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: 02/29/2012

 

Date of reporting period: 02/29/2012

 

Item 1 – Report to Stockholders


 

 

(BLACKROCK LOGO)

February 29, 2012


 

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:

 

 

Consolidated Schedules of Investments

 

15

Consolidated Statements of Assets and Liabilities

 

59

Consolidated Statements of Operations

 

60

Statements of Changes in Net Assets

 

61

Consolidated Statements of Cash Flows

 

63

Financial Highlights

 

64

Notes to Consolidated Financial Statements

 

69

Report of Independent Registered Public Accounting Firm

 

79

Important Tax Information

 

79

Automatic Dividend Reinvestment Plans

 

80

Officers and Directors

 

81

Additional Information

 

84


 

 

 

 

 

 

2

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Dear Shareholder

Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europe’s rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.

Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nation’s debt. Nevertheless, considerable head-winds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.

Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.

 

Sincerely,

 

-s- Rob Kapito

 

Rob Kapito

President, BlackRock Advisors, LLC


 

(ROB KAPITO)

 

“For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.”

Rob Kapito
President, BlackRock Advisors, LLC

 

 

Total Returns as of February 29, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

13.31

%

 

5.12

%

 

US small cap equities
(Russell 2000® Index)

 

12.40

 

 

(0.15

)

 

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

 

4.13

 

 

(7.45

)

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

5.27

 

 

(0.11

)

 

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

 

0.00

 

 

0.08

 

 

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

 

3.70

 

 

17.22

 

 

US investment grade bonds
(Barclays US Aggregate
Bond Index)

 

2.73

 

 

8.37

 

 

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

 

5.93

 

 

12.88

 

 

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

 

8.62

 

 

6.92

 

 

 

 

 

 

 

 

 

 

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


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

 

 

Fund Summary as of February 29, 2012

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’s”) or Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or are unrated securities considered by BlackRock to be of comparable quality. As a secondary objective, the Fund also seeks to provide shareholders 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 29, 2012, the Fund returned 20.39% based on market price and 7.15% 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 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

The Fund’s positive performance during the 12-month period was driven largely by security selection among higher-quality and non-rated credits. The Fund’s exposure to Charter Communications, Inc. boosted returns, as did holdings of Delphi Automotive Plc stock received in connection with the company’s reorganization in 2009. Overall, risk assets performed well over the period despite sharp volatility in the latter half of 2011.

 

 

Assets with higher duration (greater sensitivity to interest rate movements) benefited most from the drop in interest rates over the period. Accordingly, the high yield market underperformed US Treasuries, investment grade corporate bonds and emerging market debt securities. The Fund’s performance was negatively impacted by security selection within the mid-tier credit quality range. On a sector basis, selection within automotive, independent energy and paper detracted. The Fund reduced its allocation to floating rate loan interests (bank loans) during the period as the asset class underperformed relative to high yield bonds and higher quality investments.

 

 

The Fund uses credit default swaps to express a particular view in an individual credit name and as a means of managing risk. It also utilizes credit default swaps on a basket of securities in order to put cash to work or quickly increase or decrease the portfolio’s exposure to market movements. The Fund may also use stock futures and options to hedge the equity risk inherent within an individual position or group of positions. Stock futures are an efficient mechanism for reducing risk under certain market conditions. The Fund also uses forward contracts on foreign currencies to hedge the currency risk of non-dollar denominated bonds. During the period, the use of derivatives had an overall positive impact on Fund returns.

 

 

 

Describe recent portfolio activity.

 

During the 12-month period, the Fund’s positioning grew more conservative as the outlook for global growth deteriorated. The Fund migrated toward more resilient, higher-quality issuers paying attractive yields while reducing exposure to lower-quality issuers and higher-beta securities (those with greater sensitivity to market movements) that are more vulnerable to the economic cycle.

 

 

However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Fund started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Fund maintained its higher-quality, income-oriented bias throughout the period. The Fund continued to seek issuers with superior fundamentals (solid cash flows, earnings visibility and attractive downside protection), while generally remaining cautious of higher-beta credits and the more cyclical sectors.

 

 

 

Describe portfolio positioning at period end.

 

At period end, the Fund held 80% of its total portfolio in corporate bonds, 12% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred securities and other interests. The Fund’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as gaming, building materials and technology. The Fund ended the period with economic leverage at 21% 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 29, 2012




 

 

 

 

 

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 29, 2012 ($7.76)1

7.89%

Current Monthly Distribution per Common Share2

$0.051

Current Annualized Distribution per Common Share2

$0.612

Economic Leverage as of February 29, 20123

21%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$7.76

 

$7.03

 

10.38

%

 

$7.82

 

$5.99

Net Asset Value

 

$7.29

 

$7.42

 

(1.75

)%

 

$7.56

 

$6.45

The following 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

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Corporate Bonds

 

80

%

 

85

%

 

Floating Rate Loan Interests

 

12

 

 

7

 

 

Common Stocks

 

5

 

 

5

 

 

Preferred Securities

 

2

 

 

1

 

 

Other Interests

 

1

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

1

%

 

BBB/Baa

 

6

 

 

4

 

 

BB/Ba

 

42

 

 

31

 

 

B

 

40

 

 

46

 

 

CCC/Caa

 

10

 

 

13

 

 

Not Rated

 

1

 

 

5

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

5




 

 

 

 

Fund Summary as of February 29, 2012

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’s 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 29, 2012, the Fund returned 18.62% based on market price and 7.11% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

The Fund’s positive performance during the 12-month period was driven largely by security selection among higher-quality credits. The Fund’s exposure to Charter Communications, Inc. boosted returns, as did holdings of Delphi Automotive Plc stock received in connection with the company’s reorganization in 2009. Overall, risk assets performed well over the period despite sharp volatility in the latter half of 2011.

 

 

Assets with higher duration (greater sensitivity to interest rate movements) benefited most from the drop in interest rates over the period. Accordingly, the high yield market underperformed US Treasuries, investment grade corporate bonds and emerging market debt securities. The Fund’s performance was negatively impacted by security selection within the mid-tier credit quality range. On a sector basis, selection within automotive, independent energy and paper detracted. The Fund reduced its allocation to floating rate loan interests (bank loans) during the period as the asset class underperformed relative to high yield bonds and higher-quality investments.

 

 

The Fund uses credit default swaps to express a particular view in an individual credit name and as a means of managing risk. It also utilizes credit default swaps on a basket of securities in order to put cash to work or quickly increase or decrease the portfolio’s exposure to market movements. The Fund may also use stock futures and options to hedge the equity risk inherent within an individual position or group of positions. Stock futures are an efficient mechanism for reducing risk under certain market conditions. The Fund also uses forward contracts on foreign currencies to hedge the currency risk of non-dollar denominated bonds. During the period, the use of derivatives had an overall positive impact on Fund returns.

 

 

 

Describe recent portfolio activity.

 

During the 12-month period, the Fund’s positioning grew more conservative as the outlook for global growth deteriorated. The Fund migrated toward more resilient, higher-quality issuers paying attractive yields while reducing exposure to lower-quality issuers and higher-beta securities (those with greater sensitivity to market movements) that are more vulnerable to the economic cycle.

 

 

However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Fund started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Fund maintained its higher-quality, income-oriented bias throughout the period. The Fund continued to seek issuers with superior fundamentals (solid cash flows, earnings visibility and attractive downside protection), while generally remaining cautious of higher-beta credits and the more cyclical sectors.

 

 

 

Describe portfolio positioning at period end.

 

At period end, the Fund held 77% of its total portfolio in corporate bonds, 15% in floating rate loan interests (bank loans), with the remainder in common stocks and preferred securities. The Fund’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as gaming, building materials and technology. The Fund ended the period with economic leverage at 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 29, 2012




 

 

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 29, 2012 ($7.75)1

7.90%

Current Monthly Distribution per Common Share2

$0.051

Current Annualized Distribution per Common Share2

$0.612

Economic Leverage as of February 29, 20123

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

 

 

 

 

 

 

 

 

 

 

 

 

Market Price

 

$7.75

 

$7.14

 

8.54

%

 

$7.75

 

$6.08

Net Asset Value

 

$7.41

 

$7.56

 

(1.98

)%

 

$7.70

 

$6.54

The following 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

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Corporate Bonds

 

77

%

 

80

%

 

Floating Rate Loan Interests

 

15

 

 

11

 

 

Common Stocks

 

6

 

 

5

 

 

Preferred Securities

 

2

 

 

2

 

 

Other Interests

 

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

 

 

BBB/Baa

 

7

 

 

4

%

 

BB/Ba

 

38

 

 

31

 

 

B

 

43

 

 

46

 

 

CCC/Caa

 

10

 

 

14

 

 

Not Rated

 

1

 

 

5

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

7




 

 

 

 

Fund Summary as of February 29, 2012

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’s 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 29, 2012, the Fund returned 10.47% based on market price and 4.53% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund began the period with a discount to NAV, and ended the period with neither a discount nor a premium, 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?

 

 

The Fund’s positive performance during the 12-month period was driven largely by security selection among non-rated credits. On a sector basis, selection in non-cable media, chemicals and electric names boosted returns. The Fund’s tactical exposure to convertible bonds had a positive impact on performance and the use of leverage was an additional contributor.

 

 

The Fund invests roughly half of its assets in high yield bonds and half in floating rate loan interests (bank loans), while most funds in the Lipper category invest primarily in high yield bonds. While the Fund’s allocation to bank loans did not detract from performance on an absolute basis, the asset class underperformed high yield bonds for the period. Security selection in the paper and technology sectors pared the Fund’s gains for the period.

 

 

 

Describe recent portfolio activity.

 

 

As the outlook for global growth deteriorated and the European debt crisis intensified during the period, the Fund shifted to a more conservative stance by reducing exposure to higher-beta securities (those with greater sensitivity to market movements) while implementing hedging strategies and increasing its allocation to cash.

 

 

However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Fund added some risk back into the portfolio. The Fund removed hedges and returned to a fully invested posture amid the liquidity-driven credit rally as global sentiment improved and tail risk for financial markets declined. Though the Fund shifted to a more “risk-on” stance, it continued to favor higher-quality issuers and sought those with stable cash flows and visible earnings, while generally remaining cautious of higher-beta credits with greater sensitivity to the economic cycle.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 54% of its total portfolio in floating rate loan interests (bank loans), 43% in corporate bonds, with the remainder in common stocks, asset-backed securities and other interests. The Fund’s largest sector exposures included cable media, independent energy and chemicals. The Fund ended the period with economic leverage at 25% 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 29, 2012




 

 

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 29, 2012 ($4.13)1

7.85%

Current Monthly Distribution per Common Share2

$0.027

Current Annualized Distribution per Common Share2

$0.324

Economic Leverage as of February 29, 20123

25%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$4.13

 

$4.05

 

1.98

%

 

$4.43

 

$3.45

Net Asset Value

 

$4.13

 

$4.28

 

(3.50

)%

 

$4.31

 

$3.79

The following 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

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Floating Rate Loan Interests

 

54

%

 

53

%

 

Corporate Bonds

 

43

 

 

43

 

 

Common Stocks

 

1

 

 

1

 

 

Asset-Backed Securities

 

1

 

 

2

 

 

Other Interests

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

 

 

BBB/Baa

 

5

 

 

7

%

 

BB/Ba

 

36

 

 

29

 

 

B

 

45

 

 

45

 

 

CCC/Caa

 

8

 

 

11

 

 

Not Rated

 

5

 

 

8

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

9




 

 

 

 

Fund Summary as of February 29, 2012

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 29, 2012, the Fund returned (0.61)% based on market price and 3.41% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (1.41)% based on market price and 2.78% 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?

 

 

Positive performance during the 12-month period was driven largely by security selection among higher-quality loan instruments and non-rated credits. On a sector basis, selection in chemicals, electric and non-cable media helped performance. The Fund’s tactical exposure to high yield bonds proved beneficial as the asset class outperformed bank loans over the 12-month period.

 

 

Bank Loans underperformed high yield and assets with higher duration (greater sensitivity to interest rate movements), hindering the Fund’s performance for the period. Security selection among lower-quality bank loans also detracted from results. On a sector basis, selection within paper and technology pared the Fund’s gains for the period.

 

 

 

Describe recent portfolio activity.

 

 

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.

 

 

During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 84% of its total portfolio in floating rate loan interests (bank loans), 13% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included wireless, non-captive diversified financials and chemicals. The Fund ended the period with economic leverage at 22% 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 29, 2012




 

 

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 29, 2012 ($13.21)1

6.63%

Current Monthly Distribution per Common Share2

$0.073

Current Annualized Distribution per Common Share2

$0.876

Economic Leverage as of February 29, 20123

22%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$13.21

 

$14.22

 

(7.10

)%

 

$14.79

 

$11.39

Net Asset Value

 

$13.60

 

$14.07

 

(3.34

)%

 

$14.12

 

$12.66

The following 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

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Floating Rate Loan Interests

 

84

%

 

81

%

 

Corporate Bonds

 

13

 

 

15

 

 

Asset-Backed Securities

 

2

 

 

3

 

 

Common Stocks

 

1

 

 

 

 

Other Interests

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

BBB/Baa

 

10

%

 

7

%

 

BB/Ba

 

36

 

 

34

 

 

B

 

39

 

 

42

 

 

CCC/Caa

 

7

 

 

8

 

 

Not Rated

 

8

 

 

9

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

11




 

 

 

 

Fund Summary as of February 29, 2012

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 29, 2012, the Fund returned 5.54% based on market price and 6.86% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% 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?

 

 

The Fund’s positive performance during the 12-month period was driven largely by security selection among non-rated credits. Selection among lower-rated credits had a modestly positive impact. On a sector basis, selection in chemicals, non-cable media and electric names boosted returns. The Fund’s tactical exposure to convertible bonds proved beneficial and the use of leverage was an additional contributor.

 

 

The Fund invests roughly half of its assets in high yield bonds and half in floating rate loan interests (bank loans), while most funds in the Lipper category invest primarily in high yield bonds. While the Fund’s allocation to bank loans did not detract from performance on an absolute basis, the asset class underperformed high yield bonds for the period. Security selection in the paper and technology sectors dampened results for the period.

 

 

 

Describe recent portfolio activity.

 

 

As the outlook for global growth deteriorated and the European debt crisis intensified during the period, the Fund shifted to more conservative stance by reducing exposure to higher-beta securities (those with greater sensitivity to market movements) while implementing hedging strategies and increasing its allocation to cash.

 

 

However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Fund added some risk back into the portfolio. The Fund removed hedges and returned to a fully invested posture amid the liquidity-driven credit rally as global sentiment improved and tail risk for financial markets declined. Though the Fund shifted to a more “risk-on” stance, it continued to favor higher-quality issuers and sought those with stable cash flows and visible earnings, while generally remaining cautious of higher-beta credits with greater sensitivity to the economic cycle.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 56% of its total portfolio in floating rate loan interests (bank loans), 41% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included cable media, independent energy and chemicals. The Fund ended the period with economic leverage at 23% 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 29, 2012




 

 

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 29, 2012 ($4.06)1

7.39%

Current Monthly Distribution per Common Share2

$0.025

Current Annualized Distribution per Common Share2

$0.300

Economic Leverage as of February 29, 20123

23%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$4.06

 

$4.18

 

(2.87

)%

 

$4.31

 

$3.42

Net Asset Value

 

$4.15

 

$4.22

 

(1.66

)%

 

$4.27

 

$3.86

The following 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

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Floating Rate Loan Interests

 

56

%

 

53

%

 

Corporate Bonds

 

41

 

 

43

 

 

Asset-Backed Securities

 

2

 

 

2

 

 

Common Stocks

 

1

 

 

1

 

 

Other Interests

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

 

 

BBB/Baa

 

6

 

 

9

%

 

BB/Ba

 

39

 

 

31

 

 

B

 

48

 

 

49

 

 

CCC/Caa

 

3

 

 

3

 

 

Not Rated

 

3

 

 

8

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

13




 

 

The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). 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 borrows 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 the borrowings earn income based on long-term interest rates. In this case, the interest expense of the borrowings is significantly lower than the income earned on the Fund’s long-term investments, and therefore the Fund’s 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, the yield curve has a negative slope. In this case, the Fund pays 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’ NAVs 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, 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 Fund’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times 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 each Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue senior securities representing indebtedness up to 331/3% of their total managed assets (each Fund’s net assets plus the proceeds of any outstanding borrowings). In addition, each Fund voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Funds had aggregate economic leverage from borrowings through a credit facility as a percentage of their total managed assets as follows:

 

 

 

Percent of
Economic
Leverage

COY

21%

CYE

24%

DSU

25%

FRB

22%

ARK

23%


 

 

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial 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 29, 2012




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 3.2%

 

 

 

 

 

 

 

Dana Holding Corp. (a)

 

 

59,640

 

$

954,241

 

Delphi Automotive Plc (a)

 

 

11,906

 

 

381,005

 

Delphi Automotive Plc (180-day lock)
(acquired 11/17/11, cost $2,338,924) (a)(b)

 

 

220,982

 

 

6,894,626

 

 

 

 

 

 

 

8,229,872

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

68,100

 

 

655,803

 

Commercial Banks — 0.3%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

15,510

 

 

631,412

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

11,463

 

 

816,624

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc (a)

 

 

3,634

 

 

36,895

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

178,231

 

 

1,631,702

 

Diversified Telecommunication Services — 0.1%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

14,120

 

 

343,257

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

67,974

 

 

340

 

Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

35,294

 

 

1,515,988

 

Osum Oil Sands Corp. (a)

 

 

74,000

 

 

934,863

 

Transocean Ltd.

 

 

5,000

 

 

266,700

 

 

 

 

 

 

 

2,717,551

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd.

 

 

70,685

 

 

35,343

 

Media — 1.7%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

43,324

 

 

310,633

 

Charter Communications, Inc. (a)

 

 

59,916

 

 

3,799,273

 

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

 

 

8,934

 

 

118,197

 

 

 

 

 

 

 

4,228,103

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

40,400

 

 

369,340

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

41,686

 

 

65,723

 

Ainsworth Lumber Co. Ltd. (c)

 

 

36,744

 

 

57,932

 

Western Forest Products, Inc. (a)

 

 

147,968

 

 

143,564

 

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

 

 

41,528

 

 

40,292

 

 

 

 

 

 

 

307,511

 

Professional Services — 0.0%

 

 

 

 

 

 

 

Pendrell Corp. (a)

 

 

3,200

 

 

7,744

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

5,500

 

 

417,505

 

Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

60,342

 

 

772,378

 

SunPower Corp. (a)

 

 

123

 

 

926

 

 

 

 

 

 

 

773,304

 


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

468

 

$

9

 

HMH Holdings/EduMedia (a)

 

 

82,415

 

 

20,604

 

 

 

 

 

 

 

20,613

 

Total Common Stocks — 8.3%

 

 

 

 

 

21,222,919

 


 

 

 

 

 

 

 

 

Corporate Bonds

 


Par
(000)

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

210

 

 

221,025

 

7.13%, 3/15/21

 

 

295

 

 

316,019

 

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

 

 

716

 

 

771,490

 

 

 

 

 

 

 

1,308,534

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

593

 

 

618,153

 

Series 2, 12.38%, 8/16/15

 

 

599

 

 

624,794

 

 

 

 

 

 

 

1,242,947

 

Airlines — 2.2%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

 

1,038

 

 

1,100,280

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

540

 

 

545,400

 

6.90%, 7/02/18

 

 

268

 

 

267,116

 

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

 

 

384

 

 

372,290

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2009-1-B, 9.75%, 6/17/18

 

 

180

 

 

190,654

 

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

 

 

447

 

 

417,945

 

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

 

 

1,964

 

 

2,032,906

 

US Airways Pass-Through Trust, Series 2011-1,
Class C, 10.88%, 10/22/14

 

 

630

 

 

630,000

 

 

 

 

 

 

 

5,556,591

 

Auto Components — 1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., 11.00%, 11/01/15 (c)

 

 

68

 

 

71,825

 

Baker Corp. International, Inc., 8.25%, 6/01/19 (c)

 

 

190

 

 

193,800

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

410

 

 

443,825

 

Delphi Corp., 6.13%, 5/15/21 (c)

 

 

150

 

 

160,875

 

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

 

 

2,995

 

 

3,174,700

 

International Automotive Components Group, SL,
9.13%, 6/01/18 (c)

 

 

40

 

 

35,600

 

Titan International, Inc., 7.88%, 10/01/17

 

 

430

 

 

456,875

 

 

 

 

 

 

 

4,537,500

 

Beverages — 0.4%

 

 

 

 

 

 

 

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

 

 

245

 

 

270,112

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18 (c)

 

EUR

277

 

 

395,342

 

7.13%, 8/15/18

 

 

221

 

 

315,417

 

 

 

 

 

 

 

980,871

 


 

 

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

ETF

Exchange-Traded Fund

DIP

Debtor-In-Possession

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

SPDR

Standard and Poor’s Depositary Receipts

USD

US Dollar


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

15




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

218

 

$

219,339

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

410

 

 

444,850

 

6.75%, 5/01/21

 

 

930

 

 

1,011,375

 

Momentive Performance Materials, Inc.,
11.50%, 12/01/16

 

 

435

 

 

365,400

 

 

 

 

 

 

 

1,821,625

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

 

650

 

 

662,051

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (e)

 

 

980

 

 

1,141,700

 

3.43%, 8/31/19 (c)(f)(g)

 

 

226

 

 

213,853

 

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

 

 

600

 

 

638,530

 

 

 

 

 

 

 

2,656,134

 

Chemicals — 4.0%

 

 

 

 

 

 

 

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

 

 

800

 

 

780,000

 

Ashland, Inc., 9.13%, 6/01/17

 

 

395

 

 

443,388

 

Basell Finance Co. BV, 8.10%, 3/15/27 (c)

 

 

455

 

 

520,975

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

1,640

 

 

1,787,600

 

Chemtura Corp., 7.88%, 9/01/18

 

 

345

 

 

370,875

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

285

 

 

279,300

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

155

 

 

175,150

 

Ineos Finance Plc, 8.38%, 2/15/19 (c)

 

 

430

 

 

456,875

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

350

 

 

479,128

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

115

 

 

117,300

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

2,516

 

 

2,758,076

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

145

 

 

159,138

 

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

 

 

170

 

 

170,000

 

OXEA Finance/Cy SCA, 9.63%, 7/15/17 (c)

 

EUR

366

 

 

523,835

 

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

 

USD

200

 

 

215,500

 

Solutia, Inc., 7.88%, 3/15/20

 

 

565

 

 

662,462

 

TPC Group LLC, 8.25%, 10/01/17

 

 

310

 

 

327,050

 

 

 

 

 

 

 

10,226,652

 

Commercial Banks — 2.4%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (c)

 

 

2,245

 

 

2,247,806

 

7.00%, 5/01/17

 

 

955

 

 

955,000

 

7.00%, 5/02/17 (c)

 

 

2,395

 

 

2,397,994

 

5.50%, 2/15/19 (c)

 

 

550

 

 

561,687

 

 

 

 

 

 

 

6,162,487

 

Commercial Services & Supplies — 1.9%

 

 

 

 

 

 

 

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

 

 

305

 

 

336,647

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (c)

 

 

500

 

 

495,620

 

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

 

 

24

 

 

22,800

 

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

 

 

610

 

 

606,950

 

Clean Harbors, Inc., 7.63%, 8/15/16

 

 

320

 

 

339,200

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

380

 

 

419,900

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

335

 

 

351,750

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

555

 

 

643,800

 

8.25%, 2/01/21

 

 

800

 

 

848,000

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

169

 

 

227,410

 

8.75%, 12/01/18

 

 

100

 

 

118,575

 

WCA Waste Corp., 7.50%, 6/15/19 (c)

 

USD

310

 

 

313,875

 

West Corp., 8.63%, 10/01/18

 

 

125

 

 

137,187

 

 

 

 

 

 

 

4,861,714

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Communications Equipment — 0.7%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

USD

650

 

$

650,000

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

830

 

 

856,975

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

340

 

 

360,400

 

 

 

 

 

 

 

1,867,375

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (g)

 

 

200

 

 

239,500

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

100

 

 

136,587

 

Boart Longyear Management Property Ltd., 7.00%,
4/01/21 (c)

 

USD

175

 

 

184,188

 

 

 

 

 

 

 

320,775

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18

 

EUR

100

 

 

133,896

 

8.00%, 6/01/18 (c)

 

 

233

 

 

311,978

 

 

 

 

 

 

 

445,874

 

Consumer Finance — 1.5%

 

 

 

 

 

 

 

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

 

USD

435

 

 

463,275

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

200

 

 

202,465

 

7.00%, 4/15/15

 

 

1,890

 

 

2,097,900

 

12.00%, 5/15/15

 

 

670

 

 

842,487

 

6.63%, 8/15/17

 

 

131

 

 

148,445

 

 

 

 

 

 

 

3,754,572

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (c):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

 

205

 

 

220,375

 

7.38%, 10/15/17

 

EUR

335

 

 

470,868

 

9.13%, 10/15/20

 

USD

365

 

 

376,862

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (h)

 

 

275

 

 

263,312

 

8.25%, 11/15/15

 

 

110

 

 

118,250

 

9.75%, 1/15/21

 

 

330

 

 

353,100

 

GCL Holdings SCA, 9.38%, 4/15/18 (c)

 

EUR

244

 

 

290,135

 

Graphic Packaging International, Inc.,
7.88%, 10/01/18

 

USD

340

 

 

374,000

 

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

 

EUR

152

 

 

210,610

 

Sealed Air Corp., 8.38%, 9/15/21

 

USD

235

 

 

269,075

 

Smurfit Kappa Acquisitions, 7.75%, 11/15/19 (c)

 

EUR

296

 

 

424,924

 

 

 

 

 

 

 

3,371,511

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

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

 

USD

2,800

 

 

3,136,000

 

ServiceMaster Co., 8.00%, 2/15/20 (c)

 

 

605

 

 

638,275

 

 

 

 

 

 

 

3,774,275

 

Diversified Financial Services — 4.9%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

350

 

 

372,750

 

8.30%, 2/12/15

 

 

530

 

 

585,650

 

6.25%, 12/01/17

 

 

480

 

 

496,137

 

7.50%, 9/15/20

 

 

620

 

 

682,775

 

8.00%, 11/01/31

 

 

1,075

 

 

1,199,969

 

8.00%, 11/01/31

 

 

560

 

 

607,631

 

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

 

 

340

 

 

362,525

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

100

 

 

131,098

 

9.88%, 4/30/18

 

GBP

130

 

 

203,715

 

DPL, Inc., 7.25%, 10/15/21 (c)

 

USD

725

 

 

826,500

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

838

 

 

1,144,367

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

16

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

General Motors Financial Co., Inc., 6.75%,
6/01/18 (c)

 

USD

270

 

$

291,373

 

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

 

 

790

 

 

878,875

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (c)

 

 

425

 

 

452,625

 

8.75%, 10/15/16 (c)(k)

 

EUR

290

 

 

410,515

 

8.75%, 10/15/16

 

 

503

 

 

712,031

 

7.13%, 4/15/19 (c)

 

USD

230

 

 

243,225

 

7.88%, 8/15/19 (c)

 

 

1,010

 

 

1,105,950

 

9.88%, 8/15/19 (c)

 

 

1,030

 

 

1,064,762

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

110

 

 

121,550

 

11.50%, 10/01/18

 

 

535

 

 

568,437

 

 

 

 

 

 

 

12,462,460

 

Diversified Telecommunication Services — 3.8%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

897,500

 

GCI, Inc., 6.75%, 6/01/21

 

 

264

 

 

267,300

 

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

 

 

260

 

 

271,050

 

Level 3 Financing, Inc. (c):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

2,144

 

 

2,245,840

 

8.63%, 7/15/20

 

 

980

 

 

1,046,150

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,200

 

 

1,204,200

 

8.00%, 10/01/15

 

 

610

 

 

654,797

 

Series B, 7.50%, 2/15/14

 

 

1,575

 

 

1,580,513

 

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

 

 

500

 

 

568,794

 

Videotron Ltee, 5.00%, 7/15/22 (c)(i)

 

 

130

 

 

130,325

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

400

 

 

429,000

 

7.88%, 11/01/17

 

 

360

 

 

405,900

 

 

 

 

 

 

 

9,701,369

 

Electric Utilities — 0.8%

 

 

 

 

 

 

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

1,600

 

 

1,992,054

 

Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

Elster Finance BV, 6.25%, 4/15/18 (c)

 

USD

105

 

 

141,850

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

 

215

 

 

255,850

 

NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (c)

 

 

190

 

 

214,937

 

 

 

 

 

 

 

612,637

 

Energy Equipment & Services — 3.2%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%,
8/01/19 (c)

 

 

150

 

 

158,250

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

130

 

 

136,825

 

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

 

 

360

 

 

360,000

 

Compagnie Générale de Géophysique Veritas,
7.75%, 5/15/17

 

 

235

 

 

244,694

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

335

 

 

329,975

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

1,615

 

 

1,724,012

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

415

 

 

434,713

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

900

 

 

963,000

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

290

 

 

311,750

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

2,410

 

 

2,524,475

 

Transocean, Inc., 6.38%, 12/15/21

 

 

695

 

 

820,204

 

 

 

 

 

 

 

8,007,898

 

Food Products — 0.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

220

 

 

247,500

 

Post Holdings, Inc., 7.38%, 2/15/22 (c)

 

 

210

 

 

223,650

 

 

 

 

 

 

 

471,150

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

USD

180

 

$

195,525

 

10.38%, 10/15/17 (e)

 

 

1,335

 

 

1,453,481

 

DJO Finance LLC (FKA Johnson Diversey, Inc):

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

2,130

 

 

2,167,275

 

7.75%, 4/15/18

 

 

95

 

 

81,700

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

192

 

 

212,640

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (c)

 

 

600

 

 

633,000

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

500

 

 

577,500

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

270

 

 

290,925

 

 

 

 

 

 

 

5,612,046

 

Health Care Providers & Services — 5.4%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

380

 

 

388,550

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)

 

EUR

400

 

 

552,904

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (c)

 

GBP

331

 

 

519,347

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

120

 

 

134,400

 

6.50%, 2/15/20

 

 

1,830

 

 

1,962,675

 

7.88%, 2/15/20

 

 

85

 

 

93,713

 

7.25%, 9/15/20

 

 

2,405

 

 

2,621,450

 

5.88%, 3/15/22

 

 

250

 

 

256,250

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

 

860

 

 

896,550

 

IASIS Healthcare LLC, 8.38%, 5/15/19 (c)

 

 

695

 

 

663,725

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

375

 

 

360,000

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
10.00%, 8/15/18 (c)

 

 

115

 

 

104,650

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

905

 

 

1,007,944

 

PSS World Medical, Inc., 6.38%, 3/01/22 (c)

 

 

265

 

 

275,600

 

Symbion, Inc., 8.00%, 6/15/16 (c)

 

 

315

 

 

303,975

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

752

 

 

876,080

 

6.25%, 11/01/18 (c)

 

 

300

 

 

319,875

 

8.88%, 7/01/19

 

 

2,010

 

 

2,291,400

 

 

 

 

 

 

 

13,629,088

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

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

 

 

2,235

 

 

2,659,650

 

Hotels, Restaurants & Leisure — 2.7%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

275

 

 

301,125

 

10.00%, 12/15/18

 

 

1,345

 

 

1,039,012

 

Caesars Operating Escrow, LLC., 8.50%,
2/15/20 (c)

 

 

655

 

 

668,100

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

1,100

 

 

1,160,500

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

125

 

 

119,063

 

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

 

GBP

296

 

 

381,434

 

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

 

USD

270

 

 

237,600

 

MGM Resorts International:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

90

 

 

105,075

 

10.38%, 5/15/14

 

 

235

 

 

267,313

 

4.25%, 4/15/15 (g)

 

 

495

 

 

530,887

 

11.13%, 11/15/17

 

 

1,315

 

 

1,495,812

 

Travelport LLC (FKA Travelport, Inc):

 

 

 

 

 

 

 

5.11%, 9/01/14 (h)

 

 

165

 

 

84,563

 

9.88%, 9/01/14

 

 

35

 

 

20,038

 

9.00%, 3/01/16

 

 

110

 

 

58,300

 

6.58%, 12/01/16 (c)(e)

 

 

373

 

 

262,728

 

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

 

 

315

 

 

 

 

 

 

 

 

 

6,731,550

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

17




 

 

 

 

Consolidated 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 — 1.6%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

USD

1,425

 

$

1,553,250

 

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

 

EUR

285

 

 

383,502

 

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

 

USD

315

 

 

321,300

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

1,285

 

 

1,476,144

 

8.38%, 1/15/21

 

 

265

 

 

281,563

 

 

 

 

 

 

 

4,015,759

 

Household Products — 0.2%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (c)

 

EUR

130

 

 

159,343

 

Spectrum Brands Holdings, Inc., 9.50%, 6/15/18

 

USD

330

 

 

376,200

 

 

 

 

 

 

 

535,543

 

Independent Power Producers &
Energy Traders — 3.0%

 

 

 

 

 

 

 

AES Corp., 7.38%, 7/01/21

 

 

600

 

 

684,000

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

165

 

 

174,900

 

7.50%, 2/15/21

 

 

95

 

 

103,075

 

7.88%, 1/15/23

 

 

260

 

 

283,400

 

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

 

 

2,920

 

 

3,157,250

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

881

 

 

956,986

 

11.75%, 3/01/22 (c)

 

 

1,310

 

 

1,342,750

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

470

 

 

518,175

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

305

 

 

308,050

 

 

 

 

 

 

 

7,528,586

 

Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,190

 

 

2,326,875

 

13.50%, 12/01/15

 

 

3,759

 

 

4,012,468

 

 

 

 

 

 

 

6,339,343

 

Insurance — 1.0%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,682,000

 

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

 

 

339

 

 

364,849

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

390

 

 

404,634

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

235

 

 

209,738

 

 

 

 

 

 

 

2,661,221

 

IT Services — 1.7%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c)

 

 

510

 

 

527,850

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

180

 

 

182,025

 

8.88%, 8/15/20 (c)

 

 

495

 

 

535,837

 

8.25%, 1/15/21 (c)

 

 

610

 

 

590,175

 

12.63%, 1/15/21

 

 

1,368

 

 

1,436,400

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

400

 

 

430,000

 

7.63%, 11/15/20

 

 

550

 

 

594,000

 

 

 

 

 

 

 

4,296,287

 

Machinery — 0.8%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (g)

 

 

301

 

 

339,001

 

8.25%, 11/01/21

 

 

126

 

 

137,813

 

SPX Corp., 6.88%, 9/01/17

 

 

160

 

 

177,600

 

UR Financing Escrow Corp. (c)(i):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

236

 

 

242,490

 

7.38%, 5/15/20

 

 

320

 

 

328,400

 

7.63%, 4/15/22

 

 

820

 

 

848,700

 

 

 

 

 

 

 

2,074,004

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 14.0%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

USD

745

 

$

666,775

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

205

 

 

228,575

 

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

 

 

2,982

 

 

3,429,719

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

100

 

 

109,250

 

7.38%, 6/01/20

 

 

240

 

 

264,000

 

6.50%, 4/30/21

 

 

411

 

 

436,687

 

Checkout Holding Corp., 10.68%, 11/15/15 (c)(f)

 

 

615

 

 

276,750

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

200

 

 

222,500

 

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

 

 

505

 

 

464,600

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,379

 

 

1,510,005

 

7.63%, 3/15/20 (c)(i)

 

 

960

 

 

960,000

 

Series B, 9.25%, 12/15/17

 

 

5,280

 

 

5,808,000

 

Cox Enterprises, Inc. (c):

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

642

 

 

651,751

 

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

 

 

734

 

 

745,139

 

Shares Loan, 12.00%, 8/15/18

 

 

757

 

 

768,500

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

370

 

 

410,700

 

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

 

 

90

 

 

96,638

 

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

 

 

900

 

 

950,625

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (c)

 

 

330

 

 

225,225

 

9.50%, 5/15/15

 

 

290

 

 

228,375

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

1,400

 

 

1,480,500

 

11.25%, 2/04/17

 

 

330

 

 

340,313

 

11.50%, 2/04/17 (e)

 

 

1,220

 

 

1,256,600

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,235

 

 

1,392,462

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

315

 

 

360,675

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (c)

 

EUR

613

 

 

873,869

 

Kabel Deutschland Vertrieb und Service
GmbH & Co. KG, 6.50%, 6/29/18 (c)

 

 

315

 

 

442,794

 

Lamar Media Corp., 5.88%, 2/01/22 (c)

 

USD

185

 

 

193,094

 

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

 

 

675

 

 

718,031

 

Musketeer GmbH, 9.50%, 3/15/21 (c)

 

EUR

385

 

 

553,970

 

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

 

USD

570

 

 

627,000

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

45

 

 

52,313

 

7.75%, 10/15/18

 

 

2,085

 

 

2,319,562

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)

 

GBP

189

 

 

296,922

 

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

 

USD

460

 

 

407,100

 

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

 

 

812

 

 

406

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

158

 

 

227,344

 

9.63%, 12/01/19 (c)

 

 

530

 

 

762,608

 

Unitymedia Hessen GmbH & Co. KG (FKA UPC
Germany GmbH) (c):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

USD

540

 

 

585,900

 

8.13%, 12/01/17

 

EUR

407

 

 

582,914

 

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

 

USD

400

 

 

444,000

 

UPCB Finance II Ltd. (c):

 

 

 

 

 

 

 

6.38%, 7/01/20

 

EUR

753

 

 

998,205

 

6.38%, 7/01/20

 

 

300

 

 

397,691

 

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

 

GBP

279

 

 

479,370

 

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

 

EUR

343

 

 

483,255

 

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

 

 

672

 

 

928,879

 

 

 

 

 

 

 

35,659,591

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

18

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining — 3.1%

 

 

 

 

 

 

 

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

 

USD

970

 

$

1,229,475

 

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

 

EUR

627

 

 

847,882

 

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

 

USD

1,345

 

 

1,856,100

 

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

 

 

3,045

 

 

3,395,175

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

385

 

 

369,600

 

Vedanta Resources Plc, 8.25%, 6/07/21 (c)

 

 

245

 

 

226,013

 

 

 

 

 

 

 

7,924,245

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

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

 

 

4,007

 

 

4,397,723

 

Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

 

365

 

 

354,050

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (c)

 

 

405

 

 

417,150

 

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

 

 

470

 

 

489,975

 

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

 

 

20

 

 

22,100

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)

 

 

235

 

 

246,163

 

