UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-07456

 

Name of Fund: BlackRock Senior High Income Fund, Inc. (ARK)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Senior High Income Fund, Inc., 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 02/28/2012

 

Date of reporting period: 08/31/2011

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

August 31, 2011


 

 

Semi-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

Semi-Annual Report:

 

 

Fund Summaries

 

4

The Benefits and Risks of Leveraging

 

14

Derivative Financial Instruments

 

14

Financial Statements:

 

 

Schedules of Investments

 

15

Statements of Assets and Liabilities

 

59

Statements of Operations

 

60

Statements of Changes in Net Assets

 

61

Statements of Cash Flows

 

63

Financial Highlights

 

64

Notes to Financial Statements

 

69

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

79

Officers and Directors

 

83

Additional Information

 

84


 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

Dear Shareholder

Market volatility has been extraordinary in recent months. Government debt and deficit issues in both the US and Europe have taken a toll on investor sentiment while weaker-than-expected US economic data raised concerns of another recession. Political instability and concerns that central banks have nearly exhausted their stimulus measures have further compounded investor uncertainty. Although markets remain volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.

The pages that follow reflect your fund’s reporting period ended August 31, 2011. Accordingly, the following discussion is intended to provide you with additional perspective on the performance of your investments during that period.

One year ago, the global economy appeared to solidly be in recovery mode and investors were optimistic given the anticipated second round of quantitative easing from the US Federal Reserve (the “Fed”). Stock markets rallied despite the ongoing sovereign debt crisis in Europe and inflationary pressures looming over emerging markets. Fixed income markets, however, saw yields move sharply upward (pushing prices down) especially on the long end of the historically steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond program would not be extended and municipal finance troubles abounded.

The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted over US debt and deficit issues. Equities generally performed well early in the year, however, as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.

However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging economies, many of which were overheating, and the European debt crisis continued to escalate. Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer to defaulting on its debt. This development rekindled fears about the broader debt crisis and its further contagion among peripheral European countries. Concurrently, it became evident that the pace of global economic growth had slowed as higher oil prices and supply chain disruptions finally showed up in economic data. By mid-summer, confidence in policymakers was tarnished as the prolonged US debt ceiling debate revealed the degree of polarization in Washington, DC. The downgrade of the US government’s credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme volatility persisted as Europe’s debt and banking crisis deepened and US economic data continued to weaken. Investors fled from riskier assets, pushing stock and high yield bond indices into negative territory for the six-month period ended August 31, while lower-risk investments including US Treasuries, municipal securities and investment grade corporate bonds posted gains. Twelve-month returns on all asset classes remained positive. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

 

Sincerely,

 

-s- Rob Kapito

 

Rob Kapito

President, BlackRock Advisors, LLC

 

[PHOTO OF ROB KAPITO]

 

“BlackRock remains focused on managing risk and finding opportunities in all market environments.”

 

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of August 31, 2011

 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities

 

(7.23

)%

 

18.50

%

 

(S&P 500 Index)

 

 

 

 

 

 

 

US small cap equities

 

(11.17

)

 

22.19

 

 

(Russell 2000 Index)

 

 

 

 

 

 

 

International equities

 

(11.12

)

 

10.01

 

 

(MSCI Europe, Australasia,

 

 

 

 

 

 

 

Far East Index)

 

 

 

 

 

 

 

Emerging market

 

(5.11

)

 

9.07

 

 

equities (MSCI Emerging

 

 

 

 

 

 

 

Markets Index)

 

 

 

 

 

 

 

3-month Treasury

 

0.08

 

 

0.15

 

 

bill (BofA Merrill Lynch

 

 

 

 

 

 

 

3-Month Treasury

 

 

 

 

 

 

 

Bill Index)

 

 

 

 

 

 

 

US Treasury securities

 

13.04

 

 

6.21

 

 

(BofA Merrill Lynch 10-

 

 

 

 

 

 

 

Year US Treasury Index)

 

 

 

 

 

 

 

US investment grade

 

5.49

 

 

4.62

 

 

bonds (Barclays

 

 

 

 

 

 

 

Capital US Aggregate

 

 

 

 

 

 

 

Bond Index)

 

 

 

 

 

 

 

Tax-exempt municipal

 

6.39

 

 

2.66

 

 

bonds (Barclays Capital

 

 

 

 

 

 

 

Municipal Bond Index)

 

 

 

 

 

 

 

US high yield bonds

 

(1.57

)

 

8.32

 

 

(Barclays Capital US

 

 

 

 

 

 

 

Corporate High Yield 2%

 

 

 

 

 

 

 

Issuer Capped Index)

 

 

 

 

 

 

 


 

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 August 31, 2011

BlackRock Corporate High Yield Fund, Inc.


 

Investment Objective

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

 

 

 

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

 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

 

For the six months ended August 31, 2011, the Fund returned 4.03% based on market price and (2.99)% 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 1.40% based on market price and (2.67)% 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?

 

 

Detracting from performance was the Fund’s limited exposure to higher-quality securities, which exhibit greater sensitivity to interest rates than their lower-quality counterparts, and therefore benefited to a greater degree from the rally in US Treasury rates as market volatility increased during the period. Holdings of non-rated credits and securities classified as having equity-correlated risks had a negative impact on Fund returns. Security selection within the automotive, non-captive diversified (industrials) and consumer service sectors also hindered returns. In addition, the Fund’s allocation to senior secured bank loans, which underperformed high yield bonds for the period, had a negative impact.

 

 

Security selection and trades based on relative valuation contributed positively to overall performance for the period, particularly within the independent energy, media non-cable, electric and metals & mining sectors. The Fund’s holdings of lower-quality high yield bonds benefited performance earlier in the period due to favorable liquidity conditions and an improving corporate credit backdrop.

 

 

The Fund uses credit default swaps to express a particular view in an individual credit name and as a means of managing risk. It will also utilize 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. During the period, the use of derivatives had an overall positive impact on Fund returns.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund reduced the overall risk profile by focusing its purchases in higher quality areas of the market and selling some of its riskier holdings. In order to hedge against risks relating to equity market volatility (i.e., reduce equity beta), the Fund established short positions in equity futures contracts. The Fund continued to participate in the new issue market, although cautiously, seeking opportunities in more stable industries from issuers that offer good cash flows, earnings and revenue visibility, as well as attractive downside protection. Additionally, the Fund increased exposure to names in the independent energy sector, while reducing exposure to the wireless sector.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 83% of its total portfolio in corporate bonds, 10% in floating rate loan interests (bank loans) and 3% in common stocks, with the remainder in other interests and preferred securities. The Fund had a negligible cash position. From a sector perspective, the Fund held large exposures to automotive and media non-cable names and continued to limit its exposure to consumer-related sectors including retailers, gaming and technology. The Fund ended the period with 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.


 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

BlackRock Corporate High Yield Fund, Inc.


 

 

 

Fund Information

 

 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

COY

Initial Offering Date

 

June 25, 1993

Yield on Closing Market Price as of August 31, 2011 ($7.01)1

 

8.73%

Current Monthly Distribution per Common Share2

 

$0.051

Current Annualized Distribution per Common Share2

 

$0.612

Leverage as of August 31, 20113

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Change

 

High

 

Low

 

Market Price

 

$

7.01

 

$

7.03

 

 

(0.28

)%

$

7.60

 

$

6.02

 

Net Asset Value

 

$

6.90

 

$

7.42

 

 

(7.01

)%

$

7.56

 

$

6.79

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Corporate Bonds

 

83

%

 

85

%

 

Floating Rate Loan Interests

 

10

 

 

7

 

 

Common Stocks

 

3

 

 

5

 

 

Other Interests

 

2

 

 

2

 

 

Preferred Securities

 

2

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

A

 

 

 

1

%

 

BBB/Baa

 

7

%

 

4

 

 

BB/Ba

 

35

 

 

31

 

 

B

 

44

 

 

46

 

 

CCC/Caa

 

12

 

 

13

 

 

D

 

1

 

 

 

 

Not Rated

 

1

 

 

5

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

5




 

 

 

 

Fund Summary as of August 31, 2011

BlackRock Corporate High Yield Fund III, Inc.

 

Investment Objective

BlackRock Corporate High Yield Fund III, Inc.’s (CYE) (the “Fund”) primary investment objective is to provide current income by investing primarily in fixed-income securities, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P’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 six months ended August 31, 2011, the Fund returned 0.43% based on market price and (3.35)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 1.40% based on market price and (2.67)% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

Detracting from performance was the Fund’s limited exposure to higher-quality securities, which exhibit greater sensitivity to interest rates than their lower-quality counterparts, and therefore benefited to a greater degree from the rally in US Treasury rates as market volatility increased during the period. Holdings of non-rated credits and securities classified as having equity-correlated risks had a negative impact on Fund returns. Security selection within the automotive, non-captive diversified (industrials) and consumer service sectors also hindered returns. In addition, the Fund’s allocation to senior secured bank loans, which underperformed high yield bonds for the period, had a negative impact.

 

 

Security selection and trades based on relative valuation contributed positively to overall performance for the period, particularly within the independent energy, media non-cable, electric and metals & mining sectors. The Fund’s holdings of lower-quality high yield bonds benefited performance earlier in the period due to favorable liquidity conditions and an improving corporate credit backdrop.

