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
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August 31, 2011 |
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Semi-Annual Report |
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BlackRock Corporate High Yield Fund, Inc. (COY) |
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BlackRock Corporate High Yield Fund III, Inc. (CYE) |
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BlackRock Debt Strategies Fund, Inc. (DSU) |
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BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB) |
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BlackRock Senior High Income Fund, Inc. (ARK) |
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Not FDIC Insured § No Bank Guarantee § May Lose Value |
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Table of Contents |
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Page |
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3 |
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Semi-Annual Report: |
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4 |
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14 |
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14 |
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Financial Statements: |
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15 |
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59 |
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60 |
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61 |
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63 |
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64 |
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69 |
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
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79 |
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83 |
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84 |
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2 |
SEMI-ANNUAL REPORT |
AUGUST 31, 2011 |
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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 funds 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 governments credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme volatility persisted as Europes 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.
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Sincerely, |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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BlackRock remains focused on managing risk and finding opportunities in all market environments. |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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6-month |
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12-month |
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US large cap equities |
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(7.23 |
)% |
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18.50 |
% |
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(S&P 500 Index) |
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US small cap equities |
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(11.17 |
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22.19 |
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(Russell 2000 Index) |
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International equities |
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(11.12 |
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10.01 |
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(MSCI Europe, Australasia, |
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Far East Index) |
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Emerging market |
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(5.11 |
) |
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9.07 |
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equities (MSCI Emerging |
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Markets Index) |
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3-month Treasury |
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0.08 |
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0.15 |
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bill (BofA Merrill Lynch |
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3-Month Treasury |
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Bill Index) |
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US Treasury securities |
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13.04 |
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6.21 |
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(BofA Merrill Lynch 10- |
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Year US Treasury Index) |
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US investment grade |
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5.49 |
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4.62 |
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bonds (Barclays |
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Capital US Aggregate |
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Bond Index) |
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Tax-exempt municipal |
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6.39 |
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2.66 |
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bonds (Barclays Capital |
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Municipal Bond Index) |
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US high yield bonds |
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(1.57 |
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8.32 |
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(Barclays Capital US |
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Corporate High Yield 2% |
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Issuer Capped Index) |
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Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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THIS PAGE NOT PART OF YOUR FUND REPORT |
3 |
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BlackRock Corporate High Yield Fund, Inc. |
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Investment Objective |
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 & Poors Corporation (S&Ps) or Ba or lower by Moodys Investors Service, Inc. (Moodys)) or are unrated securities considered by BlackRock to be of comparable quality. The Funds 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.
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No assurance can be given that the Funds investment objectives will be achieved. |
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Portfolio Management Commentary |
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How did the Fund perform? |
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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. |
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What factors influenced performance? |
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Detracting from performance was the Funds 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 Funds allocation to senior secured bank loans, which underperformed high yield bonds for the period, had a negative impact. |
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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 Funds holdings of lower-quality high yield bonds benefited performance earlier in the period due to favorable liquidity conditions and an improving corporate credit backdrop. |
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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 portfolios 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. |
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Describe recent portfolio activity. |
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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. |
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Describe portfolio positioning at period end. |
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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. |
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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4 |
SEMI-ANNUAL REPORT |
AUGUST 31, 2011 |
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BlackRock Corporate High Yield Fund, Inc. |
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Fund Information |
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Symbol on New York Stock Exchange (NYSE) |
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COY |
Initial Offering Date |
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June 25, 1993 |
Yield on Closing Market Price as of August 31, 2011 ($7.01)1 |
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8.73% |
Current Monthly Distribution per Common Share2 |
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$0.051 |
Current Annualized Distribution per Common Share2 |
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$0.612 |
Leverage as of August 31, 20113 |
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22% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14. |
The table below summarizes the changes in the Funds market price and NAV per share:
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8/31/11 |
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2/28/11 |
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Change |
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High |
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Low |
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Market Price |
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$ |
7.01 |
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$ |
7.03 |
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(0.28 |
)% |
$ |
7.60 |
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$ |
6.02 |
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Net Asset Value |
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$ |
6.90 |
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$ |
7.42 |
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(7.01 |
)% |
$ |
7.56 |
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$ |
6.79 |
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The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
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Portfolio Composition |
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8/31/11 |
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2/28/11 |
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Corporate Bonds |
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83 |
% |
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85 |
% |
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Floating Rate Loan Interests |
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10 |
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7 |
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Common Stocks |
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3 |
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5 |
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Other Interests |
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2 |
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2 |
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Preferred Securities |
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2 |
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1 |
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Credit Quality Allocations4 |
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8/31/11 |
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2/28/11 |
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A |
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1 |
% |
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BBB/Baa |
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7 |
% |
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4 |
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BB/Ba |
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35 |
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31 |
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B |
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44 |
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46 |
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CCC/Caa |
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12 |
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13 |
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D |
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1 |
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Not Rated |
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1 |
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5 |
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4 |
Using the higher of S&Ps or Moodys ratings. |
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SEMI-ANNUAL REPORT |
AUGUST 31, 2011 |
5 |
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Fund Summary as of August 31, 2011 |
BlackRock Corporate High Yield Fund III, Inc. |
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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&Ps or Baa or lower by Moodys) or are unrated securities of comparable quality. The Funds secondary investment objective is to provide capital appreciation. The Fund may invest directly in such securities or synthetically through the use of derivatives.
