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: 02/29/2012

 

Date of reporting period: 02/29/2012

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

February 29, 2012


 

Annual Report

 

BlackRock Corporate High Yield Fund, Inc. (COY)

 

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

 

BlackRock Debt Strategies Fund, Inc. (DSU)

 

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

 

BlackRock Senior High Income Fund, Inc. (ARK)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

Table of Contents


 

 

 

 

 

Page

 

Dear Shareholder

 

3

Annual Report:

 

 

Fund Summaries

 

4

The Benefits and Risks of Leveraging

 

14

Derivative Financial Instruments

 

14

Financial Statements:

 

 

Consolidated Schedules of Investments

 

15

Consolidated Statements of Assets and Liabilities

 

59

Consolidated Statements of Operations

 

60

Statements of Changes in Net Assets

 

61

Consolidated Statements of Cash Flows

 

63

Financial Highlights

 

64

Notes to Consolidated Financial Statements

 

69

Report of Independent Registered Public Accounting Firm

 

79

Important Tax Information

 

79

Automatic Dividend Reinvestment Plans

 

80

Officers and Directors

 

81

Additional Information

 

84


 

 

 

 

 

 

2

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Dear Shareholder

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

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

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

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

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

 

Sincerely,

 

-s- Rob Kapito

 

Rob Kapito

President, BlackRock Advisors, LLC


 

(ROB KAPITO)

 

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

Rob Kapito
President, BlackRock Advisors, LLC

 

 

Total Returns as of February 29, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

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

 

13.31

%

 

5.12

%

 

US small cap equities
(Russell 2000® Index)

 

12.40

 

 

(0.15

)

 

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

 

4.13

 

 

(7.45

)

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

5.27

 

 

(0.11

)

 

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

 

0.00

 

 

0.08

 

 

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

 

3.70

 

 

17.22

 

 

US investment grade bonds
(Barclays US Aggregate
Bond Index)

 

2.73

 

 

8.37

 

 

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

 

5.93

 

 

12.88

 

 

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

 

8.62

 

 

6.92

 

 

 

 

 

 

 

 

 

 

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


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

 

 

Fund Summary as of February 29, 2012

BlackRock Corporate High Yield Fund, Inc.


 

Investment Objective

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

 

 

 

 

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


 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

For the 12 months ended February 29, 2012, the Fund returned 20.39% based on market price and 7.15% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

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

 

 

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

 

 

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

 

 

 

Describe recent portfolio activity.

 

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

 

 

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

 

 

 

Describe portfolio positioning at period end.

 

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


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

4

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

BlackRock Corporate High Yield Fund, Inc.


 

 

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

COY

Initial Offering Date

June 25, 1993

Yield on Closing Market Price as of February 29, 2012 ($7.76)1

7.89%

Current Monthly Distribution per Common Share2

$0.051

Current Annualized Distribution per Common Share2

$0.612

Economic Leverage as of February 29, 20123

21%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$7.76

 

$7.03

 

10.38

%

 

$7.82

 

$5.99

Net Asset Value

 

$7.29

 

$7.42

 

(1.75

)%

 

$7.56

 

$6.45

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Corporate Bonds

 

80

%

 

85

%

 

Floating Rate Loan Interests

 

12

 

 

7

 

 

Common Stocks

 

5

 

 

5

 

 

Preferred Securities

 

2

 

 

1

 

 

Other Interests

 

1

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

1

%

 

BBB/Baa

 

6

 

 

4

 

 

BB/Ba

 

42

 

 

31

 

 

B

 

40

 

 

46

 

 

CCC/Caa

 

10

 

 

13

 

 

Not Rated

 

1

 

 

5

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

5




 

 

 

 

Fund Summary as of February 29, 2012

BlackRock Corporate High Yield Fund III, Inc.


 

Investment Objective

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

 

 

 

 

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


 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

For the 12 months ended February 29, 2012, the Fund returned 18.62% based on market price and 7.11% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

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

 

 

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

 

 

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

 

 

 

Describe recent portfolio activity.

 

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

 

 

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

 

 

 

Describe portfolio positioning at period end.

 

At period end, the Fund held 77% of its total portfolio in corporate bonds, 15% in floating rate loan interests (bank loans), with the remainder in common stocks and preferred securities. The Fund’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as gaming, building materials and technology. The Fund ended the period with economic leverage at 24% of its total managed assets.


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

6

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Corporate High Yield Fund III, Inc.


 

 

Fund Information

 

Symbol on NYSE

CYE

Initial Offering Date

January 30, 1998

Yield on Closing Market Price as of February 29, 2012 ($7.75)1

7.90%

Current Monthly Distribution per Common Share2

$0.051

Current Annualized Distribution per Common Share2

$0.612

Economic Leverage as of February 29, 20123

24%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

 

 

 

 

 

 

 

 

 

 

 

 

Market Price

 

$7.75

 

$7.14

 

8.54

%

 

$7.75

 

$6.08

Net Asset Value

 

$7.41

 

$7.56

 

(1.98

)%

 

$7.70

 

$6.54

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Corporate Bonds

 

77

%

 

80

%

 

Floating Rate Loan Interests

 

15

 

 

11

 

 

Common Stocks

 

6

 

 

5

 

 

Preferred Securities

 

2

 

 

2

 

 

Other Interests

 

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

 

 

BBB/Baa

 

7

 

 

4

%

 

BB/Ba

 

38

 

 

31

 

 

B

 

43

 

 

46

 

 

CCC/Caa

 

10

 

 

14

 

 

Not Rated

 

1

 

 

5

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

7




 

 

 

 

Fund Summary as of February 29, 2012

BlackRock Debt Strategies Fund, Inc.