 

 

The Fund uses credit default swaps to express a particular view in an individual credit name and as a means of managing risk. It will also utilize 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. During the period, the use of derivatives had an overall positive impact on Fund returns.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund reduced the overall risk profile by focusing its purchases in higher quality areas of the market and selling some of its riskier holdings. In order to hedge against risks relating to equity market volatility (i.e., reduce equity beta), the Fund established short positions in equity futures contracts. The Fund continued to participate in the new issue market, although cautiously, seeking opportunities in more stable industries from issuers that offer good cash flows, earnings and revenue visibility, as well as attractive downside protection. Additionally, the Fund increased exposure to names in the independent energy sector, while reducing exposure to the wireless sector.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 80% of its total portfolio in corporate bonds, 13% in floating rate loan interests (bank loans) and 3% in common stocks, with the remainder in other interests and preferred securities. The Fund had a negligible cash position. From a sector perspective, the Fund held large exposures to automotive and media non-cable names and continued to limit its exposure to consumer-related sectors including retailers, gaming and technology. The Fund ended the period with 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

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

 

BlackRock Corporate High Yield Fund III, Inc.


 

 

 

Fund Information

 

 

 

 

 

Symbol on NYSE

 

CYE

Initial Offering Date

 

January 30, 1998

Yield on Closing Market Price as of August 31, 2011 ($6.88)1

 

8.72%

Current Monthly Distribution per Common Share2

 

$0.05

Current Annualized Distribution per Common Share2

 

$0.60

Leverage as of August 31, 20113

 

24%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution rate is not constant and is subject to change.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Change

 

High

 

Low

 

Market Price

 

$

6.88

 

$

7.14

 

 

(3.64

)%

$

7.52

 

$

6.08

 

Net Asset Value

 

$

7.01

 

$

7.56

 

 

(7.28

)%

$

7.70

 

$

6.89

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Corporate Bonds

 

80

%

 

80

%

 

Floating Rate Loan Interests

 

13

 

 

11

 

 

Common Stocks

 

3

 

 

5

 

 

Other Interests

 

2

 

 

2

 

 

Preferred Securities

 

2

 

 

2

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

BBB/Baa

 

7

%

 

4

%

 

BB/Ba

 

34

 

 

31

 

 

B

 

44

 

 

46

 

 

CCC/Caa

 

12

 

 

14

 

 

Not Rated

 

3

 

 

5

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

7




 

 

 

 

Fund Summary as of August 31, 2011

BlackRock Debt Strategies Fund, Inc.

 

Investment Objective

BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to provide current income by investing primarily in a diversified portfolio of US companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P’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 six months ended August 31, 2011, the Fund returned 2.16% based on market price and (3.81)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 1.40% based on market price and (2.67)% 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 invests in both high yield bonds and floating rate loan interests (i.e., bank loans). Both of these sectors generated negative returns for the period as investors fled riskier assets due to concerns about the debt crisis in Europe and slowing economic growth in the US. Bank loans underperformed high yield bonds as interest rates fell and the Fed signaled that it is likely to maintain low short-term interest rates for an extended period. The Fund’s large allocation to bank loans detracted from performance relative to its Lipper category competitors, which invest primarily in high yield bonds. The Fund’s positions in common stocks, convertible bonds and preferred securities (approximately 2% of the portfolio) had a negative impact, as did its underexposure to higher-quality, non-investment grade issues.

 

 

Conversely, the Fund’s heavy exposure to names in energy and metals and mining contributed positively to performance as these sectors are more stable and therefore outperformed the more cyclical sectors when the market declined. Limited exposure to the lower-quality tiers of speculative-grade credits also proved beneficial.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund shifted positioning to a more conservative stance by reducing its holdings in the more cyclical sectors and increasing exposure to sectors exhibiting stable cash flows, earnings visibility, and attractive downside protection.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 53% of its total portfolio in floating rate loan interests (bank loans), 43% in corporate bonds, 2% in common stocks and the remainder in asset-backed securities and other interests. The Fund held a negligible cash position. From a sector perspective, the Fund held large exposures to the paper, chemicals and independent energy sectors, while its exposures to technology, automotive and gaming names were limited. The Fund ended the period with leverage at 26% 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

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

 

BlackRock Debt Strategies Fund, Inc.


 

 

 

Fund Information

 

 

 

 

 

Symbol on NYSE

 

DSU

Initial Offering Date

 

March 27, 1998

Yield on Closing Market Price as of August 31, 2011 ($3.98)1

 

8.14%

Current Monthly Distribution per Common Share2

 

$0.027

Current Annualized Distribution per Common Share2

 

$0.324

Leverage as of August 31, 20113

 

26%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Change

 

High

 

Low

 

Market Price

 

$

3.98

 

$

4.05

 

 

(1.73

)%

$

4.43

 

$

3.45

 

Net Asset Value

 

$

3.96

 

$

4.28

 

 

(7.48

)%

$

4.31

 

$

3.91

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Floating Rate Loan Interests

 

53

%

 

53

%

 

Corporate Bonds

 

43

 

 

43

 

 

Common Stocks

 

2

 

 

1

 

 

Asset-Backed Securities

 

1

 

 

2

 

 

Other Interests

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

BBB/Baa

 

6

%

 

7

%

 

BB/Ba

 

30

 

 

29

 

 

B

 

46

 

 

45

 

 

CCC/Caa

 

9

 

 

11

 

 

D

 

1

 

 

 

 

Not Rated

 

8

 

 

8

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

9




 

 

 

 

Fund Summary as of August 31, 2011

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

 

Investment Objective

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

 

 

 

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

 

 

 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

 

For the six months ended August 31, 2011, the Fund returned (11.01)% based on market price and (4.85)% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (11.93)% based on market price and (5.66)% 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?

 

 

Floating rate loan interests (i.e., bank loans) suffered along with other risk assets as macroeconomic headwinds intensified and investor confidence waned during the period. Although the bank loan market generally advanced over the first five months of the period, a surge of volatility in August more than reversed those gains. Within the Fund, security selection in consumer services had a negative impact on performance. The Fund’s use of leverage hurt returns (on an absolute basis) as the bank loan sector underperformed relative to other fixed income sectors. In addition, the Fund’s bias to higher-quality pockets of the loan market proved a disadvantage when the markets corrected in August. Selling in the bank loan market was concentrated in higher-quality loan instruments as they tend to be more liquid and have better pricing transparency.

 

 

The Fund maintains a relatively conservative portfolio, weighted toward higher-quality non-investment grade investments. This investment style along with the Fund’s bottom-up process for security selection was the largest contributor to performance for the period. Security selection within chemicals along with low exposure and positive selection in media non-cable had a positive impact. From an asset allocation perspective, the Fund’s exposure to high yield bonds was beneficial as the sector outperformed bank loans.

 

 

 

Describe recent portfolio activity.

 

 

During the period, the Fund maintained its higher-quality bias in terms of structure, overall credit quality and liquidity. Prior to the market correction in August, the Fund reduced exposure to some of the lower-quality holdings and increased the level of cash. While transitioning the overall portfolio to a more conservative stance, Fund management continued to seek investment opportunities across the new-issue market, albeit cautiously, targeting issuers with superior credit fundamentals (i.e., stable income streams and attractive downside protection).

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 81% of its total portfolio in floating rate loan interests (bank loans) and 16% in corporate bonds, with the remainder in asset-backed securities, other interests and cash. From a sector perspective, the Fund held large exposures to the non-captive diversified (industrials), chemicals and wireless sectors, while its exposures to consumer products, media non-cable and technology were limited. The Fund ended the period with leverage at 27% 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

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

BlackRock Floating Rate Income Strategies Fund II, Inc.


 

 

Fund Information

 

 

 

Symbol on NYSE

FRB

Initial Offering Date

July 30, 2004

Yield on Closing Market Price as of August 31, 2011 ($12.25)1

7.15%

Current Monthly Distribution per Common Share2

$0.073

Current Annualized Distribution per Common Share2

$0.876

Leverage as of August 31, 20113

27%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Change

 

High

 

Low

 

Market Price

 

$

12.25

 

$

14.22

 

 

(13.85

)%

$

14.79

 

$

11.79

 

Net Asset Value

 

$

12.96

 

$

14.07

 

 

(7.89

)%

$

14.12

 

$

12.73

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Floating Rate Loan Interests

 

81

%

 

81

%

 

Corporate Bonds

 

16

 

 

15

 

 

Asset-Backed Securities

 

2

 

 

3

 

 

Other Interests

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

BBB/Baa

 

8

%

 

7

%

 

BB/Ba

 

33

 

 

34

 

 

B

 

46

 

 

42

 

 

CCC/Caa

 

7

 

 

8

 

 

Not Rated

 

6

 

 

9

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

11




 

 

 

 

Fund Summary as of August 31, 2011

BlackRock Senior High Income Fund, Inc.

 

 

 

 

Investment Objective

 

BlackRock Senior High Income Fund, Inc.’s (ARK) (the “Fund”) investment objective is to provide high current income by investing principally in senior debt obligations of companies, including corporate loans made by banks and other financial institutions and both privately placed and publicly offered corporate bonds and notes. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

 

 

Portfolio Management Commentary

 

 

 

How did the Fund perform?