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No assurance can be given that the Funds investment objectives will be achieved. |
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Portfolio Management Commentary |
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How did the Fund perform? |
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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 Funds 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. |
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What factors influenced performance? |
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Detracting from performance was the Funds 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 Funds allocation to senior secured bank loans, which underperformed high yield bonds for the period, had a negative impact. |
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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 Funds holdings of lower-quality high yield bonds benefited performance earlier in the period due to favorable liquidity conditions and an improving corporate credit backdrop. |
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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 portfolios 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. |
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Describe recent portfolio activity. |
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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. |
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Describe portfolio positioning at period end. |
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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. |
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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6 |
SEMI-ANNUAL REPORT |
AUGUST 31, 2011 |
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BlackRock Corporate High Yield Fund III, Inc. |
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Fund Information |
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Symbol on NYSE |
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CYE |
Initial Offering Date |
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January 30, 1998 |
Yield on Closing Market Price as of August 31, 2011 ($6.88)1 |
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8.72% |
Current Monthly Distribution per Common Share2 |
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$0.05 |
Current Annualized Distribution per Common Share2 |
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$0.60 |
Leverage as of August 31, 20113 |
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24% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14. |
The table below summarizes the changes in the Funds market price and NAV per share:
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8/31/11 |
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2/28/11 |
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Change |
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High |
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Low |
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Market Price |
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$ |
6.88 |
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$ |
7.14 |
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(3.64 |
)% |
$ |
7.52 |
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$ |
6.08 |
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Net Asset Value |
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$ |
7.01 |
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$ |
7.56 |
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(7.28 |
)% |
$ |
7.70 |
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$ |
6.89 |
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The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
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Portfolio Composition |
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8/31/11 |
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2/28/11 |
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Corporate Bonds |
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80 |
% |
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80 |
% |
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Floating Rate Loan Interests |
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13 |
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11 |
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Common Stocks |
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3 |
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5 |
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Other Interests |
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2 |
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2 |
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Preferred Securities |
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2 |
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2 |
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Credit Quality Allocations4 |
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8/31/11 |
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2/28/11 |
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BBB/Baa |
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7 |
% |
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4 |
% |
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BB/Ba |
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34 |
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31 |
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B |
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44 |
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46 |
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CCC/Caa |
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12 |
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14 |
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Not Rated |
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3 |
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5 |
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4 |
Using the higher of S&Ps or Moodys ratings. |
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SEMI-ANNUAL REPORT |
AUGUST 31, 2011 |
7 |
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Fund Summary as of August 31, 2011 |
BlackRock Debt Strategies Fund, Inc. |
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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&Ps or Baa or lower by Moodys) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. The Funds 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.
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No assurance can be given that the Funds investment objectives will be achieved. |
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Portfolio Management Commentary |
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How did the Fund perform? |
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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. |
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What factors influenced performance? |
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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 Funds large allocation to bank loans detracted from performance relative to its Lipper category competitors, which invest primarily in high yield bonds. The Funds 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. |
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Conversely, the Funds 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. |
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Describe recent portfolio activity. |
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|
|
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. |
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Describe portfolio positioning at period end. |
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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. |
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|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
|
|
|
|
|
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 Funds 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 Funds long-term investments and credit quality allocations of the Funds 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&Ps or Moodys 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 Funds 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 Funds use of leverage hurt returns (on an absolute basis) as the bank loan sector underperformed relative to other fixed income sectors. In addition, the Funds 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 Funds 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 Funds 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 Funds 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 Funds long-term investments and credit quality allocations of the Funds 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&Ps or Moodys 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 Funds 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 Funds 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 Funds large allocation to bank loans detracted from performance relative to its Lipper category competitors, which invest primarily in high yield bonds. The Funds 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 Funds 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 Funds 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 Funds long-term investments and credit quality allocations of the Funds 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&Ps or Moodys ratings. |
|
|
|
|
|
|
|
|
|
SEMI-ANNUAL REPORT |
AUGUST 31, 2011 |
13 |
|
|
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 Funds 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 Funds 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 Funds long-term investments, and therefore the Funds 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 Funds 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 Funds net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Funds net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Funds ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.