 

Investment Objective

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

 

 

 

 

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


 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 29, 2012, the Fund returned 10.47% based on market price and 4.53% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund began the period with a discount to NAV, and ended the period with neither a discount nor a premium, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

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

 

 

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

 

 

 

Describe recent portfolio activity.

 

 

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

 

 

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

 

 

 

Describe portfolio positioning at period end.

 

 

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


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

8

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Debt Strategies Fund, Inc.


 

 

Fund Information

 

 

 

 

Symbol on NYSE

DSU

Initial Offering Date

March 27, 1998

Yield on Closing Market Price as of February 29, 2012 ($4.13)1

7.85%

Current Monthly Distribution per Common Share2

$0.027

Current Annualized Distribution per Common Share2

$0.324

Economic Leverage as of February 29, 20123

25%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$4.13

 

$4.05

 

1.98

%

 

$4.43

 

$3.45

Net Asset Value

 

$4.13

 

$4.28

 

(3.50

)%

 

$4.31

 

$3.79

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Floating Rate Loan Interests

 

54

%

 

53

%

 

Corporate Bonds

 

43

 

 

43

 

 

Common Stocks

 

1

 

 

1

 

 

Asset-Backed Securities

 

1

 

 

2

 

 

Other Interests

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

 

 

BBB/Baa

 

5

 

 

7

%

 

BB/Ba

 

36

 

 

29

 

 

B

 

45

 

 

45

 

 

CCC/Caa

 

8

 

 

11

 

 

Not Rated

 

5

 

 

8

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

9




 

 

 

 

Fund Summary as of February 29, 2012

BlackRock Floating Rate Income Strategies Fund II, Inc.


 

Investment Objective

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

 

 

 

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


 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 29, 2012, the Fund returned (0.61)% based on market price and 3.41% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (1.41)% based on market price and 2.78% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

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

 

 

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

 

 

 

Describe recent portfolio activity.

 

 

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

 

 

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

 

 

 

Describe portfolio positioning at period end.

 

 

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


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

10

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Floating Rate Income Strategies Fund II, Inc.


 

 

Fund Information

 

 

Symbol on NYSE

FRB

Initial Offering Date

July 30, 2004

Yield on Closing Market Price as of February 29, 2012 ($13.21)1

6.63%

Current Monthly Distribution per Common Share2

$0.073

Current Annualized Distribution per Common Share2

$0.876

Economic Leverage as of February 29, 20123

22%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$13.21

 

$14.22

 

(7.10

)%

 

$14.79

 

$11.39

Net Asset Value

 

$13.60

 

$14.07

 

(3.34

)%

 

$14.12

 

$12.66

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Floating Rate Loan Interests

 

84

%

 

81

%

 

Corporate Bonds

 

13

 

 

15

 

 

Asset-Backed Securities

 

2

 

 

3

 

 

Common Stocks

 

1

 

 

 

 

Other Interests

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

BBB/Baa

 

10

%

 

7

%

 

BB/Ba

 

36

 

 

34

 

 

B

 

39

 

 

42

 

 

CCC/Caa

 

7

 

 

8

 

 

Not Rated

 

8

 

 

9

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

11




 

 

 

 

Fund Summary as of February 29, 2012

BlackRock Senior High Income Fund, Inc.


 

Investment Objective

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

 

 

 

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


 

Portfolio Management Commentary


 

 

 

How did the Fund perform?

 

 

For the 12 months ended February 29, 2012, the Fund returned 5.54% based on market price and 6.86% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 14.46% based on market price and 6.86% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

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

 

 

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

 

 

 

Describe recent portfolio activity.

 

 

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

 

 

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

 

 

 

Describe portfolio positioning at period end.

 

 

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


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

12

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Senior High Income Fund, Inc.


 

 

Fund Information

 

 

Symbol on NYSE

ARK

Initial Offering Date

April 30, 1993

Yield on Closing Market Price as of February 29, 2012 ($4.06)1

7.39%

Current Monthly Distribution per Common Share2

$0.025

Current Annualized Distribution per Common Share2

$0.300

Economic Leverage as of February 29, 20123

23%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

2/28/11

 

Change

 

High

 

Low

Market Price

 

$4.06

 

$4.18

 

(2.87

)%

 

$4.31

 

$3.42

Net Asset Value

 

$4.15

 

$4.22

 

(1.66

)%

 

$4.27

 

$3.86

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

Floating Rate Loan Interests

 

56

%

 

53

%

 

Corporate Bonds

 

41

 

 

43

 

 

Asset-Backed Securities

 

2

 

 

2

 

 

Common Stocks

 

1

 

 

1

 

 

Other Interests

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 


2/29/12

 


2/28/11

 

A

 

1

%

 

 

 

BBB/Baa

 

6

 

 

9

%

 

BB/Ba

 

39

 

 

31

 

 

B

 

48

 

 

49

 

 

CCC/Caa

 

3

 

 

3

 

 

Not Rated

 

3

 

 

8

 

 


 

 

 

 

4

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

13




 

 

The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

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

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

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays interest expense on the $30 million of debt securities based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the borrowings earn income based on long-term interest rates. In this case, the interest expense of the borrowings is significantly lower than the income earned on the Fund’s long-term investments, and therefore the Fund’s shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Fund’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Funds’ borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively in addition to the impact on Fund performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Funds, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Fund’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.