 

 

For the six months ended August 31, 2011, the Fund returned (6.20)% based on market price and (2.18)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 1.40% based on market price and (2.67)% 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 invests in both high yield bonds and floating rate loan interests (i.e., bank loans). Both of these sectors generated negative returns for the period as investors fled riskier assets due to concerns about the debt crisis in Europe and slowing economic growth in the US. Bank loans underperformed high yield bonds as interest rates fell and the Fed signaled that it is likely to maintain low short-term interest rates for an extended period. The Fund’s large allocation to bank loans detracted from performance relative to its Lipper category competitors, which invest primarily in high yield bonds. The Fund’s positions in common stocks, convertible bonds and preferred securities (approximately 3% of the portfolio) had a negative impact, as did its underexposure to higher-quality, non-investment grade issues.

 

 

Conversely, the Fund’s heavy exposure to names in energy and metals & mining contributed positively to performance as these sectors are more stable and therefore outperformed the more cyclical sectors when the market declined. Limited exposure to the lower-quality tiers of speculative-grade credits also proved beneficial.

 

 

 

Describe recent portfolio activity.

 

 

Over the period, the Fund shifted positioning to a more conservative stance by reducing its holdings in the more cyclical sectors and increasing exposure to sectors exhibiting stable cash flows, earnings visibility, and attractive downside protection.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Fund held 54% of its total portfolio in floating rate loan interests (bank loans) and 43% in corporate bonds, with the remainder in asset-backed securities, common stocks and other interests. The Fund held a negligible cash position. From a sector perspective, the Fund held large exposures to the non-captive diversified (industrials), chemicals and independent energy sectors, while its exposures to technology, automotive and electric names were limited. The Fund ended the period with 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

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

BlackRock Senior High Income Fund, Inc.


 

 

Fund Information

 

 

 

Symbol on NYSE

ARK

Initial Offering Date

April 30, 1993

Yield on Closing Market Price as of August 31, 2011 ($3.78)1

7.94%

Current Monthly Distribution per Common Share2

$0.025

Current Annualized Distribution per Common Share2

$0.300

Leverage as of August 31, 20113

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Change

 

High

 

Low

 

Market Price

 

$

3.78

 

$

4.18

 

 

(9.57

)%

$

4.31

 

$

3.42

 

Net Asset Value

 

$

3.98

 

$

4.22

 

 

(5.69

)%

$

4.27

 

$

3.90

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

Floating Rate Loan Interests

 

54

%

 

53

%

 

Corporate Bonds

 

43

 

 

43

 

 

Asset-Backed Securities

 

1

 

 

2

 

 

Other Interests

 

1

 

 

1

 

 

Common Stocks

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

2/28/11

 

BBB/Baa

 

8

%

 

9

%

 

BB/Ba

 

34

 

 

31

 

 

B

 

48

 

 

49

 

 

CCC/Caa

 

3

 

 

3

 

 

Not Rated

 

7

 

 

8

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

13




 

 

The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance the yield and NAV. However, these objectives cannot be achieved in all interest rate environments.

The Funds may utilize leverage by borrowing through a credit facility. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it issues debt securities for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays interest expense on the $30 million of debt securities based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from 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’ NAV positively or negatively in addition to the impact on Fund performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Funds, 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, each Fund’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times 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, the Funds are permitted to borrow through their credit facility up to 33⅓% of their total managed assets. As of August 31, 2011, the Funds had outstanding leverage from borrowings as a percentage of their total managed assets as follows:

 

 

 

Percent of
Leverage

COY

22%

CYE

24%

DSU

26%

FRB

27%

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

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Schedule of Investments August 31, 2011 (Unaudited)

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Dana Holding Corp. (a)

 

 

38,340

 

$

488,835

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

26,900

 

 

332,484

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc.

 

 

240

 

 

780

 

Wellman Inc. (acquired 1/30/09, cost $277) (a)(b)

 

 

1,185

 

 

3,851

 

 

 

 

 

 

 

4,631

 

Communications Equipment — 0.4%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

18,513

 

 

1,047,651

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc (a)

 

 

3,634

 

 

28,800

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

175,652,403

 

 

1,982,589

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

67,974

 

 

748

 

Media — 1.4%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

43,324

 

 

236,116

 

Charter Communications, Inc. (a)

 

 

59,916

 

 

2,988,610

 

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

 

 

8,934

 

 

102,294

 

 

 

 

 

 

 

3,327,020

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

40,400

 

 

336,104

 

Oil, Gas & Consumable Fuels — 0.2%

 

 

 

 

 

 

 

Marathon Petroleum Corp.

 

 

9,750

 

 

361,335

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (c)

 

 

41,686

 

 

85,134

 

Ainsworth Lumber Co. Ltd.

 

 

36,744

 

 

75,042

 

Western Forest Products, Inc. (a)

 

 

147,968

 

 

99,723

 

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

 

 

41,528

 

 

27,988

 

 

 

 

 

 

 

287,887

 

Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

60,342

 

 

905,733

 

SunPower Corp., Class B (a)

 

 

123

 

 

1,458

 

 

 

 

 

 

 

907,191

 

Software — 0.1%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

468

 

 

2

 

HMH Holdings/EduMedia (a)

 

 

82,415

 

 

164,830

 

 

 

 

 

 

 

164,832

 

Total Common Stocks — 3.9%

 

 

 

 

 

9,270,107

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc. (c):

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

320

 

 

300,800

 

7.13%, 3/15/21

 

 

355

 

 

333,700

 

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

 

 

716

 

 

735,690

 

 

 

 

 

 

 

1,370,190

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

Value

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

USD

631

 

$

656,486

 

Series 2, 12.38%, 8/16/15

 

 

631

 

 

656,482

 

 

 

 

 

 

 

1,312,968

 

Airlines — 3.1%

 

 

 

 

 

 

 

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

 

 

820

 

 

787,200

 

American Airlines, Inc.:

 

 

 

 

 

 

 

10.50%, 10/15/12

 

 

870

 

 

897,188

 

7.50%, 3/15/16 (c)

 

 

140

 

 

126,700

 

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

 

 

390

 

 

390,000

 

Series 2011-1-B, 7.00%, 1/31/18 (c)

 

 

368

 

 

316,099

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

540

 

 

526,500

 

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

 

 

382

 

 

376,195

 

Series 2010-1-B, 6.00%, 1/12/19

 

 

400

 

 

370,000

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

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

 

 

447

 

 

402,300

 

Series B, 9.75%, 12/17/16

 

 

678

 

 

695,312

 

US Airways Pass-Through Trust, 10.88%, 10/22/14

 

 

630

 

 

614,250

 

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

 

 

1,964

 

 

2,052,547

 

 

 

 

 

 

 

7,554,291

 

Auto Components — 2.1%

 

 

 

 

 

 

 

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

 

 

220

 

 

231,550

 

B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c)

 

 

190

 

 

176,700

 

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

 

 

150

 

 

144,750

 

Ford Motor Co., 7.45%, 7/16/31

 

 

700

 

 

767,461

 

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

 

 

2,995

 

 

3,024,950

 

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

 

 

240

 

 

235,800

 

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

 

 

430

 

 

451,500

 

 

 

 

 

 

 

5,032,711

 

Beverages — 0.2%

 

 

 

 

 

 

 

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

 

 

245

 

 

253,575

 

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

 

EUR

225

 

 

311,900

 

 

 

 

 

 

 

565,475

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

331

 

 

336,330

 

Building Products — 1.3%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

410

 

 

410,000

 

6.75%, 5/01/21

 

 

1,150

 

 

1,101,125

 

Griffon Corp., 7.13%, 4/01/18 (c)

 

 

390

 

 

368,550

 

Momentive Performance Materials, Inc.:

 

 

 

 

 

 

 

11.50%, 12/01/16

 

 

435

 

 

430,650

 

9.00%, 1/15/21 (c)

 

 

905

 

 

773,775

 

 

 

 

 

 

 

3,084,100

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

 

470

 

 

466,701

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (e)

 

 

805

 

 

925,750

 

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

 

 

226

 

 

270,070

 

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

 

 

600

 

 

638,372

 

 

 

 

 

 

 

2,300,893

 


 

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

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

LIBOR

London Interbank Offered Rate

PIK

Payment-In-Kind

SPDR

Standard and Poor’s Depository Receipts

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

15




 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Chemicals — 3.7%

 

 

 

 

 

 

 

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

 

USD

800

 

$

786,000

 

American Rock Salt Co. LLC, 8.25%, 5/01/18 (c)

 

 

126

 

 

116,865

 

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

 

 

900

 

 

902,250

 

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

 

 

345

 

 

354,487

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

430

 

 

402,050

 

9.00%, 11/15/20 (c)

 

 

285

 

 

248,663

 

Huntsman International LLC (c):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

260

 

 

369,755

 

8.63%, 3/15/21

 

USD

155

 

 

161,781

 

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

 

 

385

 

 

389,812

 

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

 

 

115

 

 

110,400

 

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

 

EUR

533

 

 

723,544

 

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

 

USD

1,135

 

 

1,266,944

 

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

 

 

170

 

 

175,525

 

OXEA Finance/Cy SCA (c):

 

 

 

 

 

 

 

9.50%, 7/15/17

 

 

108

 

 

106,920

 