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

 

 

120

 

 

124,800

 

Chesapeake Midstream Partners LP,
6.13%, 7/15/22

 

 

250

 

 

258,750

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

50

 

 

51,000

 

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

 

 

243

 

 

260,010

 

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

 

 

375

 

 

421,875

 

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

 

 

1,800

 

 

1,962,000

 

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

 

 

340

 

 

377,400

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

305

 

 

323,300

 

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

 

 

165

 

 

179,025

 

Crown Oil Partners IV LP, 15.00%, 3/07/15

 

 

535

 

 

534,697

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

597

 

 

680,580

 

6.38%, 8/15/21

 

 

320

 

 

352,800

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

510

 

 

564,825

 

7.75%, 6/15/19

 

 

815

 

 

859,825

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

140

 

 

147,000

 

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

 

 

690

 

 

752,100

 

Holly Energy Partners LP, 6.50%, 3/01/20 (c)(i)

 

 

145

 

 

148,081

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

300

 

 

321,000

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

90

 

 

91,800

 

6.25%, 11/01/19 (c)

 

 

1,665

 

 

1,662,919

 

8.63%, 4/15/20

 

 

205

 

 

227,550

 

7.75%, 2/01/21

 

 

185

 

 

198,875

 

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

 

 

120

 

 

131,100

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

865

 

 

934,200

 

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

 

 

525

 

 

504,000

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

300

 

 

318,000

 

6.50%, 11/01/21

 

 

270

 

 

278,100

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

4,410

 

 

4,597,425

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (c)

 

 

315

 

 

315,000

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (c)

 

 

800

 

 

850,000

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

350

 

 

388,937

 

7.88%, 6/01/15

 

 

450

 

 

475,312

 

7.25%, 8/15/18

 

 

290

 

 

331,688

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)

 

 

530

 

 

556,500

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

425

 

 

499,236

 

7.50%, 1/15/20

 

 

135

 

 

166,829

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

USD

735

 

$

793,800

 

6.75%, 2/01/22

 

 

475

 

 

520,125

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

275

 

 

293,563

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

345

 

 

384,675

 

5.75%, 6/01/21

 

 

900

 

 

963,000

 

5.00%, 8/15/22 (i)

 

 

403

 

 

407,030

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (c)

 

 

360

 

 

359,278

 

Samson Investment Co., 9.75%, 2/15/20 (c)

 

 

605

 

 

636,762

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

410

 

 

414,100

 

SM Energy Co., 6.63%, 2/15/19

 

 

120

 

 

128,700

 

 

 

 

 

 

 

27,277,010

 

Paper & Forest Products — 2.3%

 

 

 

 

 

 

 

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

 

 

363

 

 

264,678

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

400

 

 

440,000

 

8.00%, 4/01/20

 

 

140

 

 

153,650

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

370

 

 

420,413

 

7.13%, 11/01/18

 

 

535

 

 

569,775

 

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

 

 

1,525

 

 

1,689,436

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

315

 

 

323,663

 

NewPage Corp., 11.38%, 12/31/14 (a)(j)

 

 

1,935

 

 

1,165,837

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

120

 

 

112,500

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

707

 

 

721,140

 

 

 

 

 

 

 

5,861,092

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

100

 

 

143,222

 

9.88%, 8/01/19 (c)

 

 

200

 

 

286,444

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

USD

390

 

 

426,563

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

780

 

 

795,600

 

 

 

 

 

 

 

1,651,829

 

Professional Services — 0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

850

 

 

919,062

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

1,285

 

 

1,313,912

 

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

 

 

480

 

 

502,200

 

 

 

 

 

 

 

1,816,112

 

Real Estate Management & Development — 2.4%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

310

 

 

329,375

 

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

 

 

1,325

 

 

1,305,125

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

360

 

 

329,400

 

12.00%, 4/15/17

 

 

90

 

 

82,800

 

7.88%, 2/15/19 (c)

 

 

2,185

 

 

2,119,450

 

7.63%, 1/15/20 (c)

 

 

465

 

 

480,112

 

9.00%, 1/15/20 (c)

 

 

335

 

 

336,675

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

1,145

 

 

1,156,450

 

 

 

 

 

 

 

6,139,387

 

Road & Rail — 1.6%

 

 

 

 

 

 

 

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

 

 

115

 

 

119,888

 

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

 

 

410

 

 

414,100

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

172

 

 

247,488

 

8.50%, 7/31/15 (c)

 

 

1,225

 

 

1,762,632

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

19




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

USD

595

 

$

641,856

 

6.75%, 4/15/19 (c)

 

 

100

 

 

104,750

 

6.75%, 4/15/19 (c)(i)

 

 

265

 

 

277,588

 

7.38%, 1/15/21 (c)

 

 

455

 

 

492,537

 

 

 

 

 

 

 

4,060,839

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

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

 

 

540

 

 

530,550

 

Software — 0.2%

 

 

 

 

 

 

 

Sophia LP, 9.75%, 1/15/19 (c)

 

 

408

 

 

438,600

 

Specialty Retail — 2.5%

 

 

 

 

 

 

 

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

 

 

335

 

 

359,288

 

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

 

 

490

 

 

513,275

 

House of Fraser Funding Plc, 8.88%, 8/15/18 (c)

 

GBP

480

 

 

683,451

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

745

 

 

890,275

 

5.63%, 2/15/22

 

 

150

 

 

154,500

 

Phones4u Finance Plc, 9.50%, 4/01/18 (c)

 

GBP

370

 

 

516,525

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

210

 

 

225,750

 

7.50%, 10/01/19

 

 

565

 

 

627,150

 

7.38%, 10/15/20

 

 

270

 

 

299,025

 

Sally Holdings LLC, 6.88%, 11/15/19 (c)

 

 

500

 

 

537,500

 

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

 

 

345

 

 

375,187

 

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

 

 

135

 

 

138,713

 

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

 

 

950

 

 

990,384

 

 

 

 

 

 

 

6,311,023

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

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

 

 

398

 

 

418,397

 

Wireless Telecommunication Services — 5.2%

 

 

 

 

 

 

 

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

 

 

226

 

 

240,690

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

635

 

 

646,112

 

9.13%, 1/15/15

 

 

1,711

 

 

1,744,845

 

8.25%, 9/01/17

 

 

1,135

 

 

1,203,100

 

10.50%, 4/15/18

 

 

500

 

 

545,000

 

iPCS, Inc., 2.67%, 5/01/13 (h)

 

 

920

 

 

885,500

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

300

 

 

411,681

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

990

 

 

1,019,700

 

NII Capital Corp., 7.63%, 4/01/21

 

 

614

 

 

627,815

 

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

 

 

2,230

 

 

1,739,400

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

1,950

 

 

2,174,250

 

7.00%, 3/01/20

 

 

1,850

 

 

1,880,062

 

 

 

 

 

 

 

13,118,155

 

Total Corporate Bonds — 102.0%

 

 

 

 

 

259,202,536

 


 

 

 

 

 

 

 

 


Floating Rate Loan Interests (h)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit — New Term Loan B,
5.50%, 4/20/17

 

 

522

 

 

509,292

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

450

 

 

451,314

 

Building Products — 0.1%

 

 

 

 

 

 

 

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

 

 

318

 

 

323,155

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

7.25%, 5/13/17

 

USD

600

 

$

604,200

 

8.25%, 2/28/19

 

 

380

 

 

383,325

 

 

 

 

 

 

 

987,525

 

Chemicals — 0.1%

 

 

 

 

 

 

 

PQ Corp., Term Loan B (First Lien), 3.50%, 7/30/14
(FKA Niagara Acquisition, Inc)

 

 

313

 

 

305,139

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.24%, 10/24/14

 

 

180

 

 

176,125

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan,
15.63%, 12/16/17

 

 

1,750

 

 

1,750,000

 

Consumer Finance — 1.4%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

3,940

 

 

3,591,743

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75% – 2.99%,
7/24/14

 

 

8

 

 

7,566

 

Term Loan, 2.80%, 7/24/14

 

 

77

 

 

75,974

 

 

 

 

 

 

 

83,540

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Level 3 Financing, Inc., Incremental Tranche A Term
Loan, 2.49% – 2.83%, 3/13/14

 

 

475

 

 

467,162

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Non-Extended Term Loan, 3.74%, 10/10/14

 

 

97

 

 

96,793

 

Extended Term Loan, 4.00%, 7/14/17

 

 

255

 

 

249,217

 

 

 

 

 

 

 

346,010

 

Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

CCS Corp., Incremental Term Loan,
6.50%, 10/17/14

 

 

250

 

 

250,250

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%, 8/04/16

 

 

1,332

 

 

1,324,178

 

Gas Co. Term Loan, 9.25%, 8/04/16

 

 

968

 

 

998,054

 

 

 

 

 

 

 

2,572,482

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

U.S. Foodservice, Inc., Term Loan B, 2.74%,
7/03/14

 

 

155

 

 

149,575

 

Food Products — 0.1%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

200

 

 

200,166

 

Health Care Providers & Services — 0.6%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

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

 

 

361

 

 

353,458

 

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

 

 

412

 

 

403,490

 

inVentiv Health, Inc., Combined Term Loan,
6.50%, 8/04/16

 

 

795

 

 

764,413

 

 

 

 

 

 

 

1,521,361

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

450

 

 

462,888

 

Term Loan B1, 3.24%, 1/28/15

 

 

740

 

 

693,809

 

Term Loan B2, 3.24%, 1/28/15

 

 

284

 

 

266,259

 

Term Loan B3, 3.24% – 3.47%, 1/28/15

 

 

900

 

 

842,846

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

9

 

 

8,319

 

Term Loan B, 2.56%, 6/14/14

 

 

86

 

 

84,383

 

Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16

 

 

950

 

 

856,586

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

20

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Extended Tranche A Term Loan,
6.54%, 9/28/12

 

USD

172

 

$

81,479

 

Extended Tranche B Term Loan,
14.04%, 12/01/16

 

 

533

 

 

119,916

 

 

 

 

 

 

 

3,416,485

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC (TXU),
Extended Term Loan, 4.74%, 10/10/17

 

 

686

 

 

382,898

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan,
6.25%, 12/03/14

 

 

405

 

 

406,349

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B,
4.24%, 3/23/18

 

 

720

 

 

646,085

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., Term Loan B, 8.50%, 7/20/13

 

 

540

 

 

546,583

 

Media — 4.9%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

295

 

 

273,760

 

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

 

 

1,447

 

 

1,400,456

 

Cequel Communications LLC, Term Loan B,
4.00%, 2/11/19

 

 

550

 

 

544,374

 

Clear Channel Communications:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

1,970

 

 

1,616,766

 

Term Loan C, 3.89%, 1/28/16

 

 

354

 

 

280,450

 

HMH Publishing Co. Ltd., Term Loan, 6.49%, 6/12/14

 

 

855

 

 

528,252

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings Ltd.), Tranche B Term Loan,
5.25%, 4/02/18

 

 

5,955

 

 

5,944,876

 

Interactive Data Corp., New Term Loan B,
4.50%, 2/12/18

 

 

45

 

 

44,899

 

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

 

 

1,375

 

 

1,414,531

 

Univision Communications, Inc., Extended First
Lien Term Loan, 4.49%, 3/31/17

 

 

310

 

 

287,882

 

 

 

 

 

 

 

12,336,246

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

HEMA Holding BV, Mezzanine, 9.03%, 7/05/17

 

EUR

1,125

 

 

1,147,114

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

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

 

USD

1,525

 

 

1,532,265

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Term Loan with
PIK option, 6.79% – 7.54%, 2/01/13

 

 

1,372

 

 

686,018

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Products Development, Inc., Term
Loan B, 6.25%, 12/05/18

 

 

360

 

 

363,150

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13

 

 

1,525

 

 

1,518,469

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
4.53%, 10/10/16

 

 

104

 

 

96,574

 

Extended Term Loan, 4.77%, 10/10/16

 

 

689

 

 

639,091

 

 

 

 

 

 

 

735,665

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP B.V., Term Loan A-2, 5.50%, 3/03/17

 

 

65

 

 

64,512

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 7/28/15

 

USD

26

 

$

25,430

 

Extended Initial Term Loan, 7/28/15

 

 

49

 

 

47,883

 

Extended Initial Term Loan, 7/28/15

 

EUR

395

 

 

495,998

 

 

 

 

 

 

 

569,311

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

USD

482

 

 

456,568

 

Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/25/19

 

 

190

 

 

189,135

 

Total Floating Rate Loan Interests — 15.1%

 

 

 

 

 

38,431,442

 


 

 

 

 

 

 

 

 

Other Interests (l)

 


Beneficial
Interest
(000)

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate (a)

 

 

2,650

 

 

27

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (a)

 

 

700

 

 

7

 

Adelphia Recovery Trust (a)

 

 

878

 

 

88

 

 

 

 

 

 

 

95

 

Total Other Interests — 0.0%

 

 

 

 

 

122

 


 

 

 

 

 

 

 

 


Preferred Securities

 

 

 

 

 

 

 

Capital Trusts — 0.2%

 

Par
(000
)

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (h)

 

 

790

 

 

542,137

 


 

 

 

 

 

 

 

 

Preferred Stocks

 


Shares

 

 

 

 

Auto Components — 0.4%

 

 

 

 

 

 

 

Dana Holding Corp.,4.00% (a)(c)

 

 

7,570

 

 

1,019,111

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Ally Financial, Inc.,7.00% (c)(h)

 

 

3,083

 

 

2,675,081

 

Total Preferred Stocks — 1.5%

 

 

 

 

 

3,694,192

 


 

 

 

 

 

 

 

 

Trust Preferred

 


Par
(000)

 

 

 

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)

 

USD

67,560

 

 

1,581,082

 

RBS Capital Funding Trust VII, 6.08%, 12/31/49

 

 

41,000

 

 

560,470

 

 

 

 

 

 

 

2,141,552

 

Total Preferred Securities — 2.5%

 

 

 

 

 

6,377,881

 


 

 

 

 

 

 

 

 


Warrants (m)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

29,930

 

 

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

21




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Warrants (m)

 

Par
(000)

 

Value

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

USD

39,975

 

$

288,732

 

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

 

 

14,965

 

 

 

 

 

 

 

 

 

288,732

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

312

 

 

 

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

 

 

10

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

288,732

 

Total Long-Term Investments
(Cost — $318,754,854) — 128.0%

 

 

 

 

 

325,523,632

 


 

 

 

 

 

 

 

 


Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.16% (n)(o)

 

 

2,264,805

 

 

2,264,805

 

Total Short-Term Securities
(Cost — $2,264,805) — 0.9%

 

 

 

 

 

2,264,805

 


 

 

 

 

 

 

 

 


Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.1%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust:

 

 

 

 

 

 

 

Strike Price USD 134.00, Expires 3/17/12

 

 

1,075

 

 

101,050

 

Strike Price USD 136.00, Expires 3/17/12

 

 

180

 

 

28,440

 

Strike Price USD 136.00, Expires 4/21/12

 

 

180

 

 

57,420

 

 

 

 

 

 

 

186,910

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19,
Broker Goldman Sachs Bank USA

 

 

17

 

 

 

Total Options Purchased
(Cost — $426,553) — 0.1%

 

 

 

 

 

186,910

 

Total Investments Before Options Written
(Cost — $321,446,212) — 129.0%

 

 

 

 

 

327,975,347

 


 

 

 

 

 

 

 

 


Options Written

 

 

 

 

 

 

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust, Strike Price USD 125.00,
Expires 3/17/12

 

 

1,075

 

 

(15,587

)

Total Options Written
(Premiums Received — $76,897) — (0.0)%

 

 

 

 

 

(15,587

)

Total Investments, Net of Options Written– 129.0%

 

 

 

 

 

327,959,760

 

Liabilities in Excess of Other Assets — (29.0)%

 

 

 

 

 

(73,783,998

)

Net Assets — 100.0%

 

 

 

 

$

254,175,762

 

 

 

 

 

 

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

Restricted security as to resale. As of report date the Fund held 2.7% of its net assets, with a current value of $6,894,626 and an original cost of $2,338,924 in this security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(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)

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

 

 

(f)

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

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Goldman Sachs & Co.

 

$

960,000

 

 

 

Citigroup Global Markets, Inc.

 

$

148,081

 

$

3,081

 

Bank of America

 

$

537,355

 

$

4,355

 

Barclays Capital Inc.

 

$

277,588

 

$

1,988

 

Morgan Stanley Co.

 

$

1,419,590

 

$

43,590

 


 

 

(j)

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

 

 

(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 is as of report date.

 

 

(l)

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

 

 

(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,
2011

 

Net
Activity

 

Shares Held at
February 28,
2012

 

Income

 

BlackRock Liquidity
Funds, TempCash,
Institutional Class

 

 

1,721,866

 

 

542,939

 

 

2,264,805

 

$

1,625

 


 

 

(o)

Represents the current yield as of report date

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

117

 

S&P 500
Index E-Mini

 

Chicago
Mercantile

 

March
2012

 

$

7,981,740

 

$

(257,937

)


 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

 

Unrealized
Appreciation
(Depreciation)

 

USD

901,215

 

CAD

925,000

 

Citibank NA

 

4/11/12

 

$

(32,815

)

USD

476,773

 

GBP

300,000

 

Citibank NA

 

4/11/12

 

 

(362

)

EUR

94,000

 

USD

121,713

 

Citibank NA

 

4/18/12

 

 

3,548

 

USD

18,023,462

 

EUR

14,031,500

 

Citibank NA

 

4/18/12

 

 

(674,365

)

USD

260,236

 

EUR

198,000

 

Citibank NA

 

4/18/12

 

 

(3,611

)

USD

504,030

 

EUR

380,000

 

Citibank NA

 

4/18/12

 

 

(2,343

)

USD

129,685

 

EUR

98,000

 

Citibank NA

 

4/18/12

 

 

(906

)

EUR

300,000

 

USD

403,899

 

Deutsche Bank AG

 

4/18/12

 

 

(4,131

)

USD

72,462

 

EUR

56,000

 

Deutsche Bank AG

 

4/18/12

 

 

(2,161

)

USD

129,945

 

EUR

98,000

 

Deutsche Bank AG

 

4/18/12

 

 

(646

)

USD

166,318

 

GBP

106,000

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

(2,270

)

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

1,674,448

 

CAD

1,710,000

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

(52,246

)

 

 

 

 

 

 

 

 

 

 

 

 

 

GBP

150,000

 

USD

235,239

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

3,328

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

736,004

 

EUR

565,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(16,893

)


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

22

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

Foreign currency exchange contracts as of February 29, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation (Depreciation)

 

USD

104,559

 

EUR

80,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

$

(2,045

)

USD

436,394

 

EUR

329,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(2,018

)

USD

3,029,818

 

GBP

1,976,500

 

UBS AG

 

4/11/12

 

 

(113,702

)

USD

321,008

 

EUR

243,000

 

UBS AG

 

4/18/12

 

 

(2,805

)

Total

 

 

 

 

 

 

 

 

 

$

(906,443

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

95

 

$

(5,287

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

155

 

 

(8,097

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

85

 

 

(2,410

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

80

 

 

(2,861

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

80

 

 

(5,209

)

Republic
of Hungary

 

 

1.00

%

 

Deutsche Bank AG

 

12/20/15

 

$

280

 

 

14,909

 

Realogy Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

9/20/16

 

$

125

 

 

(14,443

)

iStar
Financial, Inc.

 

 

5.00

%

 

Deutsche Bank AG

 

12/20/16

 

$

250

 

 

(25,647

)

Israel (State of)

 

 

1.00

%

 

Deutsche Bank AG

 

3/20/17

 

$

210

 

 

(2,183

)

Israel
Government Bond

 

 

1.00

%

 

Deutsche Bank AG

 

3/20/17

 

$

625

 

 

(6,931

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(58,159

)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Air Lease
Corporation

 

 

5.00

%

 

Goldman Sachs
International

 

2/14/13

 

NR

 

$

500

 

$

690

 

CIT Group, Inc.

 

 

5.00

%

 

Deutsche
Bank AG

 

9/20/15

 

BB–

 

$

3,100

 

 

207,030

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

3/20/16

 

B

 

$

500

 

 

26,496

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

6/20/16

 

B

 

$

300

 

 

14,273

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

6/20/16

 

B

 

$

300

 

 

16,159

 

Aramark Corp.

 

 

5.00

%

 

Credit Suisse
Securities
(USA LLC)

 

9/20/16

 

B

 

$

125

 

 

10,126

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

9/20/16

 

B

 

$

350

 

 

15,806

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

9/20/16

 

B

 

$

125

 

 

9,663

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Bausch & Lomb
Incorporated

 

 

5.00

%

 

Credit Suisse
Securities
(USA LLC)

 

3/20/17

 

B

 

$

100

 

$

5,007

 

Aramark Corp.

 

 

5.00

%

 

Deutsche
Bank AG

 

3/20/17

 

B

 

$

185

 

 

3,984

 

Crown Castle
International
Corp.

 

 

7.25

%

 

Deutsche
Bank AG

 

3/20/17

 

B–

 

$

430

 

 

9,327

 

Ford Motor
Company

 

 

5.00

%

 

Deutsche
Bank AG

 

3/20/17

 

BB+

 

$

1,300

 

 

78,265

 

CCO Holding
LLC

 

 

8.00

%

 

Deutsche
Bank AG

 

9/20/17

 

BB–

 

$

1,500

 

 

(84

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

396,742

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

Credit default swaps on traded indexes — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Credit
Rating3

 

Notional
Amount
(000)4

 

Unrealized
Appreciation

 

Dow Jones CDX
North America
High Yield Index
Series 17

 

 

5.00

%

 

Morgan Stanley

 

12/20/16

 

B+

 

$

582

 

$

26,506

 


 

 

 

 

3

Using S&P’s rating of the underlying securities.

 

 

 

 

4

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


 

 

 

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. These definitions 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 derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted 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 derivative financial instruments)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements.


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

23




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund, Inc. (COY)

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

9,783,549

 

$

7,300,861

 

$

4,138,509

 

$

21,222,919

 

Corporate Bonds

 

 

 

 

255,021,496

 

 

4,181,040

 

 

259,202,536

 

Floating Rate
Loan Interests

 

 

 

 

32,976,564

 

 

5,454,878

 

 

38,431,442

 

Other Interests

 

 

88

 

 

 

 

34

 

 

122

 

Preferred
Securities

 

 

2,141,552

 

 

4,236,329

 

 

 

 

6,377,881

 

Warrants

 

 

 

 

288,732

 

 

 

 

288,732

 

Short-Term
Investments

 

 

2,264,805

 

 

 

 

 

 

2,264,805

 

Total

 

$

14,189,994

 

$

299,823,982

 

$

13,774,461

 

$

327,788,437

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

221, 195

 

$

217,046

 

$

438,241

 

Equity contracts

 

$

186,910

 

 

 

 

 

 

186,910

 

Foreign currency
exchange
contracts

 

 

 

 

6,876

 

 

 

 

6,876

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(73,068

)

 

(84

)

 

(73,152

)

Equity contracts

 

 

(273,524

)

 

 

 

 

 

(273,524

)

Foreign currency
exchange
contracts

 

 

 

 

(913,319

)

 

 

 

(913,319

)

Total

 

$

(86,614

)

$

(758,316

)

$

216,962

 

$

(627,968

)


 

 

 

 

1

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


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, 2011

 

$

412,146

 

$

5,083,048

 

$

6,878,236

 

$

7

 

$

154

 

$

(11,592

)

$

12,361,999

 

Accrued discounts/premiums

 

 

 

 

6,787

 

 

92,447

 

 

 

 

 

 

 

 

99,234

 

Net realized gain (loss)

 

 

5,012

 

 

(2,034,509

)

 

39,924

 

 

 

 

 

 

 

 

(1,989,573

)

Net change in unrealized appreciation/depreciation2

 

 

(2,557,439

)

 

2,637,797

 

 

288,385

 

 

27

 

 

(154

)

 

11,592

 

 

380,208

 

Purchases

 

 

6,283,492

 

 

624,199

 

 

336,483

 

 

 

 

 

 

 

 

7,244,174

 

Sales

 

 

(6,339

)

 

(2,136,282

)

 

(3,005,956

)

 

 

 

 

 

 

 

(5,148,577

)

Transfers in3

 

 

1,637

 

 

 

 

825,359

 

 

 

 

 

 

 

 

826,996

 

Transfers out3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 29, 2012

 

$

4,138,509

 

$

4,181,040

 

$

5,454,878

 

$

34

 

 

 

 

 

$

13,774,461

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on securities still held on February 29, 2012 was $(3,458,179).


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

 

Assets/Liabilities:

 

 

 

 

Balance, as of February 28, 2011

 

 

 

Accrued discounts/premiums

 

$

(28,779

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation4

 

 

216,962

 

Issuances5

 

 

268,154

 

Purchases

 

 

 

Sales

 

 

 

Settlements6

 

 

(239,375

)

Transfers in3

 

 

 

Transfers out3

 

 

 

Balance, as of February 29, 2012

 

$

216,962

 


 

 

 

 

3

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

 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/ depreciation on derivative financial instruments still held at February 29, 2012 was $216,962.

 

 

 

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

6

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

24

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 2.9%

 

 

 

 

 

 

 

Delphi Automotive Plc (a)

 

 

13,654

 

$

436,941

 

Delphi Automotive Plc (180-day lock)
(acquired 11/17/11, cost $2,417,941) (a)(b)

 

 

242,654

 

 

7,570,792

 

 

 

 

 

 

 

8,007,733

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

74,600

 

 

718,398

 

Commercial Banks — 0.3%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

16,900

 

 

687,999

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

12,778

 

 

910,305

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

186,717,877

 

 

1,709,402

 

Diversified Telecommunication Services — 0.1%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

15,380

 

 

373,888

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

70,784

 

 

354

 

Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

35,294

 

 

1,515,988

 

Osum Oil Sands Corp. (a)

 

 

82,000

 

 

1,035,929

 

Transocean Ltd.

 

 

5,400

 

 

288,036

 

 

 

 

 

 

 

2,839,953

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

1,099

 

 

110

 

Travelport Worldwide Ltd.

 

 

76,940

 

 

38,470

 

 

 

 

 

 

 

38,580

 

Media — 1.6%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

47,382

 

 

339,729

 

Charter Communications, Inc. (a)

 

 

63,805

 

 

4,045,875

 

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

 

 

9,964

 

 

131,824

 

 

 

 

 

 

 

4,517,428

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

47,050

 

 

430,135

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

122,117

 

 

192,534

 

Ainsworth Lumber Co. Ltd. (c)

 

 

140,415

 

 

221,383

 

Western Forest Products, Inc. (a)

 

 

158,023

 

 

153,319

 

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

 

 

45,762

 

 

44,400

 

 

 

 

 

 

 

611,636

 

Professional Services — 0.0%

 

 

 

 

 

 

 

Pendrell Corp. (a)

 

 

3,500

 

 

8,470

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

5,900

 

 

447,869

 

Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

64,237

 

 

822,233

 

SunPower Corp. (a)

 

 

271

 

 

2,041

 

 

 

 

 

 

 

824,274

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

501

 

 

10

 

HMH Holdings/EduMedia (a)

 

 

89,669

 

 

22,417

 

 

 

 

 

 

 

22,427

 

Total Common Stocks — 8.0%

 

 

 

 

 

22,148,851

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

230

 

$

242,075

 

7.13%, 3/15/21

 

 

330

 

 

353,513

 

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

 

 

756

 

 

814,590

 

 

 

 

 

 

 

1,410,178

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

637

 

 

664,306

 

Series 2, 12.38%, 8/16/15

 

 

644

 

 

671,519

 

 

 

 

 

 

 

1,335,825

 

Airlines — 2.2%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

 

1,120

 

 

1,187,200

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

630

 

 

636,300

 

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

 

 

278

 

 

277,009

 

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

 

 

480

 

 

465,363

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2009-1-B, 9.75%, 6/17/18

 

 

199

 

 

211,186

 

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

 

 

500

 

 

467,500

 

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

 

 

2,062

 

 

2,134,551

 

US Airways Pass-Through Trust, Series 2011-1,
Class C, 10.88%, 10/22/14

 

 

690

 

 

690,000

 

 

 

 

 

 

 

6,069,109

 

Auto Components — 1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., 11.00%, 11/01/15 (c)

 

 

72

 

 

76,050

 

Baker Corp. International, Inc., 8.25%, 6/01/19 (c)

 

 

210

 

 

214,200

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

450

 

 

487,125

 

Delphi Corp., 6.13%, 5/15/21 (c)

 

 

170

 

 

182,325

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

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

 

 

255

 

 

256,530

 

8.00%, 1/15/18

 

 

3,035

 

 

3,217,100

 

International Automotive Components Group, SL,
9.13%, 6/01/18 (c)

 

 

40

 

 

35,600

 

Titan International, Inc., 7.88%, 10/01/17

 

 

465

 

 

494,062

 

 

 

 

 

 

 

4,962,992

 

Beverages — 0.4%

 

 

 

 

 

 

 

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

 

 

264

 

 

291,060

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18 (c)

 

EUR

302

 

 

431,022

 

7.13%, 8/15/18

 

 

238

 

 

339,680

 

 

 

 

 

 

 

1,061,762

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

221

 

 

222,472

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

440

 

 

477,400

 

6.75%, 5/01/21

 

 

1,020

 

 

1,109,250

 

Momentive Performance Materials, Inc.,
11.50%, 12/01/16

 

 

475

 

 

399,000

 

 

 

 

 

 

 

1,985,650

 

Capital Markets — 1.1%

 

 

 

 

 

 

 

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

 

 

720

 

 

733,349

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (h)

 

 

1,070

 

 

1,246,550

 

3.39%, 8/31/19 (c)(e)(h)

 

 

244

 

 

230,885

 

Series A, 3.64%, 8/31/19 (e)(h)

 

 

7

 

 

6,624

 

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

 

 

650

 

 

691,741

 

 

 

 

 

 

 

2,909,149

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

25




 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 3.8%

 

 

 

 

 

 

 

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

 

USD

880

 

$

858,000

 

Ashland, Inc., 9.13%, 6/01/17

 

 

430

 

 

482,675

 

Basell Finance Co. BV, 8.10%, 3/15/27 (c)

 

 

495

 

 

566,775

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

1,785

 

 

1,945,650

 

Chemtura Corp., 7.88%, 9/01/18

 

 

375

 

 

403,125

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

310

 

 

303,800

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

170

 

 

192,100

 

Ineos Finance Plc, 8.38%, 2/15/19 (c)

 

 

465

 

 

494,062

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

380

 

 

520,196

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

125

 

 

127,500

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

2,743

 

 

3,007,320

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

165

 

 

181,088

 

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

 

 

185

 

 

185,000

 

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

 

 

215

 

 

231,662

 

Solutia, Inc., 7.88%, 3/15/20

 

 

620

 

 

726,950

 

TPC Group LLC, 8.25%, 10/01/17

 

 

335

 

 

353,425

 

 

 

 

 

 

 

10,579,328

 

Commercial Banks — 2.3%

 

 

 

 

 

 

 

CIT Group, Inc. (c):

 

 

 

 

 

 

 

7.00%, 5/02/16

 

 

3,276

 

 

3,280,095

 

7.00%, 5/02/17

 

 

2,420

 

 

2,423,025

 

5.50%, 2/15/19

 

 

600

 

 

612,750

 

 

 

 

 

 

 

6,315,870

 

Commercial Services & Supplies — 1.9%

 

 

 

 

 

 

 

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

 

 

330

 

 

364,241

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (c)

 

 

540

 

 

535,270

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)

 

 

114

 

 

119,030

 

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

 

 

25

 

 

23,750

 

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

 

 

650

 

 

646,750

 

Clean Harbors, Inc., 7.63%, 8/15/16

 

 

380

 

 

402,800

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

420

 

 

464,100

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

365

 

 

383,250

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

585

 

 

678,600

 

8.25%, 2/01/21

 

 

875

 

 

927,500

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

184

 

 

247,594

 

8.75%, 12/01/18

 

 

100

 

 

118,575

 

WCA Waste Corp., 7.50%, 6/15/19 (c)

 

USD

330

 

 

334,125

 

West Corp., 8.63%, 10/01/18

 

 

135

 

 

148,162

 

 

 

 

 

 

 

5,393,747

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

780

 

 

780,000

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

900

 

 

929,250

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

380

 

 

402,800

 

 

 

 

 

 

 

2,112,050

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (e)

 

 

220

 

 

263,450

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

100

 

 

136,587

 

Boart Longyear Management Property Ltd.,
7.00%, 4/01/21 (c)

 

USD

200

 

 

210,500

 

 

 

 

 

 

 

347,087

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18

 

EUR

100

 

 

133,896

 

8.00%, 6/01/18 (c)

 

 

254

 

 

340,096

 

 

 

 

 

 

 

473,992

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Consumer Finance — 1.4%

 

 

 

 

 

 

 

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

 

USD

445

 

$

473,925

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

200

 

 

202,466

 

7.00%, 4/15/15

 

 

2,030

 

 

2,253,300

 

12.00%, 5/15/15

 

 

730

 

 

917,933

 

6.63%, 8/15/17

 

 

139

 

 

157,510

 

 

 

 

 

 

 

4,005,134

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (c):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

 

205

 

 

220,375

 

7.38%, 10/15/17

 

EUR

375

 

 

527,091

 

9.13%, 10/15/20

 

USD

395

 

 

407,837

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (f)

 

 

300

 

 

287,250

 

8.25%, 11/15/15

 

 

115

 

 

123,625

 

9.75%, 1/15/21

 

 

360

 

 

385,200

 

GCL Holdings SCA, 9.38%, 4/15/18 (c)

 

EUR

267

 

 

317,484

 

Graphic Packaging International, Inc.,
7.88%, 10/01/18

 

USD

375

 

 

412,500

 

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

 

EUR

155

 

 

214,767

 

Sealed Air Corp., 8.38%, 9/15/21

 

USD

255

 

 

291,975

 

Smurfit Kappa Acquisitions, 7.75%, 11/15/19 (c)

 

EUR

315

 

 

452,199

 

 

 

 

 

 

 

3,640,303

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

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

 

USD

3,000

 

 

3,360,000

 

ServiceMaster Co., 8.00%, 2/15/20 (c)

 

 

655

 

 

691,025

 

 

 

 

 

 

 

4,051,025

 

Diversified Financial Services — 5.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

280

 

 

298,200

 

8.30%, 2/12/15

 

 

540

 

 

596,700

 

6.25%, 12/01/17

 

 

660

 

 

682,188

 

7.50%, 9/15/20

 

 

670

 

 

737,837

 

8.00%, 11/01/31

 

 

1,170

 

 

1,306,012

 

8.00%, 11/01/31

 

 

610

 

 

661,884

 

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

 

 

373

 

 

397,711

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

102

 

 

133,720

 

9.88%, 4/30/18

 

GBP

145

 

 

227,220

 

DPL, Inc., 7.25%, 10/15/21 (c)

 

USD

795

 

 

906,300

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

1,000

 

 

1,365,594

 

General Motors Financial Co., Inc., 6.75%,
6/01/18 (c)

 

USD

300

 

 

323,747

 

Lehman Brothers Holdings, Inc. (i):

 

 

 

 

 

 

 

5.38%, 10/17/12

 

EUR

150

 

 

54,758

 

5.75%, 5/17/13

 

USD

620

 

 

168,175

 

4.75%, 1/16/14

 

EUR

760

 

 

277,438

 

1.00%, 2/05/14

 

 

1,600

 

 

596,870

 

8.80%, 3/01/15

 

USD

175

 

 

47,469

 

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

 

 

825

 

 

917,812

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (c)(j)

 

EUR

345

 

 

488,371

 

8.75%, 10/15/16

 

 

566

 

 

801,212

 

8.75%, 10/15/16 (c)

 

USD

418

 

 

445,170

 

7.13%, 4/15/19 (c)

 

 

245

 

 

259,088

 

7.88%, 8/15/19 (c)

 

 

1,095

 

 

1,199,025

 

9.88%, 8/15/19 (c)

 

 

1,110

 

 

1,147,462

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

120

 

 

132,600

 

11.50%, 10/01/18

 

 

585

 

 

621,563

 

 

 

 

 

 

 

14,794,126

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

26

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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 — 3.2%

 

 

 

 

 

 

 

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

 

USD

1,035

 

$

928,913

 

GCI, Inc., 6.75%, 6/01/21

 

 

288

 

 

291,600

 

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

 

 

280

 

 

291,900

 

Level 3 Financing, Inc. (c):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

2,445

 

 

2,561,137

 

8.63%, 7/15/20

 

 

1,060

 

 

1,131,550

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,300

 

 

1,304,550

 

8.00%, 10/01/15

 

 

720

 

 

772,875

 

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

 

 

525

 

 

597,234

 

Videotron Ltee, 5.00%, 7/15/22 (c)(k)

 

 

160

 

 

160,400

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

460

 

 

493,350

 

7.88%, 11/01/17

 

 

393

 

 

443,108

 

 

 

 

 

 

 

8,976,617

 

Electric Utilities — 0.8%

 

 

 

 

 

 

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

1,750

 

 

2,178,809

 

Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

Elster Finance BV, 6.25%, 4/15/18 (c)

 

 

114

 

 

154,008

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

USD

235

 

 

279,650

 

NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (c)

 

 

200

 

 

226,250

 

 

 

 

 

 

 

659,908

 

Energy Equipment & Services — 3.1%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%,
8/01/19 (c)

 

 

165

 

 

174,075

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

140

 

 

147,350

 

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

 

 

395

 

 

395,000

 

Compagnie Générale de Géophysique Veritas,
7.75%, 5/15/17

 

 

250

 

 

260,313

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

365

 

 

359,525

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

1,755

 

 

1,873,462

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

450

 

 

471,375

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

980

 

 

1,048,600

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

320

 

 

344,000

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

2,630

 

 

2,754,925

 

Transocean, Inc., 6.38%, 12/15/21

 

 

755

 

 

891,013

 

 

 

 

 

 

 

8,719,638

 

Food Products — 0.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

240

 

 

270,000

 

Post Holdings, Inc., 7.38%, 2/15/22 (c)

 

 

225

 

 

239,625

 

 

 

 

 

 

 

509,625

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

195

 

 

211,819

 

10.38%, 10/15/17 (h)(l)

 

 

1,450

 

 

1,578,687

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC):

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

2,320

 

 

2,360,600

 

7.75%, 4/15/18

 

 

100

 

 

86,000

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

208

 

 

230,360

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (c)

 

 

650

 

 

685,750

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

540

 

 