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

 

 

 

Percent of
Economic
Leverage

COY

21%

CYE

24%

DSU

25%

FRB

22%

ARK

23%


 

 

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 

 

 

 

14

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 3.2%

 

 

 

 

 

 

 

Dana Holding Corp. (a)

 

 

59,640

 

$

954,241

 

Delphi Automotive Plc (a)

 

 

11,906

 

 

381,005

 

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

 

 

220,982

 

 

6,894,626

 

 

 

 

 

 

 

8,229,872

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

68,100

 

 

655,803

 

Commercial Banks — 0.3%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

15,510

 

 

631,412

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

11,463

 

 

816,624

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc (a)

 

 

3,634

 

 

36,895

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

178,231

 

 

1,631,702

 

Diversified Telecommunication Services — 0.1%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

14,120

 

 

343,257

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

67,974

 

 

340

 

Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

35,294

 

 

1,515,988

 

Osum Oil Sands Corp. (a)

 

 

74,000

 

 

934,863

 

Transocean Ltd.

 

 

5,000

 

 

266,700

 

 

 

 

 

 

 

2,717,551

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd.

 

 

70,685

 

 

35,343

 

Media — 1.7%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

43,324

 

 

310,633

 

Charter Communications, Inc. (a)

 

 

59,916

 

 

3,799,273

 

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

 

 

8,934

 

 

118,197

 

 

 

 

 

 

 

4,228,103

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

40,400

 

 

369,340

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

41,686

 

 

65,723

 

Ainsworth Lumber Co. Ltd. (c)

 

 

36,744

 

 

57,932

 

Western Forest Products, Inc. (a)

 

 

147,968

 

 

143,564

 

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

 

 

41,528

 

 

40,292

 

 

 

 

 

 

 

307,511

 

Professional Services — 0.0%

 

 

 

 

 

 

 

Pendrell Corp. (a)

 

 

3,200

 

 

7,744

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

5,500

 

 

417,505

 

Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

60,342

 

 

772,378

 

SunPower Corp. (a)

 

 

123

 

 

926

 

 

 

 

 

 

 

773,304

 


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

468

 

$

9

 

HMH Holdings/EduMedia (a)

 

 

82,415

 

 

20,604

 

 

 

 

 

 

 

20,613

 

Total Common Stocks — 8.3%

 

 

 

 

 

21,222,919

 


 

 

 

 

 

 

 

 

Corporate Bonds

 


Par
(000)

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

210

 

 

221,025

 

7.13%, 3/15/21

 

 

295

 

 

316,019

 

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

 

 

716

 

 

771,490

 

 

 

 

 

 

 

1,308,534

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

593

 

 

618,153

 

Series 2, 12.38%, 8/16/15

 

 

599

 

 

624,794

 

 

 

 

 

 

 

1,242,947

 

Airlines — 2.2%

 

 

 

 

 

 

 

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

 

 

1,038

 

 

1,100,280

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

540

 

 

545,400

 

6.90%, 7/02/18

 

 

268

 

 

267,116

 

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

 

 

384

 

 

372,290

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

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

 

 

180

 

 

190,654

 

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

 

 

447

 

 

417,945

 

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

 

 

1,964

 

 

2,032,906

 

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

 

 

630

 

 

630,000

 

 

 

 

 

 

 

5,556,591

 

Auto Components — 1.8%

 

 

 

 

 

 

 

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

 

 

68

 

 

71,825

 

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

 

 

190

 

 

193,800

 

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

 

 

410

 

 

443,825

 

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

 

 

150

 

 

160,875

 

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

 

 

2,995

 

 

3,174,700

 

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

 

 

40

 

 

35,600

 

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

 

 

430

 

 

456,875

 

 

 

 

 

 

 

4,537,500

 

Beverages — 0.4%

 

 

 

 

 

 

 

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

 

 

245

 

 

270,112

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18 (c)

 

EUR

277

 

 

395,342

 

7.13%, 8/15/18

 

 

221

 

 

315,417

 

 

 

 

 

 

 

980,871

 


 

 

Portfolio Abbreviations

 

 

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

CAD

Canadian Dollar

ETF

Exchange-Traded Fund

DIP

Debtor-In-Possession

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

SPDR

Standard and Poor’s Depositary Receipts

USD

US Dollar


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

15




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

218

 

$

219,339

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

410

 

 

444,850

 

6.75%, 5/01/21

 

 

930

 

 

1,011,375

 

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

 

 

435

 

 

365,400

 

 

 

 

 

 

 

1,821,625

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

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

 

 

650

 

 

662,051

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (e)

 

 

980

 

 

1,141,700

 

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

 

 

226

 

 

213,853

 

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

 

 

600

 

 

638,530

 

 

 

 

 

 

 

2,656,134

 

Chemicals — 4.0%

 

 

 

 

 

 

 

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

 

 

800

 

 

780,000

 

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

 

 

395

 

 

443,388

 

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

 

 

455

 

 

520,975

 

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

 

 

1,640

 

 

1,787,600

 

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

 

 

345

 

 

370,875

 

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

 

 

285

 

 

279,300

 

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

 

 

155

 

 

175,150

 

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

 

 

430

 

 

456,875

 

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

 

EUR

350

 

 

479,128

 

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

 

USD

115

 

 

117,300

 

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

 

 

2,516

 

 

2,758,076

 

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

 

 

145

 

 

159,138

 

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

 

 

170

 

 

170,000

 

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

 

EUR

366

 

 