9.63%, 7/15/17

 

EUR

385

 

 

541,992

 

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

 

USD

500

 

 

438,750

 

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

 

 

200

 

 

206,000

 

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

 

 

310

 

 

317,750

 

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

 

 

 

 

 

 

 

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

 

 

790

 

 

1,098,100

 

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

 

 

272

 

 

193,182

 

 

 

 

 

 

 

8,910,770

 

Commercial Banks — 2.4%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/15

 

 

510

 

 

507,450

 

7.00%, 5/01/16

 

 

1,825

 

 

1,815,875

 

7.00%, 5/01/17

 

 

3,030

 

 

2,992,125

 

7.00%, 5/02/17 (c)

 

 

470

 

 

464,125

 

 

 

 

 

 

 

5,779,575

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

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

 

 

695

 

 

760,156

 

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

 

 

500

 

 

493,390

 

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

 

 

480

 

 

452,400

 

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

 

 

610

 

 

587,125

 

Clean Harbors, Inc., 7.63%, 8/15/16 (c)

 

 

320

 

 

338,400

 

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

 

 

335

 

 

325,788

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

555

 

 

596,625

 

8.25%, 2/01/21

 

 

800

 

 

746,000

 

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

 

 

310

 

 

310,000

 

West Corp., 8.63%, 10/01/18 (c)

 

 

125

 

 

121,875

 

 

 

 

 

 

 

4,731,759

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

9.75%, 11/01/15

 

 

410

 

 

348,500

 

10.13%, 11/01/15 (e)

 

 

600

 

 

518,250

 

7.00%, 4/01/19 (c)

 

 

470

 

 

423,000

 

EH Holding Corp. (c):

 

 

 

 

 

 

 

6.50%, 6/15/19

 

 

340

 

 

340,000

 

7.63%, 6/15/21

 

 

240

 

 

238,800

 

 

 

 

 

 

 

1,868,550

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

100

 

 

134,313

 

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

 

USD

175

 

 

173,687

 

 

 

 

 

 

 

308,000

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Calcipar SA, 6.88%, 5/01/18 (c)

 

USD

315

 

$

298,463

 

Xefin Lux SCA, 8.00%, 6/01/18 (c)

 

EUR

233

 

 

307,928

 

 

 

 

 

 

 

606,391

 

Consumer Finance — 1.2%

 

 

 

 

 

 

 

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

 

USD

640

 

 

648,000

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.00%, 1/13/12 (h)

 

 

195

 

 

195,004

 

7.80%, 6/01/12

 

 

200

 

 

206,005

 

7.00%, 4/15/15

 

 

1,710

 

 

1,825,425

 

6.63%, 8/15/17

 

 

131

 

 

137,143

 

 

 

 

 

 

 

3,011,577

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

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

 

EUR

435

 

 

585,823

 

Berry Plastics Corp., 8.25%, 11/15/15

 

USD

125

 

 

128,750

 

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

 

EUR

244

 

 

306,693

 

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

 

USD

340

 

 

357,000

 

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

 

EUR

152

 

 

207,431

 

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

 

USD

390

 

 

358,800

 

Rock-Tenn Co., 9.25%, 3/15/16

 

 

50

 

 

52,500

 

Smurfit Kappa Acquisitions (c):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

465

 

 

641,254

 

7.75%, 11/15/19

 

 

296

 

 

406,070

 

 

 

 

 

 

 

3,044,321

 

Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

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

 

USD

2,800

 

 

2,926,000

 

Diversified Financial Services — 5.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

350

 

 

360,500

 

8.30%, 2/12/15

 

 

530

 

 

556,500

 

6.25%, 12/01/17 (c)

 

 

480

 

 

461,720

 

8.00%, 3/15/20

 

 

320

 

 

323,200

 

7.50%, 9/15/20

 

 

620

 

 

609,150

 

8.00%, 11/01/31

 

 

1,295

 

 

1,265,862

 

8.00%, 11/01/31

 

 

810

 

 

779,164

 

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

 

 

410

 

 

427,425

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

100

 

 

110,624

 

9.88%, 4/30/18

 

GBP

130

 

 

170,934

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.13%, 1/15/13

 

EUR

550

 

 

792,051

 

4.75%, 1/19/15

 

 

310

 

 

405,237

 

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

 

USD

450

 

 

447,750

 

KION Finance SA, 7.88%, 4/15/18 (c)

 

EUR

146

 

 

174,075

 

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

 

USD

1,120

 

 

1,202,600

 

Reynolds Group DL Escrow, Inc.,
8.50%, 10/15/16 (c)

 

 

425

 

 

434,562

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (c)

 

EUR

350

 

 

487,692

 

8.75%, 10/15/16

 

 

502

 

 

699,490

 

7.13%, 4/15/19 (c)

 

USD

230

 

 

217,925

 

9.00%, 4/15/19 (c)

 

 

245

 

 

220,500

 

7.88%, 8/15/19 (c)

 

 

1,010

 

 

999,900

 

9.88%, 8/15/19 (c)

 

 

415

 

 

390,100

 

8.25%, 2/15/21 (c)

 

 

680

 

 

572,900

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

110

 

 

112,200

 

11.50%, 10/01/18

 

 

535

 

 

486,850

 

 

 

 

 

 

 

12,708,911

 


 

 

 

See Notes to Financial Statements.

 

 

 

16

SEMI-ANNUAL REPORT

AUGUST 31, 2011



 

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Diversified Telecommunication Services — 4.5%

 

 

 

 

 

 

 

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

 

USD

1,000

 

$

860,000

 

GCI, Inc., 6.75%, 6/01/21 (c)

 

 

264

 

 

260,040

 

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

 

 

260

 

 

266,500

 

Level 3 Escrow, Inc., 8.13%, 7/01/19 (c)

 

 

2,474

 

 

2,350,300

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

9.25%, 11/01/14

 

 

77

 

 

77,963

 

8.75%, 2/15/17

 

 

525

 

 

514,500

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,490

 

 

2,521,125

 

8.00%, 10/01/15

 

 

610

 

 

651,175

 

Series B, 7.50%, 2/15/14

 

 

1,575

 

 

1,594,687

 

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

 

 

500

 

 

556,250

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

400

 

 

425,000

 

7.88%, 11/01/17

 

 

690

 

 

725,362

 

 

 

 

 

 

 

10,802,902

 

Electric Utilities — 0.6%

 

 

 

 

 

 

 

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

 

EUR

1,100

 

 

1,351,029

 

Electronic Equipment, Instruments &
Components — 0.6%

 

 

 

 

 

 

 

CDW LLC:

 

 

 

 

 

 

 

11.00%, 10/12/15

 

USD

10

 

 

10,200

 

11.50%, 10/12/15 (e)

 

 

610

 

 

622,200

 

8.00%, 12/15/18 (c)

 

 

380

 

 

376,200

 

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

 

EUR

105

 

 

138,764

 

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

 

USD

215

 

 

242,412

 

 

 

 

 

 

 

1,389,776

 

Energy Equipment & Services — 1.6%

 

 

 

 

 

 

 

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

 

 

150

 

 

145,875

 

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

 

 

225

 

 

218,250

 

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

 

 

235

 

 

236,175

 

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

 

 

405

 

 

392,850

 

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

 

 

1,045

 

 

1,081,575

 

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

 

 

415

 

 

406,700

 

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

 

 

530

 

 

530,000

 

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

 

 

290

 

 

290,000

 

SunCoke Energy, Inc., 7.63%, 8/01/19 (c)

 

 

205

 

 

201,413

 

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

 

 

342

 

 

359,100

 

 

 

 

 

 

 

3,861,938

 

Food Products — 0.4%

 

 

 

 

 

 

 

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

 

 

220

 

 

238,150

 

Del Monte Foods Co., 7.63%, 2/15/19 (c)

 

 

275

 

 

272,937

 

JBS USA LLC, 7.25%, 6/01/21 (c)

 

 

85

 

 

77,244

 

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

 

 

410

 

 

372,075

 

 

 

 

 

 

 

960,406

 

Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

2,130

 

 

2,201,888

 

7.75%, 4/15/18 (c)

 

 

95

 

 

88,350

 

ExamWorks Group, Inc., 9.00%, 7/15/19 (c)

 

 

260

 

 

245,050

 

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

 

 

500

 

 

557,500

 

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

 

 

270

 

 

267,975

 

 

 

 

 

 

 

3,360,763

 

Health Care Providers & Services — 5.9%

 

 

 

 

 

 

 

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

 

 

380

 

 

378,100

 

ConvaTec Healthcare E SA (c):

 

 

 

 

 

 

 

7.38%, 12/15/17

 

EUR

400

 

 

517,140

 

10.50%, 12/15/18

 

USD

240

 

 

218,400

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

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

 

GBP

331

 

$

483,584

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

280

 

 

305,200

 

6.50%, 2/15/20

 

 

1,125

 

 

1,137,656

 

7.25%, 9/15/20

 

 

2,695

 

 

2,769,112

 

7.50%, 2/15/22

 

 

1,180

 

 

1,168,200

 

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

 

 

695

 

 

608,125

 

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

 

 

375

 

 

346,875

 

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

 

 

395

 

 

356,488

 

Omnicare, Inc.:

 

 

 

 

 

 

 

