 

Sub-Advisor

 

BlackRock Financial
Management, Inc.
New York, NY 10055

 

Custodians

 

JPMorgan Chase Bank, N.A.2
New York, NY 10017

 

State Street Bank and
Trust Company3
Boston, MA 02111

 

The Bank of New York Mellon4
New York, NY 10286

 

Transfer Agents

 

BNY Mellon Shareowner Services4
Jersey City, NJ 07310

 

Computershare Trust Company, N.A.2,3
Providence, RI 02940

 

Accounting Agent

 

State Street Bank and
Trust Company
Princeton, NJ 08540

 

Independent Registered Public Accounting Firm

 

Deloitte & Touche LLP
Princeton, NJ 08540

 

Legal Counsel

 

Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036

 

Address of the Funds

 

100 Bellevue Parkway
Wilmington, DE 19809


 

 

2

For COY.

3

For CYE and FRB.

4

For DSU and ARK.


 

 

 




 

 

 

 

Effective February 11, 2011, John M. Perlowski became President and Chief Executive Officer of the Funds.

 

 

 

 

 

Effective November 10, 2010, Ira Shapiro became Secretary of the Funds.

 

 

 

 





 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

83





 


 

Additional Information

 


Proxy Results


The Annual Meeting of Shareholders was held on September 2, 2010 for shareholders of record on July 6, 2010, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 









 

 

Richard E. Cavanagh

 

Richard S. Davis

 

Frank J. Fabozzi

 

 

 


 


 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 





















COY

 

26,923,800

 

1,114,664

 

0

 

27,067,570

 

970,894

 

0

 

26,933,349

 

1,105,115

 

0

 

CYE

 

28,529,619

 

901,847

 

0

 

28,526,624

 

904,842

 

0

 

28,570,818

 

860,648

 

0

 

DSU

 

80,569,236

 

3,648,060

 

0

 

80,702,210

 

3,515,086

 

0

 

80,618,771

 

3,598,525

 

0

 

FRB

 

5,671,979

 

179,939

 

0

 

5,698,004

 

153,914

 

0

 

5,665,523

 

186,395

 

0

 

ARK

 

45,082,631

 

1,123,756

 

0

 

45,056,765

 

1,149,622

 

0

 

45,087,197

 

1,119,190

 

0

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Kathleen F. Feldstein

 

James T. Flynn

 

Henry Gabbay

 

 

 


 


 



 

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 





















COY

 

26,926,259

 

1,112,205

 

0

 

26,865,056

 

1,173,408

 

0

 

27,033,592

 

1,004,872

 

0

 

CYE

 

28,536,666

 

894,800

 

0

 

28,550,286

 

881,180

 

0

 

28,542,554

 

888,912

 

0

 

DSU

 

80,138,700

 

4,078,596

 

0

 

80,388,735

 

3,828,561

 

0

 

80,707,913

 

3,509,383

 

0

 

FRB

 

5,665,318

 

186,600

 

0

 

5,698,004

 

153,914

 

0

 

5,675,717

 

176,201

 

0

 

ARK

 

45,032,934

 

1,173,453

 

0

 

44,983,268

 

1,223,119

 

0

 

45,065,257

 

1,141,130

 

0

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jerrold B. Harris

 

R. Glenn Hubbard

 

W. Carl Kester

 

 

 


 


 



 

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 





















COY

 

26,996,238

 

1,042,226

 

0

 

27,037,440

 

1,001,024

 

0

 

27,051,656

 

986,808

 

0

 

CYE

 

28,528,287

 

903,179

 

0

 

28,527,027

 

904,439

 

0

 

28,564,793

 

866,673

 

0

 

DSU

 

80,486,112

 

3,731,184

 

0

 

80,511,394

 

3,705,902

 

0

 

80,600,402

 

3,616,894

 

0

 

FRB

 

5,687,811

 

164,107

 

0

 

5,679,616

 

172,302

 

0

 

5,687,811

 

164,107

 

0

 

ARK

 

45,077,075

 

1,129,312

 

0

 

45,082,923

 

1,123,464

 

0

 

45,089,439

 

1,116,948

 

0

 






















 

 

 

 

 

 

 

 

 

 

Karen P. Robards

 

 

 



 

 

Votes For

 

Votes
Withheld

 

Abstain

 









COY

 

27,049,020

 

989,444

 

0

 

CYE

 

28,587,087

 

844,379

 

0

 

DSU

 

80,523,083

 

3,694,213

 

0

 

FRB

 

5,672,074

 

179,844

 

0

 

ARK

 

45,116,546

 

1,089,841

 

0

 










 


Dividend Policy


 

The Funds’ dividend policy is to distribute all or a portion of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment information included in this report. income earned in that month. As a result, the dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial

 

 

 

See Notes to Financial Statements.