523,835

 

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

 

USD

200

 

 

215,500

 

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

 

 

565

 

 

662,462

 

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

 

 

310

 

 

327,050

 

 

 

 

 

 

 

10,226,652

 

Commercial Banks — 2.4%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (c)

 

 

2,245

 

 

2,247,806

 

7.00%, 5/01/17

 

 

955

 

 

955,000

 

7.00%, 5/02/17 (c)

 

 

2,395

 

 

2,397,994

 

5.50%, 2/15/19 (c)

 

 

550

 

 

561,687

 

 

 

 

 

 

 

6,162,487

 

Commercial Services & Supplies — 1.9%

 

 

 

 

 

 

 

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

 

 

305

 

 

336,647

 

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

 

 

500

 

 

495,620

 

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

 

 

24

 

 

22,800

 

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

 

 

610

 

 

606,950

 

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

 

 

320

 

 

339,200

 

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

 

 

380

 

 

419,900

 

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

 

 

335

 

 

351,750

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

555

 

 

643,800

 

8.25%, 2/01/21

 

 

800

 

 

848,000

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

169

 

 

227,410

 

8.75%, 12/01/18

 

 

100

 

 

118,575

 

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

 

USD

310

 

 

313,875

 

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

 

 

125

 

 

137,187

 

 

 

 

 

 

 

4,861,714

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Communications Equipment — 0.7%

 

 

 

 

 

 

 

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

 

USD

650

 

$

650,000

 

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

 

 

830

 

 

856,975

 

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

 

 

340

 

 

360,400

 

 

 

 

 

 

 

1,867,375

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

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

 

 

200

 

 

239,500

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

100

 

 

136,587

 

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

 

USD

175

 

 

184,188

 

 

 

 

 

 

 

320,775

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18

 

EUR

100

 

 

133,896

 

8.00%, 6/01/18 (c)

 

 

233

 

 

311,978

 

 

 

 

 

 

 

445,874

 

Consumer Finance — 1.5%

 

 

 

 

 

 

 

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

 

USD

435

 

 

463,275

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

200

 

 

202,465

 

7.00%, 4/15/15

 

 

1,890

 

 

2,097,900

 

12.00%, 5/15/15

 

 

670

 

 

842,487

 

6.63%, 8/15/17

 

 

131

 

 

148,445

 

 

 

 

 

 

 

3,754,572

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (c):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

 

205

 

 

220,375

 

7.38%, 10/15/17

 

EUR

335

 

 

470,868

 

9.13%, 10/15/20

 

USD

365

 

 

376,862

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (h)

 

 

275

 

 

263,312

 

8.25%, 11/15/15

 

 

110

 

 

118,250

 

9.75%, 1/15/21

 

 

330

 

 

353,100

 

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

 

EUR

244

 

 

290,135

 

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

 

USD

340

 

 

374,000

 

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

 

EUR

152

 

 

210,610

 

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

 

USD

235

 

 

269,075

 

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

 

EUR

296

 

 

424,924

 

 

 

 

 

 

 

3,371,511

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

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

 

USD

2,800

 

 

3,136,000

 

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

 

 

605

 

 

638,275

 

 

 

 

 

 

 

3,774,275

 

Diversified Financial Services — 4.9%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

350

 

 

372,750

 

8.30%, 2/12/15

 

 

530

 

 

585,650

 

6.25%, 12/01/17

 

 

480

 

 

496,137

 

7.50%, 9/15/20

 

 

620

 

 

682,775

 

8.00%, 11/01/31

 

 

1,075

 

 

1,199,969

 

8.00%, 11/01/31

 

 

560

 

 

607,631

 

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

 

 

340

 

 

362,525

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

100

 

 

131,098

 

9.88%, 4/30/18

 

GBP

130

 

 

203,715

 

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

 

USD

725

 

 

826,500

 

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

 

EUR

838

 

 

1,144,367

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

16

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

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

 

USD

270

 

$

291,373

 

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

 

 

790

 

 

878,875

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (c)

 

 

425

 

 

452,625

 

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

 

EUR

290

 

 

410,515

 

8.75%, 10/15/16

 

 

503

 

 

712,031

 

7.13%, 4/15/19 (c)

 

USD

230

 

 

243,225

 

7.88%, 8/15/19 (c)

 

 

1,010

 

 

1,105,950

 

9.88%, 8/15/19 (c)

 

 

1,030

 

 

1,064,762

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

110

 

 

121,550

 

11.50%, 10/01/18

 

 

535

 

 

568,437

 

 

 

 

 

 

 

12,462,460

 

Diversified Telecommunication Services — 3.8%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

897,500

 

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

 

 

264

 

 

267,300

 

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

 

 

260

 

 

271,050

 

Level 3 Financing, Inc. (c):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

2,144

 

 

2,245,840

 

8.63%, 7/15/20

 

 

980

 

 

1,046,150

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,200

 

 

1,204,200

 

8.00%, 10/01/15

 

 

610

 

 

654,797

 

Series B, 7.50%, 2/15/14

 

 

1,575

 

 

1,580,513

 

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

 

 

500

 

 

568,794

 

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

 

 

130

 

 

130,325

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

400

 

 

429,000

 

7.88%, 11/01/17

 

 

360

 

 

405,900

 

 

 

 

 

 

 

9,701,369

 

Electric Utilities — 0.8%

 

 

 

 

 

 

 

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

 

EUR

1,600

 

 

1,992,054

 

Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

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

 

USD

105

 

 

141,850

 

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

 