6.13%, 6/01/13

 

 

14

 

 

14,140

 

6.88%, 12/15/15

 

 

268

 

 

273,360

 

7.75%, 6/01/20

 

 

580

 

 

591,600

 

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

 

 

315

 

 

292,950

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,587

 

 

1,682,220

 

10.00%, 5/01/18

 

 

752

 

 

827,200

 

8.88%, 7/01/19

 

 

2,010

 

 

2,130,600

 

 

 

 

 

 

 

14,100,950

 

Health Care Technology — 1.3%

 

 

 

 

 

 

 

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

 

 

2,235

 

 

2,570,250

 

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

 

 

485

 

 

468,025

 

 

 

 

 

 

 

3,038,275

 

Hotels, Restaurants & Leisure — 1.5%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.,
11.25%, 6/01/17

 

 

150

 

 

161,625

 

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

 

EUR

50

 

 

62,488

 

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

 

USD

1,100

 

 

1,067,000

 

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

 

 

165

 

 

140,662

 

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

 

GBP

296

 

 

365,178

 

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

 

USD

270

 

 

224,100

 

MGM Mirage, 13.00%, 11/15/13

 

 

90

 

 

103,162

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

235

 

 

257,912

 

11.13%, 11/15/17

 

 

780

 

 

869,700

 

Travelport LLC:

 

 

 

 

 

 

 

4.95%, 9/01/14 (h)

 

 

165

 

 

125,812

 

9.88%, 9/01/14

 

 

35

 

 

29,838

 

9.00%, 3/01/16

 

 

110

 

 

88,275

 

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

 

 

315

 

 

32

 

 

 

 

 

 

 

3,495,784

 

Household Durables — 2.6%

 

 

 

 

 

 

 

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

 

 

380

 

 

307,800

 

Ashton Woods USA LLC, 21.44%, 6/30/15 (c)(j)

 

 

805

 

 

577,587

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.13%, 6/15/16

 

 

295

 

 

207,975

 

12.00%, 10/15/17

 

 

1,425

 

 

1,446,375

 

9.13%, 6/15/18

 

 

420

 

 

291,375

 

Ideal Standard International, 11.75%, 5/01/18 (c)

 

EUR

139

 

 

153,749

 

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

 

 

285

 

 

386,886

 

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

 

USD

555

 

 

477,300

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

1,285

 

 

1,272,150

 

8.38%, 5/15/18

 

 

250

 

 

219,375

 

8.38%, 1/15/21

 

 

535

 

 

460,100

 

United Rentals North America, Inc., 8.38%, 9/15/20

 

 

395

 

 

360,437

 

 

 

 

 

 

 

6,161,109

 

Household Products — 0.1%

 

 

 

 

 

 

 

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

 

EUR

130

 

 

167,137

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

17



 

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

IT Services — 2.0%

 

 

 

 

 

 

 

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

 

USD

670

 

$

616,400

 

First Data Corp. (c):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

800

 

 

752,000

 

8.88%, 8/15/20

 

 

495

 

 

490,050

 

12.63%, 1/15/21

 

 

1,938

 

 

1,831,410

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

540

 

 

514,350

 

7.63%, 11/15/20

 

 

550

 

 

525,250

 

 

 

 

 

 

 

4,729,460

 

Independent Power Producers &
Energy Traders — 2.8%

 

 

 

 

 

 

 

AES Corp., 7.38%, 7/01/21 (c)

 

 

785

 

 

792,850

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.50%, 2/15/21

 

 

180

 

 

181,800

 

7.88%, 1/15/23

 

 

585

 

 

596,700

 

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

 

 

3,115

 

 

3,127,058

 

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

 

 

161

 

 

162,428

 

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

 

 

1,995

 

 

1,975,050

 

 

 

 

 

 

 

6,835,886

 

Industrial Conglomerates — 2.7%

 

 

 

 

 

 

 

Alba Group Plc & Co., KG, 8.00%, 5/15/18 (c)

 

EUR

107

 

 

149,863

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

2,190

 

 

2,277,600

 

13.50%, 12/01/15

 

 

3,759

 

 

3,984,277

 

 

 

 

 

 

 

6,411,740

 

Insurance — 1.3%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,640,000

 

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

 

 

339

 

 

352,560

 

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

 

 

390

 

 

346,136

 

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

 

 

235

 

 

225,600

 

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

 

 

630

 

 

563,850

 

 

 

 

 

 

 

3,128,146

 

Machinery — 1.3%

 

 

 

 

 

 

 

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

 

 

900

 

 

788,625

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (f)

 

 

1,810

 

 

1,997,788

 

8.25%, 11/01/21

 

 

140

 

 

144,900

 

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

 

 

30

 

 

30,825

 

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

 

 

160

 

 

166,800

 

 

 

 

 

 

 

3,128,938

 

Media — 14.6%

 

 

 

 

 

 

 

AMC Entertainment, Inc., 9.75%, 12/01/20

 

 

160

 

 

154,400

 

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

 

 

205

 

 

212,175

 

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

 

 

745

 

 

659,325

 

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

 

 

2,982

 

 

3,444,630

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.25%, 10/30/17

 

 

40

 

 

41,250

 

7.88%, 4/30/18

 

 

100

 

 

104,000

 

6.50%, 4/30/21

 

 

721

 

 

704,777

 

CMP Susquehanna Corp., 3.42%, 5/15/14 (c)(h)

 

 

150

 

 

142,500

 

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

 

 

370

 

 

400,525

 

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

 

 

555

 

 

555,000

 

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

 

 

590

 

 

454,300

 

Checkout Holding Corp., 10.69%, 11/15/15 (c)(g)

 

 

615

 

 

362,850

 

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

 

 

355

 

 

382,513

 

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

 

 

500

 

 

402,500

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,404

 

 

1,488,240

 

Series B, 9.25%, 12/15/17

 

 

5,160

 

 

5,521,200

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

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

 

 

630

 

 

650,077

 

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

 

 

720

 

 

743,225

 

Shares Loan, 4.00%, 8/15/18

 

 

743

 

 

766,526

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Cumulus Media, Inc., 7.75%, 5/01/19 (c)

 

USD

120

 

$

105,300

 

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

 

 

90

 

 

94,388

 

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

 

 

900

 

 

868,500

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (h)

 

 

330

 

 

245,850

 

9.50%, 5/15/15

 

 

290

 

 

236,350

 

Intelsat Luxemburg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

1,010

 

 

1,055,450

 

11.25%, 2/04/17

 

 

320

 

 

310,400

 

11.50%, 2/04/17 (e)

 

 

360

 

 

349,650

 

11.50%, 2/04/17 (c)(e)

 

 

820

 

 

796,425

 

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

 

 

945

 

 

1,001,700

 

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

 

 

315

 

 

362,250

 

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

 

EUR

613

 

 

862,964

 

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

 

 

315

 

 

443,041

 

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

 

USD

675

 

 

649,688

 

Musketeer GmbH, 9.50%, 3/15/21

 

EUR

385

 

 

553,053

 

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

 

USD

570

 

 

575,700

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

45

 

 

50,963

 

7.75%, 10/15/18

 

 

2,085

 

 

2,152,762

 

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

 

GBP

189

 

 

280,725

 

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

 

USD

460

 

 

450,800

 

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

 

 

812

 

 

406

 

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

 

 

305

 

 

308,050

 

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

 

 

500

 

 

522,500

 

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

 

EUR

753

 

 

962,700

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

 

158

 

 

228,669

 

9.63%, 12/01/19 (c)

 

 

530

 

 

767,056

 

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

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

407

 

 

587,579

 

8.13%, 12/01/17

 

USD

540

 

 

550,800

 

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

 

GBP

537

 

 

902,222

 

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

 

EUR

343

 

 

482,865

 

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

 

 

735

 

 

1,029,432

 

 

 

 

 

 

 

34,978,251

 

Metals & Mining — 4.2%

 

 

 

 

 

 

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (c)

 

USD

245

 

 

250,513

 

7.38%, 2/15/16

 

 

190

 

 

192,850

 

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

 

 

1,140

 

 

1,137,150

 

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

 

 

970

 

 

1,276,763

 

JMC Steel Group, 8.25%, 3/15/18 (c)

 

 

185

 

 

180,838

 

James River Escrow, Inc., 7.88%, 4/01/19 (c)

 

 

200

 

 

181,000

 

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

 

EUR

627

 

 

860,155

 

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

 

USD

1,345

 

 

1,953,612

 

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

 

 

3,235

 

 

3,404,837

 

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

 

 

300

 

 

284,250

 

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

 

 

245

 

 

233,975

 

Vulcan Materials Co., 7.50%, 6/15/21

 

 

151

 

 

148,722

 

 

 

 

 

 

 

10,104,665

 

Multiline Retail — 1.8%

 

 

 

 

 

 

 

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

 

 

4,007

 

 

4,437,753

 

Oil, Gas & Consumable Fuels — 9.7%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

285

 

 

278,588

 

6.25%, 6/01/21

 

 

920

 

 

900,450

 


 

 

 

See Notes to Financial Statements.