 




84

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Additional Information (continued)


 


Fund Certification


The Funds listed for trading on the New York Stock Exchange (“NYSE”) have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. Each Fund filed with the

Securities and Exchange Commission (“SEC”) the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 


General Information


The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charter or by-laws that would delay or prevent a change of control of the Funds that were not approved by shareholders or in the principal risk factors associated with investment in the Funds. Changes regarding the persons who are primarily responsible for the day-to-day management for the Funds’ portfolios are noted in the boxed text below.

Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s web-site is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website into this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Funds’ website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call (800) 441-7762.

Availability of Quarterly Schedule of Investments

Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds.

 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

85




 


 

Additional Information (continued)


 


Section 19(a) Notices


These amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on the tax regulations. The Funds will send you a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

Total Cumulative Distributions
for the Fiscal Year

 

% Breakdown of the Total Cumulative Distributions
for the Fiscal Year

 

 

 


 



 

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 



























DSU

 

$

0.342000

 

 

 

 

 

$

0.342000

 

 

100

%

 

0

%

 

0

%

 

100

%

FRB

 

$

0.833862

 

 

 

$

0.066138

 

$

0.900000

 

 

93

%

 

0

%

 

7

%

 

100

%



























Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with ‘yield’ or ‘income.’

 

 

 




86

ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Additional Information (concluded)


 


BlackRock Privacy Principles


BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

 

 





 

ANNUAL REPORT

FEBRUARY 28, 2011

87



This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

(GO PAPERLESS LOGO)

 

#CEF1-5-2/11

(BLACKROCK LOGO)


Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer and principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

 

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

 

 

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

 

 

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

 

 

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

 

 

 

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

 

 

 

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 


Item 4 –

Principal Accountant Fees and Services

 

 

 

The following table presents fees billed by Deloitte & Touche LLP (“D&T) in each of the last two fiscal years for the services rendered to the Fund:

 

 

(a) Audit Fees

(b) Audit-Related Fees1

(c) Tax Fees2

(d) All Other Fees3

Entity Name

Current Fiscal Year End

Previous Fiscal Year End

Current Fiscal Year End

Previous Fiscal Year End

Current Fiscal Year End

Previous Fiscal Year End

Current Fiscal Year End

Previous Fiscal Year End

 

 

 

 

 

 

 

 

 

BlackRock Corporate High Yield Fund III, Inc.

$47,500

$42,500

$0

$0

$11,800

$6,100

$0

$0

 

    

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

 

Current Fiscal Year End

Previous Fiscal Year End

Audit-Related Fees1

0%

0%

Tax Fess2

0%

0%

All Other Fees3

0%

0%

1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services include tax compliance, tax advice and tax planning.

3 The nature of the services include a review of compliance procedures and attestation thereto.

 

    

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

 

 

 

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant’s affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 


    

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

 

 

 

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

 

 

(f) Not Applicable

 

 

 

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant and Investment Adviser and any entity controlling, controlled by or under common control with the Investment Adviser that provides ongoing services to the registrant were:

 

Entity Name

Current Fiscal Year End

Previous Fiscal Year End

 

 

 

BlackRock Corporate High Yield Fund III, Inc.

$11,800

$16,877

 

 

(h) The registrant’s audit committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the Investment Adviser), and any entity controlling, controlled by, or under common control with the Investment Adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

 

Item 5 –

Audit Committee of Listed Registrants

 

    

(a)

The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

 

 

 

 

 

Frank J. Fabozzi

 

 

James T. Flynn

 

 

W. Carl Kester

 

 

Karen P. Robards

 

 

 

 

(b)

Not Applicable

 

Item 6 –

Investments

 

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.

 

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 


Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Fund’s Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – as of February 28, 2011.

 

    

(a)(1)

The registrant is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock, and Derek Schoenhofen, Director at BlackRock. Messrs. Keenan, Garfin and Schoenhofen are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s management team since 2006. Messrs. Garfin and Schoenhofen have been members of the Fund’s management team since 2009.

 

Portfolio Manager

Biography

James E. Keenan

Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock from 2004 to 2005.

Mitchell Garfin

Managing Director of BlackRock since 2009; Director of BlackRock from 2005 to 2008.