 

215

 

 

255,850

 

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

 

 

190

 

 

214,937

 

 

 

 

 

 

 

612,637

 

Energy Equipment & Services — 3.2%

 

 

 

 

 

 

 

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

 

 

150

 

 

158,250

 

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

 

 

130

 

 

136,825

 

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

 

 

360

 

 

360,000

 

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

 

 

235

 

 

244,694

 

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

 

 

335

 

 

329,975

 

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

 

 

1,615

 

 

1,724,012

 

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

 

 

415

 

 

434,713

 

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

 

 

900

 

 

963,000

 

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

 

 

290

 

 

311,750

 

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

 

 

2,410

 

 

2,524,475

 

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

 

 

695

 

 

820,204

 

 

 

 

 

 

 

8,007,898

 

Food Products — 0.2%

 

 

 

 

 

 

 

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

 

 

220

 

 

247,500

 

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

 

 

210

 

 

223,650

 

 

 

 

 

 

 

471,150

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

USD

180

 

$

195,525

 

10.38%, 10/15/17 (e)

 

 

1,335

 

 

1,453,481

 

DJO Finance LLC (FKA Johnson Diversey, Inc):

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

2,130

 

 

2,167,275

 

7.75%, 4/15/18

 

 

95

 

 

81,700

 

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

 

 

192

 

 

212,640

 

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

 

 

600

 

 

633,000

 

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

 

 

500

 

 

577,500

 

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

 

 

270

 

 

290,925

 

 

 

 

 

 

 

5,612,046

 

Health Care Providers & Services — 5.4%

 

 

 

 

 

 

 

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

 

 

380

 

 

388,550

 

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

 

EUR

400

 

 

552,904

 

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

 

GBP

331

 

 

519,347

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

120

 

 

134,400

 

6.50%, 2/15/20

 

 

1,830

 

 

1,962,675

 

7.88%, 2/15/20

 

 

85

 

 

93,713

 

7.25%, 9/15/20

 

 

2,405

 

 

2,621,450

 

5.88%, 3/15/22

 

 

250

 

 

256,250

 

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

 

 

860

 

 

896,550

 

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

 

 

695

 

 

663,725

 

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

 

 

375

 

 

360,000

 

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

 

 

115

 

 

104,650

 

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

 

 

905

 

 

1,007,944

 

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

 

 

265

 

 

275,600

 

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

 

 

315

 

 

303,975

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

752

 

 

876,080

 

6.25%, 11/01/18 (c)

 

 

300

 

 

319,875

 

8.88%, 7/01/19

 

 

2,010

 

 

2,291,400

 

 

 

 

 

 

 

13,629,088

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

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

 

 

2,235

 

 

2,659,650

 

Hotels, Restaurants & Leisure — 2.7%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

275

 

 

301,125

 

10.00%, 12/15/18

 

 

1,345

 

 

1,039,012

 

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

 

 

655

 

 

668,100

 

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

 

 

1,100

 

 

1,160,500

 

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

 

 

125

 

 

119,063

 

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

 

GBP

296

 

 

381,434

 

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

 

USD

270

 

 

237,600

 

MGM Resorts International:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

90

 

 

105,075

 

10.38%, 5/15/14

 

 

235

 

 

267,313

 

4.25%, 4/15/15 (g)

 

 

495

 

 

530,887

 

11.13%, 11/15/17

 

 

1,315

 

 

1,495,812

 

Travelport LLC (FKA Travelport, Inc):

 

 

 

 

 

 

 

5.11%, 9/01/14 (h)

 

 

165

 

 

84,563

 

9.88%, 9/01/14

 

 

35

 

 

20,038

 

9.00%, 3/01/16

 

 

110

 

 

58,300

 

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

 

 

373

 

 

262,728

 

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

 

 

315

 

 

 

 

 

 

 

 

 

6,731,550

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

17




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Household Durables — 1.6%

 

 

 

 

 

 

 

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

 

USD

1,425

 

$

1,553,250

 

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

 

EUR

285

 

 

383,502

 

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

 

USD

315

 

 

321,300

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

1,285

 

 

1,476,144

 

8.38%, 1/15/21

 

 

265

 

 

281,563

 

 

 

 

 

 

 

4,015,759

 

Household Products — 0.2%

 

 

 

 

 

 

 

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

 

EUR

130

 

 

159,343

 

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

 

USD

330

 

 

376,200

 

 

 

 

 

 

 

535,543

 

Independent Power Producers &
Energy Traders — 3.0%

 

 

 

 

 

 

 

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

 

 

600

 

 

684,000

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

165

 

 

174,900

 

7.50%, 2/15/21

 

 

95

 

 

103,075

 

7.88%, 1/15/23

 

 

260

 

 

283,400

 

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

 

 

2,920

 

 

3,157,250

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

881

 

 

956,986

 

11.75%, 3/01/22 (c)

 

 

1,310

 

 

1,342,750

 

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

 

 

470

 

 

518,175

 

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

 

 

305

 

 

308,050

 

 

 

 

 

 

 

7,528,586

 

Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,190

 

 

2,326,875

 

13.50%, 12/01/15

 

 

3,759

 

 

4,012,468

 

 

 

 

 

 

 

6,339,343

 

Insurance — 1.0%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,682,000

 

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

 

 

339

 

 

364,849

 

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

 

 

390

 

 

404,634

 

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

 

 

235

 

 

209,738

 

 

 

 

 

 

 

2,661,221

 

IT Services — 1.7%

 

 

 

 

 

 