623,700

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

295

 

 

317,863

 

 

 

 

 

 

 

6,094,779

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services — 5.4%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

USD

415

 

$

424,337

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)

 

EUR

494

 

 

682,837

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (c)

 

GBP

364

 

 

571,125

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

135

 

 

151,200

 

6.50%, 2/15/20

 

 

1,995

 

 

2,139,637

 

7.88%, 2/15/20

 

 

95

 

 

104,738

 

7.25%, 9/15/20

 

 

2,600

 

 

2,834,000

 

5.88%, 3/15/22

 

 

275

 

 

281,875

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

 

940

 

 

979,950

 

IASIS Healthcare LLC, 8.38%, 5/15/19 (c)

 

 

755

 

 

721,025

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

410

 

 

393,600

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.)
10.00%, 8/15/18 (c)

 

 

135

 

 

122,850

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,005

 

 

1,119,319

 

PSS World Medical, Inc., 6.38%, 3/01/22 (c)

 

 

285

 

 

296,400

 

Symbion, Inc., 8.00%, 6/15/16 (c)

 

 

345

 

 

332,925

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

779

 

 

907,535

 

6.25%, 11/01/18 (c)

 

 

330

 

 

351,863

 

8.88%, 7/01/19

 

 

2,279

 

 

2,598,060

 

 

 

 

 

 

 

15,013,276

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

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

 

 

2,405

 

 

2,861,950

 

Hotels, Restaurants & Leisure — 2.6%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

275

 

 

301,125

 

10.00%, 12/15/18

 

 

1,460

 

 

1,127,850

 

Caesars Operating Escrow, LLC., 8.50%,
2/15/20 (c)

 

 

715

 

 

729,300

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

1,190

 

 

1,255,450

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

140

 

 

133,350

 

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

 

GBP

324

 

 

417,516

 

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

 

USD

300

 

 

264,000

 

MGM Resorts International:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

50

 

 

58,375

 

10.38%, 5/15/14

 

 

255

 

 

290,062

 

4.25%, 4/15/15 (e)

 

 

540

 

 

579,150

 

11.13%, 11/15/17

 

 

1,400

 

 

1,592,500

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

5.15%, 9/01/14 (f)

 

 

180

 

 

92,250

 

9.88%, 9/01/14

 

 

40

 

 

22,900

 

9.00%, 3/01/16

 

 

120

 

 

63,600

 

6.58%, 12/01/16 (c)(l)

 

 

406

 

 

285,979

 

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

 

 

305

 

 

 

 

 

 

 

 

 

7,213,407

 

Household Durables — 1.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

1,345

 

 

1,466,050

 

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

 

EUR

305

 

 

410,415

 

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

 

USD

340

 

 

346,800

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

1,390

 

 

1,596,762

 

8.38%, 1/15/21

 

 

290

 

 

308,125

 

 

 

 

 

 

 

4,128,152

 

Household Products — 0.5%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (c)

 

EUR

150

 

 

183,857

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

USD

360

 

 

410,400

 

9.50%, 6/15/18 (c)

 

 

590

 

 

672,600

 

 

 

 

 

 

 

1,266,857

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

27




 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders — 3.0%

 

 

 

 

 

 

 

AES Corp., 7.38%, 7/01/21

 

USD

655

 

$

746,700

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

180

 

 

190,800

 

7.50%, 2/15/21

 

 

100

 

 

108,500

 

7.88%, 1/15/23

 

 

285

 

 

310,650

 

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

 

 

3,180

 

 

3,438,375

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

964

 

 

1,047,145

 

11.75%, 3/01/22 (c)

 

 

1,420

 

 

1,455,500

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

510

 

 

562,275

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

333

 

 

336,330

 

 

 

 

 

 

 

8,196,275

 

Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,340

 

 

2,486,250

 

13.50%, 12/01/15

 

 

3,954

 

 

4,220,907

 

 

 

 

 

 

 

6,707,157

 

Insurance — 1.0%

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,787,125

 

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

 

 

367

 

 

394,984

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

430

 

 

446,135

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

260

 

 

232,050

 

 

 

 

 

 

 

2,860,294

 

IT Services — 1.7%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c)

 

 

570

 

 

589,950

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

205

 

 

207,306

 

8.88%, 8/15/20 (c)

 

 

535

 

 

579,138

 

8.25%, 1/15/21 (c)

 

 

660

 

 

638,550

 

12.63%, 1/15/21

 

 

1,519

 

 

1,594,950

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

440

 

 

473,000

 

7.63%, 11/15/20

 

 

600

 

 

648,000

 

 

 

 

 

 

 

4,730,894

 

Machinery — 0.8%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (e)

 

 

333

 

 

375,041

 

8.25%, 11/01/21

 

 

126

 

 

137,813

 

SPX Corp., 6.88%, 9/01/17

 

 

175

 

 

194,250

 

UR Financing Escrow Corp. (c)(k):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

257

 

 

264,068

 

7.38%, 5/15/20

 

 

350

 

 

359,187

 

7.63%, 4/15/22

 

 

937

 

 

969,795

 

 

 

 

 

 

 

2,300,154

 

Media — 14.1%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

815

 

 

729,425

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

225

 

 

250,875

 

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

 

 

3,253

 

 

3,740,604

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

110

 

 

120,175

 

7.38%, 6/01/20

 

 

270

 

 

297,000

 

6.50%, 4/30/21

 

 

488

 

 

518,500

 

Checkout Holding Corp., 10.68%, 11/15/15 (c)(h)

 

 

670

 

 

301,500

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

220

 

 

244,750

 

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

 

 

555

 

 

510,600

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,495

 

 

1,637,025

 

7.63%, 3/15/20 (c)(k)

 

 

1,050

 

 

1,050,000

 

Series B, 9.25%, 12/15/17 (d)

 

 

5,700

 

 

6,270,000

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Cox Enterprises, Inc. (c):

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

USD

674

 

$

684,339

 

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

 

 

771

 

 

782,397

 

Shares Loan, 12.00%, 8/15/18

 

 

795

 

 

806,924

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

390

 

 

432,900

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

90

 

 

96,638

 

6.75%, 6/01/21

 

 

400

 

 

444,000

 

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

 

 

935

 

 

987,594

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (c)

 

 

350

 

 

238,875

 

9.50%, 5/15/15

 

 

315

 

 

248,062

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

1,520

 

 

1,607,400

 

11.25%, 2/04/17

 

 

360

 

 

371,250

 

11.50%, 2/04/17 (l)

 

 

1,330

 

 

1,369,900

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,345

 

 

1,516,487

 

The Interpublic Group of Cos., Inc.,
10.00%, 7/15/17

 

 

340

 

 

389,300

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (c)

 

EUR

673

 

 

959,402

 

Kabel Deutschland Vertrieb und Service
GmbH & Co. KG, 6.50%, 6/29/18 (c)

 

 

345

 

 

484,965

 

Lamar Media Corp., 5.88%, 2/01/22 (c)

 

USD

200

 

 

208,750

 

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

 

 

735

 

 

781,856

 

Musketeer GmbH, 9.50%, 3/15/21 (c)

 

EUR

320

 

 

460,443

 

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

 

USD

620

 

 

682,000

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

117

 

 

136,012

 

7.75%, 10/15/18

 

 

2,145

 

 

2,386,312

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)

 

GBP

207

 

 

325,200

 

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

 

USD

500

 

 

442,500

 

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

 

 

850

 

 

425

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

168

 

 

241,732

 

9.63%, 12/01/19 (c)

 

 

570

 

 

820,164

 

Unitymedia Hessen GmbH & Co. KG (FKA UPC
Germany GmbH) (c):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

USD

655

 

 

710,675

 

8.13%, 12/01/17

 

EUR

441

 

 

631,610

 

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

 

USD

400

 

 

444,000

 

UPCB Finance II Ltd. (c):

 

 

 

 

 

 

 

6.38%, 7/01/20

 

EUR

822

 

 

1,089,674

 

6.38%, 7/01/20

 

 

300

 

 

397,691

 

Virgin Media Secured Finance Plc, 5.25%,
1/15/18 (k)

 

GBP

335

 

 

575,588

 

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

 

EUR

388

 

 

546,656

 

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

 

 

732

 

 

1,011,815

 

 

 

 

 

 

 

38,983,990

 

Metals & Mining — 3.1%

 

 

 

 

 

 

 

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

 

USD

1,060

 

 

1,343,550

 

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

 

EUR

655

 

 

885,746

 

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

 

USD

1,475

 

 

2,035,500

 

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

 

 

3,315

 

 

3,696,225

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

420

 

 

403,200

 

Vedanta Resources Plc, 8.25%, 6/07/21 (c)

 

 

270

 

 

249,075

 

 

 

 

 

 

 

8,613,296

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

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

 

 

4,351

 

 

4,775,266

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

28

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

USD

405

 

$

392,850

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (c)

 

 

455

 

 

468,650

 

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

 

 

510

 

 

531,675

 

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

 

 

25

 

 

27,625

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)

 

 

255

 

 

267,113

 

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

 

 

130

 

 

135,200

 

Chesapeake Midstream Partners LP,
6.13%, 7/15/22

 

 

275

 

 

284,625

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

60

 

 

61,200

 

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

 

 

266

 

 

284,620

 

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

 

 

410

 

 

461,250

 

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

 

 

1,965

 

 

2,141,850

 

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

 

 

370

 

 

410,700

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

335

 

 

355,100

 

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

 

 

180

 

 

195,300

 

Crown Oil Partners IV LP, 15.00%, 3/07/15

 

 

585

 

 

584,824

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

672

 

 

766,080

 

6.38%, 8/15/21

 

 

350

 

 

385,875

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

555

 

 

614,662

 

7.75%, 6/15/19

 

 

900

 

 

949,500

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

150

 

 

157,500

 

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

 

 

745

 

 

812,050

 

Holly Energy Partners LP, 6.50%, 3/01/20 (c)(k)

 

 

155

 

 

158,294

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

325

 

 

347,750

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

95

 

 

96,900

 

6.25%, 11/01/19 (c)

 

 

1,820

 

 

1,817,725

 

8.63%, 4/15/20

 

 

225

 

 

249,750

 

7.75%, 2/01/21

 

 

200

 

 

215,000

 

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

 

 

135

 

 

147,488

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

940

 

 

1,015,200

 

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

 

 

565

 

 

542,400

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

330

 

 

349,800

 

6.50%, 11/01/21

 

 

290

 

 

298,700

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

4,805

 

 

5,009,212

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (c)

 

 

340

 

 

340,000

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (c)

 

 

865

 

 

919,062

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

370

 

 

411,162

 

7.88%, 6/01/15

 

 

460

 

 

485,875

 

7.25%, 8/15/18

 

 

320

 

 

366,000

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)

 

 

575

 

 

603,750

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

460

 

 

540,349

 

7.50%, 1/15/20

 

 

145

 

 

179,187

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

 

800

 

 

864,000

 

6.75%, 2/01/22

 

 

510

 

 

558,450

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

295

 

 

314,913

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

345

 

 

384,675

 

5.75%, 6/01/21

 

 

985

 

 

1,053,950

 

5.00%, 8/15/22 (k)

 

 

435

 

 

439,350

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (c)

 

 

390

 

 

389,218

 

Samson Investment Co., 9.75%, 2/15/20 (c)

 

 

650

 

 

684,125

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

450

 

 

454,500

 

SM Energy Co., 6.63%, 2/15/19

 

 

130

 

 

139,425

 

 

 

 

 

 

 

29,664,459

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Paper & Forest Products — 2.5%

 

 

 

 

 

 

 

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

 

USD

1,221

 

$

891,563

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

435

 

 

478,500

 

8.00%, 4/01/20

 

 

165

 

 

181,088

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

390

 

 

443,137

 

7.13%, 11/01/18

 

 

585

 

 

623,025

 

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

 

 

1,600

 

 

1,772,523

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

345

 

 

354,488

 

NewPage Corp., 11.38%, 12/31/14 (a)(i)

 

 

2,070

 

 

1,247,175

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

140

 

 

131,250

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

756

 

 

771,120

 

 

 

 

 

 

 

6,893,869

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

100

 

 

143,222

 

9.88%, 8/01/19 (c)

 

 

200

 

 

286,445

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

USD

420

 

 

459,375

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

855

 

 

872,100

 

 

 

 

 

 

 

1,761,142

 

Professional Services — 0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

920

 

 

994,750

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

1,405

 

 

1,436,612

 

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

 

 

520

 

 

544,050

 

 

 

 

 

 

 

1,980,662

 

Real Estate Management & Development — 2.4%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

335

 

 

355,938

 

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

 

 

1,425

 

 

1,403,625

 

IVG Immobilien AG, 8.00% (m)

 

EUR

100

 

 

89,597

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

USD

400

 

 

366,000

 

12.00%, 4/15/17

 

 

100

 

 

92,000

 

7.88%, 2/15/19 (c)

 

 

2,380

 

 

2,308,600

 

7.63%, 1/15/20 (c)

 

 

505

 

 

521,412

 

9.00%, 1/15/20 (c)

 

 

365

 

 

366,825

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

1,250

 

 

1,262,500

 

 

 

 

 

 

 

6,766,497

 

Road & Rail — 1.6%

 

 

 

 

 

 

 

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

 

 

130

 

 

135,525

 

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

 

 

410

 

 

414,100

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

188

 

 

270,510

 

8.50%, 7/31/15 (c)

 

 

1,325

 

 

1,906,521

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

USD

645

 

 

695,794

 

6.75%, 4/15/19 (c)

 

 

110

 

 

115,225

 

6.75%, 4/15/19 (c)(k)

 

 

290

 

 

303,775

 

7.38%, 1/15/21 (c)

 

 

495

 

 

535,837

 

 

 

 

 

 

 

4,377,287

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

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

 

 

580

 

 

569,850

 

Software — 0.2%

 

 

 

 

 

 

 

Sophia LP, 9.75%, 1/15/19 (c)

 

 

442

 

 

475,150

 

Specialty Retail — 2.5%

 

 

 

 

 

 

 

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

 

 

365

 

 

391,462

 

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

 

 

530

 

 

555,175

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18 (c)

 

GBP

285

 

 

405,799

 

8.88%, 8/15/18

 

 

221

 

 

314,672

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

29




 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

785

 

$

938,075

 

5.63%, 2/15/22

 

 

160

 

 

164,800

 

Phones4u Finance Plc, 9.50%, 4/01/18 (c)

 

GBP

400

 

 

558,406

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

230

 

 

247,250

 

7.50%, 10/01/19

 

 

625

 

 

693,750

 

7.38%, 10/15/20

 

 

290

 

 

321,175

 

Sally Holdings LLC, 6.88%, 11/15/19 (c)

 

 

545

 

 

585,875

 

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

 

 

370

 

 

402,375

 

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

 

 

150

 

 

154,125

 

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

 

 

1,025

 

 

1,068,573

 

 

 

 

 

 

 

6,801,512

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

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

 

 

431

 

 

453,089

 

Wireless Telecommunication Services — 5.0%

 

 

 

 

 

 

 

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

 

 

110

 

 

117,150

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

700

 

 

712,250

 

9.13%, 1/15/15

 

 

1,783

 

 

1,818,660

 

8.25%, 9/01/17

 

 

1,180

 

 

1,250,800

 

10.50%, 4/15/18

 

 

500

 

 

545,000

 

iPCS, Inc., 2.67%, 5/01/13 (f)

 

 

995

 

 

957,687

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

305

 

 

418,542

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

1,070

 

 

1,102,100

 

NII Capital Corp., 7.63%, 4/01/21

 

 

661

 

 

675,873

 

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

 

 

2,390

 

 

1,864,200

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

2,200

 

 

2,453,000

 

7.00%, 3/01/20

 

 

2,020

 

 

2,052,825

 

 

 

 

 

 

 

13,968,087

 

Total Corporate Bonds — 101.5%

 

 

 

 

 

281,429,947

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit — New Term Loan B,
5.50%, 4/20/17

 

 

533

 

 

520,212

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 1/27/17

 

 

495

 

 

496,445

 

Building Products — 0.1%

 

 

 

 

 

 

 

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

 

 

398

 

 

403,944

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

7.25%, 5/13/17

 

 

655

 

 

659,585

 

7.25%, 3/14/19

 

 

415

 

 

418,631

 

 

 

 

 

 

 

1,078,216

 

Chemicals — 0.3%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term
Loan B (First Lien), 3.50%, 7/30/14

 

 

290

 

 

282,640

 

Styron Sarl LLC, Term Loan B, 6.00% – 6.75%,
8/02/17

 

 

490

 

 

441,405

 

 

 

 

 

 

 

724,045

 

Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

487

 

 

485,114

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

550

 

 

550,588

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

988

 

 

991,618

 

 

 

 

 

 

 

2,027,320

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.24%, 10/24/14

 

USD

200

 

$

195,694

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan,
15.63%, 12/16/17

 

 

2,000

 

 

2,000,000

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

5,085

 

 

4,635,537

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

9

 

 

8,456

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

86

 

 

84,912

 

 

 

 

 

 

 

93,368

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Incremental Tranche A Term Loan,
2.50% – 2.83%, 3/13/14

 

 

500

 

 

491,750

 

Term Loan B, 5.75%, 8/31/18

 

 

850

 

 

855,848

 

 

 

 

 

 

 

1,347,598

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan, 4.00%,7/14/17

 

 

280

 

 

273,649

 

Non-Extended Term Loan, 3.75%, 10/10/14

 

 

106

 

 

105,593

 

 

 

 

 

 

 

379,242

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

CCS Corp., Incremental Term Loan, 6.50%, 10/17/14

 

 

275

 

 

275,275

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%, 8/04/16

 

 

1,991

 

 

1,980,151

 

Gas Co. Term Loan, 9.25%, 8/04/16

 

 

3,645

 

 

3,759,335

 

 

 

 

 

 

 

6,014,761

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

U.S. Foodservice, Inc., Term Loan B,
2.74%, 7/03/14

 

 

170

 

 

164,050

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

900

 

 

900,747

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

765

 

 

764,526

 

Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

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

 

 

410

 

 

401,656

 

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

 

 

432

 

 

423,665

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

395

 

 

392,433

 

inVentiv Health, Inc., Combined Term Loan,
6.50%, 8/04/16

 

 

795

 

 

764,413

 

 

 

 

 

 

 

1,982,167

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

485

 

 

498,890

 

Term Loan B1, 3.24%, 1/28/15

 

 

811

 

 

759,910

 

Term Loan B2, 3.24%, 1/28/15

 

 

970

 

 

909,105

 

Term Loan B3, 3.24% – 3.47%, 1/28/15

 

 

309

 

 

289,658

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

9

 

 

9,194

 

Term Loan B, 2.56%, 6/14/14

 

 

96

 

 

93,266

 

Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16

 

 

1,050

 

 

946,753

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.54%, 9/28/12

 

 

187

 

 

88,690

 

Extended Tranche B Term Loan, 14.04%,
12/01/16

 

 

580

 

 

130,528

 

 

 

 

 

 

 

3,725,994

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

30

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC (TXU),
Extended Term Loan, 4.76%, 10/10/17

 

USD

749

 

$

417,813

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan,
6.25%, 12/03/14

 

 

440

 

 

441,465

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B,
4.24%, 3/23/18

 

 

785

 

 

704,412

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., Term Loan B, 7/20/13

 

 

585

 

 

592,131

 

Media — 5.1%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 7/03/14

 

 

325

 

 

301,600

 

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

 

 

1,689

 

 

1,633,866

 

Cequel Communications LLC, Term Loan B, 2/11/19

 

 

600

 

 

593,862

 

Clear Channel Communications:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

2,150

 

 

1,764,491

 

Term Loan C, 3.89%, 1/28/16

 

 

391

 

 

309,542

 

HMH Publishing Co. Ltd., Term Loan,
6.51%, 6/12/14

 

 

927

 

 

572,930

 

Intelsat Jackson Holdings SA (FKA Intel Jackson
Holding Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

7,245

 

 

7,232,933

 

Interactive Data Corp., New Term Loan B,
4.50%, 2/12/18

 

 

50

 

 

49,887

 

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

 

 

1,325

 

 

1,363,094

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.49%, 3/31/17

 

 

335

 

 

311,098

 

 

 

 

 

 

 

14,133,303

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

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

 

 

1,653

 

 

1,660,918

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

600

 

 

604,500

 

Verso Paper Finance Holdings LLC, Term Loan with
PIK option, 6.79% – 7.54%, 2/01/13

 

 

1,483

 

 

741,410

 

 

 

 

 

 

 

1,345,910

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

990

 

 

981,585

 

Pharmaceutical Products Development, Inc., Term
Loan B, 6.25%, 12/05/18

 

 

395

 

 

398,456

 

 

 

 

 

 

 

1,380,041

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13

 

 

1,677

 

 

1,669,739

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
4.53%, 10/10/16

 

 

112

 

 

103,950

 

Extended Term Loan, 4.77%, 10/10/16

 

 

737

 

 

683,382

 

 

 

 

 

 

 

787,332

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP B.V., Term Loan A-2, 5.50%, 3/03/17

 

 

70

 

 

69,475

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 7/28/15

 

 

158

 

 

154,276

 

Extended Initial Term Loan, 7/28/15

 

 

297

 

 

290,487

 

 

 

 

 

 

 

444,763

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

USD

522

 

$

494,915

 

Wireless Telecommunication Services — 1.2%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/25/19

 

 

160

 

 

159,272

 

Vodafone Americas Finance 2, Inc. (l):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

1,938

 

 

1,938,173

 

Term Loan B, 6.25%, 7/11/16

 

 

1,341

 

 

1,337,274

 

 

 

 

 

 

 

3,434,719

 

Total Floating Rate Loan Interests — 19.9%

 

 

 

 

 

55,030,802

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (n)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp. Escrow (a)

 

 

460

 

 

4,600

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate

 

 

2,830

 

 

28

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (a)

 

 

575

 

 

6

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (a)

 

 

750

 

 

8

 

Adelphia Recovery Trust (a)

 

 

941

 

 

94

 

 

 

 

 

 

 

102

 

Total Other Interests — 0.0%

 

 

 

 

 

4,736

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts — 0.2%

 

Par
(000)

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (f)

 

 

865

 

 

593,606

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.9%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (a)(c)

 

 

17,830

 

 

2,400,364

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)(f)

 

 

3,424

 

 

2,970,962

 

Media — 0.1%

 

 

 

 

 

 

 

TRA Global, Inc. (a)

 

 

286,652

 

 

352,582

 

Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

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

 

 

8,994

 

 

127,715

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (a)

 

 

30,000

 

 

55,500

 

Freddie Mac, Series Z, 8.00% (a)

 

 

75,961

 

 

112,422

 

 

 

 

 

 

 

167,922

 

Total Preferred Stocks — 2.2%

 

 

 

 

 

6,019,545

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

31




 

 

 

 

Consolidated Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Trust Preferred

 

Shares

 

Value

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)

 

 

73,410

 

$

1,717,990

 

RBS Capital Funding Trust VII, 6.08%, 12/31/49

 

 

45,000

 

 

615,150

 

 

 

 

 

 

 

2,333,140

 

Total Preferred Securities — 3.2%

 

 

 

 

 

8,946,291

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (o)

 

 

 

 

 

 

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires 10/10/13) (c)

 

 

700

 

 

37,325

 

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

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

42,640

 

 

307,980

 

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

 

 

22,447

 

 

1

 

 

 

 

 

 

 

307,981

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

334

 

 

 

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

 

 

11,225

 

 

 

 

 

 

 

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

345,306

 

Total Long-Term Investments
(Cost — $360,359,973) — 132.7%

 

 

 

 

 

367,905,933

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.1%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust:

 

 

 

 

 

 

 

Strike Price USD 134.00, Expires 3/17/12

 

 

1,140

 

 

107,160

 

Strike Price USD 136.00, Expires 3/17/12

 

 

200

 

 

31,600

 

Strike Price USD 136.00, Expires 4/21/12

 

 

200

 

 

63,800

 

 

 

 

 

 

 

202,560

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19, Broker
Goldman Sachs Bank USA

 

 

19

 

 

 

Total Options Purchased
(Cost — $458,662) — 0.1%

 

 

 

 

 

202,560

 

Total Investments Before Options Written
(Cost — $360,818,635) — 132.8%

 

 

 

 

 

368,108,493

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

 

 

 

 

 

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust, Strike Price USD 125.00,
Expires 3/17/12

 

 

1,140

 

 

(16,530

)

Total Options Written
(Premiums Received — $81,580) — (0.0)%

 

 

 

 

 

(16,530

)

Total Investments, Net of Options Written — 132.8%

 

 

 

 

 

368,091,963

 

Liabilities in Excess of Other Assets — (32.8)%

 

 

 

 

 

(90,905,341

)

Net Assets — 100.0%

 

 

 

 

$

277,186,622

 


 

 

(a)

Non-income producing security.

 

 

(b)

Restricted security as to resale. As of report date the Fund held 2.7% of its net assets, with a current value of $7,570,792 and an original cost of $2,417,941 in this security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

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

 

 

(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)

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 is as of report date.

 

 

(k)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Goldman Sachs & Co.

 

$

1,050,000

 

 

 

Citigroup Global Markets, Inc.

 

$

158,294

 

$

3,294

 

Bank of America

 

$

1,175,338

 

$

14,269

 

Barclays Capital Inc.

 

$

303,775

 

$

2,175

 

Morgan Stanley Co.

 

$

1,593,050

 

$

49,051

 


 

 

(l)

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

 

 

(m)

Security is perpetual in nature and has no stated maturity date.

 

 

(n)

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

 

 

(o)

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.

 

 

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,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

 

BlackRock Liquidity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Funds, TempFund,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional Class

 

 

1,845,167

 

 

(1,845,167

)

 

 

$

1,101

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

 

120

 

 

S&P 500

 

 

Chicago

 

 

March

 

$

8,186,400

 

$

(258,828

)

 

 

 

 

Index E-Mini

 

 

Mercantile

 

 

2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

 

GBP

150,000

 

USD

235,239

 

 

Royal Bank of
Scotland Plc

 

 

4/11/12

 

$

3,328

 

 

USD

998,644

 

CAD

1,025,000

 

 

Citibank NA

 

 

4/11/12

 

 

(36,363

)

 

USD

1,754,743

 

CAD

1,792,000

 

 

Royal Bank of
Scotland Plc

 

 

4/11/12

 

 

(54,751

)

 

USD

413,203

 

GBP

260,000

 

 

Citibank NA

 

 

4/11/12

 

 

(314

)

 

USD

161,611

 

GBP

103,000

 

 

Royal Bank of
Scotland Plc

 

 

4/11/12

 

 

(2,205

)


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

32

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

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

Foreign currency exchange contracts as of February 29, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

 

USD

3,482,797

 

GBP

2,272,000

 

 

UBS AG

 

 

4/11/12

 

$

(130,701

)

 

EUR

340,000

 

USD

457,753

 

 

Deutsche Bank AG

 

 

4/18/12

 

 

(4,682

)

 

USD

17,846,201

 

EUR

13,893,500

 

 

Citibank NA

 

 

4/18/12

 

 

(667,732

)

 

USD

218,178

 

EUR

166,000

 

 

Citibank NA

 

 

4/18/12

 

 

(3,028

)

 

USD

384,655

 

EUR

290,000

 

 

Citibank NA

 

 

4/18/12

 

 

(1,788

)

 

USD

129,685

 

EUR

98,000

 

 

Citibank NA

 

 

4/18/12

 

 

(906

)

 

USD

72,929

 

EUR

55,000

 

 

Deutsche Bank AG

 

 

4/18/12

 

 

(362

)

 

USD

1,068,183

 

EUR

820,000

 

 

Royal Bank of
Scotland Plc

 

 

4/18/12

 

 

(24,517

)

 

USD

103,252

 

EUR

79,000

 

 

Royal Bank of
Scotland Plc

 

 

4/18/12

 

 

(2,020

)

 

USD

435,068

 

EUR

328,000

 

 

Royal Bank of
Scotland Plc

 

 

4/18/12

 

 

(2,012

)

 

USD

338,181

 

EUR

256,000

 

 

UBS AG

 

 

4/18/12

 

 

(2,955

)

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

(931,008

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts
International

 

 

5.00

%

 

Deutsche
Bank AG

 

 

6/20/15

 

$

105

 

$

(5,844

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche
Bank AG

 

 

6/20/15

 

$

85

 

 

(5,535

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche
Bank AG

 

 

6/20/15

 

$

170

 

 

(8,880

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche
Bank AG

 

 

6/20/15

 

$

90

 

 

(2,552

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche
Bank AGl

 

 

6/20/15

 

$

90

 

 

(3,218

)

Republic of
Hungary

 

 

1.00

%

 

Deutsche
Bank AG

 

 

12/20/15

 

$

300

 

 

15,974

 

Realogy Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

 

9/20/16

 

$

150

 

 

(17,332

)

iStar
Financial, Inc.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

12/20/16

 

$

225

 

 

(23,083

)

Israel (State of)

 

 

1.00

%

 

Deutsche
Bank AG

 

 

3/20/17

 

$

225

 

 

(2,339

)

Israel
Government Bond

 

 

1.00

%

 

Deutsche
Bank AG

 

 

3/20/17

 

$

675

 

 

(7,485

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(60,294

)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Air Lease
Corporation

 

 

5.00

%

 

Goldman Sachs
International

 

 

2/14/13

 

 

NR

 

$

500

 

$

690

 

CIT Group, Inc.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

9/20/15

 

 

BB–

 

$

3,400

 

 

227,066

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

 

3/20/16

 

 

B

 

$

500

 

 

26,496

 


 

 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

 

6/20/16

 

 

B

 

$

300

 

$

14,272

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

 

6/20/16

 

 

B

 

$

300

 

 

16,159

 

Aramark Corp.

 

 

5.00

%

 

Credit Suisse
Securities
(USA) LLC

 

 

9/20/16

 

 

B

 

$

125

 

 

10,126

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

 

9/20/16

 

 

B

 

$

350

 

 

15,806

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

 

9/20/16

 

 

B

 

$

125

 

 

9,663

 

Bausch & Lomb
Incorporated

 

 

5.00

%

 

Credit Suisse
Securities
(USA) LLC

 

 

3/20/17

 

 

B

 

$

105

 

 

5,257

 

Aramark Corp.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

3/20/17

 

 

B

 

$

200

 

 

4,307

 

Crown Castle
International
Corp.

 

 

7.25

%

 

Deutsche
Bank AG

 

 

3/20/17

 

 

B–

 

$

470

 

 

10,194

 

Ford Motor
Company

 

 

5.00

%

 

Deutsche
Bank AG

 

 

3/20/17

 

 

BB+

 

$

1,500

 

 

90,306

 

CCO Holding
LLC

 

 

8.00

%

 

Deutsche Bank AG

 

 

9/20/17

 

 

BB–

 

$

1,600

 

 

(89

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

430,253

 


 

 

 

 

 

 

1

Using S&P’s rating.

 

 

 

 

 

 

2

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

 

 

 

 

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. These definitions 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 derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

 

Level 1 — unadjusted 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 derivative financial instruments)

 

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements.


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

33




 

 

 

 

Consolidated Schedule of Investments (concluded)

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

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

9,825,707

 

$

8,000,927

 

$

4,322,217

 

$

22,148,851

 

Corporate Bonds

 

 

 

 

276,971,213

 

 

4,458,734

 

 

281,429,947

 

Floating Rate
Loan interests

 

 

 

 

45,735,558

 

 

9,295,244

 

 

55,030,802

 

Other Interests

 

 

94

 

 

 

 

4,642

 

 

4,736

 

Preferred Stocks

 

 

2,628,777

 

 

5,964,932

 

 

352,582

 

 

8,946,291

 

Warrants

 

 

 

 

345,305

 

 

1

 

 

345,306

 

Total

 

$

12,454,578

 

$

337,017,935

 

$

18,433,420

 

$

367,905,933

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

$

202,560

 

 

 

 

 

$

202,560

 

Credit contracts

 

 

 

$

208,366

 

$

237,950

 

 

446,316

 

Foreign currency
exchange
contracts

 

 

 

 

3,328

 

 

 

 

3,328

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

 

(275,358

)

 

 

 

 

 

(275,358

)

Credit contracts

 

 

 

 

(76,268

)

 

(89

)

 

(76,357

)

Foreign currency
exchange
contracts

 

 

 

 

(934,336

)

 

 

 

(934,336

)

Total

 

$

(72,798

)

$

(798,910

)

$

237,861

 

$

(633,847

)


 

 

 

 

 

 

1

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

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
(Liabilities)

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2011

 

$

719,326

 

$

5,493,390

 

$

10,323,930

 

$

12,664

 

$

463,230

 

$

234

 

$

(25,965

)

$

16,986,809

 

Accrued discounts/premiums

 

 

 

 

7,336

 

 

126,960

 

 

 

 

 

 

 

 

 

 

134,296

 

Net realized gain (loss)

 

 

5,352

 

 

(2,167,542

)

 

43,209

 

 

 

 

 

 

 

 

 

 

(2,118,981

)

Net change in unrealized appreciation/depreciation2

 

 

(2,700,184

)

 

2,811,381

 

 

171,382

 

 

(8,022

)

 

(110,648

)

 

(233

)

 

25,965

 

 

189,641

 

Purchases

 

 

6,560,740

 

 

678,913

 

 

1,832,811

 

 

 

 

 

 

 

 

 

 

9,072,464

 

Sales

 

 

(264,771

)

 

(2,364,744

)

 

(3,175,711

)

 

 

 

 

 

 

 

 

 

(5,805,226

)

Transfers in6

 

 

1,754

 

 

 

 

895,163

 

 

 

 

 

 

 

 

 

 

896,917

 

Transfers out6

 

 

 

 

 

 

(922,500

)

 

 

 

 

 

 

 

 

 

(922,500

)

Balance, as of February 29, 2012

 

$

4,322,217

 

$

4,458,734

 

$

9,295,244

 

$

4,642

 

$

352,582

 

$

1

 

 

 

$

18,433,420

 


 

 

 

 

 

 

2

Included in the related change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on securities still held on February 29, 2012 was $(3,848,775).

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

 

Assets/Liabilities:

 

 

 

 

Balance, as of February 28, 2011

 

 

 

Accrued discounts/premiums

 

$

(31,474

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation3

 

 

237,861

 

Issuances4

 

 

291,778

 

Purchases

 

 

 

Sales

 

 

 

Settlements5

 

 

(260,304

)

Transfers in6

 

 

 

Transfers out6

 

 

 

Balance, as of February 29, 2012

 

$

237,861

 


 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/ depreciation on derivative financial instruments still held at February 29, 2012 was $237,861.

 

 

 

 

4

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

5

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

6

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

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

34

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

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,
0.95%, 9/18/17 (a)(b)

 

USD

1,250

 

$

1,156,726

 

Ballyrock CDO Ltd., Series 2006-1A, Class B,
0.84%, 8/28/19 (a)(b)

 

 

1,000

 

 

837,500

 

Canaras Summit CLO Ltd., Series 2007-1A,
Class B, 1.04%, 6/19/21 (a)(b)

 

 

1,225

 

 

1,041,605

 

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

 

 

625

 

 

628,938

 

Gannett Peak CLO Ltd., Series 2006-1X, Class A2,
0.92%, 10/27/20 (b)

 

 

940

 

 

759,050

 

Greyrock CDO Ltd., Series 2005-1X, Class A2L,
0.92%, 11/15/17 (b)

 

 

1,980

 

 

1,696,068

 

Portola CLO Ltd., Series 2007-1X, Class B1,
1.95%, 11/15/21 (b)

 

 

1,245

 

 

1,067,587

 

T2 Income Fund CLO Ltd., Series 2007-1A,
Class B, 1.17%, 7/15/19 (a)(b)

 

 

1,075

 

 

932,294

 

Total Asset-Backed Securities — 1.8%

 

 

 

 

 

8,119,768

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

156,097

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

368,968

 

Diversified Financial Services — 1.0%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

500,743,397

 

 

4,584,306

 

Preferred Term Securities VI Ltd. (a)

 

 

35,000

 

 

1,750

 

 

 

 

 

 

 

4,586,056

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

1,434

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

275

 

HRP PIK Corp., Class B (a)

 

 

5,000

 

 

 

 

 

 

 

 

 

275

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

 

677,817

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

1,264,850

 

 

1,994,205

 

Western Forest Products, Inc. (a)

 

 

211,149

 

 

204,864

 

 

 

 

 

 

 

2,199,069

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp.