Under the Investment Company Act of 1940, the Funds are permitted to borrow through their credit facility up to 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 |
COY |
22% |
CYE |
24% |
DSU |
26% |
FRB |
27% |
ARK |
23% |
|
|
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 advisors 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 |
|
|
|
|
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 |
|
|
|
|
|
|
|
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 |
|
|
|
||
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., |
|
|
716 |
|
|
735,690 |
|
|
|
|
|
|
|
1,370,190 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
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, |
|
|
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 Poors 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 |
|
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%, |
|
|
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%, |
|
USD |
175 |
|
|
173,687 |
|
|
|
|
|
|
|
308,000 |
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
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%, |
|
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., |
|
|
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., |
|
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., |
|
|
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 |
|
|
Value |
|
|
Diversified Telecommunication Services 4.5% |
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., |
|
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 & |
|
|
|
|
|
|
|
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%, |
|
|
150 |
|
|
145,875 |
|
Calfrac Holdings LP, 7.50%, 12/01/20 (c) |
|
|
225 |
|
|
218,250 |
|
Compagnie Générale de Géophysique-Veritas, |
|
|
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 |
|
|
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., |
|
|
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%, |
|
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%, |
|
|
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 |
|
|
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 & |
|
|
|
|
|
|
|
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, |
|
|
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 |
|
|
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., |
|
|
315 |
|
|
362,250 |
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, |
|
EUR |
613 |
|
|
862,964 |
|
Kabel Deutschland Vertrieb und Service GmbH |
|
|
315 |
|
|
443,041 |
|
Live Nation Entertainment, Inc., 8.13%, |
|
USD |
675 |
|
|
649,688 |
|
Musketeer GmbH, 9.50%, 3/15/21 |
|
EUR |
385 |
|
|
553,053 |
|
NAI Entertainment Holdings LLC, 8.25%, |
|
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 |
|
|
|
|
|
|
|
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%, |
|
|
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%, |
|
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. |
||
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
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, |
|
|
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%, |
|
|
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 |
|
|
Value |
|
|
Pharmaceuticals 0.5% |
|
|
|
|
|
|
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c) |
|
EUR |
200 |
|
$ |
275,808 |
|
Endo Pharmaceuticals Holdings, Inc., |
|
USD |
170 |
|
|
172,125 |
|
Valeant Pharmaceuticals International, 6.50%, |
|
|
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%, |
|
|
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 |
|
|
|
|
|
|
|
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 |
|
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, |
|
|
675 |
|
|
622,127 |
|
Building Products 0.2% |
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan (Second Lien), |
|
|
500 |
|
|
502,500 |
|
Capital Markets 0.1% |
|
|
|
|
|
|
|
Marsico Parent Co., LLC, Term Loan, 5.25%, |
|
|
369 |
|
|
206,424 |
|
Chemicals 0.1% |
|
|
|
|
|
|
|
PQ Corp. (FKA Niagara Acquisition, Inc.), Original |
|
|
313 |
|
|
285,907 |
|
Construction & Engineering 0.7% |
|
|
|
|
|
|
|
Safway Services, LLC, Last Out Term Loan, |
|
|
1,750 |
|
|
1,750,000 |
|
Consumer Finance 1.5% |
|
|
|
|
|
|
|
Springleaf Financial Funding Co. (FKA AGFS |
|
|
4,000 |
|
|
3,705,000 |
|
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Closing Date Term Loan, 2.69% 2.76%, |
|
|
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 |
|
|
475 |
|
|
438,900 |
|
Electronic Equipment, Instruments & |
|
|
|
|
|
|
|
CDW LLC (FKA CDW Corp.), Non-Extended Term |
|
|
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 |
|
|
801 |
|
|
755,846 |
|
|
|
|
|
|
|