 

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

 

 

510

 

 

527,850

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

180

 

 

182,025

 

8.88%, 8/15/20 (c)

 

 

495

 

 

535,837

 

8.25%, 1/15/21 (c)

 

 

610

 

 

590,175

 

12.63%, 1/15/21

 

 

1,368

 

 

1,436,400

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

400

 

 

430,000

 

7.63%, 11/15/20

 

 

550

 

 

594,000

 

 

 

 

 

 

 

4,296,287

 

Machinery — 0.8%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (g)

 

 

301

 

 

339,001

 

8.25%, 11/01/21

 

 

126

 

 

137,813

 

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

 

 

160

 

 

177,600

 

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

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

236

 

 

242,490

 

7.38%, 5/15/20

 

 

320

 

 

328,400

 

7.63%, 4/15/22

 

 

820

 

 

848,700

 

 

 

 

 

 

 

2,074,004

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 14.0%

 

 

 

 

 

 

 

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

 

USD

745

 

$

666,775

 

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

 

 

205

 

 

228,575

 

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

 

 

2,982

 

 

3,429,719

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

100

 

 

109,250

 

7.38%, 6/01/20

 

 

240

 

 

264,000

 

6.50%, 4/30/21

 

 

411

 

 

436,687

 

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

 

 

615

 

 

276,750

 

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

 

 

200

 

 

222,500

 

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

 

 

505

 

 

464,600

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,379

 

 

1,510,005

 

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

 

 

960

 

 

960,000

 

Series B, 9.25%, 12/15/17

 

 

5,280

 

 

5,808,000

 

Cox Enterprises, Inc. (c):

 

 

 

 

 

 

 

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

 

 

642

 

 

651,751

 

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

 

 

734

 

 

745,139

 

Shares Loan, 12.00%, 8/15/18

 

 

757

 

 

768,500

 

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

 

 

370

 

 

410,700

 

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

 

 

90

 

 

96,638

 

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

 

 

900

 

 

950,625

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (c)

 

 

330

 

 

225,225

 

9.50%, 5/15/15

 

 

290

 

 

228,375

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

1,400

 

 

1,480,500

 

11.25%, 2/04/17

 

 

330

 

 

340,313

 

11.50%, 2/04/17 (e)

 

 

1,220

 

 

1,256,600

 

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

 

 

1,235

 

 

1,392,462

 

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

 

 

315

 

 

360,675

 

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

 

EUR

613

 

 

873,869

 

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

 

 

315

 

 

442,794

 

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

 

USD

185

 

 

193,094

 

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

 

 

675

 

 

718,031

 

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

 

EUR

385

 

 

553,970

 

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

 

USD

570

 

 

627,000

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

45

 

 

52,313

 

7.75%, 10/15/18

 

 

2,085

 

 

2,319,562

 

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

 

GBP

189

 

 

296,922

 

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

 

USD

460

 

 

407,100

 

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

 

 

812

 

 

406

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

158

 

 

227,344

 

9.63%, 12/01/19 (c)

 

 

530

 

 

762,608

 

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

 

 

 

 

 

 

 

8.13%, 12/01/17

 

USD

540

 

 

585,900

 

8.13%, 12/01/17

 

EUR

407

 

 

582,914

 

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

 

USD

400

 

 

444,000

 

UPCB Finance II Ltd. (c):

 

 

 

 

 

 

 

6.38%, 7/01/20

 

EUR

753

 

 

998,205

 

6.38%, 7/01/20

 

 

300

 

 

397,691

 

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

 

GBP

279

 

 

479,370

 

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

 

EUR

343

 

 

483,255

 

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

 

 

672

 

 

928,879

 

 

 

 

 

 

 

35,659,591

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

18

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining — 3.1%

 

 

 

 

 

 

 

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

 

USD

970

 

$

1,229,475

 

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

 

EUR

627

 

 

847,882

 

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

 

USD

1,345

 

 

1,856,100

 

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

 

 

3,045

 

 

3,395,175

 

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

 

 

385

 

 

369,600

 

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

 

 

245

 

 

226,013

 

 

 

 

 

 

 

7,924,245

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

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

 

 

4,007

 

 

4,397,723

 

Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

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

 

 

365

 

 

354,050

 

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

 

 

405

 

 

417,150

 

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

 

 

470

 

 

489,975

 

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

 

 

20

 

 

22,100

 

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

 

 

235

 

 

246,163

 

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

 

 

120

 

 

124,800

 

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

 

 

250

 

 

258,750

 

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

 

 

50

 

 

51,000

 

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

 

 

243

 

 

260,010

 

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

 

 

375

 

 

421,875

 

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

 

 

1,800

 

 

1,962,000

 

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

 

 

340

 

 

377,400

 

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

 

 

305

 

 

323,300

 

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

 

 

165

 

 

179,025

 

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

 

 

535

 

 

534,697

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

597

 

 

680,580

 

6.38%, 8/15/21

 

 

320

 

 

352,800

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

510

 

 

564,825

 

7.75%, 6/15/19

 

 

815

 

 

859,825

 

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

 

 

140

 

 

147,000

 

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

 

 

690

 

 

752,100

 

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

 

 

145

 

 

148,081

 

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

 

 

300

 

 

321,000

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

90

 

 

91,800

 

6.25%, 11/01/19 (c)

 

 

1,665

 

 

1,662,919

 

8.63%, 4/15/20

 

 

205

 

 

227,550

 

7.75%, 2/01/21

 

 

185

 

 

198,875

 