 

 

1,707

 

 

12,854

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

1,870

 

 

37

 

HMH Holdings/EduMedia

 

 

159,199

 

 

39,800

 

 

 

 

 

 

 

39,837

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

5

 

Total Common Stocks — 1.8%

 

 

 

 

 

8,042,412

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 1.0%

 

 

 

 

 

 

 

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

 

USD

1,750

 

$

2,030,000

 

Huntington Ingalls Industries, Inc., 7.13%, 3/15/21

 

 

810

 

 

867,712

 

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

 

 

1,364

 

 

1,469,710

 

 

 

 

 

 

 

4,367,422

 

Airlines — 0.4%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

 

630

 

 

667,800

 

Delta Air Lines, Inc., Series 2009-1-B, 9.75%,
6/17/18

 

 

183

 

 

193,588

 

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

 

 

786

 

 

813,162

 

 

 

 

 

 

 

1,674,550

 

Auto Components — 1.7%

 

 

 

 

 

 

 

Baker Corp. International, Inc., 8.25%, 6/01/19 (a)

 

 

170

 

 

173,400

 

Delphi Corp., 6.13%, 5/15/21 (a)

 

 

560

 

 

600,600

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

220

 

 

230,450

 

8.00%, 1/15/18

 

 

5,260

 

 

5,575,600

 

8.00%, 1/15/18 (a)

 

 

100

 

 

106,000

 

Titan International, Inc., 7.88%, 10/01/17

 

 

940

 

 

998,750

 

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

 

 

 

 

 

 

 

12.00%, 7/01/49

 

 

4,450

 

 

1

 

Series B, 9.50%, 7/01/05

 

 

1,800

 

 

 

 

 

 

 

 

 

7,684,801

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18 (a)

 

EUR

410

 

 

585,163

 

7.13%, 8/15/18

 

 

412

 

 

588,017

 

 

 

 

 

 

 

1,173,180

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

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

 

USD

184

 

 

184,871

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

940

 

 

1,019,900

 

6.75%, 5/01/21

 

 

640

 

 

696,000

 

 

 

 

 

 

 

1,715,900

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

 

1,175

 

 

1,196,785

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

1,765

 

 

2,056,225

 

4.01%, 8/31/19 (a)(f)(g)

 

 

593

 

 

561,126

 

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

 

 

540

 

 

574,677

 

 

 

 

 

 

 

4,388,813

 

Chemicals — 3.7%

 

 

 

 

 

 

 

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

 

 

1,490

 

 

1,452,750

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

570

 

 

621,300

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

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

 

 

4,171

 

 

4,963,237

 

10.00%, 3/31/15

 

 

4,106

 

 

4,105,600

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

670

 

 

656,600

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

275

 

 

310,750

 

Ineos Finance Plc, 8.38%, 2/15/19 (a)

 

 

380

 

 

403,750

 

Kinove German Bondco GmbH, 9.63%, 6/15/18 (a)

 

 

800

 

 

818,000

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

1,914

 

 

2,098,173

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (a)

 

 

145

 

 

159,137

 

Solutia, Inc., 7.88%, 3/15/20

 

 

810

 

 

949,725

 

 

 

 

 

 

 

16,539,022

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

35




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Banks — 1.7%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

USD

551

 

$

551,195

 

7.00%, 5/02/16 (a)

 

 

1,940

 

 

1,942,425

 

7.00%, 5/01/17

 

 

3,514

 

 

3,514,000

 

7.00%, 5/02/17 (a)

 

 

710

 

 

710,888

 

5.50%, 2/15/19 (a)

 

 

980

 

 

1,000,825

 

 

 

 

 

 

 

7,719,333

 

Commercial Services & Supplies — 1.3%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

690

 

 

708,119

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

 

 

799

 

 

835,097

 

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

 

 

55

 

 

52,250

 

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

 

 

850

 

 

915,875

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

540

 

 

596,700

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

640

 

 

672,000

 

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

 

 

970

 

 

1,125,200

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

400

 

 

538,249

 

8.75%, 12/01/18

 

 

149

 

 

176,676

 

West Corp., 8.63%, 10/01/18

 

USD

315

 

 

345,713

 

 

 

 

 

 

 

5,965,879

 

Communications Equipment — 0.2%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

360

 

 

360,000

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

600

 

 

636,000

 

 

 

 

 

 

 

996,000

 

Consumer Finance — 0.1%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

280

 

 

310,800

 

6.63%, 8/15/17

 

 

148

 

 

167,708

 

 

 

 

 

 

 

478,508

 

Containers & Packaging — 2.0%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17 (a)

 

EUR

385

 

 

541,147

 

7.38%, 10/15/17

 

 

100

 

 

140,558

 

Ball Corp.:

 

 

 

 

 

 

 

6.75%, 9/15/20

 

USD

625

 

 

696,875

 

5.00%, 3/15/22 (i)

 

 

1,030

 

 

1,053,175

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (b)

 

 

495

 

 

473,962

 

8.25%, 11/15/15

 

 

655

 

 

704,125

 

9.75%, 1/15/21

 

 

440

 

 

470,800

 

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

 

EUR

260

 

 

323,882

 

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

 

USD

360

 

 

400,500

 

Sealed Air Corp. (a):

 

 

 

 

 

 

 

8.13%, 9/15/19

 

 

770

 

 

870,100

 

8.38%, 9/15/21

 

 

210

 

 

240,450

 

Smurfit Kappa Acquisitions:

 

 

 

 

 

 

 

7.75%, 11/15/19 (a)

 

EUR

476

 

 

683,323

 

7.75%, 11/15/19

 

 

1,515

 

 

2,174,862

 

 

 

 

 

 

 

8,773,759

 

Diversified Financial Services — 3.1%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

USD

90

 

 

95,850

 

8.30%, 2/12/15

 

 

1,330

 

 

1,469,650

 

7.50%, 9/15/20

 

 

1,990

 

 

2,191,487

 

8.00%, 11/01/31

 

 

2,100

 

 

2,344,125

 

8.00%, 11/01/31

 

 

1,030

 

 

1,117,607

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

Archemedes Funding III Ltd., 5.50%, 11/29/12

 

USD

1,749

 

$

175

 

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

 

 

567

 

 

604,564

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (a)

 

 

548

 

 

583,620

 

8.75%, 10/15/16 (a)(j)

 

EUR

548

 

 

775,731

 

8.75%, 10/15/16

 

 

723

 

 

1,023,456

 

7.13%, 4/15/19 (a)

 

USD

1,070

 

 

1,131,525

 

9.88%, 8/15/19 (a)

 

 

1,280

 

 

1,323,200

 

6.88%, 2/15/21 (a)

 

 

920

 

 

975,200

 

WMG Acquisition Corp., 9.50%, 6/15/16 (a)

 

 

200

 

 

221,000

 

 

 

 

 

 

 

13,857,190

 

Diversified Telecommunication Services — 1.6%

 

 

 

 

 

 

 

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

 

 

1,010

 

 

1,052,925

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

4.51%, 2/15/15 (b)

 

 

2,420

 

 

2,347,400

 

8.13%, 7/01/19 (a)

 

 

2,902

 

 

3,039,845

 

Qwest Communications International, Inc.,
Series B, 7.50%, 2/15/14

 

 

340

 

 

341,190

 

TW Telecom Holdings, Inc., 8.00%, 3/01/18

 

 

380

 

 

416,575

 

 

 

 

 

 

 

7,197,935

 

Electric Utilities — 0.2%

 

 

 

 

 

 

 

IPALCO Enterprises, Inc., 7.25%, 4/01/16 (a)

 

 

775

 

 

860,250

 

Electronic Equipment, Instruments &
Components — 0.0%

 

 

 

 

 

 

 

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

 

 

2,675

 

 

 

Energy Equipment & Services — 1.7%

 

 

 

 

 

 

 

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

 

 

1,125

 

 

1,125,000

 

Frac Tech Services LLC, 7.63%, 11/15/18 (a)

 

 

1,190

 

 

1,270,325

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

740

 

 

775,150

 

MEG Energy Corp., 6.50%, 3/15/21 (a)

 

 

950

 

 

1,016,500

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

295

 

 

317,125

 

Peabody Energy Corp., 6.25%, 11/15/21 (a)

 

 

3,025

 

 

3,168,687

 

 

 

 

 

 

 

7,672,787

 

Gas Utilities — 0.1%

 

 

 

 

 

 

 

Targa Resources Partners LP, 6.88%, 2/01/21

 

 

485

 

 

517,738

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

1,270

 

 

1,292,225

 

7.75%, 4/15/18

 

 

770

 

 

662,200

 

Fresenius Medical Care US Finance II, Inc.,
5.88%, 1/31/22 (a)

 

 

640

 

 

675,200

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

475

 

 

511,812

 

 

 

 

 

 

 

3,141,437

 

Health Care Providers & Services — 2.4%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

455

 

 

465,237

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (a)

 

GBP

108

 

 

169,455

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

USD

2,020

 

 

2,166,450

 

7.88%, 2/15/20

 

 

1,210

 

 

1,334,025

 

5.88%, 3/15/22

 

 

2,380

 

 

2,439,500

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,785

 

 

1,988,044

 

Tenet Healthcare Corp., 8.88%, 7/01/19

 

 

2,030

 

 

2,314,200

 

 

 

 

 

 

 

10,876,911

 

Health Care Technology — 0.9%

 

 

 

 

 

 

 

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

 

 

3,205

 

 

3,813,950

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

36

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 1.7%

 

 

 

 

 

 

 

Caesars Operating Escrow, LLC., 8.50%,
2/15/20 (a)

 

USD

915

 

$

933,300

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

1,040

 

 

1,097,200

 

HRP Myrtle Beach Holdings LLC, 14.50%,
4/01/14 (a)(c)(d)

 

 

6,892

 

 

1

 

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

 

 

 

 

 

 

 

0.00%, 4/01/12

 

 

5,000

 

 

1

 

12.50%, 4/01/13

 

 

5,000

 

 

1

 

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

 

 

609

 

 

535,920

 

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

 

 

3,440

 

 

3,912,999

 

Travelport LLC:

 

 

 

 

 

 

 

5.15%, 9/01/14 (b)

 

 

1,770

 

 

907,125

 

9.88%, 9/01/14 (a)

 

 

390

 

 

223,275

 

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

 

 

530

 

 

 

 

 

 

 

 

 

7,609,822

 

Household Durables — 0.6%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

1,700

 

 

1,853,000

 

Standard Pacific Corp., 8.38%, 1/15/21

 

 

605

 

 

642,813

 

 

 

 

 

 

 

2,495,813

 

Independent Power Producers &
Energy Traders — 3.1%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

7.75%, 10/15/15

 

 

300

 

 

339,000

 

9.75%, 4/15/16

 

 

1,305

 

 

1,552,950

 

7.38%, 7/01/21 (a)

 

 

310

 

 

353,400

 

Calpine Corp. (a):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

1,770

 

 

1,876,200

 

7.50%, 2/15/21

 

 

365

 

 

396,025

 

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

 

 

2,990

 

 

3,232,937

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

3,200

 

 

3,476,000

 

11.75%, 3/01/22 (a)

 

 

1,060

 

 

1,086,500

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

1,080

 

 

1,190,700

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

335

 

 

338,350

 

 

 

 

 

 

 

13,842,062

 

Industrial Conglomerates — 1.6%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

3,028,125

 

13.50%, 12/01/15

 

 

4,023

 

 

4,294,387

 

 

 

 

 

 

 

7,322,512

 

Insurance — 0.7%

 

 

 

 

 

 

 

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

 

 

1,649

 

 

1,774,736

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

700

 

 

726,267

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)

 

 

415

 

 

370,388

 

 

 

 

 

 

 

2,871,391

 

IT Services — 0.4%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)

 

 

720

 

 

745,200

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

190

 

 

192,138

 

8.25%, 1/15/21

 

 

70

 

 

67,725

 

12.63%, 1/15/21

 

 

814

 

 

854,700

 

 

 

 

 

 

 

1,859,763

 

Machinery — 0.5%

 

 

 

 

 

 

 

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

 

 

278

 

 

304,063

 

UR Financing Escrow Corp. (a)(i):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

877

 

 

901,117

 

7.38%, 5/15/20

 

 

565

 

 

579,831

 

7.63%, 4/15/22

 

 

518

 

 

536,130

 

 

 

 

 

 

 

2,321,141

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 6.9%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%, 7/15/21 (a)

 

USD

365

 

$

406,975

 

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

 

 

3,000

 

 

3,450,000

 

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

 

 

1,075

 

 

1,174,438

 

Checkout Holding Corp., 10.68%, 11/15/15 (a)(f)

 

 

1,090

 

 

490,500

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

410

 

 

456,125

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

699,705

 

7.63%, 3/15/20 (a)(i)

 

 

1,405

 

 

1,405,000

 

Series B, 9.25%, 12/15/17

 

 

5,802

 

 

6,382,200

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

680

 

 

754,800

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

3,000

 

 

3,221,250

 

6.75%, 6/01/21

 

 

370

 

 

410,700

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

310

 

 

327,825

 

11.50%, 2/04/17 (h)

 

 

190

 

 

195,700

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,545

 

 

1,741,987

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (a)

 

 

1,040

 

 

1,123,200

 

Lamar Media Corp., 5.88%, 2/01/22 (a)

 

 

480

 

 

501,000

 

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

 

 

1,020

 

 

1,122,000

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

1,239

 

 

1,440,337

 

7.75%, 10/15/18

 

 

1,235

 

 

1,373,938

 

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

 

 

415

 

 

367,275

 

Unitymedia Hessen GmbH & Co. KG, 8.13%,
12/01/17 (a)

 

 

2,730

 

 

2,962,050

 

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

 

EUR

598

 

 

826,592

 

 

 

 

 

 

 

30,833,597

 

Metals & Mining — 0.9%

 

 

 

 

 

 

 

Novelis, Inc., 8.75%, 12/15/20

 

USD

3,625

 

 

4,041,875

 

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

 

 

4,440

 

 

 

 

 

 

 

 

 

4,041,875

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

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

 

 

1,775

 

 

1,948,080

 

Oil, Gas & Consumable Fuels — 7.0%

 

 

 

 

 

 

 

Arch Coal, Inc., 7.00%, 6/15/19 (a)

 

 

215

 

 

215,000

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (a)

 

 

785

 

 

812,475

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (a)

 

 

25

 

 

25,500

 

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

 

 

436

 

 

466,520

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

1,750

 

 

1,907,500

 

6.38%, 3/01/21 (a)

 

 

440

 

 

443,300

 

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

 

 

100

 

 

108,500

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

670

 

 

763,800

 

6.38%, 8/15/21

 

 

570

 

 

628,425

 

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

 

 

1,575

 

 

1,759,966

 

Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19

 

 

1,300

 

 

1,371,500

 

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

 

 

195

 

 

211,575

 

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

 

 

2,100

 

 

2,289,000

 

Holly Energy Partners LP, 6.50%, 3/01/20 (a)(i)

 

 

150

 

 

153,188

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.25%, 11/01/19 (a)

 

 

1,960

 

 

1,957,550

 

8.63%, 4/15/20

 

 

360

 

 

399,600

 

7.75%, 2/01/21

 

 

930

 

 

999,750

 

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

 

 

585

 

 

561,600

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

335

 

 

355,100

 

6.50%, 11/01/21

 

 

290

 

 

298,700

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

37




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (a)

 

USD

4,930

 

$

5,139,525

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (a)

 

 

655

 

 

695,937

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

590

 

 

655,637

 

7.88%, 6/01/15

 

 

795

 

 

839,719

 

7.25%, 8/15/18

 

 

525

 

 

600,469

 

Pioneer Natural Resources Co., 7.20%, 1/15/28

 

 

1,080

 

 

1,340,427

 

Plains Exploration & Production Co., 6.75%,
2/01/22

 

 

1,200

 

 

1,314,000

 

Precision Drilling Corp., 6.50%, 12/15/21 (a)

 

 

840

 

 

896,700

 

Range Resources Corp.:

 

 

 

 

 

 

 

5.75%, 6/01/21

 

 

1,230

 

 

1,316,100

 

5.00%, 8/15/22 (i)

 

 

547

 

 

552,470

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (a)

 

 

630

 

 

628,737

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

405

 

 

409,050

 

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

 

 

1,760

 

 

880,000

 

 

 

 

 

 

 

30,997,320

 

Paper & Forest Products — 1.3%

 

 

 

 

 

 

 

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

 

 

640

 

 

727,200

 

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

 

 

1,950

 

 

2,160,263

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (a)

 

 

280

 

 

287,700

 

NewPage Corp., 11.38%, 12/31/14 (c)(d)

 

 

2,280

 

 

1,373,700

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

510

 

 

520,200

 

Series B, 4.30%, 8/01/14 (b)

 

 

890

 

 

616,325

 

 

 

 

 

 

 

5,685,388

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

1,190

 

 

1,213,800

 

7.25%, 7/15/22

 

 

660

 

 

664,125

 

 

 

 

 

 

 

1,877,925

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

1,825

 

 

1,866,063

 

Real Estate Management & Development — 1.1%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

275

 

 

251,625

 

12.00%, 4/15/17

 

 

160

 

 

147,200

 

7.88%, 2/15/19 (a)

 

 

2,030

 

 

1,969,100

 

7.63%, 1/15/20 (a)

 

 

1,190

 

 

1,228,675

 

9.00%, 1/15/20 (a)

 

 

340

 

 

341,700

 

Shea Homes LP, 8.63%, 5/15/19 (a)

 

 

830

 

 

838,300

 

 

 

 

 

 

 

4,776,600

 

Road & Rail — 1.2%

 

 

 

 

 

 

 

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

 

 

295

 

 

307,538

 

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

 

 

370

 

 

373,700

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

1,750

 

 

1,887,812

 

6.75%, 4/15/19

 

 

730

 

 

764,675

 

6.75%, 4/15/19 (a)(i)

 

 

285

 

 

298,538

 

7.38%, 1/15/21

 

 

1,535

 

 

1,661,637

 

 

 

 

 

 

 

5,293,900

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

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

 

 

1,275

 

 

1,329,200

 

Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

PVH Corp., 7.75%, 11/15/23

 

 

410

 

 

467,921

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

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

 

 

353

 

 

371,091

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Wireless Telecommunication Services — 3.5%

 

 

 

 

 

 

 

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

 

USD

3,050

 

$

3,248,250

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

3,948

 

 

4,026,960

 

8.25%, 9/01/17

 

 

810

 

 

858,600

 

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

 

 

1,850

 

 

1,443,000

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

4,410

 

 

4,917,150

 

7.00%, 3/01/20

 

 

1,110

 

 

1,128,037

 

 

 

 

 

 

 

15,621,997

 

Total Corporate Bonds — 56.7%

 

 

 

 

 

253,033,697

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

TransDigm, Inc.:

 

 

 

 

 

 

 

Add on Term Loan B2, 4.00%, 2/14/17

 

 

525

 

 

525,436

 

Term Loan (First Lien), 4.00%, 2/14/17

 

 

1,485

 

 

1,483,693

 

 

 

 

 

 

 

2,009,129

 

Airlines — 0.5%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B,
5.50%, 4/20/17

 

 

2,091

 

 

2,041,267

 

Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan B, 2.75%,
8/07/14

 

 

2,443

 

 

2,415,352

 

Autoparts Holdings Ltd.:

 

 

 

 

 

 

 

First Lien Term Loan, 6.50%, 7/28/17

 

 

1,397

 

 

1,399,991

 

Second Lien Term Loan, 10.50%, 1/29/18

 

 

1,800

 

 

1,750,500

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

945

 

 

947,759

 

 

 

 

 

 

 

6,513,602

 

Biotechnology — 0.5%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 4.50%, 2/13/18

 

 

2,400

 

 

2,397,138

 

Building Products — 1.4%

 

 

 

 

 

 

 

CPG International, Inc., Term Loan B, 6.00%,
2/18/17

 

 

1,188

 

 

1,122,660

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien), 5.75%, 10/28/16

 

 

3,025

 

 

3,039,911

 

Term Loan (Second Lien), 9.00%, 10/30/17

 

 

764

 

 

775,572

 

Momentive Performance Materials, Inc. (Nautilus),
Extended Term Loan B2, 4.08%, 5/05/15

 

EUR

1,058

 

 

1,334,766

 

 

 

 

 

 

 

6,272,909

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan (First Lien), 6.25%,
12/16/16

 

USD

1,677

 

 

1,677,706

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Extended Term Loan, 5.75% – 5.83%, 5/12/17

 

 

1,682

 

 

1,677,007

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

555

 

 

558,885

 

Term Loan (First Lien), 3.30% – 3.58%,
11/13/14

 

 

418

 

 

415,716

 

 

 

 

 

 

 

4,329,314

 

Chemicals — 4.0%

 

 

 

 

 

 

 

American Rock Salt Holdings LLC, Term Loan,
5.50%, 4/25/17

 

 

2,253

 

 

2,093,667

 

Ashland, Inc., Term Loan B, 3.75%, 8/23/18

 

 

1,296

 

 

1,301,031

 

Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16

 

 

1,300

 

 

1,304,069

 

Gentek, Inc., Term Loan B, 5.00% – 5.75%,
10/06/15

 

 

1,740

 

 

1,728,373

 

MDI Holdings LLC, Tranche C Term Loan, 2.76%,
4/11/14

 

EUR

642

 

 

832,891

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

38

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Chemicals (concluded)

 

 

 

 

 

 

 

Nexeo Solutions LLC, Term Loan B, 5.00%,
9/08/17

 

USD

1,613

 

$

1,587,943

 

PolyOne Corp., Term Loan, 5.00%, 12/20/17

 

 

660

 

 

660,990

 

PQ Corp. (FKA Niagara Acquisition, Inc.),
Term Loan B (First Lien), 3.50%, 7/30/14

 

 

2,451

 

 

2,390,958

 

Styron Sarl, Term Loan B, 6.00% – 6.75%,
8/02/17

 

 

1,796

 

 

1,619,330

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 1.00%, 2/09/18

 

 

381

 

 

381,001

 

Term Loan B, 4.25%, 2/08/18

 

 

1,399

 

 

1,397,005

 

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

 

 

2,376

 

 

2,356,826

 

 

 

 

 

 

 

17,654,084

 

Commercial Services & Supplies — 2.3%

 

 

 

 

 

 

 

Altegrity, Inc. (FKA US Investigations Services, Inc.),
Tranche D Term Loan, 7.75%, 2/20/15

 

 

2,789

 

 

2,785,029

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit — 2 Facility, 3.55%, 7/26/16

 

 

56

 

 

55,824

 

Term Loan B, 3.83%, 7/26/16

 

 

780

 

 

772,662

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

860

 

 

857,207

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

975

 

 

976,043

 

KAR Auction Services, Inc., Term Loan B, 5.00%,
5/19/17

 

 

2,388

 

 

2,385,015

 

Synagro Technologies, Inc., Term Loan B,
2.25% – 2.26%, 4/02/14

 

 

874

 

 

781,929

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

1,778

 

 

1,784,912

 

 

 

 

 

 

 

10,398,621

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 3.24%, 10/24/14

 

 

1,823

 

 

1,783,769

 

Term Loan B3, 4.99%, 10/26/17

 

 

330

 

 

320,024

 

CommScope, Inc., Term Loan B, 5.00%, 1/14/18

 

 

1,489

 

 

1,488,065

 

 

 

 

 

 

 

3,591,858

 

Construction & Engineering — 0.9%

 

 

 

 

 

 

 

BakerCorp. International, Inc., Term Loan B,
5.00%, 6/01/18

 

 

1,195

 

 

1,193,018

 

Safway Services, LLC, First Out Tranche Loan,
9.00%, 12/16/17

 

 

2,750

 

 

2,750,000

 

 

 

 

 

 

 

3,943,018

 

Consumer Finance — 0.6%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

3,130

 

 

2,853,339

 

Containers & Packaging — 0.5%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term Loan C, 2.25%,
4/03/15

 

 

338

 

 

328,436

 

Sealed Air Corp., Term Loan B, 4.75%, 10/03/18

 

 

1,724

 

 

1,740,401

 

 

 

 

 

 

 

2,068,837

 

Diversified Consumer Services — 2.8%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.41%,
11/20/14

 

 

4,512

 

 

4,155,992

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 8/15/18

 

 

5,095

 

 

4,863,555

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

319

 

 

314,713

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

3,199

 

 

3,160,247

 

 

 

 

 

 

 

12,494,507

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Tranche B Term Loan, 6.50%, 2/09/18

 

 

947

 

 

955,985

 

Tranche C Term Loan, 6.50%, 8/09/18

 

 

3,784

 

 

3,823,792

 

 

 

 

 

 

 

4,779,777

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Diversified Telecommunication Services — 2.7%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc.,
Term Loan B, 7.00%, 2/25/17

 

USD

2,925

 

$

2,917,687

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B2, 5.75%, 9/03/18

 

 

6,000

 

 

6,041,280

 

Term Loan B3, 5.75%, 8/31/18

 

 

1,500

 

 

1,510,320

 

Tranche A Term Loan, 2.50% – 2.83%, 3/13/14

 

 

200

 

 

196,700

 

US Telepacific Corp., Term Loan B, 5.75%, 2/23/17

 

 

1,497

 

 

1,418,049

 

 

 

 

 

 

 

12,084,036

 

Electronic Equipment, Instruments &
Components — 0.9%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Extended Term Loan,
4.00%, 7/14/17

 

 

2,159

 

 

2,109,990

 

Sensata Technologies Finance Co. LLC, Term Loan,
4.00%, 5/11/18

 

 

2,116

 

 

2,111,777

 

 

 

 

 

 

 

4,221,767

 

Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

CCS Corp., Term Loan B, 3.24%, 11/14/14

 

 

1,162

 

 

1,123,917

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%, 8/04/16

 

 

1,639

 

 

1,629,682

 

Gas Co. Term Loan, 9.25%, 8/04/16

 

 

2,999

 

 

3,093,966

 

MEG Energy Corp., Term Loan B, 4.00%, 3/16/18

 

 

2,993

 

 

2,986,366

 

 

 

 

 

 

 

8,833,931

 

Food & Staples Retailing — 1.5%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance
Boots), Facility B1, 3.57%, 7/09/15

 

GBP

3,000

 

 

4,359,337

 

U.S. Foodservice, Inc., Term Loan B,
2.74% – 2.75%, 7/03/14

 

USD

2,461

 

 

2,374,864

 

 

 

 

 

 

 

6,734,201

 

Food Products — 2.5%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan:

 

 

 

 

 

 

 

(First Lien), 7.00%, 9/30/16

 

 

2,864

 

 

2,863,750

 

(Second Lien)11.25%, 9/29/17

 

 

1,800

 

 

1,801,494

 

Del Monte Corp., Term Loan, 4.50%, 3/08/18

 

 

3,884

 

 

3,808,951

 

Pinnacle Foods Finance LLC, Tranche D Term Loan,
6.00%, 4/02/14

 

 

1,280

 

 

1,286,198

 

Solvest Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-2 Term Loan, 5.00% – 6.00%,
7/06/18

 

 

402

 

 

403,568

 

Tranche C-2 Term Loan, 5.00% – 6.00%,
7/06/18

 

 

747

 

 

749,484

 

 

 

 

 

 

 

10,913,445

 

Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

Biomet, Inc., Term Loan B, 3.24% – 3.57%,
3/25/15

 

 

264

 

 

260,687

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC), Term Loan B, 3.24%, 5/20/14

 

 

1,854

 

 

1,827,512

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

1,265

 

 

1,264,216

 

Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18

 

 

1,237

 

 

1,228,838

 

Immucor, Inc., Term Loan B, 7.25%, 8/17/18

 

 

1,516

 

 

1,526,434

 

 

 

 

 

 

 

6,107,687

 

Health Care Providers & Services — 3.9%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B, 3.99% – 5.75%, 1/25/17

 

 

4

 

 

1,745

 

Non-Extended Delayed Draw Term Loan, 3.25%,
7/25/14

 

 

72

 

 

70,925

 

Non-Extended Term Loan, 2.49% – 4.50%,
7/25/14

 

 

1,418

 

 

1,398,751

 

ConvaTec, Inc., Term Loan, 5.75%, 12/22/16

 

 

1,806

 

 

1,800,616

 

DaVita, Inc., Term Loan B, 4.50%, 10/20/16

 

 

1,980

 

 

1,984,534

 

Emergency Medical Services, Term Loan, 5.25%,
5/25/18

 

 

1,985

 

 

1,978,628

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

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

 

 

656

 

 

642,650

 

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

 

 

2,182

 

 

2,138,497

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

39




 

 

 

 

Consolidated 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

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

HCA, Inc.:

 

 

 

 

 

 

 

Term Loan B, 2.49%, 11/18/13

 

USD

245

 

$

243,623

 

Tranche B-3 Term Loan, 3.49%, 5/01/18

 

 

1,329

 

 

1,306,452

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

585

 

 

581,197

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.):

 

 

 

 

 

 

 

Combined Term Loan, 6.50%, 8/04/16

 

 

2,137

 

 

2,054,452

 

Incremental Term Loan B-3, 6.75%, 5/15/18

 

 

1,430

 

 

1,373,083

 

Medpace, Inc., Term Loan, 6.50% – 7.25%,
6/16/17

 

 

1,990

 

 

1,910,400

 

 

 

 

 

 

 

17,485,553

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., Term Loan B, 4.50%, 8/25/17

 

 

1,980

 

 

1,980,348

 

Kinetic Concepts, Inc., Term Loan B, 7.00%,
5/04/18

 

 

1,310

 

 

1,331,287

 

MedAssets, Inc., Term Loan, 5.25%, 11/16/16

 

 

940

 

 

939,874

 

 

 

 

 

 

 

4,251,509

 

Hotels, Restaurants & Leisure — 2.8%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

1,009

 

 

1,037,704

 

Term Loan B1, 3.24%, 1/28/15

 

 

2,264

 

 

2,121,529

 

Term Loan B3, 3.24% – 3.58%, 1/28/15

 

 

4,298

 

 

4,027,465

 

Dunkin’ Brands, Inc., Term Loan B, 4.00% – 5.25%,
11/23/17

 

 

2,537

 

 

2,529,823

 

Golden Living, Term Loan, 5.00%, 5/04/18

 

 

519

 

 

488,359

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

15

 

 

14,886

 

Term Loan B, 2.56%, 6/14/14

 

 

155

 

 

151,002

 

Seaworld Parks & Entertainment, Inc. (FKA SW
Acquisitions Co., Inc.), Term Loan B, 4.00%,
8/17/17

 

 

1,472

 

 

1,470,061

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 4.25%, 12/20/18

 

 

790

 

 

786,548

 

 

 

 

 

 

 

12,627,377

 

Household Products — 0.3%

 

 

 

 

 

 

 

Prestige Brands International, Inc., Term Loan,
5.25%, 1/31/19

 

 

1,545

 

 

1,550,794

 

Independent Power Producers &
Energy Traders — 0.4%

 

 

 

 

 

 

 

AES Corp., Term Loan, 4.25%, 6/01/18

 

 

1,787

 

 

1,784,714

 

Texas Competitive Electric Holdings Co. LLC (TXU),
Extended Term Loan, 4.76%, 10/10/17

 

 

311

 

 

173,681

 

 

 

 

 

 

 

1,958,395

 

Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

555

 

 

556,848

 

Term Loan, 3.76% – 3.84%, 12/03/14

 

 

2,643

 

 

2,614,551

 

 

 

 

 

 

 

3,171,399

 

Internet Software & Services — 0.3%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B, 7.00%,
10/27/17

 

 

1,170

 

 

1,142,375

 

IT Services — 3.8%

 

 

 

 

 

 

 

Ceridian Corp., Term Loan, 3.24%, 11/10/14

 

 

2,304

 

 

2,179,576

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.24%, 3/23/18

 

 

7,008

 

 

6,288,648

 

Term Loan B-1, 2.99%, 9/24/14

 

 

1,307

 

 

1,249,207

 

Term Loan B-3, 2.99%, 9/24/14

 

 

210

 

 

200,782

 

infoGROUP, Inc., Term Loan B, 5.75%, 5/25/18

 

 

853

 

 

797,690

 

iPayment, Inc., Term Loan B, 5.75%, 5/08/17

 

 

1,028

 

 

1,023,374

 

NeuStar, Inc., Term Loan B, 5.00%, 11/08/18

 

 

1,451

 

 

1,454,991

 

TransUnion LLC, Term Loan B, 4.75%, 2/12/18

 

 

3,702

 

 

3,705,323

 

 

 

 

 

 

 

16,899,591

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Leisure Equipment & Products — 0.6%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

USD

965

 

$

976,763

 

EB Sports Corp., Term Loan, 11.50%, 12/31/15

 

 

1,737

 

 

1,702,114

 

 

 

 

 

 

 

2,678,877

 

Machinery — 1.0%

 

 

 

 

 

 

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 4/28/17

 

EUR

219

 

 

290,180

 

Term Loan B, 5.50%, 4/28/17

 

USD

2,042

 

 

2,056,206

 

Tomkins LLC, Term Loan B, 4.25%, 9/29/16

 

 

2,248

 

 

2,245,754

 

 

 

 

 

 

 

4,592,140

 

Media — 10.4%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%, 3/01/18

 

 

839

 

 

832,402

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/10/16

 

 

983

 

 

919,273

 

AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18

 

 

1,791

 

 

1,779,806

 

Capsugel Healthcare Ltd., Term Loan, 5.25%,
8/01/18

 

 

1,496

 

 

1,504,794

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

83

 

 

76,760

 

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

 

 

1,253

 

 

1,212,590

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/11/19

 

 

1,950

 

 

1,930,051

 

Charter Communications Operating LLC:

 

 

 

 

 

 

 

Term Loan, 7.25%, 3/06/14

 

 

46

 

 

45,791

 

Term Loan C, 3.83%, 9/06/16

 

 

2,656

 

 

2,635,757

 

Clear Channel Communications:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

3,824

 

 

3,139,122

 

Term Loan C, 3.89%, 1/28/16

 

 

565

 

 

447,762

 

Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18

 

 

1,500

 

 

1,501,245

 

Gray Television, Inc., Term Loan B, 3.77%,
12/31/14

 

 

1,218

 

 

1,203,412

 

HMH Publishing Co. Ltd., Term Loan, 6.51%,
6/12/14

 

 

2,329

 

 

1,439,145

 

Hubbard Broadcasting, Term Loan B (Second Lien),
5.25%, 4/28/17

 

 

1,095

 

 

1,095,408

 

Intelsat Jackson Holdings SA (FKA Intel Jackson
Holding Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

8,159

 

 

8,145,576

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

1,687

 

 

1,683,454

 

Kabel Deutschland GmbH, Term Loan F, 4.25%,
2/01/19

 

 

2,265

 

 

2,253,675

 

Lavena Holding 4 GmbH (Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Term Loan B, 3.81%, 3/06/15

 

EUR

304

 

 

351,749

 

Term Loan C, 4.06%, 3/04/16

 

 

608

 

 

707,546

 

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

 

USD

4,250

 

 

4,372,187

 

Nielsen Finance LLC, Class C Term Loan, 3.51%,
5/02/16

 

 

403

 

 

402,898

 

Sinclair Television Group, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B3, 10/28/16

 

 

470

 

 

467,796

 

New Tranche B Term Loan, 4.00%, 10/28/16

 

 

1,583

 

 

1,575,908

 

Univision Communications, Inc., Extended First
Lien Term Loan, 4.49%, 3/31/17

 

 

3,272

 

 

3,038,294

 

UPC Broadband Holding B.V., Term Loan U, 4.72%,
12/29/17

 

EUR

196

 

 

256,064

 

UPC Financing Partnership:

 

 

 

 

 

 

 

Term Loan, 4.75%, 12/29/17

 

USD

1,050

 

 

1,048,162

 

Term Loan T, 3.77%, 12/30/16

 

 

255

 

 

250,729

 

WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18

 

 

593

 

 

591,272

 

Weather Channel, Term Loan B, 4.25%, 2/13/17

 

 

1,429

 

 

1,429,568

 

 

 

 

 

 

 

46,338,196

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

40

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Metals & Mining — 2.2%

 

 

 

 

 

 

 

Novelis, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B2, 4.00%, 3/10/17

 

USD

1,130

 

$

1,124,856

 

Term Loan, 4.00%, 3/10/17

 

 

3,119

 

 

3,102,907

 

SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18

 

 

1,592

 

 

1,588,021

 

Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18

 

 

4,185

 

 

4,165,454

 

 

 

 

 

 

 

9,981,238

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),
Term B Advance (First Lien), 2.75%, 11/01/13

 

 

343

 

 

322,672

 

Multiline Retail — 1.6%

 

 

 

 

 

 

 

99 Cents Only Stores, Term Loan B, 7.00%, 1/11/19

 

 

1,500

 

 

1,509,645

 

Dollar General Corp., Tranche B-2 Term Loan,
3.00% – 3.33%, 7/07/14

 

 

1,439

 

 

1,439,441

 

Hema Holding BV:

 

 

 

 

 

 

 

Second Lien Term Loan, 5.69%, 1/05/17

 

EUR

2,900

 

 

3,361,392

 

Term Loan B, 2.69%, 7/05/16

 

 

363

 

 

465,158

 

Term Loan C, 3.44%, 7/06/15

 

 

363

 

 

462,743

 

 

 

 

 

 

 

7,238,379

 

Oil, Gas & Consumable Fuels — 1.0%

 

 

 

 

 

 

 

Gibson Energy, Term Loan B, 5.75%, 6/15/18

 

USD

1,493

 

 

1,494,052

 

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

 

 

3,044

 

 

3,059,534

 

 

 

 

 

 

 

4,553,586

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

1,050

 

 

1,057,875

 

Verso Paper Finance Holdings LLC, Term Loan,
6.79% – 7.54%, 2/01/13

 

 

4,656

 

 

2,327,915

 

 

 

 

 

 

 

3,385,790

 

Pharmaceuticals — 2.4%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

1,782

 

 

1,766,853

 

Endo Pharmaceuticals Holdings, Inc., Term Loan B,
4.00%, 6/18/18

 

 

500

 

 

500,446

 

Pharmaceutical Products Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

1,745

 

 

1,760,269

 

Quintiles Transnational Corp., Term Loan B,
5.00%, 6/08/18

 

 

776

 

 

770,970

 

RPI Finance Trust, Term Loan Tranche 2, 4.00%,
5/09/18

 

 

1,144

 

 

1,142,236

 

Taminco Global Chemical Corp., New Term Loan,
6.25%, 2/15/19

 

 

925

 

 

928,802

 

Valeant Pharmaceuticals International, Add on
Term Loan B, 3.75%, 2/08/19

 

 

2,415

 

 

2,407,465

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%, 3/15/18

 

 

862

 

 

860,031

 

Term Loan B-2, 4.25%, 3/15/18

 

 

431

 

 

430,016

 

 

 

 

 

 

 

10,567,088

 

Professional Services — 1.2%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche B Term Loan,
4.00%, 8/03/17

 

 

245

 

 

245,315

 

Emdeon, Inc., Term Loan B, 6.75%, 11/02/18

 

 

2,775

 

 

2,806,718

 

Fifth Third Processing Solutions LLC, Term Loan B
(First Lien), 4.50%, 11/03/16

 

 

2,079

 

 

2,080,516

 

 

 

 

 

 

 

5,132,549

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien), 5.00%,
6/28/13

 

 

2,873

 

 

2,859,896

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Real Estate Management & Development — 0.7%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan, 4.53%,
10/10/16

 

USD

333

 

$

308,825

 

Extended Term Loan, 4.77%, 10/10/16

 

 

3,033

 

 

2,813,857

 

 

 

 

 

 

 

3,122,682

 

Road & Rail — 0.6%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, Incremental Term Loan,
6.25%, 9/21/18

 

 

1,082

 

 

1,092,840

 

RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19

 

 

1,685

 

 

1,680,787

 

 

 

 

 

 

 

2,773,627

 

Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Extended Term
Loan B, 4.52%, 12/01/16

 

 

728

 

 

709,441

 

NXP B.V., Term Loan A-2, 5.50%, 3/03/17

 

 

1,278

 

 

1,268,154

 

 

 

 

 

 

 

1,977,595

 

Software — 0.6%

 

 

 

 

 

 

 

Blackboard, Inc., Term Loan B, 7.50%, 10/04/18

 

 

600

 

 

592,002

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 7/28/15

 

 

49

 

 

47,469

 

Extended Initial Term Loan, 7/28/15

 

 

91

 

 

89,381

 

Extended Initial Term Loan, 7/28/15

 

EUR

650

 

 

816,200

 

Sophia LP, Term Loan B, 6.25%, 7/19/18

 

USD

1,200

 

 

1,212,504

 

 

 

 

 

 

 

2,757,556

 

Specialty Retail — 3.5%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%, 8/03/18

 

 

1,900

 

 

1,899,791

 

Burlington Coat Factory Warehouse Corp., Term
Loan B, 6.25%, 2/23/17

 

 

1,364

 

 

1,364,437

 

Claire’s Stores, Inc., Term Loan B, 3.00% – 3.30%,
5/29/14

 

 

709

 

 

671,471

 

General Nutrition Centers, Inc., Term Loan B, 4.25%,
3/02/18

 

 

2,175

 

 

2,168,562

 

The Gymboree Corp., Term Loan, 5.00%, 2/23/18

 

 

815

 

 

766,304

 

Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18

 

 

794

 

 

783,305

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B3, 5.13%, 7/29/16

 

 

980

 

 

974,786

 

Term Loan B-2, 5.13%, 7/29/16

 

 

1,517

 

 

1,508,718

 

Petco Animal Supplies, Inc., Term Loan B, 4.50%,
11/24/17

 

 

2,555

 

 

2,543,571

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 6.00%, 9/01/16

 

 

1,898

 

 

1,899,324

 

Term Loan B2, 5.25%, 5/25/18

 

 

1,141

 

 

1,127,827

 

 

 

 

 

 

 

15,708,096

 

Wireless Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

755

 

 

751,565

 

MetroPCS Wireless, Inc., Term Loan B-3,
4.00% – 4.06%, 3/16/18

 

 

1,261

 

 

1,250,743

 

Vodafone Americas Finance 2, Inc., Term Loan,
6.88%, 8/11/15 (h)

 

 

6,091

 

 

6,091,401

 

 

 

 

 

 

 

8,093,709

 

Total Floating Rate Loan Interests — 72.1%

 

 

 

 

 

321,413,136

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

41



 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

Value

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A (c)

 

USD

833

 

$

1

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate

 

 

10,000

 

 

100

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

J.G.Wentworth LLC Preferred Equity Interests (c)

 

 

1

 

 

1,239,201

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (c)

 

 

1,440

 

 

14

 

Household Durables — 0.5%

 

 

 

 

 

 

 

Stanley Martin, Class B Membership Units

 

 

2

 

 

2,171,250

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (c)

 

 

7,500

 

 

75

 

Adelphia Preferred Escrow (c)

 

 

5

 

 

 

Adelphia Recovery Trust (c)

 

 

9,406

 

 

941

 

Adelphia Recovery Trust, Series ACC-6B INT (c)

 

 

500

 

 

2,500

 

 

 

 

 

 

 

3,516

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default Escrow (c)

 

 

21,700

 

 

217

 

Total Other Interests — 0.8%

 

 

 

 

 

3,414,299

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

126,761

 

 

2

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

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

 

 

1,216

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Charter Communications, Inc.
(Expires 11/30/14)

 

 

12,661

 

 

237,900

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

1,247

 

 

 

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

 

 

24,924

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

237,902

 

Total Long-Term Investments
(Cost — $649,369,385) — 133.3%

 

 

 

 

 

594,261,214

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

Bank of New York Cash Reserves, 0.01% (m)

 

USD

9,310

 

 

9,309,840

 

Total Short-Term Securities
(Cost — $9,309,840) — 2.1%

 

 

 

 

 

9,309,840

 

Total Investments (Cost — $658,679,225) — 135.4%

 

 

 

 

 

603,571,054

 

Liabilities in Excess of Other Assets — (35.4)%

 

 

 

 

 

(157,746,819

)

Net Assets — 100.0%

 

 

 

 

$

445,824,235

 


 

 

 

 

(a)

Security exempt from registration pursuant to Rule 144A under 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 zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America

 

$

1,605,645

 

$

28,645

 

Barclays Capital Inc.