1,554,729 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (h) |
Par |
|
Value |
|
|||
Hotels, Restaurants & Leisure 0.4% |
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., Inc., Term Loan |
USD |
|
341 |
|
$ |
293,899 |
|
Travelport LLC, (FKA Travelport, Inc.), Term Loan, |
|
|
1,251 |
|
|
689,203 |
|
|
|
|
|
|
|
983,102 |
|
Independent Power Producers & |
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (TXU), |
|
|
2,926 |
|
|
2,148,176 |
|
Media 3.8% |
|
|
|
|
|
|
|
Cengage Learning Acquisitions, Inc. (FKA Thomson |
|
|
1,455 |
|
|
1,389,525 |
|
HMH Publishing Co., Ltd., Tranche A Term Loan, |
|
|
862 |
|
|
692,815 |
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson |
|
|
5,985 |
|
|
5,730,637 |
|
Newsday LLC, Fixed Rate Term Loan, 10.50%, |
|
|
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%, |
USD |
|
1,829 |
|
|
1,810,296 |
|
Paper & Forest Products 0.5% |
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, Term Loan, |
|
|
1,326 |
|
|
1,140,343 |
|
Real Estate Investment Trusts (REITs) 0.6% |
|
|
|
|
|
|
|
iStar Financial, Inc., Term Loan, (Second Lien), |
|
|
1,383 |
|
|
1,344,124 |
|
Real Estate Management & Development 0.3% |
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
Extended Synthetic Letter of Credit Loan, |
|
|
124 |
|
|
101,911 |
|
Extended Term Loan B, 4.52%, 10/10/16 |
|
|
689 |
|
|
566,955 |
|
|
|
|
|
|
|
668,866 |
|
Specialty Retail 0.0% |
|
|
|
|
|
|
|
Claires 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 |
|
|
|
|
|
Auto Components 2.6% |
|
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co. |
|
|
|
(l) |
|
6,247,969 |
|
Energy Equipment & Services 0.6% |
|
|
|
|
|
|
|
BLK COY (Luxembourg)
Investments, S.a.r.l. |
|
|
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. |
||
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund, Inc. (COY) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trusts |
Par |
|
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., |
|
|
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. |
|
|
312 |
|
|
3 |
|
HMH Holdings/EduMedia (Expires 3/09/17) |
|
|
9,997 |
|
|
|
|
|
|
|
|
|
|
3 |
|
Total Warrants 0.1% |
|
|
|
|
|
225,934 |
|
Total
Long-Term Investments |
|
|
|
|
|
299,702,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempCash, |
|
|
1,965,816 |
|
|
1,965,816 |
|
Total
Short-Term Securities |
|
|
|
|
|
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, |
|
|
412 |
|
$ |
5,356 |
|
Exchange-Traded Put Options 0.0% |
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike Price USD 120.00, |
|
|
131 |
|
|
29,478 |
|
Over-the-Counter Call Options 0.0% |
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, Strike |
|
|
17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
||
Over-the-Counter Call Swaptions 0.1% |
|
|
|
|
|
|
|
Receive a return based on return of Dow Jones |
|
$ |
10,000 |
|
|
100,351 |
|
Total
Options Purchased |
|
|
|
|
|
135,185 |
|
Total
Investments Before Options Written |
|
|
|
|
|
301,803,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
|
|
|
|
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
E*Trade Financial Corp., Strike Price USD 13.00, |
|
|
412 |
|
|
(84,460 |
) |
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
||
Over-the-Counter Call Swaptions (0.1)% |
|
|
|
|
|
|
|
Pay a return based on return of Dow Jones CDX |
USD |
|
10,650 |
|
|
(2,084 |
) |
Pay a return based on return of Dow Jones CDX |
|
|
4,000 |
|
|
(181,742 |
) |
|
|
|
|
|
|
(183,826 |
) |
Over-the-Counter Put Swaptions (0.3)% |
|
|
|
|
|
|
|
Pay a return based on return of Dow Jones CDX |
|
|
2,775 |
|
|
(90,853 |
) |
Pay a return based on return of Dow Jones CDX |
|
|
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
|
|
Value |
|
||
Over-the-Counter Put Swaptions (concluded) |
|
|
|
|
|
|
|
Pay a return based on return of Dow Jones CDX |
|
USD |
10,000 |
|
$ |
(388,255 |
) |
|
|
|
|
|
|
(609,761 |
) |
Total
Options Written |
|
|
|
|
|
(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 |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
1,721,866 |
|
|
243,950 |
|
|
1,965,816 |
|
$ |
1,031 |
|
|
|
(p) |
Represents the current yield as of report date. |
|
|
|
For Fund compliance purposes, the Funds 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 |
|
|
Unrealized |
|
347 |
|
S&P
500 |
|
Chicago
|
|
September
|
|
$ |
19,749,027 |
|
$ |
(1,378,068 |
) |
|
|
|
Foreign currency exchange contracts as of August 31, 2011 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
|
Unrealized |
|
||||
EUR |
|
293,000 |
|
USD |
|
421,255 |
|
Royal
Bank of |
|
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 |
|