18


SEMI-ANNUAL REPORT


AUGUST 31, 2011



 

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

7.25%, 10/01/20

 

USD

310

 

$

305,350

 

7.25%, 6/15/21 (c)

 

 

785

 

 

773,225

 

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

 

 

470

 

 

485,275

 

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

 

 

40

 

 

43,900

 

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

 

 

120

 

 

122,400

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

876

 

 

915,420

 

6.13%, 2/15/21

 

 

505

 

 

512,575

 

2.25%, 12/15/38 (f)

 

 

775

 

 

689,750

 

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

 

 

243

 

 

257,580

 

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

 

 

375

 

 

384,375

 

Connacher Oil and Gas Ltd., 8.50%, 8/01/19 (c)

 

 

310

 

 

251,100

 

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

 

 

1,800

 

 

1,935,000

 

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

 

 

340

 

 

350,200

 

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

 

 

305

 

 

303,475

 

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

 

 

165

 

 

170,775

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

652

 

 

687,045

 

6.38%, 8/15/21

 

 

320

 

 

313,600

 

EV Energy Partners LP, 8.00%, 4/15/19 (c)

 

 

140

 

 

137,200

 

Energy XXI Gulf Coast, Inc. (c):

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

390

 

 

399,750

 

7.75%, 6/15/19

 

 

815

 

 

766,100

 

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

 

 

335

 

 

319,088

 

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

 

 

710

 

 

717,100

 

Linn Energy LLC (c):

 

 

 

 

 

 

 

6.50%, 5/15/19

 

 

230

 

 

219,650

 

8.63%, 4/15/20

 

 

1,005

 

 

1,075,350

 

7.75%, 2/01/21

 

 

395

 

 

402,900

 

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

 

 

120

 

 

123,000

 

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

 

 

1,705

 

 

1,722,050

 

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

 

 

3,625

 

 

3,634,062

 

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

 

 

300

 

 

294,000

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

350

 

 

395,500

 

7.88%, 6/01/15

 

 

450

 

 

486,000

 

7.25%, 8/15/18

 

 

290

 

 

338,212

 

Pioneer Natural Resources Co., 6.88%, 5/01/18

 

 

95

 

 

102,901

 

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

 

 

275

 

 

275,000

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

400

 

 

435,000

 

5.75%, 6/01/21

 

 

310

 

 

311,550

 

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

 

 

260

 

 

260,000

 

SandRidge Energy, Inc., 7.50%, 3/15/21 (c)

 

 

835

 

 

814,125

 

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

 

 

510

 

 

495,975

 

 

 

 

 

 

 

23,404,596

 

Paper & Forest Products — 2.5%

 

 

 

 

 

 

 

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

 

 

354

 

 

247,611

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

115

 

 

122,188

 

8.00%, 4/01/20

 

 

140

 

 

143,150

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

370

 

 

405,150

 

7.13%, 11/01/18 (c)

 

 

535

 

 

537,675

 

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

 

 

1,525

 

 

1,741,562

 

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

 

 

315

 

 

311,850

 

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

 

 

1,935

 

 

1,702,800

 

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

 

 

120

 

 

106,800

 

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

 

 

707

 

 

749,420

 

 

 

 

 

 

 

6,068,206

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c)

 

EUR

200

 

$

275,808

 

Endo Pharmaceuticals Holdings, Inc.,
7.00%, 7/15/19 (c)

 

USD

170

 

 

172,125

 

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

 

 

780

 

 

741,000

 

 

 

 

 

 

 

1,188,933

 

Professional Services — 0.3%

 

 

 

 

 

 

 

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

 

 

850

 

 

838,313

 

Real Estate Investment Trusts (REITs) — 1.3%

 

 

 

 

 

 

 

FelCor Lodging LP, 6.75%, 6/01/19 (c)

 

 

1,285

 

 

1,207,900

 

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

 

 

1,500

 

 

1,488,750

 

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

 

 

480

 

 

486,000

 

 

 

 

 

 

 

3,182,650

 

Real Estate Management & Development — 2.2%

 

 

 

 

 

 

 

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

 

 

310

 

 

303,025

 

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

 

 

1,325

 

 

1,275,313

 

Realogy Corp. (c):

 

 

 

 

 

 

 

11.50%, 4/15/17 (h)

 

 

910

 

 

723,450

 

12.00%, 4/15/17

 

 

90

 

 

72,000

 

7.88%, 2/15/19

 

 

2,400

 

 

1,992,000

 

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

 

 

1,025

 

 

866,125

 

 

 

 

 

 

 

5,231,913

 

Road & Rail — 2.0%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC:

 

 

 

 

 

 

 

9.63%, 3/15/18

 

 

475

 

 

485,688

 

8.25%, 1/15/19

 

 

710

 

 

686,925

 

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

 

 

410

 

 

407,950

 

The Hertz Corp. (c):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

595

 

 

583,100

 

6.75%, 4/15/19

 

 

410

 

 

382,325

 

7.38%, 1/15/21

 

 

455

 

 

434,525

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

100

 

 

140,777

 

8.50%, 7/31/15 (c)

 

 

1,225

 

 

1,724,519

 

 

 

 

 

 

 

4,845,809

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

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

 

USD

540

 

 

540,000

 

Specialty Retail — 2.2%

 

 

 

 

 

 

 

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

 

 

335

 

 

329,138

 

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

 

 

490

 

 

494,900

 

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

 

GBP

259

 

 

357,378

 

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

 

USD

745

 

 

839,056

 

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

 

GBP

370

 

 

462,478

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

210

 

 

219,450

 

7.50%, 10/01/19

 

 

565

 

 

608,787

 

7.38%, 10/15/20

 

 

195

 

 

209,625

 

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

 

 

345

 

 

350,175

 

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

 

 

390

 

 

378,300

 

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

 

 

950

 

 

961,875

 

 

 

 

 

 

 

5,211,162

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

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

 

 

398

 

 

374,120

 

Wireless Telecommunication Services — 3.6%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

715

 

 

739,131

 

7.75%, 5/15/16

 

 

306

 

 

309,825

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

635

 

 

635,000

 

9.13%, 1/15/15

 

 

1,711

 

 

1,710,632

 

8.25%, 9/01/17

 

 

1,135

 

 

1,135,000

 

10.50%, 4/15/18

 

 

500

 

 

530,000

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

19




 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

Par
(000)

 

Value

 

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

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

USD

 

311

 

$

193,552

 

Intelsat Jackson Holdings SA, 7.50%, 4/01/21 (c)

 

 

140

 

 

135,450

 

iPCS, Inc., 2.38%, 5/01/13 (h)

 

 

760

 

 

704,900

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

7.88%, 9/01/18

 

 

340

 

 

344,675

 

6.63%, 11/15/20

 

 

850

 

 

794,750

 

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

 

 

344

 

 

350,880

 

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

 

 

1,210

 

 

1,082,950

 

 

 

 

 

 

 

8,666,745

 

Total Corporate Bonds — 103.0%

 

 

 

 

 

247,450,167

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

 

 

 

 

 

 

Airlines — 0.3%

 

 

 

 

 

 

 

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

 

 

675

 

 

622,127

 

Building Products — 0.2%

 

 

 

 

 

 

 

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

 

 

500

 

 

502,500

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan, 5.25%,
12/15/14

 

 

369

 

 

206,424

 

Chemicals — 0.1%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Original
Term Loan Facility (First Lien),
3.48% – 3.51%, 7/30/14

 

 

313

 

 

285,907

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
7.25%, 12/18/17

 

 

1,750

 

 

1,750,000

 

Consumer Finance — 1.5%

 

 

 

 

 

 

 

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

 

 

4,000

 

 

3,705,000

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan, 2.69% – 2.76%,
7/24/14

 

 

77

 

 

71,408

 

Delayed Draw Term Loan, 2.72%, 7/24/14

 

 

8

 

 

7,111

 

 

 

 

 

 

 

78,519

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Level 3 Financing, Inc., Incremental Tranche A Term
Loan, 2.50%, 3/13/14

 

 

475

 

 

438,900

 

Electronic Equipment, Instruments &
Components — 0.0%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Non-Extended Term
Loan, 3.71%, 10/10/14

 

 

110

 

 

103,400

 

Energy Equipment & Services — 0.6%

 

 

 

 

 

 

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Coal Company Term Loan, 9.25%, 8/04/16

 

 

530

 

 

519,661

 

Gas Company Term Loan, 9.25%, 8/04/16

 

 

970

 

 

951,079

 

 

 

 

 

 

 

1,470,740

 

Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

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

 

 

435

 

 

425,844

 

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

 

 

381

 

 

373,039

 

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

 

 

801

 

 

755,846

 

 

 

 

 

 

 

1,554,729

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 0.4%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc., Term Loan
B-3, 3.25%, 1/28/15

USD

 

341

 

$

293,899

 

Travelport LLC, (FKA Travelport, Inc.), Term Loan,
8.29%, 3/27/12

 

 

1,251

 

 

689,203

 

 

 

 

 

 

 

983,102

 

Independent Power Producers &
Energy Traders — 0.9%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU),
Extended Term Loan, 4.71% – 4.77%, 10/10/17

 

 

2,926

 

 

2,148,176

 

Media — 3.8%

 

 

 

 

 

 

 

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

 

 

1,455

 

 

1,389,525

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
6.21%, 6/12/14

 

 

862

 

 

692,815

 

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

 

 

5,985

 

 

5,730,637

 

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

 

 

1,375

 

 