 

$

298,538

 

$

2,138

 

Citigroup Global Markets, Inc.

 

$

153,188

 

$

3,188

 

Goldman Sachs & Co.

 

$

1,405,000

 

 

 

Morgan Stanley Co.

 

$

2,017,078

 

$

40,704

 


 

 

(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 is as of report date.

 

 

(k)

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

 

 

(l)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(m)

Represents the current yield as of report date.


 

 

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,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

436,377

 

 

(436,377

)

 

 

$

2,537

 


 

 

Foreign currency exchange contracts as of February 29,2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

CAD

237,700

 

USD

232,758

 

Royal Bank of Scotland Plc

 

4/11/12

 

$

7,263

 

USD

4,135,821

 

GBP

2,698,000

 

UBS AG

 

4/11/12

 

 

(155,208

)

EUR

1,484,000

 

USD

1,960,563

 

Deutsche Bank AG

 

4/18/12

 

 

16,958

 

USD

17,446,101

 

EUR

13,552,500

 

Citibank NA

 

4/18/12

 

 

(613,429

)

USD

642,015

 

EUR

486,000

 

UBS AG

 

4/18/12

 

 

(5,609

)

Total

 

 

 

 

 

 

 

 

 

$

(750,025

)


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

42

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

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. These definitions 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 derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted 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 derivative financial instruments)

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements.

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

 

 

$

3,130,625

 

$

4,989,143

 

$

8,119,768

 

Common Stocks

 

$

2,213,632

 

 

370,718

 

 

5,458,062

 

 

8,042,412

 

Corporate Bonds

 

 

 

 

243,428,761

 

 

9,604,936

 

 

253,033,697

 

Floating Rate
Loan interests

 

 

 

 

293,227,036

 

 

28,186,100

 

 

321,413,136

 

Other Interests

 

 

3,441

 

 

 

 

3,410,858

 

 

3,414,299

 

Warrants

 

 

237,900

 

 

 

 

2

 

 

237,902

 

Short-Term
Investments

 

 

 

 

9,309,840

 

 

 

 

9,309,840

 

Total

 

$

2,454,973

 

$

549,466,980

 

$

51,649,101

 

$

603,571,054

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

 

$

24,221

 

 

 

$

24,221

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

 

 

(774,246

)

 

 

 

(774,246

)

Total

 

 

 

$

(750,025

)

 

 

$

(750,025

)


 

 

 

 

1

Derivative financial instruments are foreign currency exchange contracts, which are valued 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/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2011

 

$

6,393,325

 

$

926,586

 

$

12,777,038

 

$

50,753,656

 

$

4,757,077

 

$

26

 

$

75,607,708

 

Accrued discounts/premiums

 

 

68,423

 

 

 

 

471,764

 

 

217,248

 

 

 

 

 

 

757,435

 

Net realized gain (loss)

 

 

62,231

 

 

18,840

 

 

(7,813,320

)

 

155,216

 

 

1,749,851

 

 

 

 

(5,827,182

)

Net change in unrealized appreciation/depreciation2

 

 

(333,611

)

 

(6,653,262

)

 

10,181,762

 

 

3,942,086

 

 

405,548

 

 

(24

)

 

7,542,499

 

Purchases

 

 

1,712,700

 

 

10,563,366

 

 

25,052

 

 

8,377,601

 

 

 

 

 

 

20,678,719

 

Sales

 

 

(1,813,925

)

 

(23,902

)

 

(6,037,804

)

 

(25,745,324

)

 

(3,501,613

)

 

 

 

(37,122,568

)

Transfers in3

 

 

 

 

626,434

 

 

444

 

 

2,248,566

 

 

 

 

 

 

2,875,444

 

Transfers out3

 

 

(1,100,000

)

 

 

 

 

 

(11,762,949

)

 

(5

)

 

 

 

(12,862,954

)

Balance, as of February 29, 2012

 

$

4,989,143

 

$

5,458,062

 

$

9,604,936

 

$

28,186,100

 

$

3,410,858

 

$

2

 

$

51,649,101

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on securities still held on February 29, 2012 was $(8,868,907).

 

 

 

 

3

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

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

43




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

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

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

American Airlines Pass-Through Trust, Series
2011-2, Class A, 8.63%, 4/15/23

 

USD

147

 

$

155,820

 

ARES CLO Funds, Series 2005-10A, Class B, 0.95%,
9/18/17 (a)(b)

 

 

500

 

 

462,690

 

Ballyrock CDO Ltd., Series 2006-1A, Class B, 0.84%,
8/28/19 (a)(b)

 

 

500

 

 

418,750

 

Canaras Summit CLO Ltd., Series 2007-1A, Class B,
1.04%, 6/19/21 (a)(b)

 

 

395

 

 

335,865

 

Flagship CLO, Series 2006-1A, Class B, 0.91%,
9/20/19 (a)(b)

 

 

1,000

 

 

772,500

 

Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,
0.96%, 12/20/20 (a)(b)

 

 

500

 

 

425,000

 

Gannett Peak CLO Ltd., Series 2006-1X, Class A2,
0.92%, 10/27/20 (b)

 

 

305

 

 

246,287

 

Goldman Sachs Asset Management CLO Plc, Series
2007-1A, Class B, 1.00%, 8/01/22 (a)(b)

 

 

665

 

 

532,000

 

Landmark CDO Ltd., Series 2006-8A, Class B,
0.92%, 10/19/20 (a)(b)

 

 

570

 

 

477,193

 

MAPS CLO Fund LLC, Series 2005-1A, Class C,
1.52%, 12/21/17 (a)(b)

 

 

300

 

 

270,300

 

Portola CLO Ltd., Series 2007-1X, Class B1, 1.95%,
11/15/21 (b)

 

 

405

 

 

347,287

 

T2 Income Fund CLO Ltd., Series 2007-1A, Class B,
1.17%, 7/15/19 (a)(b)

 

 

345

 

 

299,201

 

Total Asset-Backed Securities — 3.3%

 

 

 

 

 

4,742,893

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Auto Components — 0.7%

 

 

 

 

 

 

 

Delphi Automotive Plc

 

 

1

 

 

41

 

Delphi Automotive Plc (180-day lock)
(acquired 11/17/11, cost $189,704) (d)

 

 

33,615

 

 

1,048,779

 

 

 

 

 

 

 

1,048,820

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

10,732

 

 

4,937

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

13,053

 

 

65

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp.

 

 

1,860

 

 

14,006

 

Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

47,227

 

 

11,807

 

Total Common Stocks — 0.7%

 

 

 

 

 

1,079,635

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

Airlines — 0.1%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Series 2009-1-B, 9.75%,
6/17/18

 

USD

55

 

 

58,663

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

30

 

 

31,425

 

8.00%, 1/15/18 (a)

 

 

1,075

 

 

1,139,500

 

 

 

 

 

 

 

1,170,925

 

Capital Markets — 0.0%

 

 

 

 

 

 

 

E*Trade Financial Corp., 3.99%, 8/31/19 (a)(e)(f)

 

 

46

 

 

43,528

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 1.7%

 

 

 

 

 

 

 

CF Industries, Inc., 6.88%, 5/01/18

 

USD

480

 

$

565,200

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

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

 

 

702

 

 

835,500

 

10.00%, 3/31/15

 

 

691

 

 

690,560

 

Ineos Finance Plc, 8.38%, 2/15/19 (a)

 

 

125

 

 

132,812

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

150

 

 

164,142

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (a)

 

 

50

 

 

54,875

 

 

 

 

 

 

 

2,443,089

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

117

 

 

117,162

 

7.00%, 5/02/17 (a)

 

 

150

 

 

150,188

 

 

 

 

 

 

 

267,350

 

Commercial Services & Supplies — 0.3%

 

 

 

 

 

 

 

ARAMARK Corp., 4.05%, 2/01/15 (b)

 

 

75

 

 

74,719

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

 

 

335

 

 

350,476

 

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

 

 

12

 

 

11,400

 

 

 

 

 

 

 

436,595

 

Consumer Finance — 0.3%

 

 

 

 

 

 

 

Inmarsat Finance Plc, 7.38%, 12/01/17 (a)

 

 

425

 

 

454,750

 

Containers & Packaging — 0.4%

 

 

 

 

 

 

 

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

 

 

115

 

 

127,938

 

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

 

EUR

113

 

 

156,572

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

55

 

 

78,406

 

7.75%, 11/15/19

 

 

160

 

 

229,688

 

 

 

 

 

 

 

592,604

 

Diversified Financial Services — 1.4%

 

 

 

 

 

 

 

Ally Financial, Inc., 2.73%, 12/01/14 (b)

 

USD

1,175

 

 

1,099,720

 

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

 

 

70

 

 

74,637

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

8.75%, 10/15/16 (h)

 

EUR

200

 

 

283,114

 

8.75%, 10/15/16

 

USD

300

 

 

319,500

 

6.88%, 2/15/21

 

 

210

 

 

222,600

 

 

 

 

 

 

 

1,999,571

 

Diversified Telecommunication Services — 0.4%

 

 

 

 

 

 

 

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

 

 

290

 

 

302,325

 

Qwest Communications International, Inc., 8.00%,
10/01/15

 

 

300

 

 

322,031

 

 

 

 

 

 

 

624,356

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC):

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

645

 

 

656,288

 

7.75%, 4/15/18

 

 

95

 

 

81,700

 

 

 

 

 

 

 

737,988

 

Health Care Providers & Services — 0.5%

 

 

 

 

 

 

 

HCA, Inc., 6.50%, 2/15/20

 

 

455

 

 

487,988

 

Tenet Healthcare Corp., 8.88%, 7/01/19

 

 

170

 

 

193,800

 

 

 

 

 

 

 

681,788

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

980

 

 

1,166,200

 

Hotels, Restaurants & Leisure — 1.1%

 

 

 

 

 

 

 

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

 

 

383

 

 

337,040

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

460

 

 

523,250

 

11.13%, 11/15/17

 

 

200

 

 

227,500

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

44

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

5.15%, 9/01/14 (b)

 

USD

665

 

$

340,812

 

9.88%, 9/01/14 (a)

 

 

150

 

 

85,875

 

 

 

 

 

 

 

1,514,477

 

Independent Power Producers &
Energy Traders — 1.9%

 

 

 

 

 

 

 

Calpine Corp., 7.25%, 10/15/17 (a)

 

 

625

 

 

662,500

 

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

 

 

470

 

 

508,187

 

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

 

 

1,455

 

 

1,580,494

 

 

 

 

 

 

 

2,751,181

 

Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp., 13.50%, 12/01/15 (a)

 

 

679

 

 

724,477

 

Machinery — 0.1%

 

 

 

 

 

 

 

UR Financing Escrow Corp., 5.75%, 7/15/18 (a)

 

 

90

 

 

92,475

 

Media — 2.7%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%, 7/15/21 (a)

 

 

120

 

 

133,800

 

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

 

 

550

 

 

632,500

 

Checkout Holding Corp., 10.68%, 11/15/15 (a)(f)

 

 

350

 

 

157,500

 

Clear Channel Worldwide
Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

212

 

 

232,140

 

Series B, 9.25%, 12/15/17

 

 

967

 

 

1,063,700

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

230

 

 

255,300

 

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

 

 

330

 

 

363,000

 

Unitymedia Hessen GmbH & Co. KG, 8.13%,
12/01/17 (a)

 

 

1,000

 

 

1,085,000

 

 

 

 

 

 

 

3,922,940

 

Multiline Retail — 0.2%

 

 

 

 

 

 

 

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

 

 

235

 

 

257,915

 

Oil, Gas & Consumable Fuels — 0.1%

 

 

 

 

 

 

 

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

 

 

144

 

 

154,080

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (a)

 

 

180

 

 

184,950

 

Verso Paper Holdings LLC, Series B, 4.30%, 8/01/14 (b)

 

 

180

 

 

124,650

 

 

 

 

 

 

 

309,600

 

Pharmaceuticals — 0.2%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (a)

 

 

210

 

 

214,200

 

Real Estate Management & Development — 0.1%

 

 

 

 

 

 

 

Realogy Corp., 7.63%, 1/15/20 (a)

 

 

190

 

 

196,175

 

Wireless Telecommunication Services — 2.2%

 

 

 

 

 

 

 

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

 

 

825

 

 

878,625

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

399

 

 

406,980

 

8.25%, 9/01/17

 

 

265

 

 

280,900

 

iPCS, Inc., 2.67%, 5/01/13 (b)

 

 

500

 

 

481,250

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

410

 

 

457,150

 

7.00%, 3/01/20

 

 

630

 

 

640,237

 

 

 

 

 

 

 

3,145,142

 

Total Corporate Bonds — 16.7%

 

 

 

 

 

23,960,069

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Aerospace & Defense — 1.7%

 

 

 

 

 

 

 

DynCorp International, Term Loan B, 6.25% – 6.75%,
7/07/16

 

USD

415

 

$

413,857

 

SI Organization, Inc., New Term Loan B, 4.50%,
11/22/16

 

 

467

 

 

447,675

 

TransDigm, Inc.:

 

 

 

 

 

 

 

Add on Term Loan B2, 4.00%, 2/14/17

 

 

225

 

 

225,187

 

Term Loan (First Lien), 4.00%, 2/14/17

 

 

941

 

 

939,672

 

Wesco Aircraft Hardware Corp., Term Loan B, 4.25%,
4/07/17

 

 

356

 

 

355,870

 

 

 

 

 

 

 

2,382,261

 

Airlines — 0.8%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B, 5.50%,
4/20/17 (a)

 

 

1,180

 

 

1,152,045

 

Auto Components — 2.6%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan B, 2.75%,
8/07/14

 

 

1,629

 

 

1,611,038

 

Autoparts Holdings Ltd., First Lien Term Loan,
6.50%, 7/28/17

 

 

748

 

 

749,996

 

Federal-Mogul Corp.:

 

 

 

 

 

 

 

Term Loan B, 2.19% – 2.20%, 12/29/14

 

 

320

 

 

305,631

 

Term Loan C, 2.19% – 2.20%, 12/28/15

 

 

163

 

 

155,934

 

GPX International Tire Corp. (c)(i):

 

 

 

 

 

 

 

8.37%, 3/30/12

 

 

9

 

 

 

12.00%, 3/30/12

 

 

549

 

 

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

540

 

 

541,577

 

UCI International, Inc., Term Loan, 5.50%, 7/26/17

 

 

396

 

 

396,990

 

 

 

 

 

 

 

3,761,166

 

Biotechnology — 0.7%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 4.50%, 6/01/17

 

 

998

 

 

996,288

 

Building Products — 3.0%

 

 

 

 

 

 

 

Armstrong World Industries, Inc., Term Loan B,
4.00%, 3/09/18

 

 

620

 

 

617,794

 

CPG International I, Inc., Term Loan B, 6.00%,
2/18/17

 

 

941

 

 

888,772

 

Goodman Global Holdings, Inc., Initial First Lien
Term Loan (First Lien), 5.75%, 10/28/16

 

 

2,327

 

 

2,338,393

 

Momentive Performance Materials, Inc. (Nautilus),
Extended Term Loan B2, 4.08%, 5/05/15

 

EUR

340

 

 

428,367

 

 

 

 

 

 

 

4,273,326

 

Capital Markets — 1.7%

 

 

 

 

 

 

 

American Capital Ltd., Term Loan B, 7.50%,
12/31/13

 

USD

70

 

 

70,153

 

HarbourVest Partners, Term Loan (First Lien),
6.25%, 12/16/16

 

 

838

 

 

838,853

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

New Term Loan (First Lien), 3.30% – 3.58%,
5/12/17

 

 

459

 

 

456,111

 

Extended Term Loan, 5.74% – 5.83%, 5/12/17

 

 

916

 

 

913,423

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

180

 

 

181,260

 

 

 

 

 

 

 

2,459,800

 

Chemicals — 4.9%

 

 

 

 

 

 

 

American Rock Salt Holdings LLC, Term Loan B,
5.50%, 4/25/17

 

 

715

 

 

664,071

 

Ashland, Inc., Term Loan B, 3.75%, 8/23/18

 

 

459

 

 

460,365

 

Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16

 

 

800

 

 

802,504

 

Gentek, Inc., Term Loan B, 5.00% – 5.75%,
10/06/15

 

 

563

 

 

558,973

 

MDI Holdings, LLC, Tranche C Term Loan, 2.76%,
4/11/14

 

EUR

262

 

 

340,424

 

Nexeo Solutions LLC, Term Loan B, 5.00%,
9/08/17

 

USD

620

 

 

610,747

 

PolyOne Corp., Term Loan, 5.00%, 12/20/17

 

 

215

 

 

215,322

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term
Loan B (First Lien), 3.50%, 7/30/14 (a)

 

 

840

 

 

819,588

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

45




 

 

 

 

Consolidated 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

 

Chemicals (concluded)

 

 

 

 

 

 

 

Styron Sarl, Term Loan B, 6.00% – 6.75%, 8/02/17

 

USD

585

 

$

527,376

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 1.00%, 2/08/18

 

 

200

 

 

200,133

 

Term Loan B, 4.25%, 2/08/18

 

 

735

 

 

733,820

 

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

 

 

1,072

 

 

1,063,144

 

 

 

 

 

 

 

6,996,467

 

Commercial Services & Supplies — 3.9%

 

 

 

 

 

 

 

Altegrity, Inc. (FKA US Investigations Services),
Tranche D Term Loan, 7.75%, 2/20/15

 

 

930

 

 

928,343

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit — 2 Facility, 3.55%, 7/26/16

 

 

22

 

 

21,615

 

Term Loan B, 3.83%, 7/26/16

 

 

307

 

 

303,939

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

484

 

 

482,246

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

1,000

 

 

1,001,070

 

International Lease Finance Corp., Term Loan B1,
6.75%, 3/17/15

 

 

40

 

 

40,067

 

KAR Auction Services, Inc., Term Loan B, 5.00%,
5/19/17

 

 

1,343

 

 

1,341,571

 

Synagro Technologies, Inc., Term Loan B,
2.25% – 2.26%, 4/02/14

 

 

859

 

 

768,985

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

518

 

 

520,599

 

West Corp.:

 

 

 

 

 

 

 

Term Loan B4, 4.49% – 4.78%, 7/15/16

 

 

68

 

 

67,737

 

Term Loan B5, 4.49% – 4.51%, 7/15/16

 

 

131

 

 

130,786

 

 

 

 

 

 

 

5,606,958

 

Communications Equipment — 1.2%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 3.24%, 10/24/14

 

 

612

 

 

598,511

 

Term Loan B3, 4.99%, 10/26/17

 

 

360

 

 

349,117

 

CommScope, Inc., Term Loan B, 5.00%, 1/14/18

 

 

768

 

 

768,025

 

 

 

 

 

 

 

1,715,653

 

Construction & Engineering — 0.9%

 

 

 

 

 

 

 

BakerCorp. International, Inc., Term Loan B, 5.00%,
6/01/18

 

 

428

 

 

427,208

 

Safeway Services, LLC, First Out Tranche Loan,
9.00%, 12/16/17

 

 

900

 

 

900,000

 

 

 

 

 

 

 

1,327,208

 

Consumer Finance — 1.5%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS Funding
Co.), Term Loan, 5.50%, 5/10/17

 

 

2,435

 

 

2,219,770

 

Containers & Packaging — 0.7%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term Loan C, 2.25%,
4/03/15

 

 

137

 

 

133,643

 

Sealed Air Corp., Term Loan B, 4.75%, 10/03/18

 

 

827

 

 

835,392

 

 

 

 

 

 

 

969,035

 

Diversified Consumer Services — 3.0%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.41%,
11/20/14

 

 

1,341

 

 

1,234,644

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 8/15/18

 

 

2,029

 

 

1,936,218

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

110

 

 

108,583

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

1,104

 

 

1,090,358

 

 

 

 

 

 

 

4,369,803

 

Diversified Financial Services — 1.5%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Tranche B Term Loan, 6.50%, 2/09/18

 

 

687

 

 

693,461

 

Tranche C Term Loan, 5.25% – 6.50%, 8/09/18

 

 

1,480

 

 

1,495,616

 

 

 

 

 

 

 

2,189,077

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Diversified Telecommunication Services — 4.2%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc., Term
Loan B, 9.00%, 2/25/17

 

USD

565

 

$

563,587

 

Integra Telecom Holdings, Inc., Term Loan B, 9.25%,
4/15/15

 

 

788

 

 

693,440

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B2, 5.75%, 9/03/18

 

 

2,000

 

 

2,013,760

 

Term Loan B3, 5.75%, 8/31/18

 

 

650

 

 

654,472

 

Tranche A Term Loan, 2.50% – 2.83%, 3/13/14

 

 

1,300

 

 

1,278,550

 

US Telepacific Corp., Term Loan B, 5.75%, 2/23/17

 

 

894

 

 

847,014

 

 

 

 

 

 

 

6,050,823

 

Electronic Equipment, Instruments &
Components — 1.2%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Extended Term Loan,
3.75% – 4.00%, 7/14/17

 

 

930

 

 

908,773

 

Flextronics International Ltd., Delayed Draw:

 

 

 

 

 

 

 

Term Loan A-2, 2.52%, 10/01/14

 

 

24

 

 

23,590

 

Term Loan A-3, 2.49%, 10/01/14

 

 

20

 

 

20,220

 

Sensata Technologies Finance Co., LLC, New Term
Loan, 4.00%, 5/11/18

 

 

810

 

 

807,808

 

 

 

 

 

 

 

1,760,391

 

Energy Equipment & Services — 2.9%

 

 

 

 

 

 

 

CCS Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.50%, 10/17/14

 

 

405

 

 

405,405

 

Term Loan B, 3.24%, 11/14/14

 

 

871

 

 

842,719

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%, 8/04/16

 

 

520

 

 

516,777

 

Gas Co. Term Loan, 9.25%, 8/04/16

 

 

677

 

 

698,638

 

MEG Energy Corp., Term Loan B, 4.00%, 3/16/18

 

 

1,746

 

 

1,742,046

 

 

 

 

 

 

 

4,205,585

 

Food & Staples Retailing — 1.6%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance
Boots), Facility B1, 3.60%, 7/09/15

 

GBP

675

 

 

980,851

 

B&G Foods, Inc., Term Loan B, 4.50%, 11/30/18

 

USD

200

 

 

200,450

 

Bolthouse Farms, Inc., Term Loan (First Lien),
5.50% – 5.75%, 2/11/16

 

 

270

 

 

269,971

 

U.S. Foodservice, Inc., Term Loan B, 2.74% – 2.75%,
7/03/14

 

 

904

 

 

872,026

 

 

 

 

 

 

 

2,323,298

 

Food Products — 3.2%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan:

 

 

 

 

 

 

 

(First Lien), 7.00%, 9/30/16

 

 

1,027

 

 

1,027,173

 

(Second Lien), 11.25%, 9/29/17

 

 

655

 

 

655,544

 

Del Monte Corp., Term Loan, 4.50%, 3/08/18

 

 

1,339

 

 

1,312,843

 

Michaels Foods Group, Inc. (FKA M-Foods Holdings,
Inc.), Term Loan B, 4.25%, 2/23/18

 

 

83

 

 

82,795

 

Pinnacle Foods Finance LLC:

 

 

 

 

 

 

 

Tranche B Term Loan, 2.76% – 3.08%,
4/02/14

 

 

50

 

 

49,461

 

Tranche D Term Loan, 6.00% – 6.50%,
4/02/14

 

 

537

 

 

539,283

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-2 Term Loan, 5.00% – 6.00%,
7/06/18

 

 

299

 

 

300,492

 

Tranche C-2 Term Loan, 5.00% – 6.00%,
7/06/18

 

 

556

 

 

558,057

 

 

 

 

 

 

 

4,525,648

 

Health Care Equipment & Supplies — 1.9%

 

 

 

 

 

 

 

Biomet, Inc., Term Loan B, 3.24% – 3.57%, 3/25/15

 

 

363

 

 

359,059

 

DJO Finance LLC (FKA ReAble Therapeutics Finance
LLC), Term Loan B, 3.24%, 5/20/14

 

 

545

 

 

537,349

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

410

 

 

409,746

 

Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18

 

 

404

 

 

401,323

 

Immucor, Inc., Term Loan B, 7.25%, 8/17/18

 

 

953

 

 

959,043

 

 

 

 

 

 

 

2,666,520

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

46

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Health Care Providers & Services — 4.7%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Non-Extended Delayed Draw Term Loan,
3.25%, 7/25/14

 

USD

40

 

$

39,609

 

Non-Extended Term Loan, 2.49% – 4.50%,
7/25/14

 

 

742

 

 

732,318

 

ConvaTec, Inc., Term Loan, 5.75%, 12/22/16

 

 

693

 

 

691,053

 

DaVita, Inc., Term Loan B, 4.50%, 10/20/16

 

 

891

 

 

893,040

 

Emergency Medical Services, Term Loan, 5.25%,
5/25/18

 

 

887

 

 

884,128

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan, 8.50%, 3/02/15

 

 

328

 

 

321,325

 

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

 

 

576

 

 

564,886

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche B-2 Term Loan, 3.83%, 3/31/17

 

 

368

 

 

362,826

 

Tranche B-3 Term Loan, 3.49%, 5/01/18

 

 

136

 

 

133,271

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

300

 

 

298,050

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.):

 

 

 

 

 

 

 

Combined Term Loan, 6.50%, 8/04/16

 

 

696

 

 

668,802

 

Incremental Term Loan B-3, 6.75%, 5/15/18

 

 

452

 

 

433,655

 

Medpace, Inc., Term Loan, 6.50% – 7.25%,
6/16/17

 

 

647

 

 

620,880

 

Vanguard Health Holding Co. II, LLC (Vanguard
Health Systems, Inc.), Term Loan B, 5.00%,
1/29/16

 

 

70

 

 

69,650

 

 

 

 

 

 

 

6,713,493

 

Health Care Technology — 1.3%

 

 

 

 

 

 

 

IMS Health, Inc., Term Loan B, 4.50%, 8/25/17

 

 

637

 

 

637,340

 

Kinetic Concepts, Inc., Term Loan B, 7.00%,
5/04/18

 

 

835

 

 

848,569

 

MedAssets, Inc., Term Loan, 5.25%, 11/16/16

 

 

426

 

 

425,969

 

 

 

 

 

 

 

1,911,878

 

Hotels, Restaurants & Leisure — 5.7%

 

 

 

 

 

 

 

Ameristar Casinos, Inc., Term Loan B, 4.00%,
4/13/18

 

 

645

 

 

646,067

 

Boyd Gaming Corp., Incremental Term Loan, 6.00%,
12/17/15

 

 

450

 

 

451,053

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B3, 3.24%, 1/28/15

 

 

238

 

 

223,225

 

Term Loan B3, 3.00% – 3.58%, 1/28/15

 

 

2,734

 

 

2,561,924

 

Term Loan B4, 9.50%, 10/31/16

 

 

671

 

 

690,360

 

Dunkin’ Brands, Inc., Term Loan B, 4.00% – 5.25%,
11/23/17

 

 

1,006

 

 

1,002,653

 

Golden Living, Term Loan, 5.00%, 5/04/18

 

 

167

 

 

157,361

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

5

 

 

4,816

 

Term Loan B, 2.56%, 6/14/14

 

 

50

 

 

48,854

 

Seaworld Parks & Entertainment, Inc. (FKA SW
Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17

 

 

713

 

 

712,200

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 4.25%, 12/20/18

 

 

800

 

 

796,504

 

Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16

 

 

550

 

 

495,918

 

Twin River Worldwide Holdings, Inc., Term Loan,
8.50%, 11/05/15

 

 

402

 

 

401,745

 

 

 

 

 

 

 

8,192,680

 

Household Products — 0.6%

 

 

 

 

 

 

 

Prestige Brands International, Inc., Term Loan,
5.25%, 1/31/19

 

 

790

 

 

792,962

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders — 0.9%

 

 

 

 

 

 

 

AES Corp., Term Loan, 4.25%, 6/01/18

 

USD

993

 

$

991,507

 

Texas Competitive Electric Holdings Co. LLC (TXU),
Extended Term Loan, 4.76%, 10/10/17

 

 

655

 

 

365,590

 

 

 

 

 

 

 

1,357,097

 

Industrial Conglomerates — 1.4%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

350

 

 

351,165

 

Term Loan, 3.76% – 3.84%, 12/03/14

 

 

1,671

 

 

1,653,163

 

 

 

 

 

 

 

2,004,328

 

Insurance — 0.6%

 

 

 

 

 

 

 

CNO Financial Group, Inc., Term Loan B, 6.25%,
9/30/16

 

 

834

 

 

837,436

 

Internet Software & Services — 0.4%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B, 7.00%,
10/27/17

 

 

625

 

 

609,912

 

IT Services — 5.2%

 

 

 

 

 

 

 

Ceridian Corp., Term Loan, 3.24%, 11/10/14

 

 

749

 

 

708,146

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.24%, 3/23/18

 

 

3,559

 

 

3,194,007

 

Term Loan B-1, 2.99%, 9/24/14

 

 

467

 

 

446,270

 

Term Loan B-3, 2.99%, 9/24/14

 

 

78

 

 

74,959

 

infoGROUP, Inc., Term Loan B, 5.75%, 5/22/18

 

 

376

 

 

351,314

 

iPayment, Inc., Term Loan B, 5.75%, 5/08/17

 

 

358

 

 

355,891

 

NeuStar, Inc., Term Loan B, 5.00%, 11/08/18

 

 

469

 

 

469,997

 

SunGard Data Systems, Inc. (Solar Capital Corp.),
Tranche B Term Loan, 3.99% – 4.15%, 2/26/16

 

 

161

 

 

160,279

 

TransUnion LLC, Term Loan B, 4.75%, 2/12/18

 

 

1,729

 

 

1,730,348

 

 

 

 

 

 

 

7,491,211

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

315

 

 

318,840

 

Machinery — 1.5%

 

 

 

 

 

 

 

Terex Corp.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 4/28/17

 

EUR

70

 

 

92,330

 

Term Loan B, 5.50%, 4/28/17

 

USD

694

 

 

698,536

 

Tomkins LLC, Term Loan B, 4.25%, 9/29/16

 

 

1,349

 

 

1,347,452

 

 

 

 

 

 

 

2,138,318

 

Media — 18.0%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%, 3/01/18

 

 

352

 

 

349,577

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/10/16

 

 

810

 

 

757,867

 

AMC Entertainment, Inc., Term Loan B3, 4.25%,
2/22/18

 

 

375

 

 

370,009

 

AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18

 

 

896

 

 

889,903

 

Atlantic Broadband Finance LLC, Term Loan B,
4.00%, 3/08/16

 

 

481

 

 

479,357

 

Bresnan Telecommunications Co., LLC, Term Loan B,
4.50%, 12/14/17

 

 

1,584

 

 

1,578,725

 

Capsugel Healthcare Ltd., Term Loan, 5.25%,
8/01/18

 

 

698

 

 

702,237

 

Catalina Marketing Corp., Term Loan B, 2.99%,
10/01/14

 

 

728

 

 

707,330

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

352

 

 

326,427

 

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

 

 

494

 

 

478,112

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/11/19

 

 

1,255

 

 

1,242,161

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

47




 

 

 

 

Consolidated 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

 

Media (concluded)

 

 

 

 

 

 

 

Charter Communications Operating LLC:

 

 

 

 

 

 

 

Term Loan, 7.25%, 3/06/14

 

USD

14

 

$

14,353

 

Term Loan C, 3.83%, 9/06/16

 

 

1,155

 

 

1,145,838

 

Clarke American Corp., Term Facility B,
2.74% – 3.08%, 6/30/14

 

 

264

 

 

240,975

 

Clear Channel Communication:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

1,410

 

 

1,157,157

 

Term Loan C, 3.89%, 1/28/16

 

 

185

 

 

146,612

 

Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18

 

 

705

 

 

705,585

 

Gray Television, Inc., Term Loan B, 3.77%, 12/31/14

 

 

735

 

 

725,914

 

HMH Publishing Co. Ltd., Term Loan, 6.51%,
6/12/14

 

 

735

 

 

454,325

 

Hubbard Broadcasting, Term Loan B (Second Lien),
5.25%, 4/28/17

 

 

498

 

 

497,913

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

3,474

 

 

3,467,845

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

1,538

 

 

1,534,914

 

Kabel Deutschland GmbH, Term Loan F, 4.25%,
2/01/19

 

 

735

 

 

731,325

 

Knology, Inc., Term Loan B, 4.00%, 8/18/17

 

 

345

 

 

341,730

 

Lavena Holding 4 GmbH (Prosiebensat.1 Media AG),
Term Loan B, 3.81%, 3/06/15

 

EUR

304

 

 

351,749

 

LIN Television Corp., Term Loan B, 5.00%,
12/21/18

 

USD

375

 

 

376,875

 

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

 

 

1,325

 

 

1,363,094

 

Nielsen Finance LLC, Class C Term Loan, 4.01%,
5/02/16

 

 

728

 

 

730,085

 

Sinclair Television Group, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B3, 10/28/16

 

 

150

 

 

149,296

 

New Tranche B Term Loan, 4.00%, 10/28/16

 

 

589

 

 

586,102

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.49%, 3/31/17

 

 

1,116

 

 

1,036,492

 

UPC Broadband Holding B.V., Term Loan U, 4.72%,
12/29/17

 

EUR

210

 

 

275,005

 

UPC Financing Partnership:

 

 

 

 

 

 

 

Term Loan, 4.75%, 12/29/17

 

USD

530

 

 

529,072

 

Term Loan T, 3.77%, 12/30/16

 

 

95

 

 

93,409

 

WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18

 

 

250

 

 

248,956

 

Weather Channel, Term Loan B, 4.25%, 2/13/17

 

 

1,111

 

 

1,111,817

 

 

 

 

 

 

 

25,898,143

 

Metals & Mining — 2.6%

 

 

 

 

 

 

 

Novelis, Inc., Term Loan, 4.00%, 3/10/17

 

 

1,514

 

 

1,506,780

 

SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18

 

 

498

 

 

496,256

 

Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18

 

 

1,737

 

 

1,729,179

 

 

 

 

 

 

 

3,732,215

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy,
Inc.), Term B Advance (First Lien), 2.75%,
11/01/13

 

 

151

 

 

141,943

 

Multiline Retail — 1.2%

 

 

 

 

 

 

 

99 Cents Only Stores, Term Loan B, 7.00%,
1/11/19

 

 

600

 

 

603,858

 

Dollar General Corp., Tranche B-2 Term Loan,
3.00% – 3.33%, 7/07/14

 

 

360

 

 

360,609

 

Hema Holding BV:

 

 

 

 

 

 

 

Term Loan B, 2.69%, 7/05/16

 

EUR

205

 

 

263,590

 

Term Loan C, 3.44%, 7/06/15

 

 

205

 

 

262,221

 