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

 

 

120

 

 

131,100

 

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

 

 

865

 

 

934,200

 

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

 

 

525

 

 

504,000

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

300

 

 

318,000

 

6.50%, 11/01/21

 

 

270

 

 

278,100

 

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

 

 

4,410

 

 

4,597,425

 

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

 

 

315

 

 

315,000

 

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

 

 

800

 

 

850,000

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

350

 

 

388,937

 

7.88%, 6/01/15

 

 

450

 

 

475,312

 

7.25%, 8/15/18

 

 

290

 

 

331,688

 

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

 

 

530

 

 

556,500

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

425

 

 

499,236

 

7.50%, 1/15/20

 

 

135

 

 

166,829

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

USD

735

 

$

793,800

 

6.75%, 2/01/22

 

 

475

 

 

520,125

 

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

 

 

275

 

 

293,563

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

345

 

 

384,675

 

5.75%, 6/01/21

 

 

900

 

 

963,000

 

5.00%, 8/15/22 (i)

 

 

403

 

 

407,030

 

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

 

 

360

 

 

359,278

 

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

 

 

605

 

 

636,762

 

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

 

 

410

 

 

414,100

 

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

 

 

120

 

 

128,700

 

 

 

 

 

 

 

27,277,010

 

Paper & Forest Products — 2.3%

 

 

 

 

 

 

 

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

 

 

363

 

 

264,678

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

400

 

 

440,000

 

8.00%, 4/01/20

 

 

140

 

 

153,650

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

370

 

 

420,413

 

7.13%, 11/01/18

 

 

535

 

 

569,775

 

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

 

 

1,525

 

 

1,689,436

 

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

 

 

315

 

 

323,663

 

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

 

 

1,935

 

 

1,165,837

 

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

 

 

120

 

 

112,500

 

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

 

 

707

 

 

721,140

 

 

 

 

 

 

 

5,861,092

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

100

 

 

143,222

 

9.88%, 8/01/19 (c)

 

 

200

 

 

286,444

 

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

 

USD

390

 

 

426,563

 

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

 

 

780

 

 

795,600

 

 

 

 

 

 

 

1,651,829

 

Professional Services — 0.4%

 

 

 

 

 

 

 

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

 

 

850

 

 

919,062

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

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

 

 

1,285

 

 

1,313,912

 

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

 

 

480

 

 

502,200

 

 

 

 

 

 

 

1,816,112

 

Real Estate Management & Development — 2.4%

 

 

 

 

 

 

 

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

 

 

310

 

 

329,375

 

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

 

 

1,325

 

 

1,305,125

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

360

 

 

329,400

 

12.00%, 4/15/17

 

 

90

 

 

82,800

 

7.88%, 2/15/19 (c)

 

 

2,185

 

 

2,119,450

 

7.63%, 1/15/20 (c)

 

 

465

 

 

480,112

 

9.00%, 1/15/20 (c)

 

 

335

 

 

336,675

 

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

 

 

1,145

 

 

1,156,450

 

 

 

 

 

 

 

6,139,387

 

Road & Rail — 1.6%

 

 

 

 

 

 

 

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

 

 

115

 

 

119,888

 

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

 

 

410

 

 

414,100

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

172

 

 

247,488

 

8.50%, 7/31/15 (c)

 

 

1,225

 

 

1,762,632

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

19




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

USD

595

 

$

641,856

 

6.75%, 4/15/19 (c)

 

 

100

 

 

104,750

 

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

 

 

265

 

 

277,588

 

7.38%, 1/15/21 (c)

 

 

455

 

 

492,537

 

 

 

 

 

 

 

4,060,839

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

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

 

 

540

 

 

530,550

 

Software — 0.2%

 

 

 

 

 

 

 

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

 

 

408

 

 

438,600

 

Specialty Retail — 2.5%

 

 

 

 

 

 

 

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

 

 

335

 

 

359,288

 

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

 

 

490

 

 

513,275

 

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

 

GBP

480

 

 

683,451

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

745

 

 

890,275

 

5.63%, 2/15/22

 

 

150

 

 

154,500

 

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

 

GBP

370

 

 

516,525

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

210

 

 

225,750

 

7.50%, 10/01/19

 

 

565

 

 

627,150

 

7.38%, 10/15/20

 

 

270

 

 

299,025

 

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

 

 

500

 

 

537,500

 

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

 

 

345

 

 

375,187

 

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

 

 

135

 

 

138,713

 

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

 

 

950

 

 

990,384

 

 

 

 

 

 

 

6,311,023

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

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

 

 

398

 

 

418,397

 

Wireless Telecommunication Services — 5.2%

 

 

 

 

 

 

 

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

 

 

226

 

 

240,690

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

635

 

 

646,112

 

9.13%, 1/15/15

 

 

1,711

 

 

1,744,845

 

8.25%, 9/01/17

 

 

1,135

 

 

1,203,100

 

10.50%, 4/15/18

 

 

500

 

 

545,000

 

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

 

 

920

 

 

885,500

 

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

 

EUR

300

 

 

411,681

 

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

 

USD

990

 

 

1,019,700

 

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

 

 

614

 

 

627,815

 

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

 

 

2,230

 

 

1,739,400

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

1,950

 

 

2,174,250

 

7.00%, 3/01/20

 

 

1,850

 

 

1,880,062

 

 

 

 

 

 

 

13,118,155

 

Total Corporate Bonds — 102.0%

 

 

 

 

 

259,202,536

 


 

 

 

 

 

 

 

 