Derek Schoenhofen   

Director of BlackRock since 2006; Vice President of BlackRock from 2000 to 2005.

 


    

(a)(2)

As of February 28, 2011:

 

 

(ii) Number of Other Accounts Managed

and Assets by Account Type

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

James E. Keenan

23

22

28

0

12

3

 

$11 Billion

$8.70 Billion

$5.56 Billion

$0

$4.25 Billion

$468.5 Million

Mitchell Garfin

11

8

26

0

1

3

 

$7.40 Billion

$5.33 Billion

$6.88 Billion

$0

$1.56 Billion

$468.5 Million

Derek Schoenhofen

12

6

33

0

1

3

 

$7.50 Billion

$3.87 billion

$7.67 Billion

$0

$204.6 Million

$468.5 Million

 

 

(iv)

Potential Material Conflicts of Interest

 

    

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund.  In addition, BlackRock, its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund.  BlackRock, or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities.  Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information.  Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for the Fund.  It should also be noted that Messrs. Garfin, Keenan and Schoenhofen may manage certain accounts that are subject to performance fees.  In addition, Messrs. Keenan and Schoenhofen may assist in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily or involuntarily deferred.  Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.

 


    

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

 

 

(a)(3)

As of February 28, 2011:

 

    

Portfolio Manager Compensation Overview

 

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

 

 

 

Base compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

 

 

 

Discretionary Incentive Compensation

 

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock.  In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured.  BlackRock’s Chief Investment Officers determine the benchmarks against which the performance of funds and other accounts managed by each portfolio manager is compared and the period of time over which performance is evaluated.  With respect to the portfolio managers, such benchmarks include the following:

 

Portfolio Manager

Applicable Benchmarks

James Keenan

A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer CappedTM Index), certain customized indices and certain fund industry peer groups.

Mitchell Garfin

A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer CappedTM Index), certain customized indices and certain fund industry peer groups.

Derek Schoenhofen   

A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer CappedTM Index), certain customized indices and certain fund industry peer groups.

 


    

Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to the portfolio managers’ compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks noted above.  Performance of fixed income funds is measured on both a pre-tax and after-tax basis over various time periods including 1-, 3-, 5- and 10-year periods, as applicable. With respect to the performance of the other Index and Multi-Asset Funds noted herein performance is measured on, among other things, a pre-tax basis over various time periods including 1-, 3- and 5-year periods, as applicable.

 

 

 

Distribution of Discretionary Incentive Compensation

 

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and which vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, are settled in BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of annual bonuses in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

 

 

 

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance.  Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Garfin, Keenan and Schoenhofen have each received long-term incentive awards.

 

 

 

Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program is permitted to allocate his deferred amounts among various BlackRock investment options. Messrs. Garfin, Keenan and Schoenhofen have each participated in the deferred compensation program.

 

 

 

Other compensation benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

 

 

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation.  The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into an index target date fund that corresponds to, or is closest to, the year in which the participant attains age 65.  The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair market value of the stock on the purchase date.  Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000.  Each portfolio manager is eligible to participate in these plans.

 


 

(a)(4)

Beneficial Ownership of Securities – As of February 28, 2011.

 

Portfolio Manager

Dollar Range of Equity Securities
of the Fund Beneficially Owned

James Keenan

$500,001 - $1,000,000

Mitchell Garfin

None

Derek Schoenhofen   

$10,001 - $50,000

 

 

(b) Not Applicable

 

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

 

Item 11 –

Controls and Procedures

 

 

 

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

 

 

 

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

 

 

Item 12 –

Exhibits attached hereto

 

 

 

(a)(1) – Code of Ethics – See Item 2

 

 

 

(a)(2) – Certifications – Attached hereto

 

 

 

(a)(3) – Not Applicable

 

 

 

(b) – Certifications – Attached hereto

 


    

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

 

 

 

BlackRock Corporate High Yield Fund III, Inc.

 

 

 

By: /s/ John M. Perlowski

 

 

 

John M. Perlowski 

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock Corporate High Yield Fund III, Inc. 

 

 

 

Date: May 4, 2011 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. 

 

 

 

By: /s/ John M. Perlowski

 

 

 

John M. Perlowski 

 

 

Chief Executive Officer (principal executive officer) of 

 

 

BlackRock Corporate High Yield Fund III, Inc. 

 

 

 

Date: May 4, 2011 

 

 

 

By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews 

 

 

Chief Financial Officer (principal financial officer) of 

 

 

BlackRock Corporate High Yield Fund III, Inc. 

 

 

 

 

Date: May 4, 2011