The Neiman Marcus Group, Inc., Term Loan, 4.75%,
5/16/18

 

USD

200

 

 

198,400

 

 

 

 

 

 

 

1,688,678

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels — 1.9%

 

 

 

 

 

 

 

EquiPower Resources Holdings LLC, Term Loan B,
5.75%, 1/26/18

 

USD

819

 

$

769,961

 

Gibson Energy, Term Loan B, 5.75%, 6/15/18

 

 

945

 

 

946,233

 

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

 

 

980

 

 

985,077

 

 

 

 

 

 

 

2,701,271

 

Paper & Forest Products — 0.7%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

250

 

 

251,875

 

Verso Paper Finance Holdings LLC, Term Loan,
6.79% – 7.54%, 2/01/13

 

 

1,469

 

 

734,309

 

 

 

 

 

 

 

986,184

 

Pharmaceuticals — 3.8%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

1,139

 

 

1,128,823

 

Endo Pharmaceuticals Holdings, Inc., Term Loan B,
4.00%, 6/18/18

 

 

187

 

 

186,833

 

Pharmaceutical Product Development, Inc., Term
Loan B, 6.25%, 12/05/18

 

 

950

 

 

958,313

 

Quintiles Transnational Corp., Term Loan B, 5.00%,
6/08/18

 

 

677

 

 

672,128

 

RPI Finance Trust, Term Loan Tranche 2, 4.00%,
5/09/18

 

 

498

 

 

496,624

 

Taminco Global Chemical Corp., New Term Loan,
6.25%, 2/15/19

 

 

335

 

 

336,377

 

Valeant Pharmaceuticals International, Add on Term
Loan B, 3.75%, 2/08/19

 

 

1,210

 

 

1,206,225

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%, 3/15/18

 

 

363

 

 

362,118

 

Term Loan B-2, 4.25%, 3/15/18

 

 

181

 

 

181,059

 

 

 

 

 

 

 

5,528,500

 

Professional Services — 1.4%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche B Term Loan,
4.00%, 8/03/17

 

 

336

 

 

336,482

 

Emdeon, Inc., Term Loan B, 6.75%, 11/02/18

 

 

1,000

 

 

1,011,430

 

Fifth Third Processing Solutions LLC, Term Loan B
(First Lien), 4.50%, 11/03/16

 

 

712

 

 

712,521

 

 

 

 

 

 

 

2,060,433

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

983

 

 

978,385

 

Real Estate Management & Development — 1.0%

 

 

 

 

 

 

 

Mattamy Funding Partnership, Term Loan B, 2.75%,
4/11/13

 

 

226

 

 

214,517

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 3.25%, 10/10/13

 

 

29

 

 

27,404

 

Extended Synthetic Letter of Credit Loan, 4.53%,
10/10/16

 

 

45

 

 

41,787

 

Extended Term Loan, 4.77%, 10/10/16

 

 

1,230

 

 

1,140,830

 

 

 

 

 

 

 

1,424,538

 

Road & Rail — 0.8%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, Incremental Term Loan,
6.25%, 9/21/18

 

 

559

 

 

564,046

 

RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19

 

 

545

 

 

543,638

 

 

 

 

 

 

 

1,107,684

 

Semiconductors & Semiconductor
Equipment — 0.7%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Extended Term
Loan B, 4.52%, 12/01/16

 

 

464

 

 

451,646

 

NXP B.V., Term Loan A-2, 5.50%, 3/03/17

 

 

599

 

 

594,309

 

 

 

 

 

 

 

1,045,955

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

48

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Software — 1.5%

 

 

 

 

 

 

 

Blackboard, Inc., Term Loan B, 7.50%, 10/04/18

 

USD

295

 

$

291,067

 

Datatel, Inc., Term Loan B, 6.25%, 7/19/18

 

 

600

 

 

606,252

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 7/28/15

 

 

21

 

 

20,344

 

Extended Initial Term Loan, 7/28/15

 

EUR

225

 

 

282,531

 

Extended Initial Term Loan, 7/28/15

 

USD

39

 

 

38,306

 

Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18

 

 

546

 

 

545,193

 

Vertafore, Inc., Term Loan B, 5.25%, 7/29/16

 

 

356

 

 

353,372

 

 

 

 

 

 

 

2,137,065

 

Specialty Retail — 4.6%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%, 8/03/18

 

 

900

 

 

899,901

 

Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17

 

 

70

 

 

69,700

 

Burlington Coat Factory Warehouse Corp., Term
Loan B, 6.25%, 2/23/17

 

 

455

 

 

454,812

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

 

232

 

 

219,642

 

General Nutrition Centers, Inc., Term Loan B, 4.25%,
3/02/18

 

 

940

 

 

937,218

 

The Gymboree Corp., Term Loan B, 5.00%, 2/23/18

 

 

345

 

 

324,386

 

Jo-Ann Stores, Inc., Term Loan, 4.75%, 3/16/18

 

 

372

 

 

366,867

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B-2, 5.13%, 7/29/16

 

 

711

 

 

706,910

 

Extended Term Loan B3, 5.13%, 7/29/16

 

 

392

 

 

389,800

 

Petco Animal Supplies, Inc., Term Loan B, 4.50%,
11/24/17

 

 

1,080

 

 

1,075,043

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 6.00%, 9/01/16

 

 

921

 

 

922,306

 

Term Loan B2, 5.25%, 5/25/18

 

 

298

 

 

294,216

 

 

 

 

 

 

 

6,660,801

 

Wireless Telecommunication Services — 2.2%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/25/19

 

 

1,075

 

 

1,070,109

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

Term Loan B-3, 4.00% – 4.06%, 3/16/18

 

 

147

 

 

145,551

 

Tranche B-2 Term Loan, 4.07% – 4.13%,
11/03/16

 

 

476

 

 

472,207

 

Vodafone Americas Finance 2, Inc.:

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15 (g)

 

 

1,211

 

 

1,211,003

 

Term Loan B, 6.25%, 7/11/16

 

 

309

 

 

308,602

 

 

 

 

 

 

 

3,207,472

 

Total Floating Rate Loan Interests — 106.8%

 

 

 

 

 

153,618,544

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate

 

 

2,000

 

 

20

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

J.G.Wentworth LLC Preferred Equity Interests (c)

 

 

(k)

 

311,526

 

Total Other Interests — 0.2%

 

 

 

 

 

311,546

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l) — 0.0%

 

Shares

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

5,330

 

 

 

Total Long-Term Investments
(Cost — $185,371,855) — 127.7%

 

 

 

 

 

183,712,687

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (m)(n)

 

 

2,382,746

 

$

2,382,746

 

Total Short-Term Securities
(Cost — $2,382,746) — 1.7%

 

 

 

 

 

2,382,746

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19,
Broker Goldman Sachs Bank USA (a)

 

 

11

 

 

 

Total Options Purchased
(Cost — $10,755) — 0.0%

 

 

 

 

 

 

Total Investments (Cost — $187,765,356) — 129.4%

 

 

 

 

 

186,095,433

 

Liabilities in Excess of Other Assets — (29.4)%

 

 

 

 

 

(42,322,482

)

Net Assets — 100.0%

 

 

 

 

$

143,772,951

 


 

 

(a)

Security exempt from registration pursuant to Rule 144A under 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)

Restricted security as to resale. As of report date the Fund held 0.73% of its net assets, with a current value of $1,048,779 and an original cost of $189,704 in this 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)

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 is as of report date.

 

 

(i)

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

 

 

(j)

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

 

 

(k)

Amount is less than $500.

 

 

(l)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(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,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

2,714,267

 

 

(331,521

)

 

2,382,746

 

$

1,960

 


 

 

(n)

Represents the current yield as of report date.


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

49




 

 

 

 

Consolidated Schedule of Investments (concluded)

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


 

 

Foreign currency exchange contracts as of February 29,2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

878,364

 

GBP

573,000

 

UBS AG

 

4/11/12

 

$

(32,963)

 

EUR

218,000

 

USD

288,382

 

Citibank NA

 

4/18/12

 

 

2,116

 

EUR

213,000

 

USD

282,391

 

Deutsche Bank AG

 

4/18/12

 

 

1,444

 

USD

3,065,459

 

EUR

2,386,500

 

Citibank NA

 

4/18/12

 

 

(114,697)

 

USD

285,175

 

EUR

215,000

 

Citibank NA

 

4/18/12

 

 

(1,326)

 

Total

 

 

 

 

 

 

 

 

 

$

(145,426)

 


 

 

 

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. These definitions 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 derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted 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 derivative financial instruments)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements.

 

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

1,730,769

 

$

3,012,124

 

$

4,742,893

 

Common Stocks

 

$

14,112

 

 

1,048,779

 

 

16,744

 

 

1,079,635

 

Corporate Bonds

 

 

 

 

22,096,969

 

 

1,863,100

 

 

23,960,069

 

Floating Rate Loan Interests

 

 

 

 

144,175,617

 

 

9,442,927

 

 

153,618,544

 

Other Interests

 

 

 

 

 

 

311,546

 

 

311,546

 

Warrants

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

2,382,746

 

 

 

 

 

 

2,382,746

 

Total

 

$

2,396,858

 

$

169,052,134

 

$

14,646,441

 

$

186,095,433

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

$

3,560

 

 

 

$

3,560

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

 

(148,986

)

 

 

 

(148,986

)

Total

 

 

 

$

(145,426

)

 

 

$

(145,426

)


 

 

 

 

1

Derivative financial instruments are foreign currency exchange contracts, which are valued 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

 

Unfunded
Loan
Commitments
Assets

 

Unfunded
Loan
Commitments
(Liabilities)

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

Accrued discounts/premiums

 

 

52,001

 

 

 

 

56,702

 

 

192,896

 

 

 

 

 

 

 

 

301,599

 

Net realized gain (loss)

 

 

5,598

 

 

15

 

 

(1,818,719

)

 

132,341

 

 

 

 

 

 

 

 

(1,680,765

)

Net change in unrealized
appreciation/depreciation2

 

 

(198,420

)

 

(222,730

)

 

2,059,186

 

 

(1,297,119

)

 

2,378

 

 

(2,079

)

 

5,523

 

 

346,739

 

Purchases

 

 

 

 

 

 

5,005

 

 

2,924,771

 

 

9,832

 

 

 

 

 

 

2,939,608

 

Sales

 

 

(944,350

)

 

(805

)

 

(278,387

)

 

(9,198,408

)

 

 

 

 

 

 

 

(10,421,950

)

Transfers in3

 

 

 

 

 

 

 

 

948,026

 

 

 

 

 

 

 

 

948,026

 

Transfers out3

 

 

(440,000

)

 

 

 

 

 

(5,225,556

)

 

 

 

 

 

 

 

(5,665,556

)

Balance, as of February 29, 2012

 

$

3,012,124

 

$

16,744

 

$

1,863,100

 

$

9,442,927

 

$

311,546

 

 

 

 

 

$

14,646,441

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on securities still held on February 29, 2012 was $(1,481,409).

 

 

 

 

3

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

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

50

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

USD

335

 

$

355,100

 

ARES CLO Funds, Series 2005-10A, Class B, 0.95%,
9/18/17 (a)(b)

 

 

500

 

 

462,690

 

Canaras Summit CLO Ltd., Series 2007-1A, Class B,
1.04%, 6/19/21 (a)(b)

 

 

635

 

 

539,934

 

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

 

 

500

 

 

503,150

 

Franklin CLO Ltd., Series 6A, Class B, 0.97%,
8/09/19 (a)(b)

 

 

810

 

 

688,338

 

Gannett Peak CLO Ltd., Series 2006-1X, Class A2,
0.92%, 10/27/20 (b)

 

 

495

 

 

399,713

 

Greyrock CDO Ltd., Series 2005-1X, Class A2L, 0.92%,
11/15/17 (b)

 

 

1,025

 

 

878,015

 

Portola CLO Ltd., Series 2007-1X, Class B1, 1.95%,
11/15/21 (b)

 

 

645

 

 

553,087

 

T2 Income Fund CLO Ltd., Series 2007-1A, Class B,
1.17%, 7/15/19 (a)(b)

 

 

560

 

 

485,660

 

Total Asset-Backed Securities — 2.1%

 

 

 

 

 

4,865,687

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

142,466

 

 

65,534

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

18,171

 

 

184,484

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

935

 

 

271,121

 

Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

190,634

 

 

300,560

 

Ainsworth Lumber Co. Ltd. (a)

 

 

371,556

 

 

585,808

 

 

 

 

 

 

 

886,368

 

Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

75,676

 

 

18,919

 

Total Common Stocks — 0.6%

 

 

 

 

 

1,426,426

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.9%

 

 

 

 

 

 

 

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

 

USD

900

 

 

1,044,000

 

Huntington Ingalls Industries, Inc., 7.13%, 3/15/21

 

 

425

 

 

455,281

 

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

 

 

692

 

 

745,630

 

 

 

 

 

 

 

2,244,911

 

Airlines — 0.3%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Series 2009-1-B, 9.75%,
6/17/18

 

 

89

 

 

93,860

 

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

 

 

589

 

 

609,872

 

 

 

 

 

 

 

703,732

 

Auto Components — 1.6%

 

 

 

 

 

 

 

Delphi Corp., 6.13%, 5/15/21 (a)

 

 

290

 

 

311,025

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

110

 

 

115,225

 

8.00%, 1/15/18

 

 

2,690

 

 

2,851,400

 

8.00%, 1/15/18 (a)

 

 

50

 

 

53,000

 

Titan International, Inc., 7.88%, 10/01/17

 

 

490

 

 

520,625

 

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

 

 

 

 

 

 

 

12.00%, 7/01/49

 

 

700

 

 

 

Series B, 9.50%, 7/01/05

 

 

3,325

 

 

 

 

 

 

 

 

 

3,851,275

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

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

 

USD

98

 

$

98,702

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

485

 

 

526,225

 

6.75%, 5/01/21

 

 

410

 

 

445,875

 

 

 

 

 

 

 

972,100

 

Capital Markets — 0.8%

 

 

 

 

 

 

 

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

 

 

600

 

 

611,124

 

E*Trade Financial Corp., 12.50%, 11/30/17

 

 

935

 

 

1,089,275

 

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

 

 

280

 

 

297,981

 

 

 

 

 

 

 

1,998,380

 

Chemicals — 3.2%

 

 

 

 

 

 

 

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

 

 

610

 

 

594,750

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

300

 

 

327,000

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

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

 

 

1,869

 

 

2,223,661

 

10.00%, 3/31/15

 

 

1,839

 

 

1,838,720

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

150

 

 

169,500

 

Ineos Finance Plc, 8.38%, 2/15/19 (a)

 

 

200

 

 

212,500

 

Kinove German Bondco GmbH, 9.63%, 6/15/18 (a)

 

 

400

 

 

409,000

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

1,017

 

 

1,114,827

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (a)

 

 

80

 

 

87,800

 

Solutia, Inc., 7.88%, 3/15/20

 

 

430

 

 

504,175

 

 

 

 

 

 

 

7,481,933

 

Commercial Banks — 1.6%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

340

 

 

340,836

 

7.00%, 5/01/17

 

 

2,571

 

 

2,571,000

 

7.00%, 5/02/17 (a)

 

 

400

 

 

400,500

 

5.50%, 2/15/19 (a)

 

 

520

 

 

531,050

 

 

 

 

 

 

 

3,843,386

 

Commercial Services & Supplies — 1.3%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

440

 

 

451,554

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

 

 

528

 

 

551,693

 

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

 

 

25

 

 

23,750

 

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

 

 

450

 

 

484,875

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

290

 

 

320,450

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

335

 

 

351,750

 

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

 

 

550

 

 

638,000

 

West Corp., 8.63%, 10/01/18

 

 

165

 

 

181,088

 

 

 

 

 

 

 

3,003,160

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

320

 

 

339,200

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

140

 

 

155,400

 

6.63%, 8/15/17

 

 

300

 

 

339,949

 

 

 

 

 

 

 

495,349

 

Containers & Packaging — 1.0%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

6.75%, 9/15/20

 

 

325

 

 

362,375

 

5.00%, 3/15/22 (h)

 

 

540

 

 

552,150

 

Berry Plastics Corp., 8.25%, 11/15/15

 

 

540

 

 

580,500

 

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

 

 

185

 

 

205,813

 

Sealed Air Corp. (a):

 

 

 

 

 

 

 

8.13%, 9/15/19

 

 

405

 

 

457,650

 

8.38%, 9/15/21

 

 

110

 

 

125,950

 

 

 

 

 

 

 

2,284,438

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

51




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services — 3.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

3,670

 

$

4,055,350

 

8.00%, 11/01/31

 

 

40

 

 

44,650

 

8.00%, 11/01/31

 

 

370

 

 

401,470

 

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

 

 

296

 

 

315,610

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

8.75%, 10/15/16 (i)

 

 

850

 

 

905,250

 

7.13%, 4/15/19

 

 

560

 

 

592,200

 

9.88%, 8/15/19

 

 

710

 

 

733,963

 

6.88%, 2/15/21

 

 

480

 

 

508,800

 

WMG Acquisition Corp., 9.50%, 6/15/16 (a)

 

 

105

 

 

116,025

 

 

 

 

 

 

 

7,673,318

 

Diversified Telecommunication Services — 1.0%

 

 

 

 

 

 

 

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

 

 

520

 

 

542,100

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

4.51%, 2/15/15 (b)

 

 

1,295

 

 

1,256,150

 

8.13%, 7/01/19 (a)

 

 

250

 

 

261,875

 

Qwest Communications International, Inc., Series B,
7.50%, 2/15/14

 

 

180

 

 

180,630

 

TW Telecom Holdings, Inc., 8.00%, 3/01/18

 

 

90

 

 

98,663

 

 

 

 

 

 

 

2,339,418

 

Electric Utilities — 0.2%

 

 

 

 

 

 

 

IPALCO Enterprises, Inc., 7.25%, 4/01/16 (a)

 

 

405

 

 

449,550

 

Energy Equipment & Services — 1.7%

 

 

 

 

 

 

 

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

 

 

595

 

 

595,000

 

Frac Tech Services LLC, 7.63%, 11/15/18 (a)

 

 

625

 

 

667,188

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

380

 

 

398,050

 

MEG Energy Corp., 6.50%, 3/15/21 (a)

 

 

490

 

 

524,300

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

175

 

 

188,125

 

Peabody Energy Corp., 6.25%, 11/15/21 (a)

 

 

1,605

 

 

1,681,237

 

 

 

 

 

 

 

4,053,900

 

Gas Utilities — 0.1%

 

 

 

 

 

 

 

Targa Resources Partners LP, 6.88%, 2/01/21

 

 

250

 

 

266,875

 

Health Care Equipment & Supplies — 0.6%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

670

 

 

681,725

 

7.75%, 4/15/18

 

 

30

 

 

25,800

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (a)

 

 

340

 

 

358,700

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

250

 

 

269,375

 

 

 

 

 

 

 

1,335,600

 

Health Care Providers & Services — 2.6%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

235

 

 

240,287

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

25

 

 

28,000

 

6.50%, 2/15/20

 

 

1,030

 

 

1,104,675

 

7.88%, 2/15/20

 

 

1,174

 

 

1,294,335

 

5.88%, 3/15/22

 

 

785

 

 

804,625

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

945

 

 

1,052,494

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

430

 

 

500,950

 

8.88%, 7/01/19

 

 

870

 

 

991,800

 

 

 

 

 

 

 

6,017,166

 

Health Care Technology — 0.9%

 

 

 

 

 

 

 

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

 

 

1,730

 

 

2,058,700

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 1.8%

 

 

 

 

 

 

 

Caesars Operating Escrow, LLC., 8.50%,
2/15/20 (a)

 

USD

480

 

$

489,600

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

540

 

 

569,700

 

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

 

 

282

 

 

248,160

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

1,220

 

 

1,387,750

 

11.13%, 11/15/17

 

 

1,300

 

 

1,478,750

 

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

 

 

220

 

 

 

 

 

 

 

 

 

4,173,960

 

Household Durables — 0.7%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

1,000

 

 

1,090,000

 

Standard Pacific Corp., 8.38%, 1/15/21

 

 

550

 

 

584,375

 

 

 

 

 

 

 

1,674,375

 

Independent Power Producers &
Energy Traders — 3.1%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

7.75%, 10/15/15

 

 

155

 

 

175,150

 

9.75%, 4/15/16

 

 

674

 

 

802,060

 

7.38%, 7/01/21 (a)

 

 

165

 

 

188,100

 

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

 

 

1,000

 

 

1,087,500

 

Calpine Corp. (a):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

350

 

 

371,000

 

7.50%, 2/15/21

 

 

190

 

 

206,150

 

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

 

 

1,000

 

 

1,081,250

 

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

 

 

2,460

 

 

2,672,175

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

425

 

 

468,562

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

178

 

 

179,780

 

 

 

 

 

 

 

7,231,727

 

Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,430

 

 

1,519,375

 

13.50%, 12/01/15

 

 

1,930

 

 

2,060,250

 

 

 

 

 

 

 

3,579,625

 

Insurance — 0.6%

 

 

 

 

 

 

 

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

 

 

851

 

 

915,889

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

370

 

 

383,884

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)

 

 

220

 

 

196,350

 

 

 

 

 

 

 

1,496,123

 

IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

105

 

 

106,181

 

8.25%, 1/15/21

 

 

521

 

 

504,068

 

12.63%, 1/15/21

 

 

308

 

 

323,400

 

 

 

 

 

 

 

933,649

 

Machinery — 0.6%

 

 

 

 

 

 

 

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

 

 

204

 

 

223,125

 

UR Financing Escrow Corp. (a)(h):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

462

 

 

474,705

 

7.38%, 5/15/20

 

 

300

 

 

307,875

 

7.63%, 4/15/22

 

 

375

 

 

388,125

 

 

 

 

 

 

 

1,393,830

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

52

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 8.0%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%, 7/15/21 (a)

 

USD

190

 

$

211,850

 

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

 

 

1,700

 

 

1,955,000

 

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

 

 

565

 

 

617,263

 

Checkout Holding Corp., 10.68%, 11/15/15 (a)(j)

 

 

570

 

 

256,500

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

195

 

 

216,938

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

340

 

 

372,300

 

7.63%, 3/15/20 (a)(h)

 

 

745

 

 

745,000

 

Series B, 9.25%, 12/15/17

 

 

4,526

 

 

4,978,600

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

390

 

 

432,900

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

850

 

 

912,687

 

6.63%, 10/01/14

 

 

750

 

 

817,500

 

6.75%, 6/01/21

 

 

225

 

 

249,750

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

810

 

 

913,275

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (a)

 

 

540

 

 

583,200

 

Lamar Media Corp., 5.88%, 2/01/22 (a)

 

 

255

 

 

266,156

 

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

 

 

530

 

 

583,000

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

636

 

 

739,350

 

7.75%, 10/15/18

 

 

640

 

 

712,000

 

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

 

 

220

 

 

194,700

 

Unitymedia Hessen GmbH & Co. KG (FKA UPC
Germany GmbH), 8.13%, 12/01/17 (a)

 

 

1,500

 

 

1,627,500

 

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

 

 

1,250

 

 

1,362,500

 

 

 

 

 

 

 

18,747,969

 

Metals & Mining — 0.9%

 

 

 

 

 

 

 

Novelis, Inc., 8.75%, 12/15/20

 

 

1,895

 

 

2,112,925

 

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

 

 

2,175

 

 

 

 

 

 

 

 

 

2,112,925

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

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

 

 

948

 

 

1,040,439

 

Oil, Gas & Consumable Fuels — 6.7%

 

 

 

 

 

 

 

Arch Coal, Inc., 7.00%, 6/15/19 (a)

 

 

115

 

 

115,000

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (a)

 

 

415

 

 

429,525

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (a)

 

 

25

 

 

25,500

 

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

 

 

240

 

 

256,800

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

900

 

 

981,000

 

6.38%, 3/01/21 (a)

 

 

230

 

 

231,725

 

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

 

 

55

 

 

59,675

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

351

 

 

400,140

 

6.38%, 8/15/21

 

 

295

 

 

325,238

 

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

 

 

825

 

 

921,887

 

Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19

 

 

665

 

 

701,575

 

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

 

 

110

 

 

119,350

 

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

 

 

1,105

 

 

1,204,450

 

Holly Energy Partners LP, 6.50%, 3/01/20 (a)(h)

 

 

80

 

 

81,700

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.25%, 11/01/19 (a)

 

 

1,025

 

 

1,023,719

 

8.63%, 4/15/20

 

 

190

 

 

210,900

 

7.75%, 2/01/21

 

 

485

 

 

521,375

 

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

 

 

300

 

 

288,000

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

170

 

 

180,200

 

6.50%, 11/01/21

 

 

155

 

 

159,650

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (a)

 

 

2,695

 

 

2,809,537

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

USD

310

 

$

344,488

 

7.88%, 6/01/15

 

 

415

 

 

438,344

 

7.25%, 8/15/18

 

 

275

 

 

314,531

 

Pioneer Natural Resources Co., 7.20%, 1/15/28

 

 

570

 

 

707,448

 

Plains Exploration & Production Co., 6.75%,
2/01/22

 

 

815

 

 

892,425

 

Precision Drilling Corp., 6.50%, 12/15/21 (a)

 

 

445

 

 

475,037

 

Range Resources Corp.:

 

 

 

 

 

 

 

5.75%, 6/01/21

 

 

645

 

 

690,150

 

5.00%, 8/15/22 (h)

 

 

298

 

 

300,980

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (a)

 

 

335

 

 

334,328

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

220

 

 

222,200

 

 

 

 

 

 

 

15,766,877

 

Paper & Forest Products — 1.0%

 

 

 

 

 

 

 

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

 

 

365

 

 

414,731

 

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

 

 

970

 

 

1,074,592

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (a)

 

 

145

 

 

148,988

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

289

 

 

294,780

 

Series B, 4.30%, 8/01/14 (b)

 

 

485

 

 

335,862

 

 

 

 

 

 

 

2,268,953

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International (a):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

480

 

 

489,600

 

7.25%, 7/15/22

 

 

350

 

 

352,188

 

 

 

 

 

 

 

841,788

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

950

 

 

971,375

 

Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

Realogy Corp., 7.63%, 1/15/20 (a)

 

 

630

 

 

650,475

 

Shea Homes LP, 8.63%, 5/15/19 (a)

 

 

440

 

 

444,400

 

 

 

 

 

 

 

1,094,875

 

Road & Rail — 1.4%

 

 

 

 

 

 

 

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

 

 

160

 

 

166,800

 

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

 

 

200

 

 

202,000

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

915

 

 

987,056

 

6.75%, 4/15/19 (a)(h)

 

 

150

 

 

157,125

 

6.75%, 4/15/19

 

 

375

 

 

392,813

 

7.38%, 1/15/21

 

 

1,310

 

 

1,418,075

 

 

 

 

 

 

 

3,323,869

 

Specialty Retail — 0.4%

 

 

 

 

 

 

 

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

 

 

845

 

 

880,921

 

Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

PVH Corp., 7.75%, 11/15/23

 

 

215

 

 

245,373

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

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

 

 

176

 

 

185,020

 

Wireless Telecommunication Services — 2.9%

 

 

 

 

 

 

 

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

 

 

1,770

 

 

1,885,050

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

12.00%, 4/01/14

 

 

800

 

 

898,000

 

8.25%, 9/01/17

 

 

270

 

 

286,200

 

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

 

 

2,440

 

 

1,903,200

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

1,150

 

 

1,282,250

 

7.00%, 3/01/20

 

 

570

 

 

579,263

 

 

 

 

 

 

 

6,833,963

 

Total Corporate Bonds — 53.7%

 

 

 

 

 

126,308,729

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

53




 

 

 

 

Consolidated 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

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

TransDigm, Inc.:

 

 

 

 

 

 

 

Add on Term Loan B2, 4.00%, 2/14/17

 

USD

380

 

$

380,315

 

Term Loan (First Lien), 4.00%, 2/14/17

 

 

743

 

 

741,847

 

 

 

 

 

 

 

1,122,162

 

Airlines — 0.5%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B, 5.50%,
4/20/17

 

 

1,124

 

 

1,096,989

 

Auto Components — 1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan B, 2.75%,
8/07/14

 

 

1,927

 

 

1,904,979

 

Autoparts Holdings Ltd.:

 

 

 

 

 

 

 

First Lien Term Loan, 6.50%, 7/28/17

 

 

863

 

 

864,995

 

Second Lien Term Loan, 10.50%, 1/29/18

 

 

900

 

 

875,250

 

Schaeffler AG, Term Loan C2, 6.00%, 1/27/17

 

 

495

 

 

496,445

 

 

 

 

 

 

 

4,141,669

 

Biotechnology — 0.5%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 4.50%, 6/1/17

 

 

1,253

 

 

1,250,984

 

Building Products — 1.1%

 

 

 

 

 

 

 

CPG International, Inc., Term Loan B, 6.00%, 2/18/17

 

 

594

 

 

561,330

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien), 5.75%, 10/28/16

 

 

1,629

 

 

1,636,875

 

Term Loan (Second Lien), 9.00%, 10/30/17

 

 

382

 

 

387,786

 

 

 

 

 

 

 

2,585,991

 

Capital Markets — 1.1%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan (First Lien), 6.25%,
12/16/16

 

 

838

 

 

838,853

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Term Loan (First Lien), 3.30% – 3.58%,
11/13/14

 

 

371

 

 

368,028

 

Incremental Term Loan, 7.25%, 5/13/17

 

 

295

 

 

297,065

 

Term Loan, 5.81%, 5/12/17

 

 

1,004

 

 

1,001,654

 

 

 

 

 

 

 

2,505,600

 

Chemicals — 3.9%

 

 

 

 

 

 

 

American Rock Salt Holdings LLC, Term Loan, 5.50%,
4/25/17

 

 

1,186

 

 

1,102,173

 

Ashland, Inc., Term Loan B, 3.75%, 8/23/18

 

 

698

 

 

700,555

 

Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16

 

 

800

 

 

802,504

 

Gentek, Inc., Term Loan B, 5.75%, 10/06/15

 

 

919

 

 

913,216

 

Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17

 

 

868

 

 

855,046

 

Polyone Corp., Term Loan, 5.00%, 12/20/17

 

 

350

 

 

350,525

 

PQ Corp. (FKA Niagara Acquisition, Inc.),
Term Loan B (First Lien), 3.50%, 7/30/14

 

 

1,395

 

 

1,360,585

 

Styron Sarl, Term Loan B, 6.00% – 6.75%, 8/02/17

 

 

952

 

 

858,386

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 1.00%, 2/02/18

 

 

201

 

 

201,203

 

Term Loan B, 4.25%, 2/02/18

 

 

739

 

 

737,744

 

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

 

 

1,287

 

 

1,276,614

 

 

 

 

 

 

 

9,158,551

 

Commercial Services & Supplies — 2.7%

 

 

 

 

 

 

 

Altegrity, Inc. (FKA US Investigations Services, Inc.),
Tranche D Term Loan, 7.75%, 2/20/15

 

 

1,394

 

 

1,392,515

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit, 3.55%, 7/26/16

 

 

35

 

 

34,859

 

Term Loan B, 3.83%, 7/26/16

 

 

489

 

 

484,327

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

588

 

 

586,295

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

1,075

 

 

1,076,150

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

KAR Auction Services, Inc., Term Loan B, 5.00%,
5/19/17

 

USD

1,244

 

$

1,242,195

 

Synagro Technologies, Inc., Term Loan B,
2.25% – 2.26%, 4/02/14

 

 

492

 

 

440,135

 

Volume Services America, Inc., Term Loan B,
10.50% – 10.75%, 9/16/16

 

 

988

 

 

991,618

 

 

 

 

 

 

 

6,248,094

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 3.24%, 10/24/14

 

 

957

 

 

936,122

 

Term Loan B3, 4.99%, 10/26/17

 

 

175

 

 

169,710

 

CommScope, Inc., Term Loan B, 5.00%, 1/14/18

 

 

829

 

 

828,780

 

 

 

 

 

 

 

1,934,612

 

Construction & Engineering — 1.1%

 

 

 

 

 

 

 

BakerCorp. International, Inc., Term Loan B, 5.00%,
6/01/18

 

 

682

 

 

681,051

 

Brand Energy & Infrastructure Services, Inc. (FR
Brand Acquisition Corp.), Synthetic Letter of Credit,
Term Loan (First Lien), 3.00%, 2/07/14

 

 

500

 

 

446,460

 

Safway Services, LLC, First Out Tranche Loan, 9.00%,
12/16/17

 

 

1,500

 

 

1,500,000

 

 

 

 

 

 

 

2,627,511

 

Consumer Finance — 0.6%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

1,610

 

 

1,467,692

 

Containers & Packaging — 0.6%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., Term Loan C, 2.25%,
4/03/15

 

 

488

 

 

474,980

 

Sealed Air Corp., Term Loan B, 4.75%, 10/03/18

 

 

911

 

 

919,926

 

 

 

 

 

 

 

1,394,906

 

Diversified Consumer Services — 2.9%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.41%,
11/20/14

 

 

2,165

 

 

1,994,346

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 8/15/18

 

 

3,065

 

 

2,925,268

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

174

 

 

171,759

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

1,746

 

 

1,724,746

 

 

 

 

 

 

 

6,816,119

 

Diversified Financial Services — 1.2%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Tranche B Term Loan, 6.50%, 2/09/18

 

 

452

 

 

455,703

 

Tranche C Term Loan, 5.25% – 6.50%,
8/09/18

 

 

2,319

 

 

2,343,131

 

 

 

 

 

 

 

2,798,834

 

Diversified Telecommunication Services — 3.0%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc.,
Term Loan B, 7.00%, 2/25/17

 

 

1,095

 

 

1,092,263

 

Integra Telecom Holdings, Inc., Term Loan, 9.25%,
4/15/15

 

 

911

 

 

801,790

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Tranche A Term Loan, 2.50% – 2.83%,
3/13/14

 

 

1,100

 

 

1,081,850

 

Term Loan B2, 5.75%, 9/03/18

 

 

2,050

 

 

2,064,104

 

Term Loan B3, 5.75%, 8/31/18

 

 

775

 

 

780,332

 

US Telepacific Corp., Term Loan B, 5.75%,
2/23/17

 

 

1,372

 

 

1,299,506

 

 

 

 

 

 

 

7,119,845

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

54

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Electronic Equipment, Instruments &
Components — 0.9%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Extended Term Loan,
4.00%, 7/14/17

 

USD

1,139

 

$

1,112,911

 

Sensata Technologies Finance Co. LLC, Term Loan,
4.00%, 5/11/18

 

 

1,108

 

 

1,105,485

 

 

 

 

 

 

 

2,218,396

 

Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

CCS Corp., Term Loan B, 3.24%, 11/14/14

 

 

705

 

 

681,959

 

Dynegy Holding, Inc.:

 

 

 

 

 

 

 

Coal Co. Term Loan, 9.25%, 8/04/16

 

 

864

 

 

858,650

 

Gas Co. Term Loan, 9.25%, 8/04/16

 

 

1,580

 

 

1,630,154

 

MEG Energy Corp., Term Loan B, 4.00%, 3/16/18

 

 

1,556

 

 

1,552,910

 

 

 

 

 

 

 

4,723,673

 

Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

U.S. Foodservice, Inc., Term Loan B, 2.74% – 2.75%,
7/03/14

 

 

1,362

 

 

1,314,058

 

Food Products — 2.7%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (First Lien),
7.00%, 9/30/16

 

 

2,584

 

 

2,584,178

 

Del Monte Corp., Term Loan, 4.50%, 3/08/18

 

 

2,337

 

 

2,292,314

 

Pinnacle Foods Finance LLC:

 

 

 

 

 

 

 

Tranche B Term Loan, 2.76% – 3.08%,
4/02/14

 

 

119

 

 

118,706

 

Tranche D Term Loan, 6.00%, 4/02/14

 

 

680

 

 

683,649

 

Solvest Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-2 Term Loan, 5.00% – 6.00%,
7/06/18

 

 

204

 

 

204,405

 

Tranche C-2 Term Loan, 5.00% – 6.00%,
7/06/18

 

 

378

 

 

379,609

 

 

 

 

 

 

 

6,262,861

 

Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

Biomet, Inc., Term Loan B, 3.57%, 3/25/15

 

 

134

 

 

132,803

 

DJO Finance LLC, (FKA ReAble Therapeutics
Finance LLC) Term Loan B, 3.24%, 5/20/14

 

 

871

 

 

858,916

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

675

 

 

674,582

 

Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18

 

 

658

 

 

654,131

 

Immucor, Inc., Term Loan B, 7.25%, 8/17/18

 

 

978

 

 

984,148

 

 

 

 

 

 

 

3,304,580

 

Health Care Providers & Services — 4.1%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B, 3.99% – 5.75%,
1/25/17

 

 

3

 

 

1,727

 

Non-Extended Delayed Draw Term Loan, 3.25%,
7/25/14

 

 

47

 

 

46,702

 

Non-Extended Term Loan, 2.49% – 4.50%,
7/25/14

 

 

893

 

 

881,458

 

ConvaTec, Inc., Term Loan, 5.75%, 12/22/16

 

 

1,092

 

 

1,088,924

 

DaVita, Inc., Term Loan B, 4.50%, 10/20/16

 

 

1,089

 

 

1,091,494

 

Emergency Medical Services, Term Loan, 5.25%,
5/25/18

 

 

1,092

 

 

1,088,246

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

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

 

 

328

 

 

321,325

 

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

 

 

1,153

 

 

1,129,772

 

HCA, Inc., Tranche B-3 Term Loan, 3.49%, 5/01/18

 

 

856

 

 

842,018

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

310

 

 

307,985

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.):

 

 

 

 

 

 

 

Combined Term Loan, 6.50%, 8/04/16

 

 

1,095

 

 

1,052,767

 

Incremental Term Loan B-3, 6.75%, 5/15/18

 

 

730

 

 

700,869

 

Medpace, Inc., Term Loan, 7.25%, 6/16/17

 

 

1,045

 

 

1,002,960

 

 

 

 

 

 

 

9,556,247

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., Term Loan B, 4.50%, 8/25/17

 

USD

1,031

 

$

1,031,373

 

Kinetic Concepts, Inc., Term Loan B, 7.00%,
5/04/18

 

 

700

 

 

711,375

 

MedAssets, Inc., Term Loan, 5.25%, 11/16/16

 

 

549

 

 

549,191

 

 

 

 

 

 

 

2,291,939

 

Hotels, Restaurants & Leisure — 3.0%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B4, 9.50%, 10/31/16

 

 

731

 

 

751,585

 