1,419,688

 

 

 

 

 

 

 

9,232,665

 

Multiline Retail — 0.6%

 

 

 

 

 

 

 

Hema Holding BV, Mezzanine, 9.93%, 7/05/17

EUR

 

1,097

 

 

1,407,026

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

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

USD

 

1,829

 

 

1,810,296

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Term Loan,
6.51% – 7.26%, 2/01/13 (e)

 

 

1,326

 

 

1,140,343

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan, (Second Lien),
5.00%, 6/28/13

 

 

1,383

 

 

1,344,124

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of Credit Loan,
4.44%, 10/10/16

 

 

124

 

 

101,911

 

Extended Term Loan B, 4.52%, 10/10/16

 

 

689

 

 

566,955

 

 

 

 

 

 

 

668,866

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.00%, 5/29/14

 

 

109

 

 

94,562

 

Total Floating Rate Loan Interests — 12.3%

 

 

 

 

 

29,547,406

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 2.6%

 

 

 

 

 

 

 

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

 

 

(l)

 

6,247,969

 

Energy Equipment & Services — 0.6%

 

 

 

 

 

 

 

BLK COY (Luxembourg) Investments, S.a.r.l.
(Laricina Energy Ltd.) (a)(m)

 

 

35

 

 

1,549,759

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (a)

 

 

700

 

 

7

 

Adelphia Recovery Trust (a)

 

 

878

 

 

88

 

 

 

 

 

 

 

95

 

Total Other Interests — 3.2%

 

 

 

 

 

7,797,823

 


 

 

 

See Notes to Financial Statements.

 


20


SEMI-ANNUAL REPORT


AUGUST 31, 2011




 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

Par
(000)

 

Value

 

Insurance — 0.2%

 

 

 

 

 

 

 

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

USD

 

790

 

$

474,000

 

Total Capital Trusts — 0.2%

 

 

 

 

 

474,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

Shares

 

 

 

 

Auto Components — 0.3%

 

 

 

 

 

 

 

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

 

 

6,380

 

 

718,547

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)

 

 

2,883

 

 

2,193,693

 

Media — 0.2%

 

 

 

 

 

 

 

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

 

 

34,982

 

 

297,347

 

Total Preferred Stocks — 1.4%

 

 

 

 

 

3,209,587

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.7%

 

 

 

 

 

 

 

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

 

 

80,890

 

 

1,727,002

 

Total Trust Preferreds — 0.7%

 

 

 

 

 

1,727,002

 

Total Preferred Securities — 2.3%

 

 

 

 

 

5,410,589

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (n)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

29,930

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

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

 

 

88,351

 

 

225,781

 

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

 

 

14,965

 

 

150

 

 

 

 

 

 

 

225,931

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

312

 

 

3

 

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

 

 

9,997

 

 

 

 

 

 

 

 

 

3

 

Total Warrants — 0.1%

 

 

 

 

 

225,934

 

Total Long-Term Investments
(Cost — $309,796,735) — 124.8%

 

 

 

 

 

299,702,026

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.11% (o)(p)

 

 

1,965,816

 

 

1,965,816

 

Total Short-Term Securities
(Cost — $1,965,816) — 0.8%

 

 

 

 

 

1,965,816

 

 

 

 

 

 

 

 

 

Options Purchased

Contracts

 

Value

 

Exchange-Traded Call Options — 0.0%

 

 

412

 

$

5,356

 

E*Trade Financial Corp., Strike Price USD 20.00,
Expires 10/22/11

 

 

412

 

$

5,356

 

Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust, Strike Price USD 120.00,
Expires 9/17/11

 

 

131

 

 

29,478

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

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

 

 

17

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — 0.1%

 

 

 

 

 

 

 

Receive a return based on return of Dow Jones
CDX North America High Yield Index Series 16
and pay a floating rate based on 3-month LIBOR,
Expires 12/21/11, Broker Deutsche Bank
Securities Inc.

 

$

10,000

 

 

100,351

 

Total Options Purchased
(Cost — $244,707) — 0.1%

 

 

 

 

 

135,185

 

Total Investments Before Options Written
(Cost — $312,007,258*) — 125.7%

 

 

 

 

 

301,803,027

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

 

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

E*Trade Financial Corp., Strike Price USD 13.00,
Expires 10/22/11

 

 

412

 

 

(84,460

)

 

 

 

 

 

 

 

 

 

Notional
Amount
(000
)

 

 

 

 

Over-the-Counter Call Swaptions — (0.1)%

 

 

 

 

 

 

 

Pay a return based on return of Dow Jones CDX
North America High Yield Index Series 16 and
receive a floating rate based on 3-month LIBOR,
Expires 9/21/11, Broker Credit
Suisse International

USD

 

10,650

 

 

(2,084

)

Pay a return based on return of Dow Jones CDX
North America High Yield Index Series 16 and
receive a floating rate based on 3-month LIBOR,
Expires 12/21/11, Broker Goldman
Sachs International

 

 

4,000

 

 

(181,742

)

 

 

 

 

 

 

(183,826

)

Over-the-Counter Put Swaptions — (0.3)%

 

 

 

 

 

 

 

Pay a return based on return of Dow Jones CDX
North America High Yield Index Series 16 and
receive a floating rate based on 3-month LIBOR,
Expires 9/21/11, Broker Credit
Suisse International

 

 

2,775

 

 

(90,853

)

Pay a return based on return of Dow Jones CDX
North America High Yield Index Series 16 and
receive a floating rate based on 3-month LIBOR,
Expires 12/21/11, Broker Goldman
Sachs International

 

 

4,000

 

 

(130,653

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

21




 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
     (000)

 

Value

 

Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Pay a return based on return of Dow Jones CDX
North America High Yield Index Series 16 and
receive a floating rate based on 3-month LIBOR,
Expires 12/21/11, Broker Morgan Stanley
Capital Services

 

USD

10,000

 

$

(388,255

)

 

 

 

 

 

 

(609,761

)

Total Options Written
(Premiums Received — $601,636) — (0.4)%

 

 

 

 

 

(878,047

)

Total Investments, Net of Options Written — 125.3%

 

 

 

 

 

300,924,980

 

Liabilities in Excess of Other Assets — (25.3)%

 

 

 

 

 

(60,682,896

)

Net Assets — 100.0%

 

 

 

 

$

240,242,084

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

313,099,853

 

Gross unrealized appreciation

 

$

11,308,144

 

Gross unrealized depreciation

 

 

(22,600,970

)

Net unrealized depreciation

 

$

(11,292,826

)


 

 

(a)

Non-income producing security.

 

 

(b)

Restricted security as to resale. As of report date the Fund held less than 0.1% of its net assets, with a current market value of $3,851 and an original cost of $277, in this security.

 

 

(c)

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

 

 

(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)

Convertible security.

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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

 

 

(j)

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

 

 

(k)

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

 

 

(l)

Amount is less than $500.

 

 

(m)

The investment is held by a wholly owned subsidiary of the Fund.

 

 

(n)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(o)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
August 31,
2011

 

Income

 

BlackRock Liquidity
Funds, TempCash,
Institutional Class

 

 

1,721,866

 

 

243,950

 

 

1,965,816

 

$

1,031

 


 

 

(p)

Represents the current yield as of report date.

 

 

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

Financial futures contracts sold as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

 

Notional
Value

 

 

Unrealized
Depreciation

 

347

 

S&P 500
Index Emini

 

Chicago
Mercantile

 

September
2011

 

$

19,749,027

 

$

(1,378,068

)


 

 

Foreign currency exchange contracts as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

 

Unrealized
Appreciation
(Depreciation)

 

EUR

 

293,000

 

USD

 

421,255

 

Royal Bank of
Scotland

 

9/02/11

 

$

(360

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

192,154

 

CAD

 

190,000

 

Citibank NA

 

10/07/11

 

 

(1,700

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

3,596,799

 

GBP

 

2,251,000

 

Royal Bank of
Scotland

 

10/07/11

 

 

(55,827

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

20,237,444

 

EUR

 

14,117,000

 

Citibank NA

 

10/26/11

 

 

(28,322

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

760,967

 

EUR

 

530,000

 

Deutsche Bank AG

 

10/26/11

 

 

121

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

45,787

 

EUR

 

32,000

 

Morgan Stanley
Capital
Services, Inc.

 

10/26/11

 

 

(151

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

420,982

 

EUR

 

293,000

 

Royal Bank of
Scotland

 

10/26/11

 

 

363

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

 

199,829

 

EUR

 

140,000

 

UBS AG

 

10/26/11

 

 

(1,149

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(87,025

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation
(Depreciation)

 

iStar Financial, Inc.

 

5.00%

 

 

Morgan Stanley
Capital
Services, Inc.

 

9/20/11

 

$

750

 

$

(2,347

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

iStar Financial, Inc.

 

5.00%

 

 

Morgan Stanley
Capital
Services, Inc.

 

9/20/11

 

$

750

 

 

(2,436

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Republic of Hungary

 

1.00%

 

 

Deutsche
Bank AG

 

12/20/15

 

$

280

 

 

5,918

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Israel (State of)

 

1.00%

 

 

Deutsche
Bank AG

 

3/20/16

 

$

625

 

 

(6,428

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beazer Homes
USA Inc.