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 |
|
10/26/11 |
|
|
(151 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD |
|
420,982 |
|
EUR |
|
293,000 |
|
Royal
Bank of |
|
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 |
|
|
Counterparty |
|
Expiration
|
|
|
Notional |
|
|
Unrealized |
|
iStar Financial, Inc. |
|
5.00% |
|
|
Morgan
Stanley |
|
9/20/11 |
|
$ |
750 |
|
$ |
(2,347 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
iStar Financial, Inc. |
|
5.00% |
|
|
Morgan
Stanley |
|
9/20/11 |
|
$ |
750 |
|
|
(2,436 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Republic of Hungary |
|
1.00% |
|
|
Deutsche
|
|
12/20/15 |
|
$ |
280 |
|
|
5,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel (State of) |
|
1.00% |
|
|
Deutsche
|
|
3/20/16 |
|
$ |
625 |
|
|
(6,428 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beazer Homes |
|
5.00% |
|
|
Credit
Suisse |
|
9/20/16 |
|
$ |
125 |
|
|
(5,472 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beazer Homes |
|
5.00% |
|
|
Goldman
Sachs |
|
9/20/16 |
|
$ |
175 |
|
|
11,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp |
|
5.00% |
|
|
Goldman
Sachs |
|
9/20/16 |
|
$ |
125 |
|
|
(9,218 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
iStar Financial, Inc. |
|
5.00% |
|
|
Deutsche
|
|
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 |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|
Dow Jones |
|
5.00% |
|
Credit
Suisse |
|
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 |
|
|
Counterparty |
|
Expiration |
|
Issuer |
|
|
Notional |
|
Unrealized |
|
|
iStar |
|
5.00% |
|
|
Deutsche |
|
9/20/11 |
|
B+ |
|
$ |
250 |
|
$ |
1,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARAMARK Corp. |
|
5.00% |
|
|
Goldman
Sachs |
|
3/20/16 |
|
B |
|
$ |
500 |
|
|
(14,585 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARAMARK Corp. |
|
5.00% |
|
|
Goldman
Sachs |
|
6/20/16 |
|
B |
|
$ |
300 |
|
|
(9,383 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARAMARK Corp. |
|
5.00% |
|
|
Goldman
Sachs |
|
6/20/16 |
|
B |
|
$ |
300 |
|
|
(11,486 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARAMARK Corp. |
|
5.00% |
|
|
Goldman
Sachs |
|
9/20/16 |
|
B |
|
$ |
350 |
|
|
(15,369 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(49,240 |
) |
|
|
|
|
|
|
1 |
Using S&Ps 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 |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
|||
3.12 |
%(a) |
|
3-month LIBOR |
|
Deutsche |
|
8/02/21 |
|
$ |
1,320 |
|
$ |
11,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.09 |
%(a) |
|
3-month LIBOR |
|
Deutsche
|
|
8/03/21 |
|
$ |
1,330 |
|
|
10,135 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.15 |
%(a) |
|
3-month LIBOR |
|
Credit
Suisse |
|
8/11/21 |
|
$ |
1,340 |
|
|
13,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3.11 |
%(a) |
|
3-month LIBOR |
|
Deutsche
|
|
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 Funds 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 Funds perceived risk of investing in those securities. For information about the Funds 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 Funds investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
23,768,539 |
|
|
5,778,867 |
|
|
29,547,406 |
|
Other Interests |
|
|
88 |
|
|
6,247,969 |
|
|
1,549,766 |
|
|
7,797,823 |
|
Preferred |
|
|
1,727,002 |
|
|
3,386,240 |
|
|
297,347 |
|
|
5,410,589 |
|
Warrants |
|
|
|
|
|
|
|
|
225,934 |
|
|
225,934 |
|
Short-Term |
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
18,960 |
|
|
|
|
$ |
18,960 |
|
Equity contracts |
|
$ |
34,834 |
|
|
100,351 |
|
|
|
|
|
135,185 |
|
Foreign currency |
|
|
|
|
|
484 |
|
|
|
|
|
484 |
|
Interest rate |
|
|
|
|
|
47,092 |
|
|
|
|
|
47,092 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(97,116 |
) |
|
|
|
|
(97,116 |
) |
Equity contracts |
|
|
(1,462,528 |
) |
|
(793,587 |
) |
|
|
|
|
(2,256,115 |
) |
Foreign currency |
|
|
|
|
|
(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 |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Unfunded |
|
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 Funds 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 |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
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%, |
|
|
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 |
|
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, |
|
|
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% |
|
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|
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Building Materials Corp. of America (c): |
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