Term Loan B1, 3.24%, 1/28/15

 

 

711

 

 

666,404

 

Term Loan B3, 3.24% – 3.58%, 1/28/15

 

 

2,950

 

 

2,763,937

 

Dunkin’ Brands, Inc., Term Loan B, 4.00% – 5.25%,
11/23/17

 

 

1,350

 

 

1,346,252

 

Golden Living, Term Loan, 5.00%, 5/04/18

 

 

287

 

 

269,887

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

8

 

 

7,881

 

Term Loan B, 2.56%, 6/14/14

 

 

82

 

 

79,942

 

Seaworld Parks & Entertainment, Inc. (FKA SW
Acquisitions Co., Inc.), Term Loan B, 4.00%,
8/17/17

 

 

775

 

 

773,957

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 4.25%, 12/20/18

 

 

420

 

 

418,165

 

 

 

 

 

 

 

7,078,010

 

Household Products — 0.4%

 

 

 

 

 

 

 

Prestige Brands International, Inc., Term Loan,
5.25%, 1/31/19

 

 

820

 

 

823,075

 

Independent Power Producers &
Energy Traders — 0.4%

 

 

 

 

 

 

 

AES Corp., Term Loan, 4.25%, 6/01/18

 

 

943

 

 

941,932

 

Texas Competitive Electric Holdings Co. LLC (TXU),
Extended Term Loan, 4.76%, 10/10/17

 

 

158

 

 

88,248

 

 

 

 

 

 

 

1,030,180

 

Industrial Conglomerates — 1.1%

 

 

 

 

 

 

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan, 6.25%, 12/03/14

 

 

305

 

 

306,016

 

Term Loan, 3.76% – 3.84%, 12/03/14

 

 

1,225

 

 

1,211,595

 

Tomkins Plc, Term Loan B, 4.25%, 9/29/16

 

 

1,124

 

 

1,122,877

 

 

 

 

 

 

 

2,640,488

 

Internet Software & Services — 0.3%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B, 7.00%,
10/27/17

 

 

620

 

 

605,072

 

IT Services — 3.9%

 

 

 

 

 

 

 

Ceridian Corp., Term Loan, 3.24%, 11/10/14

 

 

1,227

 

 

1,160,442

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.24%, 3/23/18

 

 

4,029

 

 

3,614,991

 

Term Loan B-1, 2.99%, 9/24/14

 

 

333

 

 

318,302

 

Term Loan B-3, 2.99%, 9/24/14

 

 

141

 

 

134,988

 

infoGROUP, Inc., Term Loan B, 5.75%, 5/22/18

 

 

473

 

 

442,243

 

iPayment, Inc., Term Loan B, 5.75%, 5/08/17

 

 

511

 

 

508,700

 

NeuStar, Inc., Term Loan B, 5.00%, 11/08/18

 

 

773

 

 

774,995

 

SunGard Data Systems, Inc. (Solar Capital Corp.),
Tranche B Term Loan, 3.99% – 4.15%, 2/26/16

 

 

287

 

 

286,453

 

TransUnion LLC, Term Loan B, 4.75%, 2/12/18

 

 

1,950

 

 

1,951,441

 

 

 

 

 

 

 

9,192,555

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

510

 

 

516,217

 

Machinery — 0.5%

 

 

 

 

 

 

 

Terex Corp., Term Loan B, 5.50%, 4/28/17

 

 

1,133

 

 

1,140,896

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

55




 

 

 

 

Consolidated 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 — 11.5%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%, 3/01/18

 

USD

442

 

$

438,488

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/10/16

 

 

737

 

 

689,454

 

AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18

 

 

1,095

 

 

1,087,659

 

Capsugel Healthcare Ltd., Term Loan, 5.25%,
8/01/18

 

 

798

 

 

802,557

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

755

 

 

700,739

 

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

 

 

668

 

 

646,061

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/11/19

 

 

1,040

 

 

1,029,361

 

Charter Communications Operating LLC:

 

 

 

 

 

 

 

Term Loan, 7.25%, 3/06/14

 

 

24

 

 

23,921

 

Term Loan C, 3.83%, 9/06/16

 

 

2,110

 

 

2,093,669

 

Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18

 

 

1,155

 

 

1,155,959

 

Gray Television, Inc., Term Loan B, 3.77%, 12/31/14

 

 

871

 

 

860,317

 

HMH Publishing Co. Ltd., Term Loan, 6.51%,
6/12/14

 

 

1,343

 

 

830,218

 

Hubbard Broadcasting, Term Loan B (Second Lien),
5.25%, 4/28/17

 

 

597

 

 

597,496

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

5,839

 

 

5,829,116

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

893

 

 

891,240

 

Kabel Deutschland GmbH, Term Loan F, 4.25%,
2/01/19

 

 

1,200

 

 

1,194,000

 

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

 

 

3,250

 

 

3,343,437

 

Nielsen Finance LLC, Class C Term Loan, 3.51%,
5/02/16

 

 

224

 

 

223,832

 

Sinclair Television Group, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B3, 10/28/16

 

 

250

 

 

248,827

 

Tranche B Term Loan, 4.00%, 10/28/16

 

 

970

 

 

965,708

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.49%, 3/31/17

 

 

1,708

 

 

1,585,973

 

UPC Financing Partnership:

 

 

 

 

 

 

 

Term Loan, 4.75%, 12/29/17

 

 

350

 

 

349,387

 

Term Loan T, 3.77%, 12/30/16

 

 

425

 

 

417,834

 

WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18

 

 

312

 

 

311,196

 

Weather Channel, Term Loan B, 4.25%, 2/13/17

 

 

859

 

 

859,285

 

 

 

 

 

 

 

27,175,734

 

Metals & Mining — 2.3%

 

 

 

 

 

 

 

Novelis, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B2, 4.00%, 3/10/17

 

 

895

 

 

890,886

 

Term Loan, 4.00%, 3/10/17

 

 

1,634

 

 

1,625,333

 

SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18

 

 

846

 

 

843,636

 

Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18

 

 

2,129

 

 

2,118,463

 

 

 

 

 

 

 

5,478,318

 

Multi-Utilities — 0.1%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),
Term B Advance (First Lien), 2.75%, 11/01/13

 

 

288

 

 

271,024

 

Multiline Retail — 0.6%

 

 

 

 

 

 

 

99 Cents Only Stores, Term Loan B, 7.00%, 1/11/19

 

 

795

 

 

800,112

 

Dollar General Corp., Tranche B-2 Term Loan,
3.00% – 3.33%, 7/07/14

 

 

598

 

 

597,940

 

 

 

 

 

 

 

1,398,052

 

Oil, Gas & Consumable Fuels — 1.0%

 

 

 

 

 

 

 

Gibson Energy, Term Loan B, 5.75%, 6/15/18

 

 

796

 

 

796,828

 

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

 

 

1,530

 

 

1,537,234

 

 

 

 

 

 

 

2,334,062

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

USD

350

 

$

352,625

 

Pharmaceuticals — 2.7%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

940

 

 

932,506

 

Endo Pharmaceuticals Holdings, Inc., Term Loan B,
4.00%, 6/18/18

 

 

267

 

 

266,905

 

Pharmaceutical Products Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

1,280

 

 

1,291,200

 

Quintiles Transnational Corp., Term Loan B, 5.00%,
6/08/18

 

 

701

 

 

696,838

 

RPI Finance Trust, Term Loan Tranche 2, 4.00%,
5/09/18

 

 

597

 

 

595,949

 

Taminco Global Chemical Corp., New Term Loan,
6.25%, 2/08/19

 

 

500

 

 

502,055

 

Valeant Pharmaceuticals International, Add on
Term Loan B, 3.75%, 2/08/19

 

 

1,280

 

 

1,276,006

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%, 3/15/18

 

 

454

 

 

452,648

 

Term Loan B-2, 4.25%, 3/15/18

 

 

227

 

 

226,324

 

 

 

 

 

 

 

6,240,431

 

Professional Services — 1.2%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche B Term Loan,
4.00%, 8/03/17

 

 

346

 

 

347,083

 

Emdeon, Inc., Term Loan B, 6.75%, 11/02/18

 

 

1,415

 

 

1,431,173

 

Fifth Third Processing Solutions LLC, Term Loan B
(First Lien), 4.50%, 11/03/16

 

 

1,089

 

 

1,089,794

 

 

 

 

 

 

 

2,868,050

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

1,482

 

 

1,475,104

 

Real Estate Management & Development — 1.0%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
4.53%, 10/10/16

 

 

1,116

 

 

1,035,752

 

Extended Term Loan, 4.77%, 10/10/16

 

 

1,544

 

 

1,432,702

 

 

 

 

 

 

 

2,468,454

 

Road & Rail — 0.6%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, Incremental Term Loan,
6.25%, 9/21/18

 

 

574

 

 

579,155

 

RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19

 

 

890

 

 

887,775

 

 

 

 

 

 

 

1,466,930

 

Semiconductors & Semiconductor
Equipment — 0.5%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Extended Term
Loan B, 4.52%, 12/01/16

 

 

582

 

 

567,504

 

NXP B.V., Term Loan A-2, 5.50%, 3/03/17

 

 

679

 

 

673,709

 

 

 

 

 

 

 

1,241,213

 

Software — 0.6%

 

 

 

 

 

 

 

Blackboard, Inc., Term Loan B, 7.50%, 10/04/18

 

 

325

 

 

320,668

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 7/28/15

 

 

177

 

 

172,924

 

Extended Initial Term Loan, 7/28/15

 

 

333

 

 

325,601

 

Sophia, LP, Term Loan B, 6.25%, 7/19/18

 

 

650

 

 

656,773

 

 

 

 

 

 

 

1,475,966

 

Specialty Retail — 3.7%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%, 8/03/18

 

 

1,000

 

 

999,890

 

Burlington Coat Factory Warehouse Corp., Term
Loan B, 6.25%, 2/23/17

 

 

941

 

 

940,532

 

Claire’s Stores, Inc., Term Loan B, 3.00% – 3.30%,
5/29/14

 

 

374

 

 

354,551

 

General Nutrition Centers, Inc., Term Loan B, 4.25%,
3/02/18

 

 

1,125

 

 

1,121,670

 

The Gymboree Corp., Term Loan, 5.00%, 2/23/18

 

 

440

 

 

413,710

 


 

 

 

See Notes to Consolidated Financial Statements.


56


ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Consolidated 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

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18

 

USD

397

 

$

391,652

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B3, 5.13%, 7/29/16

 

 

239

 

 

237,691

 

Term Loan B-2, 5.13%, 7/29/16

 

 

1,199

 

 

1,191,801

 

Petco Animal Supplies, Inc., Term Loan B, 4.50%,
11/24/17

 

 

1,504

 

 

1,497,395

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 6.00%, 9/01/16

 

 

1,202

 

 

1,203,561

 

Term Loan B2, 5.25%, 5/25/18

 

 

397

 

 

392,288

 

 

 

 

 

 

 

8,744,741

 

Wireless Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

410

 

 

408,135

 

Digicel International, Tranche A, 3.13%, 3/30/12

 

 

328

 

 

326,463

 

MetroPCS Wireless, Inc., Term Loan B-3,
4.00% – 4.06%, 3/16/18

 

 

568

 

 

563,698

 

Vodafone Americas Finance 2, Inc., Term Loan,
6.88%, 8/11/15 (g)

 

 

3,046

 

 

3,045,700

 

 

 

 

 

 

 

4,343,996

 

Total Floating Rate Loan Interests — 73.2%

 

 

 

 

 

172,302,506

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A (c)

 

 

320

 

 

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

J.G.Wentworth LLC Preferred Equity Interests (c)

 

 

(l)

 

989,983

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Preferred Escrow (c)

 

 

3

 

 

 

Adelphia Recovery Trust, Series ACC-6B INT (c)

 

 

250

 

 

1,250

 

 

 

 

 

 

 

1,250

 

Total Other Interests — 0.4%

 

 

 

 

 

991,233

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

 

Preferred Stocks — 0.0%

 

Shares

 

 

 

 

Diversified Financial Services — 0.0%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (a)

 

 

90

 

 

78,092

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferred — 0.2%

 

 

 

 

 

 

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)

 

 

22,630

 

 

529,309

 

Total Preferred Securities — 0.2%

 

 

 

 

 

607,401

 

 

 

 

 

 

 

 

 

Warrants (m) — 0.1%

 

Shares

 

Value

 

Charter Communications, Inc. (Expires 11/30/14)

 

 

6,862

 

$

128,937

 

Total Long-Term Investments
(Cost — $311,554,325) — 130.3%

 

 

 

 

 

306,630,919

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 

Bank of New York Cash Reserves, 0.01% (n)

 

USD

5,121

 

 

5,121,023

 

Total Short-Term Securities
(Cost — $5,121,023) — 2.2%

 

 

 

 

 

5,121,023

 

Total Investments (Cost — $316,675,348) — 132.5%

 

 

 

 

 

311,751,942

 

Liabilities in Excess of Other Assets — (32.5)%

 

 

 

 

 

(76,435,444

)

Net Assets — 100.0%

 

 

 

 

$

235,316,498

 

 

 

 

 

 

 

 

 


 

 

(a)

Security exempt from registration pursuant to Rule 144A under 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)

Convertible security.

 

 

(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

 

Bank of America

 

$

853,130

 

$

15,130

 

Goldman Sachs & Co.

 

$

745,000

 

 

 

Citigroup Global Markets, Inc.

 

$

81,700

 

$

1,700

 

Barclays Capital Inc.

 

$

157,125

 

$

1,125

 

GMP Securities Ltd.

 

$

474,705

 

$

4,080

 

Morgan Stanley Co.

 

$

696,000

 

$

21,000

 


 

 

(i)

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 is as of report date.

 

 

(j)

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

 

 

(k)

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

 

 

(l)

Amount is less than $500.

 

 

(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.


 

 

 

 

See Notes to Consolidated Financial Statements.

 


ANNUAL REPORT


FEBRUARY 29, 2012


57




 

 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Senior High Income Fund, Inc. (ARK)


 

 

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,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity

 

 

 

 

 

 

 

 

 

 

 

 

 

Funds, TempFund,

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional Class

 

 

270,650

 

 

(270,650)

 

 

 

 

$1,221

 


 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Depreciation

 

USD

 

372,820

 

CAD

 

382,000

 

Citibank NA

 

4/11/12

 

$ (12,909)

 


 

 

 

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. These definitions 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 derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted 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 derivative financial instruments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Consolidated Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

1,843,384

 

$

3,022,303

 

$

4,865,687

 

Common Stocks

 

$

886,368

 

 

184,484

 

 

355,574

 

 

1,426,426

 

Corporate Bonds

 

 

 

 

121,998,188

 

 

4,310,541

 

 

126,308,729

 

Floating Rate Loan Interests

 

 

 

 

159,954,212

 

 

12,348,294

 

 

172,302,506

 

Other Interests

 

 

1,250

 

 

 

 

989,983

 

 

991,233

 

Preferred Stocks

 

 

529,309

 

 

78,092

 

 

 

 

607,401

 

Warrants

 

 

128,937

 

 

 

 

 

 

128,937

 

Short-Term Securities

 

 

 

 

5,121,023

 

 

 

 

5,121,023

 

Total

 

$

1,545,864

 

$

289,179,383

 

$

21,026,695

 

$

311,751,942

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

$

(12,909

)

 

 

$

(12,909

)


 

 

 

 

1

Derivative financial instruments are foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The following 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/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2011

 

$

3,467,413

 

$

433,333

 

$

6,609,156

 

$

18,685,436

 

$

2,125,823

 

$

31,321,161

 

Accrued discounts/premiums

 

 

40,917

 

 

 

 

172,745

 

 

46,030

 

 

 

 

259,692

 

Net realized gain (loss)

 

 

50,449

 

 

18,884

 

 

(5,307,987

)

 

16,632

 

 

860,167

 

 

(4,361,855

)

Net change in unrealized appreciation/depreciation2

 

 

(211,988

)

 

(330,915

)

 

7,626,886

 

 

1,639,606

 

 

(358,163

)

 

8,365,426

 

Purchases

 

 

1,586,262

 

 

 

 

43,053

 

 

5,629,950

 

 

68,532

 

 

7,327,797

 

Sales

 

 

(1,470,750

)

 

(22,825

)

 

(4,833,529

)

 

(9,090,398

)

 

(1,706,374

)

 

(17,123,876

)

Transfers in3

 

 

 

 

257,097

 

 

217

 

 

1,297,159

 

 

 

 

1,554,473

 

Transfers out3

 

 

(440,000

)

 

 

 

 

 

(5,876,121

)

 

(2

)

 

(6,316,123

)

Balance, as of February, 29 2012

 

$

3,022,303

 

$

355,574

 

$

4,310,541

 

$

12,348,294

 

$

989,983

 

$

21,026,695

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on investments still held on February 29, 2012 was $(779,305).

 

 

 

 

3

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

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

58

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Consolidated Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012

 

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

 

$

325,710,542

 

$

368,108,493

 

$

603,571,054

 

$

183,712,687

 

$

311,751,942

 

Investments at value — affiliated2

 

 

2,264,805

 

 

 

 

 

 

2,382,746

 

 

 

Cash

 

 

38,194

 

 

 

 

71,989

 

 

8,173

 

 

14,027

 

Cash pledged as collateral for financial futures contracts

 

 

562,000

 

 

576,000

 

 

 

 

 

 

 

Foreign currency at value3

 

 

220,509

 

 

243,842

 

 

65,785

 

 

243,187

 

 

1,601

 

Investments sold receivable

 

 

5,341,134

 

 

8,786,744

 

 

11,699,393

 

 

5,781,774

 

 

5,748,544

 

Cash pledged as collateral for swaps

 

 

500,000

 

 

100,000

 

 

 

 

 

 

 

Interest receivable

 

 

4,735,995

 

 

5,549,443

 

 

5,827,098

 

 

1,189,686

 

 

2,939,185

 

Principal paydown receivable

 

 

202,089

 

 

44,860

 

 

298,857

 

 

765,743

 

 

168,907

 

Unrealized appreciation on swaps

 

 

438,241

 

 

446,316

 

 

 

 

 

 

 

Swaps premiums paid

 

 

319,922

 

 

341,424

 

 

 

 

 

 

 

Swaps receivable

 

 

101,094

 

 

102,300

 

 

 

 

 

 

 

Dividends receivable

 

 

9,737

 

 

20,899

 

 

56,056

 

 

 

 

 

Margin variation receivable

 

 

40,950

 

 

42,000

 

 

 

 

 

 

 

Unrealized appreciation on foreign currency exchange contracts

 

 

6,876

 

 

3,328

 

 

24,221

 

 

3,560

 

 

 

Income receivable — affiliated

 

 

 

 

11

 

 

696

 

 

 

 

188

 

Prepaid expenses

 

 

26,347

 

 

24,794

 

 

23,343

 

 

16,929

 

 

29,004

 

Other assets

 

 

48,396

 

 

6,507

 

 

512,084

 

 

 

 

 

Total assets

 

 

340,566,831

 

 

384,396,961

 

 

622,150,576

 

 

194,104,485

 

 

320,653,398

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

 

 

193,858

 

 

 

 

 

 

 

Loan payable

 

 

67,000,000

 

 

86,000,000

 

 

145,000,000

 

 

41,000,000

 

 

69,000,000

 

Investments purchased payable

 

 

17,673,543

 

 

19,163,320

 

 

29,520,396

 

 

8,839,049

 

 

15,830,478

 

Unrealized depreciation on foreign currency exchange contracts

 

 

913,319

 

 

934,336

 

 

774,246

 

 

148,986

 

 

12,909

 

Interest expense payable

 

 

58,432

 

 

126,096

 

 

206,163

 

 

66,295

 

 

100,251

 

Swaps premiums received

 

 

276,520

 

 

260,304

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

123,609

 

 

168,488

 

 

263,454

 

 

108,236

 

 

116,258

 

Deferred income

 

 

 

 

79,400

 

 

123,185

 

 

4,161

 

 

65,666

 

Unrealized depreciation on swaps

 

 

73,152

 

 

76,357

 

 

 

 

 

 

 

Income dividends payable

 

 

 

 

 

 

 

 

37,907

 

 

78,257

 

Officer’s and Directors’ fees payable

 

 

706

 

 

2,675

 

 

112,491

 

 

281

 

 

198

 

Options written at value4

 

 

15,587

 

 

16,530

 

 

 

 

 

 

 

Swaps payable

 

 

10,551

 

 

11,550

 

 

 

 

 

 

 

Other accrued expenses payable

 

 

245,650

 

 

177,425

 

 

326,406

 

 

126,619

 

 

132,883

 

Total liabilities

 

 

86,391,069

 

 

107,210,339

 

 

176,326,341

 

 

50,331,534

 

 

85,336,900

 

Net Assets

 

$

254,175,762

 

$

277,186,622

 

$

445,824,235

 

$

143,772,951

 

$

235,316,498

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5

 

$

305,340,649

 

$

325,292,148

 

$

779,784,609

 

$

199,569,197

 

$

349,353,263

 

Undistributed net investment income

 

 

4,318,831

 

 

3,694,286

 

 

4,081,190

 

 

814,690

 

 

2,928,272

 

Accumulated net realized loss

 

 

(61,283,932

)

 

(58,338,594

)

 

(282,196,078

)

 

(54,801,468

)

 

(112,028,766

)

Net unrealized appreciation/depreciation

 

 

5,800,214

 

 

6,538,782

 

 

(55,845,486

)

 

(1,809,468

)

 

(4,936,271

)

Net Assets

 

$

254,175,762

 

$

277,186,622

 

$

445,824,235

 

$

143,772,951

 

$

235,316,498

 

Net asset value per share

 

$

7.29

 

$

7.41

 

$

4.13

 

$

13.60

 

$

4.15

 

 

1

Investments at cost — unaffiliated

 

$

319,181,407

 

$

360,818,635

 

$

658,679,225

 

$

185,382,610

 

$

316,675,348

 

 

2

Investments at cost — affiliated

 

$

2,264,805

 

 

 

 

 

$

2,382,746

 

 

 

 

3

Foreign currency at cost

 

$

217,625

 

$

241,802

 

$

64,944

 

$

240,452

 

$

1,557

 

 

4

Premiums received

 

$

76,897

 

$

81,580

 

 

 

 

 

 

 

 

5

Shares outstanding, 200 million shares authorized, par value $0.10 per share

 

 

34,856,141

 

 

37,410,448

 

 

107,967,446

 

 

10,574,327

 

 

56,661,773

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

59




 

 

Consolidated Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 29, 2012

 

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

 

$

23,872,458

 

$

26,804,069

 

$

41,450,963

 

$

11,814,115

 

$

21,063,124

 

Dividends — unaffiliated

 

 

388,874

 

 

565,312

 

 

 

 

13,532

 

 

3,150

 

Dividends — affiliated

 

 

1,625

 

 

1,101

 

 

10,271

 

 

1,960

 

 

1,221

 

Total income

 

 

24,262,957

 

 

27,370,482

 

 

41,461,234

 

 

11,829,607

 

 

21,067,495

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

1,552,052

 

 

2,123,183

 

 

3,508,300

 

 

1,433,067

 

 

1,496,938

 

Borrowing costs1

 

 

256,695

 

 

279,563

 

 

455,857

 

 

146,485

 

 

238,870

 

Professional

 

 

111,066

 

 

171,808

 

 

219,747

 

 

142,662

 

 

166,391

 

Accounting services

 

 

82,329

 

 

89,201

 

 

104,065

 

 

42,331

 

 

63,609

 

Printing

 

 

55,327

 

 

40,426

 

 

65,615

 

 

20,668

 

 

36,415

 

Custodian

 

 

41,259

 

 

53,195

 

 

52,476

 

 

73,971

 

 

35,132

 

Transfer agent

 

 

30,087

 

 

44,375

 

 

88,819

 

 

25,440

 

 

53,133

 

Officer and Directors

 

 

27,628

 

 

32,082

 

 

56,567

 

 

15,985

 

 

25,739

 

Registration

 

 

12,348

 

 

13,108

 

 

38,191

 

 

9,372

 

 

23,335

 

Miscellaneous

 

 

63,157

 

 

68,628

 

 

63,560

 

 

29,132

 

 

37,965

 

Total expenses excluding interest expense

 

 

2,231,948

 

 

2,915,569

 

 

4,653,197

 

 

1,939,113

 

 

2,177,527

 

Interest expense

 

 

609,407

 

 

809,573

 

 

1,372,105

 

 

464,698

 

 

642,802

 

Total expenses

 

 

2,841,355

 

 

3,725,142

 

 

6,025,302

 

 

2,403,811

 

 

2,820,329

 

Less fees waived by advisor

 

 

(1,262

)

 

(677

)

 

(1,506

)

 

(1,090

)

 

(992

)

Total expenses after fees waived

 

 

2,840,093

 

 

3,724,465

 

 

6,023,796

 

 

2,402,721

 

 

2,819,337

 

Net investment income

 

 

21,422,864

 

 

23,646,017

 

 

35,437,438

 

 

9,426,886

 

 

18,248,158

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

964,398

 

 

1,613,955

 

 

(8,420,771

)2

 

(1,950,218

)

 

(4,840,922

)2

Financial futures contracts

 

 

(1,361,356

)

 

(1,558,103

)

 

 

 

 

 

 

Foreign currency transactions

 

 

1,509,319

 

 

1,762,416

 

 

823,709

 

 

501,271

 

 

10,346

 

Options written

 

 

874,341

 

 

900,892

 

 

 

 

 

 

 

Swaps

 

 

1,106,785

 

 

1,425,148

 

 

(33,124

)

 

 

 

(14,882

)

 

 

 

3,093,487

 

 

4,144,308

 

 

(7,630,186

)

 

(1,448,947

)

 

(4,845,458

)

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(7,741,583

)

 

(9,708,440

)

 

(8,807,664

)3

 

(3,643,714

)

 

1,635,784

 

Financial futures contracts

 

 

(6,258

)

 

28,590

 

 

 

 

 

 

 

Foreign currency transactions

 

 

(742,238

)

 

(781,679

)

 

(327,071

)

 

30,717

 

 

(1,609

)

Options written

 

 

61,310

 

 

65,050

 

 

 

 

 

 

 

 

Swaps

 

 

737,781

 

 

636,733

 

 

77,957

 

 

 

 

52,151

 

Unfunded loan commitments

 

 

11,592

 

 

23,261

 

 

(37,225

)

 

(29,966

)

 

(16,218

)

 

 

 

(7,679,396

)

 

(9,736,485

)

 

(9,094,003

)

 

(3,642,963

)

 

1,670,108

 

Total realized and unrealized loss

 

 

(4,585,909

)

 

(5,592,177

)

 

(16,724,189

)

 

(5,091,910

)

 

(3,175,350

)

Net Increase in Net Assets Resulting from Operations

 

$

16,836,955

 

$

18,053,840

 

$

18,713,249

 

$

4,334,976

 

$

15,072,808

 


 

 

 

 

1

See Note 6 of the Notes to Consolidated Financial Statements for details of short-term borrowings.

 

 

 

 

2

Net of capital gains tax of $1,078,645 and $517,194, respectively.

 

 

 

 

3

Net of income tax of $91,373.


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

60

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund, Inc. (COY)

 

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

 

Increase (Decrease) in Net Assets:

 

Year Ended
February 29,
20121

 

Year Ended
February 28,
2011

 

 

Year Ended
February 29,
20121

 

Year Ended
February 28,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

21,422,864

 

$

22,535,037

 

$

23,646,017

 

$

24,174,359

 

Net realized gain

 

 

3,093,487

 

 

6,965,831

 

 

 

4,144,308

 

 

9,224,596

 

Net change in unrealized appreciation/depreciation

 

 

(7,679,396

)

 

18,790,685

 

 

(9,736,485

)

 

21,881,740

 

Net increase in net assets resulting from operations

 

 

16,836,955

 

 

48,291,553

 

 

 

18,053,840

 

 

55,280,695

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(21,290,884

)

 

(21,257,066

)

 

 

(23,502,064

)

 

(22,906,514

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

720,465

 

 

282,201

 

 

 

376,319

 

 

163,777

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(3,733,464

)

 

27,316,688

 

 

 

(5,071,905

)

 

32,537,958

 

Beginning of year

 

 

257,909,226

 

 

230,592,538

 

 

282,258,527

 

 

249,720,569

 

End of year

 

$

254,175,762

 

$

257,909,226

 

 

$

277,186,622

 

$

282,258,527

 

Undistributed net investment income

 

$

4,318,831

 

$

2,741,291

 

$

3,694,286

 

$

1,838,053

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Debt
Strategies Fund, Inc. (DSU)

 

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

 

Increase (Decrease) in Net Assets:

 

Year Ended
February 29,
20121

 

Year Ended
February 28,
2011

 

 

Year Ended
February 29,
20121

 

Year Ended
February 28,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

35,437,438

 

$

35,976,309

 

$

9,426,886

 

$

9,200,317

 

Net realized loss

 

 

(7,630,186

)

 

(2,434,229

)

 

 

(1,448,947

)

 

574,094

 

Net change in unrealized appreciation/depreciation

 

 

(9,094,003

)

 

44,871,048

 

 

(3,642,963

)

 

9,308,392

 

Net increase in net assets resulting from operations

 

 

18,713,249

 

 

78,413,128

 

 

 

4,334,976

 

 

19,082,803

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distribution to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(34,943,170

)

 

(35,928,501

)

 

 

(9,323,747

)

 

(8,767,675

)

Tax return of capital

 

 

 

 

(924,228

)

 

 

 

(716,193

)

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(34,943,170

)

 

(36,852,729

)

 

 

(9,323,747

)

 

(9,483,868

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

806,965

 

 

464,804

 

 

 

210,036

 

 

582,067

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(15,422,956

)

 

42,025,203

 

 

 

(4,778,735

)

 

10,181,002

 

Beginning of year

 

 

461,247,191

 

 

419,221,988

 

 

148,551,686

 

 

138,370,684

 

End of year

 

$

445,824,235

 

$

461,247,191

 

 

$

143,772,951

 

$

148,551,686

 

Undistributed net investment income

 

$

4,081,190

 

$

73,470

 

$

814,690

 

$

107,953

 


 

 

 

 

1

Consolidated Statement of Changes in Net Assets.


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

61




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

BlackRock Senior High
Income Fund, Inc. (ARK)

 

Increase (Decrease) in Net Assets:

 

Year
Ended
February 29,
20121

 

Year
Ended
February 28,
2011

 

Operations

 

 

 

 

 

 

 

Net investment income

 

$

18,248,158

 

$

17,899,921

 

Net realized loss

 

 

(4,845,458

)

 

(2,983,318

)

Net change in unrealized appreciation/depreciation

 

 

1,670,108

 

 

20,894,516

 

Net increase in net assets resulting from operations

 

 

15,072,808

 

 

35,811,119

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

Net investment income

 

 

(18,750,192

)

 

(18,479,539

)

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

233,462

 

 

255,895

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

(3,443,922

)

 

17,587,475

 

Beginning of year

 

 

238,760,420

 

 

221,172,945

 

End of year

 

$

235,316,498

 

$

238,760,420

 

Undistributed net investment income

 

$

2,928,272

 

$

2,561,360

 


 

 

 

 

1

Consolidated Statement of Changes in Net Assets.


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

62

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Consolidated Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 29, 2012

 

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

 

$

16,836,955

 

$

18,053,840

 

$

18,713,249

 

$

4,334,976

 

$

15,072,808

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Decrease in interest receivable

 

 

886,304

 

 

681,761

 

 

1,297,152

 

 

213,390

 

 

329,133

 

Increase in swap receivable

 

 

(34,029

)

 

(31,547

)

 

 

 

 

 

 

Decrease in receivable from custodian

 

 

 

 

 

 

 

 

 

 

602,027

 

Decrease in commitment fees receivable

 

 

 

 

97

 

 

1,385

 

 

1,043

 

 

573

 

Increase in dividends receivable — affiliated

 

 

 

 

(11

)

 

(696

)

 

 

 

(188

)

Decrease in dividends receivable — unaffiliated

 

 

25,964

 

 

44,336

 

 

281

 

 

 

 

 

Increase in cash pledged as collateral for financial futures contracts

 

 

(52,000

)

 

(11,000

)

 

 

 

 

 

 

Increase in cash pledged as collateral in connection with swaps

 

 

(500,000

)

 

(100,000

)

 

 

 

 

 

 

Increase (decrease) in other assets

 

 

(42,553

)

 

1,428

 

 

(37,549

)

 

 

 

8,967

 

Increase in margin variation receivable

 

 

(40,950

)

 

(42,000

)

 

 

 

 

 

 

Increase (decrease) in investment advisory fees payable

 

 

1,047

 

 

(2,120

)

 

(4,751

)

 

(801

)

 

4,818

 

Decrease in cash held as collateral for swaps

 

 

(100,000

)

 

 

 

 

 

 

 

 

Decrease in interest expense payable

 

 

(60,812

)

 

(41,465

)

 

(36,841

)

 

(14,093

)

 

(10,802

)

Increase in other accrued expenses payable

 

 

118,495

 

 

49,358

 

 

86,870

 

 

16,707

 

 

37,785

 

Increase (decrease) in prepaid expenses

 

 

(10,291

)

 

(7,003

)

 

6,695

 

 

(7,697

)

 

(13,687

)

Increase (decrease) in deferred income

 

 

 

 

77,738

 

 

59,388

 

 

(58,346

)

 

38,866

 

Decrease in margin variation payable

 

 

(33,945

)

 

(37,960

)

 

 

 

 

 

 

Decrease in other affiliates payable

 

 

(1,404

)

 

(1,572

)

 

(2,511

)

 

(820

)

 

(1,278

)

Decrease in other liabilities

 

 

(2,000

)

 

(30,652

)

 

 

 

(54,550

)

 

 

Decrease in swaps payable

 

 

(60,764

)

 

(48,672

)

 

(10,897

)

 

 

 

(14,850

)

Increase (decrease) in Officer’s and Directors’ fees payable

 

 

23

 

 

1,931

 

 

32,019

 

 

(116

)

 

(572

)

Net periodic payment of swaps

 

 

(108,923

)

 

(73,142

)

 

18,291

 

 

 

 

22,512

 

Net realized and unrealized loss on investments

 

 

6,214,277

 

 

7,581,586

 

 

16,218,253

 

 

5,647,037

 

 

2,593,073

 

Amortization of premium and accretion of discount on investments and swaps

 

 

(321,319

)

 

(250,527

)

 

(2,837,774

)

 

(1,353,034

)

 

(1,416,820

)

Premiums received from options written

 

 

1,731,976

 

 

1,879,084

 

 

 

 

 

 

 

Premiums paid on closing options written

 

 

(766,082

)

 

(880,604

)

 

 

 

 

 

 

Proceeds from sales of long-term investments

 

 

222,083,901

 

 

248,073,307

 

 

347,019,288

 

 

130,552,706

 

 

179,073,743

 

Purchases of long-term investments

 

 

(228,110,325

)

 

(248,895,597

)

 

(369,614,840

)

 

(135,018,817

)

 

(194,001,848

)

Net proceeds from sales (purchases) of short-term securities

 

 

(542,939

)

 

1,845,167

 

 

(4,547,854

)

 

331,521

 

 

(2,848,918

)

Cash provided by (used for) operating activities

 

 

17,110,606

 

 

27,835,761

 

 

6,359,158

 

 

4,589,106

 

 

(524,658

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from borrowings

 

 

108,000,000

 

 

127,000,000

 

 

261,000,000

 

 

112,000,000

 

 

142,000,000

 

Cash payments on borrowings

 

 

(104,000,000

)

 

(132,000,000

)

 

(233,000,000

)

 

(107,000,000

)

 

(123,000,000

)

Cash dividends paid

 

 

(20,663,803

)

 

(23,206,226

)

 

(34,333,036

)

 

(9,075,804

)

 

(18,559,624

)

Increase (decrease) in bank overdraft

 

 

(299,961

)

 

193,858

 

 

 

 

(406,865

)

 

 

Cash provided by (used for) financing activities

 

 

(16,963,764

)

 

(28,012,368

)

 

(6,333,036

)

 

(4,482,669

)

 

440,376

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

$

2,055

 

$

1,143

 

$

3

 

$

9,976

 

$

(1,817

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash

 

$

148,897

 

$

(175,464

)

$

26,125

 

$

116,413

 

$

(86,099

)

Cash at beginning of year

 

 

109,806

 

 

419,306

 

 

111,649

 

 

134,947

 

 

101,727

 

Cash at end of year

 

$

258,703

 

$

243,842

 

$

137,774

 

$

251,360

 

$

15,628

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the year for interest

 

$

670,219

 

$

851,038

 

$

1,408,946

 

$

478,791

 

$

653,604

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends

 

$

720,465

 

$

376,319

 

$

806,965

 

$

210,036

 

$

233,462

 


 

 

 

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 Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

63




 

 

 

 

Financial Highlights

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

Year
Ended
February 29,
20121

 

 

 

 

 

 

 

 

 

Year Ended
February 28,

 

 

Year Ended
May 31,

 

 

 

 

2011

 

2010

 

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

7.42

 

$

6.64

 

$

4.19

 

$

7.74

 

$

9.07

 

$

8.52

 

Net investment income2

 

 

0.62

 

 

0.65

 

 

0.65

 

 

0.50

 

 

0.75

 

 

0.73

 

Net realized and unrealized gain (loss)

 

 

(0.14

)

 

0.74

 

 

2.53

 

 

(3.50

)

 

(1.32

)

 

0.49

 

Net increase (decrease) from investment operations

 

 

0.48

 

 

1.39

 

 

3.18

 

 

(3.00

)

 

(0.57

)

 

1.22

 

Dividends from net investment income

 

 

(0.61

)

 

(0.61

)

 

(0.73

)

 

(0.55

)

 

(0.76

)

 

(0.67

)

Net asset value, end of period

 

$

7.29

 

$

7.42

 

$

6.64

 

$

4.19

 

$

7.74

 

$

9.07

 

Market price, end of period

 

$

7.76

 

$

7.03

 

$

6.88

 

$

3.91

 

$

7.28

 

$

8.47

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

7.15

%

 

22.11

%

 

79.91

%

 

(38.98

)%4

 

(5.49

)%

 

15.60

%

Based on market price

 

 

20.39

%

 

11.66

%

 

99.76

%

 

(39.46

)%4

 

(4.81

)%

 

23.96

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.15

%

 

1.18

%

 

1.18

%

 

2.29

%5

 

2.33

%

 

3.25

%

Total expenses after fees waived and paid indirectly

 

 

1.15

%

 

1.18

%

 

1.18

%

 

2.29

%5

 

2.33

%

 

3.25

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.90

%

 

0.89

%

 

0.92

%

 

1.17

%5

 

0.83

%

 

0.91

%

Net investment income

 

 

8.67

%

 

9.28

%

 

11.36

%

 

11.45

%5

 

9.15

%

 

8.36

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

254,176

 

$

257,909

 

$

230,593

 

$

144,800

 

$

267,698

 

$

313,821

 

Borrowings outstanding, end of period (000)

 

$

67,000

 

$

63,000

 

$

72,000

 

$

38,700

 

$

64,700

 

$

126,200

 

Average borrowings outstanding, during the period (000)

 

$

63,281

 

$

55,304

 

$

42,184

 

$

59,553

 

$

81,598

 

$

125,974

 

Portfolio turnover

 

 

71

%

 

83

%

 

85

%

 

37

%

 

38

%

 

62

%

Asset coverage, end of period (000)

 

$

4,794

 

$

5,094

 

$

4,203

 

$

4,742

 

$

5,138

 

$

3,487

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

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.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Annualized.