 

5.00%

 

 

Credit Suisse
Securities
(USA) LLC

 

9/20/16

 

$

125

 

 

(5,472

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beazer Homes
USA Inc.

 

5.00%

 

 

Goldman Sachs
& Co.

 

9/20/16

 

$

175

 

 

11,459

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp

 

5.00%

 

 

Goldman Sachs
& Co.

 

9/20/16

 

$

125

 

 

(9,218

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

iStar Financial, Inc.

 

5.00%

 

 

Deutsche
Bank AG

 

12/20/16

 

$

250

 

 

(20,392

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(28,916

)


 

 

 

See Notes to Financial Statements.

 

 

 

 

22

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

Dow Jones
CDX North America
High Yield Index
Series 16

 

5.00%

 

Credit Suisse
Securities
(USA) LLC

 

6/20/16

 

$

2,100

 

 


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

iStar
Financial, Inc.

 

5.00%

 

 

Deutsche
Bank AG

 

9/20/11

 

B+

 

$

250

 

$

1,583

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

 

Goldman Sachs
International

 

3/20/16

 

B

 

$

500

 

 

(14,585

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

 

Goldman Sachs
International

 

6/20/16

 

B

 

$

300

 

 

(9,383

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

 

Goldman Sachs
International

 

6/20/16

 

B

 

$

300

 

 

(11,486

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

 

Goldman Sachs
International

 

9/20/16

 

B

 

$

350

 

 

(15,369

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(49,240

)


 

 

 

 

 

 

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 the agreement.

 

 

 

Interest rate swaps outstanding as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

3.12

%(a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

8/02/21

 

$

1,320

 

$

11,812

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.09

%(a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

8/03/21

 

$

1,330

 

 

10,135

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.15

%(a)

 

3-month LIBOR

 

Credit Suisse
Securities
(USA) LLC

 

8/11/21

 

$

1,340

 

 

13,759

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.11

%(a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

8/11/21

 

$

1,340

 

 

11,386

 

Total

 

 

 

 

 

 

 

 

 

 

$

47,092

 


 

 

 

 

 

 

(a)

Pays a fixed interest rate and receives floating rate.

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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 Financial Statements.

The following tables summarize the inputs used as of August 31, 2011 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

 

$

7,032,920

 

$

85,137

 

$

2,152,050

 

$

9,270,107

 

Corporate Bonds

 

 

 

 

242,319,052

 

 

5,131,115

 

 

247,450,167

 

Floating Rate
Loan Interests

 

 

 

 

23,768,539

 

 

5,778,867

 

 

29,547,406

 

Other Interests

 

 

88

 

 

6,247,969

 

 

1,549,766

 

 

7,797,823

 

Preferred
Securities

 

 

1,727,002

 

 

3,386,240

 

 

297,347

 

 

5,410,589

 

Warrants

 

 

 

 

 

 

225,934

 

 

225,934

 

Short-Term
Securities

 

 

1,965,816

 

 

 

 

 

 

1,965,816

 

Total

 

$

10,725,826

 

$

275,806,937

 

$

15,135,079

 

$

301,667,842

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

18,960

 

 

 

$

18,960

 

Equity contracts

 

$

34,834

 

 

100,351

 

 

 

 

135,185

 

Foreign currency
exchange
contracts

 

 

 

 

484

 

 

 

 

484

 

Interest rate
contracts

 

 

 

 

47,092

 

 

 

 

47,092

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(97,116

)

 

 

 

(97,116

)

Equity contracts

 

 

(1,462,528

)

 

(793,587

)

 

 

 

(2,256,115

)

Foreign currency
exchange
contracts

 

 

 

 

(87,509

)

 

 

 

(87,509

)

Total

 

$

(1,427,694

)

$

(811,325

)

 

 

$

(2,239,019

)


 

 

 

 

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.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2011

23




 

 

 

Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund, Inc. (COY)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Stocks

 

Warrants

 

Unfunded
Loan
Commitments

 

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

 

 

 

 

12,301

 

 

1,296

 

 

 

 

 

 

 

 

 

 

13,597

 

Net realized gain (loss)

 

 

 

 

6,528

 

 

3,965

 

 

 

 

 

 

 

 

 

 

10,493

 

Net change in unrealized appreciation/depreciation2

 

 

(2,000,339

)

 

624,595

 

 

1,156,020

 

 

(27,393

)

$

297,347

 

 

225,780

 

 

11,592

 

 

287,602

 

Purchases

 

 

3,740,243

 

 

47,658

 

 

5,690

 

 

1,577,152

 

 

 

 

 

 

 

 

5,370,743

 

Sales

 

 

 

 

(748,753

)

 

(2,574,160

)

 

 

 

 

 

 

 

 

 

(3,322,913

)

Transfers in3

 

 

 

 

105,738

 

 

1,461,797

 

 

 

 

 

 

 

 

 

 

1,567,535

 

Transfers out3

 

 

 

 

 

 

(1,153,977

)

 

 

 

 

 

 

 

 

 

(1,153,977

)

Balance, as of August 31, 2011

 

$

2,152,050

 

$

5,131,115

 

$

5,778,867

 

$

1,549,766

 

$

297,347

 

$

225,934

 

 

 

$

15,135,079

 


 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held on August 31, 2011 was $(992,367).

 

 

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 Financial Statements.

 

 

 

 

24

SEMI-ANNUAL REPORT

AUGUST 31, 2011




 

 

 

Schedule of Investments August 31, 2011 (Unaudited)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

 

Shares

 

 

Value

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

29,600

 

$

365,856

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc.

 

 

256

 

 

832

 

Wellman, Inc. (acquired 1/30/09, cost $235) (a)(b)

 

 

1,266

 

 

4,114

 

 

 

 

 

 

 

4,946

 

Communications Equipment — 0.4%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

20,518

 

 

1,161,114

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

184,016,803

 

 

2,076,998

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

70,784

 

 

779

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,099

 

 

2,747

 

Media — 1.4%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

47,382

 

 

258,232

 

Charter Communications, Inc. (a)

 

 

63,805

 

 

3,182,593

 

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

 

 

9,964

 

 

114,088

 

 

 

 

 

 

 

3,554,913

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

47,050

 

 

391,428

 

Oil, Gas & Consumable Fuels — 0.2%

 

 

 

 

 

 

 

Marathon Petroleum Corp.

 

 

10,600

 

 

392,836

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (c)

 

 

140,415

 

 

286,766

 

Ainsworth Lumber Co. Ltd.

 

 

122,117

 

 

249,397

 

Western Forest Products, Inc. (a)

 

 

158,023

 

 

106,500

 

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

 

 

45,762

 

 

30,841

 

 

 

 

 

 

 

673,504

 

Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

64,237

 

 

964,198

 

SunPower Corp., Class B (a)

 

 

271

 

 

3,211

 

 

 

 

 

 

 

967,409

 

Software — 0.1%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

501

 

 

2

 

HMH Holdings/EduMedia (a)

 

 

89,669

 

 

179,338

 

 

 

 

 

 

 

179,340

 

Total Common Stocks — 3.8%

 

 

 

 

 

9,771,870

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 


Par
(000
)

 

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc. (c):

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

360

 

 

338,400

 

7.13%, 3/15/21

 

 

400

 

 

376,000

 

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

 

 

756

 

 

776,790

 

 

 

 

 

 

 

1,491,190

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

679

 

 

705,964

 

Series 2, 12.38%, 8/16/15

 

 

686

 

 

713,156

 

 

 

 

 

 

 

1,419,120

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Airlines — 3.1%

 

 

 

 

 

 

 

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

 

USD

900

 

$

864,000

 

American Airlines, Inc.:

 

 

 

 

 

 

 

10.50%, 10/15/12

 

 

940

 

 

969,375

 

7.50%, 3/15/16 (c)

 

 

140

 

 

126,700

 

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

 

 

400

 

 

400,000

 

Series 2011-1-B, 7.00%, 1/31/18 (c)

 

 

407

 

 

350,272

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

630

 

 

614,250

 

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

 

 

396

 

 

390,128

 

Series 2010-1-B, 6.00%, 1/12/19

 

 

500

 

 

462,500

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

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

 

 

500

 

 

450,000

 

Series B, 9.75%, 12/17/16

 

 

765

 

 

784,455

 

US Airways Pass-Through Trust, 10.88%, 10/22/14

 

 

690

 

 

672,750

 

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

 

 

2,062

 

 

2,155,175

 

 

 

 

 

 

 

8,239,605

 

Auto Components — 2.1%

 

 

 

 

 

 

 

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

 

 

230

 

 

242,075

 

B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c)

 

 

210

 

 

195,300

 

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

 

 

170

 

 

164,050

 

Ford Motor Co., 7.45%, 7/16/31

 

 

730

 

 

800,352

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

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

 

 

255

 

 

243,219

 

8.00%, 1/15/18

 

 

3,035

 

 

3,065,350

 

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

 

 

260

 

 

255,450

 

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

 

 

465

 

 

488,250

 

 

 

 

 

 

 

5,454,046

 

Beverages — 0.2%

 

 

 

 

 

 

 

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

 

 

264

 

 

273,240

 

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

 

EUR

245

 

 

339,625

 

 

 

 

 

 

 

612,865

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

335

 

 

341,135

 

Building Products — 1.3%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):