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

64

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

Year
Ended
February 29,
20121

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
February 28,

 

 

Year Ended
May 31,

 

 

 

 

2011

 

2010

 

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

7.56

 

$

6.69

 

$

4.05

 

$

7.62

 

$

8.99

 

$

8.46

 

Net investment income2

 

 

0.63

 

 

0.65

 

 

0.64

 

 

0.50

 

 

0.73

 

 

0.71

 

Net realized and unrealized gain (loss)

 

 

(0.15

)

 

0.83

 

 

2.68

 

 

(3.51

)

 

(1.33

)

 

0.49

 

Net increase (decrease) from investment operations

 

 

0.48

 

 

1.48

 

 

3.32

 

 

(3.01

)

 

(0.60

)

 

1.20

 

Dividends from net investment income

 

 

(0.63

)

 

(0.61

)

 

(0.68

)

 

(0.56

)

 

(0.77

)

 

(0.67

)

Net asset value, end of period

 

$

7.41

 

$

7.56

 

$

6.69

 

$

4.05

 

$

7.62

 

$

8.99

 

Market price, end of period

 

$

7.75

 

$

7.14

 

$

6.67

 

$

3.57

 

$

7.03

 

$

8.53

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

7.11

%

 

23.50

%

 

86.65

%

 

(39.69

)%4

 

(5.69

)%

 

15.51

%

Based on market price

 

 

18.62

%

 

16.99

%

 

111.12

%

 

(42.38

)%4

 

(8.30

)%

 

25.98

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.38

%

 

1.37

%

 

1.34

%

 

2.45

%5

 

2.47

%

 

3.38

%

Total expenses after fees waived and paid indirectly

 

 

1.38

%

 

1.37

%

 

1.33

%

 

2.45

%5

 

2.47

%

 

3.38

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.08

%

 

1.03

%

 

1.04

%

 

1.29

%5

 

0.96

%

 

1.04

%

Net investment income

 

 

8.76

%

 

9.15

%

 

11.35

%

 

11.80

%5

 

9.01

%

 

8.25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

277,187

 

$

282,259

 

$

249,721

 

$

151,261

 

$

284,361

 

$

335,479

 

Borrowings outstanding, end of period (000)

 

$

86,000

 

$

91,000

 

$

76,000

 

$

44,200

 

$

71,700

 

$

129,700

 

Average borrowings outstanding, during the period (000)

 

$

83,997

 

$

69,937

 

$

49,196

 

$

65,500

 

$

88,466

 

$

134,704

 

Portfolio turnover

 

 

70

%

 

89

%

 

89

%

 

37

%

 

38

%

 

62

%

Asset coverage, end of period (000)

 

$

4,223

 

$

4,102

 

$

4,286

 

$

4,422

 

$

4,966

 

$

3,587

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

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.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Annualized.


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

65




 

 

 

 

Financial Highlights

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year
Ended
February 29,
20121

 

 

 

 

 

 

 

Year
Ended
February 29,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 28,

 

 

 

 

 

2011

 

2010

 

2009

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

4.28

 

$

3.89

 

$

2.35

 

$

5.57

 

$

7.01

 

Net investment income2

 

 

0.33

 

 

0.33

 

 

0.39

 

 

0.52

 

 

0.66

 

Net realized and unrealized gain (loss)

 

 

(0.16

)

 

0.40

 

 

1.55

 

 

(3.12

)

 

(1.43

)

Net increase (decrease) from investment operations

 

 

0.17

 

 

0.73

 

 

1.94

 

 

(2.60

)

 

(0.77

)

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.32

)

 

(0.33

)

 

(0.39

)

 

(0.62

)

 

(0.67

)

Tax return of capital

 

 

 

 

(0.01

)

 

(0.01

)

 

 

 

 

Total dividends and distributions

 

 

(0.32

)

 

(0.34

)

 

(0.40

)

 

(0.62

)

 

(0.67

)

Net asset value, end of year

 

$

4.13

 

$

4.28

 

$

3.89

 

$

2.35

 

$

5.57

 

Market price, end of year

 

$

4.13

 

$

4.05

 

$

3.91

 

$

2.07

 

$

5.43

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

4.53

%

 

19.92

%

 

87.82

%

 

(50.19

)%

 

(11.72

)%

Based on market price

 

 

10.47

%

 

12.90

%

 

114.32

%

 

(54.99

)%

 

(17.13

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.37

%

 

1.27

%

 

1.23

%

 

2.42

%

 

3.13

%

Total expenses after fees waived

 

 

1.37

%

 

1.27

%

 

1.23

%

 

2.42

%

 

3.13

%

Total expenses after fees waived and excluding interest expense

 

 

1.06

%

 

1.02

%

 

1.02

%

 

1.20

%

 

0.99

%

Net investment income

 

 

8.06

%

 

8.22

%

 

12.16

%

 

11.79

%

 

9.90

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of year (000)

 

$

445,824

 

$

461,247

 

$

419,222

 

$

252,080

 

$

594,204

 

Borrowings outstanding, end of year (000)

 

$

145,000

 

$

117,000

 

$

67,000

 

$

90,000

 

$

199,000

 

Average borrowings outstanding during the year (000)

 

$

142,596

 

$

89,362

 

$

58,574

 

$

163,286

 

$

272,846

 

Portfolio turnover

 

 

59

%

 

81

%

 

86

%

 

44

%

 

51

%

Asset coverage, end of year per $1,000

 

$

4,075

 

$

4,942

 

$

7,257

 

$

3,801

 

$

3,986

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

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 Consolidated Financial Statements.

 

 

 

66

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year
Ended
February 29,
20121

 

 

 

 

 

 

 

Year
Ended
February 29,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 28,

 

 

 

 

 

2011

 

2010

 

2009

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

14.07

 

$

13.16

 

$

8.92

 

$

16.06

 

$

19.28

 

Net investment income2

 

 

0.89

 

 

0.87

 

 

0.86

 

 

1.37

 

 

1.55

 

Net realized and unrealized gain (loss)

 

 

(0.48

)

 

0.94

 

 

4.44

 

 

(6.98

)

 

(3.27

)

Net increase (decrease) from investment operations

 

 

0.41

 

 

1.81

 

 

5.30

 

 

(5.61

)

 

(1.72

)

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.88

)

 

(0.83

)

 

(0.98

)

 

(1.53

)

 

(1.50

)

Tax return of capital

 

 

 

 

(0.07

)

 

(0.08

)

 

 

 

 

Total dividends and distributions

 

 

(0.88

)

 

(0.90

)

 

(1.06

)

 

(1.53

)

 

(1.50

)

Net asset value, end of year

 

$

13.60

 

$

14.07

 

$

13.16

 

$

8.92

 

$

16.06

 

Market price, end of year

 

$

13.21

 

$

14.22

 

$

15.01

 

$

8.28

 

$

14.75

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

3.41

%

 

14.20

%

 

62.08

%

 

(36.46

)%

 

(8.98

)%

Based on market price

 

 

(0.61

)%

 

1.19

%

 

99.15

%

 

(35.78

)%

 

(12.88

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.68

%

 

1.56

%

 

1.50

%

 

2.48

%

 

2.78

%

Total expenses after fees waived and paid indirectly

 

 

1.68

%

 

1.56

%

 

1.50

%

 

2.48

%

 

2.78

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.36

%

 

1.30

%

 

1.27

%

 

1.38

%

 

1.20

%

Net investment income

 

 

6.61

%

 

6.48

%

 

7.40

%

 

10.08

%

 

8.39

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of year (000)

 

$

143,773

 

$

148,552

 

$

138,371

 

$

93,656

 

$

168,553

 

Borrowings outstanding, end of year (000)

 

$

41,000

 

$

36,000

 

$

24,000

 

$

26,000

 

$

50,000

 

Average borrowings outstanding, during the year (000)

 

$

48,292

 

$

29,101

 

$

22,225

 

$

45,165

 

$

55,269

 

Portfolio turnover

 

 

57

%

 

100

%

 

92

%

 

47

%

 

65

%

Asset coverage, end of year per $1,000

 

$

4,507

 

$

5,126

 

$

6,765

 

$

4,602

 

$

4,371

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

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 Consolidated Financial Statements.

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

67




 

 

 

 

Financial Highlights

BlackRock Senior High Income Fund, Inc. (ARK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year
Ended
February 29,
20121

 

 

 

 

 

 

 

Year
Ended
February 29,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 28,

 

 

 

 

 

2011

 

2010

 

2009

 

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of year

 

$

4.22

 

$

3.91

 

$

2.54

 

$

5.04

 

$

6.17

 

Net investment income2

 

 

0.32

 

 

0.32

 

 

0.36

 

 

0.41

 

 

0.54

 

Net realized and unrealized gain (loss)

 

 

(0.06

)

 

0.32

 

 

1.31

 

 

(2.43

)

 

(1.11

)

Net increase (decrease) from investment operations

 

 

0.26

 

 

0.64

 

 

1.67

 

 

(2.02

)

 

(0.57

)

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.33

)

 

(0.33

)

 

(0.30

)

 

(0.43

)

 

(0.56

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.05

)

 

 

Total dividends and distributions

 

 

(0.33

)

 

(0.33

)

 

(0.30

)

 

(0.48

)

 

(0.56

)

Net asset value, end of year

 

$

4.15

 

$

4.22

 

$

3.91

 

$

2.54

 

$

5.04

 

Market price, end of year

 

$

4.06

 

$

4.18

 

$

3.94

 

$

2.21

 

$

4.91

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

6.86

%

 

17.13

%

 

68.90

%

 

(42.15

)%

 

(9.76

)%

Based on market price

 

 

5.54

%

 

15.13

%

 

95.61

%

 

(48.33

)%

 

(16.94

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.21

%

 

1.13

%

 

1.13

%

 

2.24

%

 

2.70

%

Total expenses after fees waived

 

 

1.21

%

 

1.13

%

 

1.13

%

 

2.24

%

 

2.70

%

Total expenses after fees waived and excluding interest expense

 

 

0.94

%

 

0.90

%

 

0.93

%

 

1.05

%

 

0.86

%

Net investment income

 

 

7.84

%

 

7.83

%

 

10.70

%

 

9.96

%

 

9.16

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of year (000)

 

$

235,316

 

$

238,760

 

$

221,173

 

$

143,643

 

$

284,692

 

Borrowings outstanding end of year (000)

 

$

69,000

 

$

50,000

 

$

43,000

 

$

47,000

 

$

91,500

 

Average borrowings outstanding, during the year (000)

 

$

66,806

 

$

41,405

 

$

29,978

 

$

79,422

 

$

109,978

 

Portfolio turnover

 

 

60

%

 

83

%

 

80

%

 

49

%

 

48

%

Asset coverage, end of year per $1,000

 

$

4,410

 

$

5,775

 

$

6,144

 

$

4,056

 

$

4,112

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

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 Consolidated Financial Statements.

 

 

 

68

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Consolidated 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 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 the “Funds” or individually as a “Fund.” The Funds are organized as Maryland corporations. The Funds’ consolidated 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 consolidated financial statements. Actual results could differ from those estimates. The Boards of Directors of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors thereof are collectively referred to throughout this report as “Directors.” The Funds determine, and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Funds:

Basis of Consolidation: The accompanying consolidated financial statements include the accounts of BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (the “Luxembourg Subsidiaries”) and DSU JGW SPV, LLC, DSU (S-Martin) SPV, LLC, FRB JGW SPV, LLC and ARK JGW SPV, LLC (the “US Subsidiaries”), all of which are wholly owned taxable subsidiaries of each Fund. The US Subsidiaries enable the Funds to hold investments that are organized as an operating partnership and still satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investments held by the US Subsidiaries are taxable to such subsidiaries. The Luxembourg Subsidiaries hold shares of private Canadian companies. These shares are held in the Luxem-bourg Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Luxembourg Subsidiaries may be taxable to such subsidiaries in Luxembourg. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. The Funds may invest up to 25% of their total assets in both the US and Luxembourg Subsidiaries. Intercompany accounts and transactions have been eliminated. Both the US and Luxembourg Subsidiaries are subject to the same investment policies and restrictions that apply to 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 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, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV 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 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 and swaptions 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 if a price 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,

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

69




 

 

Notes to Consolidated Financial Statements (continued)

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 respective date of such transactions. 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.

The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Consolidated Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. 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.

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.

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.

Capital Trusts: The Funds may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities.

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 leveraged. 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 Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may

 

 

 

 

 

 

70

ANNUAL REPORT

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Notes to Consolidated Financial Statements (continued)

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 purchases 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. 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 and records cash or 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 to such transactions 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 Consolidated 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 RICs and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

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 following periods:

 

 

 

 

 

 

 

 

 

Four Years Ended

 

Three Years Ended

 

Period Ended

COY

 

 

February 29, 2012

 

February 28, 2009

CYE

 

 

February 29, 2012

 

February 28, 2009

DSU

 

February 29, 2012

 

 

FRB

 

February 29, 2012

 

 

ARK

 

February 29, 2012

 

 

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.

Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for consolidated financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ consolidated financial statement disclosures.

In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial

 

 

 

 

 

 

 

 

 

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FEBRUARY 29, 2012

71




 

 

Notes to Consolidated Financial Statements (continued)

instruments subject to master netting or similar agreements which are eligible for offset in the Consolidated Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the consolidated financial statements. The guidance is effective for consolidated financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ consolidated financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Fund’s Board, independent 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 Consolidated Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in dividends — affiliated in the Consolidated Statements of Operations.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are prorated 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 Consolidated 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, interest rate 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.

The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between a Fund and each of its respective counterparties. An 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 coun-terparty 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 it believes 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 Funds’ net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements, which would cause the Funds 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 value of equity securities (equity risk). Financial futures contracts are agreements between the Funds 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

 

 

 

 

 

 

72

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Notes to Consolidated Financial Statements (continued)

used by the Funds, help to manage the overall exposure to the currencies, in which some of the investments held by the Funds are denominated. 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 (including equity risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike 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 or strike 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 Fund enters 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 holds 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 either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Funds are recorded in the Consolidated 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 Consolidated 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.

 

 

Credit default swaps — The Funds enter into credit default swaps to man- age their exposure to the market or certain sectors of the market, to reduce its 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 it is 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.

 

 

Interest rate swaps — Certain Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

73




 

 

Notes to Consolidated Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of February 29, 2012

 

 

Asset Derivatives

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

 

 

 

 

 

Consolidated Statements of Assets and Liabilities Location

 

Value

 

 

 

 

Foreign currency exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts

 

$

6,876

 

$

3,328

 

$

24,221

 

$

3,560

 

 

 

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

438,241

 

 

446,316

 

 

 

 

 

 

 

 

Equity contracts

 

Investments at value-unaffiliated1

 

 

186,910

 

 

202,560

 

 

 

 

 

 

 

 

Total

 

 

 

$

632,027

 

$

652,204

 

$

24,221

 

$

3,560

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liability Derivatives

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

 

 

Consolidated Statements of Assets and Liabilities Location

 

Value

 

Foreign currency exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts

 

$

913,319

 

$

934,336

 

$

774,246

 

$

148,986

 

$

12,909

 

Credit contracts

 

Unrealized depreciation on swaps

 

 

73,152

 

 

76,357

 

 

 

 

 

 

 

Equity contracts

 

Net unrealized appreciation/depreciation2; Options written at value

 

 

273,524

 

 

275,358

 

 

 

 

 

 

 

Total

 

 

 

$

1,259,995

 

$

1,286,051

 

$

774,246

 

$

148,986

 

$

12,909

 


 

 

 

 

1

Includes options purchased at value as reported in the Consolidated Schedules of Investments.

 

 

 

 

2

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Consolidated Schedules of Investments. Only current day’s margin variation is reported within the Consolidated Statements of Assets and Liabilities.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments in the Consolidated Statements of Operations
Year Ended February 29, 2012

 

 

Net Realized Gain (Loss) from

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

$

1,302,766

 

$

1,378,375

 

$

970,687

 

$

212,657

 

$

10,346

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

1,015,676

 

 

1,325,661

 

 

(33,124

)

 

 

 

(14,882

)

Options3

 

 

708,667

 

 

734,880

 

 

 

 

 

 

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(1,361,356

)

 

(1,558,103

)

 

 

 

 

 

 

Options3

 

 

1,505,368

 

 

1,609,019

 

 

 

 

 

 

 

Other contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

91,109

 

 

99,487

 

 

 

 

 

 

 

Total

 

$

3,262,230

 

$

3,589,319

 

$

937,563

 

$

212,657

 

$

(4,536

)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

$

(750,960

)

$

(775,157

)

$

(325,692

)

$

23,828

 

$

208

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

737,781

 

 

636,733

 

 

77,957

 

 

 

 

52,151

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(6,258

)

 

28,590

 

 

 

 

 

 

 

Options3

 

 

(161,711

)

 

(172,473

)

 

 

 

 

 

 

Total

 

$

(181,148

)

$

(282,307

)

$

(247,735

)

$

23,828

 

$

52,359

 


 

 

 

 

3

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.


 

 

 

 

 

 

74

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Consolidated Financial Statements (continued)

For the year ended February 29, 2012, 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

 

 

240

 

 

265

 

 

 

 

 

 

 

Average notional value of contracts sold

 

$

15,136,864

 

$

16,654,854

 

 

 

 

 

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — US dollars purchased

 

 

11

 

 

11

 

 

5

 

 

4

 

 

1

 

Average number of contracts — US dollars sold

 

 

2

 

 

3

 

 

3

 

 

2

 

 

1

 

Average US dollar amounts purchased

 

$

24,923,483

 

$

25,804,293

 

$

25,000,966

 

$

6,172,376

 

$

447,978

 

Average US dollar amounts sold

 

$

794,039

 

$

838,279

 

$

1,404,492

 

$

740,394

 

$

22,193

 

Options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of option contracts purchased

 

 

561

 

 

606

 

 

 

 

11

 

 

 

Average number of option contracts written

 

 

372

 

 

398

 

 

 

 

 

 

 

Average notional value of option contracts purchased

 

$

6,100,229

 

$

6,564,114

 

 

 

$

10,371

 

 

 

Average notional value of option contracts written

 

$

3,493,275

 

$

3,708,750

 

 

 

 

 

 

 

Average number of swaption contracts purchased

 

 

1

 

 

1

 

 

 

 

 

 

 

Average number of swaption contracts written

 

 

1

 

 

2

 

 

 

 

 

 

 

Average notional value of swaption contracts purchased

 

$

2,500,000

 

$

5,000,000

 

 

 

 

 

 

 

Average notional value of swaption contracts written

 

$

7,856,250

 

$

13,675,000

 

 

 

 

 

 

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — buy protection

 

 

10

 

 

9

 

 

1

 

 

 

 

1

 

Average number of contracts — sell protection

 

 

10

 

 

10

 

 

 

 

 

 

 

Average notional value — buy protection

 

$

6,465,736

 

$

6,007,995

 

$

62,500

 

 

 

$

50,000

 

Average notional value — sell protection

 

$

5,486,653

 

$

5,691,495

 

 

 

 

 

 

 

Total return swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts

 

 

1

 

 

1

 

 

 

 

 

 

 

Average notional value

 

$

1,332,500

 

$

1,455,000

 

 

 

 

 

 

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is 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

%

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pay 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 in connection with each Fund’s investment in other affiliated investment companies, if any. These amounts are shown as fees waived by advisor in the Consolidated Statements of Operations.

BlackRock provides investment management and other services to the Taxable Subsidiaries. BlackRock does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Fund pays BlackRock based on the Fund’s net assets, which includes the assets of the Taxable Subsidiaries.

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.

Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation 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 February 29, 2012, were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

COY

 

$

238,448,521

 

$

218,162,974

 

CYE

 

$

257,908,123

 

$

246,506,666

 

DSU

 

$

356,676,395

 

$

350,851,795

 

FRB

 

$

110,602,850

 

$

131,745,799

 

ARK

 

$

183,338,947

 

$

182,183,661

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

75




 

 

Notes to Consolidated Financial Statements (continued)

 

Transactions in options written for the year ended February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 

Contracts

 

Notional
(000)

 

Premiums
Received

 

 

Contracts

 

Notional
(000)

 

Premiums
Received

 

COY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

867

 

$

32,650

 

$

614,880

 

 

 

4,979

 

$

48,090

 

$

1,117,096

 

Options exercised

 

 

 

 

 

 

 

 

(412

)

 

 

 

(14,656

)

Options expired

 

 

 

 

(24,650

)

 

(234,530

)

 

 

(1,667

)

 

(40,090

)

 

(548,328

)

Options closed

 

 

(867

)

 

(8,000

)

 

(380,350

)

 

 

(1,825

)

 

(8,000

)

 

(477,215

)

Outstanding options, end of year

 

 

 

 

 

 

 

 

 

1,075

 

 

 

$

76,897

 

CYE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

933

 

$

35,650

 

$

697,136

 

 

5,268

 

$

40,100

 

$

1,181,948

 

Options exercised

 

 

 

 

 

 

 

 

 

(450

)

 

 

 

(16,008

)

Options expired

 

 

 

 

(25,650

)

 

(238,730

)

 

(1,753

)

 

(30,100

)

 

(511,685

)

Options closed

 

 

(933

)

 

(10,000

)

 

(458,406

)

 

 

(1,925

)

 

(10,000

)

 

(572,675

)

Outstanding options, end of year

 

 

 

 

 

 

 

 

1,140

 

 

 

$

81,580

 

5. Income Tax Information:

US GAAP require 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 29, 2012 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, income recognized from pass-through entities, the expiration of capital loss carryforwards and liquidating distributions on wholly-owned subsidiaries were reclassified to the following accounts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Paid-in capital

 

$

(4,345,689

)

$

(1,018

)

$

(17,509,852

)

$

(14,479

)

$

(22,131,036

)

Undistributed net investment income

 

$

1,445,560

 

$

1,712,280

 

$

3,550,490

 

$

612,577

 

$

896,125

 

Accumulated net realized loss

 

$

2,900,129

 

$

(1,711,262

)

$

13,959,362

 

$

(598,098

)

$

21,234,911

 

The tax character of distributions paid during the fiscal years ended February 29, 2012 and February 28, 2011 was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Ordinary income

 

 

2/29/2012

 

$

21,290,884

 

$

23,502,064

 

$

34,943,170

 

$

9,323,747

 

$

18,750,192

 

 

 

 

2/28/2011

 

 

21,257,066

 

 

22,906,514

 

 

35,928,501

 

 

8,767,675

 

 

18,479,539

 

Tax return of capital

 

 

2/28/2011

 

 

 

 

 

 

924,228

 

 

716,193

 

 

 

Total

 

 

2/29/2012

 

$

21,290,884

 

$

23,502,064

 

$

34,943,170

 

$

9,323,747

 

$

18,750,192

 

 

 

 

2/28/2011

 

$

21,257,066

 

$

22,906,514

 

$

36,852,729

 

$

9,483,868

 

$

18,479,539

 

As of February 29, 2012, the tax components of accumulated net losses were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Undistributed ordinary income

 

$

4,031,918

 

$

3,445,503

 

$

2,684,862

 

$

834,949

 

$

3,287,976

 

Capital loss carryforwards

 

 

(60,139,798

)

 

(56,522,655

)

 

(279,045,885

)

 

(54,173,733

)

 

(111,046,271

)

Net unrealized gains (losses)1

 

 

6,183,999

 

 

6,885,909

 

 

(54,770,594

)

 

(1,834,219

)

 

(5,289,845

)

Qualified late-year losses2

 

 

(1,241,006

)

 

(1,914,283

)

 

(2,828,757

)

 

(623,243

)

 

(988,625

)

Total

 

$

(51,164,887

)

$

(48,105,526

)

$

(333,960,374

)

$

(55,796,246

)

$

(114,036,765

)


 

 

 

 

1

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 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, and investments in wholly owned subsidiaries.

 

 

 

 

2

The fund has elected to defer certain qualified late year losses and recognize such losses in the year ended February 28, 2013.


 

 

 

 

 

 

76

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Consolidated Financial Statements (continued)

As of February 29, 2012, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expires

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

2013

 

 

 

 

 

$

21,126,025

 

 

 

 

 

2014

 

 

 

 

 

 

20,233,987

 

$

100,800

 

$

4,906,362

 

2015

 

 

 

 

 

 

3,578,574

 

 

1,315,945

 

 

1,585,622

 

2016

 

$

454,146

 

 

 

 

 

 

 

 

 

2017

 

 

23,362,415

 

$

22,687,878

 

 

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

 

No expiration date3

 

 

 

 

 

 

13,051,575

 

 

1,757,611

 

 

6,629,052

 

Total

 

$

60,139,798

 

$

56,522,655

 

$

279,045,885

 

$

54,173,733

 

$

111,046,271

 


 

 

 

 

3

Must be utilized prior to losses subject to expiration.

As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Tax cost

 

$

322,333,931

 

$

361,778,324

 

$

654,114,692

 

$

187,213,524

 

$

314,791,368

 

Gross unrealized appreciation

 

$

20,246,237

 

$

22,441,370

 

$

26,730,604

 

$

4,017,650

 

$

10,261,581

 

Gross unrealized depreciation

 

 

(14,604,821

)

 

(16,111,201

)

 

(77,274,242

)

 

(5,135,741

)

 

(13,301,007

)

Net unrealized appreciation (depreciation)

 

$

5,641,416

 

$

6,330,169

 

$

(50,543,638

)

$

(1,118,091

)

$

(3,039,426

)

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 Funds’ 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.

On 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 Funds’ 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.

Effective March 2, 2012, the SSB Agreement was renewed for an additional 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 will be made by SSB to the Funds, at the Funds’ option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% 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 the Funds. The fees associated with each of the agreements are included in the Consolidated Statements of Operations as borrowing costs. Advances to the Funds as of February 29, 2012 are shown in the Consolidated Statements of Assets and Liabilities as loan payable.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

77




 

 

Notes to Consolidated Financial Statements (concluded)

For the year ended February 29, 2012 the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:

 

 

 

 

COY

 

0.96%

 

CYE

 

0.96%

 

DSU

 

0.96%

 

FRB

 

0.96%

 

ARK

 

0.96%

 

7. Commitments:

The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded floating rate loan interests and bridge loan commitments (“commitments”). Bridge loan commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. At February 29, 2012, the Funds had outstanding bridge loan commitments as follows:

 

 

 

 

 

 

 

Commitment
Amounts

 

CYE

 

$

3,454,630

 

DSU

 

$

5,591,234

 

FRB

 

$

1,610,000

 

ARK

 

$

2,965,491

 

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 included in interest income in the Consolidated Statements of Operations, is recognized ratably over the commitment period. The unrecognized commitment fee income is recorded on the Consolidated Statements of Assets and Liabilities as deferred income. As of February 29, 2012, the Funds had no outstanding unfunded floating rate loan interests.

8. Concentration, 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’ Consolidated 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. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

For the years ended February 29, 2012 and February 28, 2011, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
February 29, 2012

 

Year Ended
February 28, 2011

 

COY

 

 

 

102,019

 

 

 

 

40,744

 

 

CYE

 

 

 

53,550

 

 

 

 

23,432

 

 

DSU

 

 

 

195,440

 

 

 

 

114,520

 

 

FRB

 

 

 

15,006

 

 

 

 

42,733

 

 

ARK

 

 

 

55,454

 

 

 

 

63,426

 

 

10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ consolidated financial statements was completed through the date the consolidated financial statements were issued and the following items were noted:

The Funds paid a net investment income dividend on March 30, 2012 to Common Shareholders of record on March 15, 2012 as follows:

 

 

 

 

 

 

 

 

 

Common Dividend
Per Share

 

COY

 

 

$

0.051

 

 

CYE

 

 

$

0.051

 

 

DSU

 

 

$

0.027

 

 

FRB

 

 

$

0.073

 

 

ARK

 

 

$

0.025

 

 

Additionally, the Funds declared a net investment income dividend on April 2, 2012 payable to Common Shareholders of record on April 16, 2012 for the same amounts noted above.

 

 

 

 

 

 

78

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

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.:

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated 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. (the “Funds”), as of February 29, 2012, and the related consolidated 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 (consolidated basis only for the year ended February 29, 2012), and the financial highlights for each of the periods presented (consolidated basis only for the year ended February 29, 2012). 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 29, 2012, 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 29, 2012, 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
Boston, Massachusetts
April 27, 2012

 

 

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid by the Funds during the fiscal year ended February 29, 2012.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Interest-Related Dividends for
Non-US Residents1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Months Paid:

March 2011

 

92.91%

 

61.53%

 

75.40%

 

78.36%

 

54.40%

 

 

April 2011

 

92.99%

 

75.79%

 

75.40%

 

78.36%

 

54.40%

 

 

May 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

82.55%

 

 

June 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

July 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

August 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

September 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

October 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

November 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

December 2011

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

January 2012

 

95.10%

 

87.26%

 

75.40%

 

78.36%

 

92.00%

 

 

February 2012

 

48.44%

 

37.21%

 

100.00%

 

95.02%

 

64.57%

 


 

 

 

 

1

Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.

Of the February 2012 distribution for COY, 21.95% qualifies for the dividends received deduction for corporations and 21.95% consists of qualified dividend income for individuals.

Of the February 2012 distribution for CYE, 29.70% qualifies for the dividends received deduction for corporations and 29.70% consists of qualified dividend income for individuals.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

79




 

 

 

 

Automatic Dividend Reinvestment Plans

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Shareowner Services LLC for DSU and ARK and Computershare Trust Company, N.A. for COY, CYE and FRB (individually, the “Reinvestment Plan Agent” or together, the “Reinvestment Plan Agents”) in the respective Fund’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment 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 to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agents will acquire shares for the participant’s accounts, 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 (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. 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 price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment 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 Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agents’ 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 Reinvestment 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 Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Fund reserves the right to amend the Reinvestment 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 Computershare Shareowner Services LLC are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to the respective Reinvestment Plan Agent: Computershare Shareowner Services LLC, 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 Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021 for shareholders of COY, CYE and FRB.

 

 

 

 

 

 

80

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

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

Independent 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; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.

 

95 RICs consisting of 95 Portfolios

 

None

Karen P. Robards
55 East 52nd Street
New York, NY 10055
1950

 

Vice Chairperson of the Board, Chairperson 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.

 

95 RICs consisting of 95 Portfolios

 

AtriCure, Inc. (medical devices)

Michael J. Castellano
55 East 52nd Street
New York, NY 10055
1946

 

Director and Member of the Audit Committee

 

Since
2011

 

Managing Director and Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religions (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010.

 

95 RICs consisting of 95 Portfolios

 

None

Frank J. Fabozzi
55 East 52nd Street
New York, NY 10055
1948

 

Director and Member of the Audit Committee

 

Since
2007

 

Editor of and Consultant for The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.

 

95 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; 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.

 

95 RICs consisting of 95 Portfolios

 

The McClatchy Company (publishing); BellSouth (telecommunications); Knight Ridder (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.

 

95 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; Director of Delta Waterfowl Foundation since 2001; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.

 

95 RICs consisting of 95 Portfolios

 

BlackRock Kelso Capital Corp. (business development company)


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

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

Independent 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; Chairman, U.S. Council of Economic Advisers under the President of the United States from 2001 to 2003; Chairman, Economic Policy Committee of the OECD from 2001 to 2003.

 

95 RICs consisting of 95 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance)

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; Chairman of the Finance Department, 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.

 

95 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. In 2011, the Board of Directors unanimously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believes would be in the best interest of shareholders.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2

Date shown is the earliest date a person has served for the Funds 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 certain directors as joining the Funds’ board in 2007, each director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1998 and Karen P. Robards, 1998.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interested Directors3

Paul L. Audet
55 East 52nd Street
New York, NY 10055
1953

 

Director

 

Since
2011

 

Senior Managing Director, BlackRock and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.

 

157 RICs consisting of 282 Portfolios

 

None

Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947

 

Director

 

Since
2007

 

Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock 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.

 

157 RICs consisting of 282 Portfolios

 

None

 

 

3

Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Funds based on his position with BlackRock and its affiliates. Mr. Gabbay is an “interested person” of the Funds based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered open-end funds. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding a good cause thereof.


John F. Powers, who was a Director of the Funds, resigned as of February 21, 2012.


 

 

 

 

 

 

82

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

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

Officers1

John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964

 

President and Chief Executive Officer

 

Since 2011

 

Managing Director of BlackRock 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; Director of Family Resource Network (charitable foundation) since 2009.

Anne Ackerley
55 East 52nd Street
New York, NY 10055
1962

 

Vice President

 

Since 20072

 

Managing Director of BlackRock since 2000; President and Chief Executive Officer of the BlackRock-advised funds from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group 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.

Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977

 

Vice President

 

Since 2009

 

Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s US Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.

Neal Andrews
55 East 52nd Street
New York, NY 10055
1966

 

Chief Financial Officer

 

Since 2007

 

Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay Fife
55 East 52nd Street
New York, NY 10055
1970

 

Treasurer

 

Since 2007

 

Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. 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 and Anti-Money Laundering Officer

 

Since 2007

 

Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.

Ira P. Shapiro
55 East 52nd Street
New York, NY 10055
1963

 

Secretary

 

Since 2010

 

Managing Director of BlackRock 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.

 

 

 

 

 

 

2

Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011.


 

Investment Advisor

 

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisor

 

BlackRock Financial

Management, Inc.

New York, NY 10055

 

Custodians

 

JPMorgan Chase Bank, N.A.3

New York, NY 10017

 

State Street Bank and

Trust Company4

Boston, MA 02110

 

The Bank of New York Mellon5

New York, NY 10286

 

Transfer Agent

 

Computershare Trust Company, N.A.

Canton, MA 02021

 

Accounting Agent

 

State Street Bank and

Trust Company

Boston, MA 02110

 

Independent Registered

Public Accounting Firm

 

Deloitte & Touche LLP

Boston, MA 02116

 

Legal Counsel

 

Skadden, Arps, Slate,

Meagher & Flom LLP

New York, NY 10036

 

Address of the Funds

 

100 Bellevue Parkway

Wilmington, DE 19809


 

 

3

For COY.

 

 

4

For CYE and FRB.

 

 

5

For DSU and ARK.

 

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

83




 

 

 

Additional Information


 

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its 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 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 information included in this report.

 

Fund Certification

The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

 

 

 

 

 

 

 

84

ANNUAL REPORT

FEBRUARY 29, 2012

 




 

 

 

Additional Information (continued)


 

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’ charters 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. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

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 in 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 the Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Funds file their 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, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ 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. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

 

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

85




 

 

 

Additional Information (concluded)


 

Section 19(a) Notices

These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources 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. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Fiscal Year-to-Date
Cumulative Distributions by Character

 

Percent of Fiscal Year-to-Date
Cumulative Distributions by Character

 

 

 

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

 

ARK

 

$0.328909

 

 

$0.002091

 

$0.331000

 

99%

 

0%

 

1%

 

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.’

 

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.

 

 

 

 

 

 

 

 

 

 

 

 

86

ANNUAL REPORT

FEBRUARY 29, 2012

 



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)

 

 

#CEF1-5-2/12-AR

(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, 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.

$47,600

$47,500

$0

$0

$37,600

$11,800

$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

(b) Audit-Related Fees1

$0

$0

(c) Tax Fees2

$0

$0

(d) All Other Fees3

$2,970,000

$3,030,000

 

1 The nature of the services includes 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 includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

 

 

 

(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 Investment Adviser and Fund 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 the de minimis exception in 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, the Investment Adviser and the Fund Service Providers were:

 

Entity Name

Current Fiscal Year
End

Previous Fiscal Year
End

BlackRock Corporate High Yield Fund III, Inc.

$37,600

$11,800

 

 

Additionally, SAS No. 70 fees for the current and previous fiscal years of $2,970,000 and $3,030,000, respectively, were billed by D&T to the Investment Adviser.

 

 

 

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers 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)):

 

 

 

 

 

Michael Castellano

 

 

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 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 29, 2012.

 

 

(a)(1) 

The Fund 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.

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 29, 2012:

 

 

(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

20

14

23

0

10

4

 

$12.91 Billion

$7.29 Billion

$5.40 Billion

$0

$2.33 Billion

$577.7 Million

Mitchell Garfin

13

2

23

0

0

4

 

$10.63 Billion

$4.36 Billion

$6.51 Billion

$0

$0

$577.7 Million

Derek Schoenhofen

10

4

29

0

1

4

 

$9.16 Billion

$4.83 Billion

$7.03 Billion

$0

$408.5 Million

$577.7 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 a fund.  It should also be noted that Messrs. Keenan and Schoenhofen may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan and Schoenhofen may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

 

 

 

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 29, 2012:

 

 

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, 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 funds or other accounts managed by the portfolio managers are measured.  Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks.  Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts include the following:

 

Portfolio Manager

Applicable Benchmarks

Mitchell Garfin

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.

Derek Schoenhofen

A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.


 

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 that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock 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 discretionary incentive compensation 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. Keenan, Garfin 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 at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. All of the eligible portfolio managers have 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, Inc. 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 up to the IRS limit ($250,000 for 2012).  The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. 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, Inc. 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 of common stock or a dollar value of $25,000 based on its fair market value on the Purchase Date.  Messrs. Keenan, Garfin and Schoenhofen are each eligible to participate in these plans.

 

 

(a)(4) 

Beneficial Ownership of Securities – As of February 29, 2012.

 

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 1, 2012

 

 

 

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 1, 2012

 

 

 

By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock Corporate High Yield Fund III, Inc.

 

 

 

 

Date: May 1, 2012