Floating Rate Loan Interests (h)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

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

 

 

522

 

 

509,292

 

Auto Components — 0.2%

 

 

 

 

 

 

 

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

 

 

450

 

 

451,314

 

Building Products — 0.1%

 

 

 

 

 

 

 

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

 

 

318

 

 

323,155

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

7.25%, 5/13/17

 

USD

600

 

$

604,200

 

8.25%, 2/28/19

 

 

380

 

 

383,325

 

 

 

 

 

 

 

987,525

 

Chemicals — 0.1%

 

 

 

 

 

 

 

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

 

 

313

 

 

305,139

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

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

 

 

180

 

 

176,125

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

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

 

 

1,750

 

 

1,750,000

 

Consumer Finance — 1.4%

 

 

 

 

 

 

 

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

 

 

3,940

 

 

3,591,743

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

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

 

 

8

 

 

7,566

 

Term Loan, 2.80%, 7/24/14

 

 

77

 

 

75,974

 

 

 

 

 

 

 

83,540

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

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

 

 

475

 

 

467,162

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

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

 

 

97

 

 

96,793

 

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

 

 

255

 

 

249,217

 

 

 

 

 

 

 

346,010

 

Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

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

 

 

250

 

 

250,250

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

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

 

 

1,332

 

 

1,324,178

 

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

 

 

968

 

 

998,054

 

 

 

 

 

 

 

2,572,482

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

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

 

 

155

 

 

149,575

 

Food Products — 0.1%

 

 

 

 

 

 

 

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

 

 

200

 

 

200,166

 

Health Care Providers & Services — 0.6%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

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

 

 

361

 

 

353,458

 

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

 

 

412

 

 

403,490

 

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

 

 

795

 

 

764,413

 

 

 

 

 

 

 

1,521,361

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

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

 

 

450

 

 

462,888

 

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

 

 

740

 

 

693,809

 

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

 

 

284

 

 

266,259

 

Term Loan B3, 3.24% – 3.47%, 1/28/15

 

 

900

 

 

842,846

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

9

 

 

8,319

 

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

 

 

86

 

 

84,383

 

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

 

 

950

 

 

856,586

 


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

20

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

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

 

USD

172

 

$

81,479

 

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

 

 

533

 

 

119,916

 

 

 

 

 

 

 

3,416,485

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

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

 

 

686

 

 

382,898

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

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

 

 

405

 

 

406,349

 

IT Services — 0.3%

 

 

 

 

 

 

 

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

 

 

720

 

 

646,085

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

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

 

 

540

 

 

546,583

 

Media — 4.9%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

295

 

 

273,760

 

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

 

 

1,447

 

 

1,400,456

 

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

 

 

550

 

 

544,374

 

Clear Channel Communications:

 

 

 

 

 

 

 

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

 

 

1,970

 

 

1,616,766

 

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

 

 

354

 

 

280,450

 

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

 

 

855

 

 

528,252

 

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

 

 

5,955

 

 

5,944,876

 

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

 

 

45

 

 

44,899

 

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

 

 

1,375

 

 

1,414,531

 

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

 

 

310

 

 

287,882

 

 

 

 

 

 

 

12,336,246

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

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

 

EUR

1,125

 

 

1,147,114

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

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

 

USD

1,525

 

 

1,532,265

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

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

 

 

1,372

 

 

686,018

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

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

 

 

360

 

 

363,150

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

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

 

 

1,525

 

 

1,518,469

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

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

 

 

104

 

 

96,574

 

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

 

 

689

 

 

639,091

 

 

 

 

 

 

 

735,665

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

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

 

 

65

 

 

64,512

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 7/28/15

 

USD

26

 

$

25,430

 

Extended Initial Term Loan, 7/28/15

 

 

49

 

 

47,883

 

Extended Initial Term Loan, 7/28/15

 

EUR

395

 

 

495,998

 

 

 

 

 

 

 

569,311

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

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

 

USD

482

 

 

456,568

 

Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

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

 

 

190

 

 

189,135

 

Total Floating Rate Loan Interests — 15.1%

 

 

 

 

 

38,431,442

 


 

 

 

 

 

 

 

 

Other Interests (l)

 


Beneficial
Interest
(000)

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

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

 

 

2,650

 

 

27

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (a)

 

 

700

 

 

7

 

Adelphia Recovery Trust (a)

 

 

878

 

 

88

 

 

 

 

 

 

 

95

 

Total Other Interests — 0.0%

 

 

 

 

 

122

 


 

 

 

 

 

 

 

 


Preferred Securities

 

 

 

 

 

 

 

Capital Trusts — 0.2%

 

Par
(000
)

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

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

 

 

790

 

 

542,137

 


 

 

 

 

 

 

 

 

Preferred Stocks

 


Shares

 

 

 

 

Auto Components — 0.4%

 

 

 

 

 

 

 

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

 

 

7,570

 

 

1,019,111

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

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

 

 

3,083

 

 

2,675,081

 

Total Preferred Stocks — 1.5%

 

 

 

 

 

3,694,192

 


 

 

 

 

 

 

 

 

Trust Preferred

 


Par
(000)

 

 

 

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

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

 

USD

67,560

 

 

1,581,082

 

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

 

 

41,000

 

 

560,470

 

 

 

 

 

 

 

2,141,552

 

Total Preferred Securities — 2.5%

 

 

 

 

 

6,377,881

 


 

 

 

 

 

 

 

 


Warrants (m)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

29,930

 

 

 


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

21




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Warrants (m)

 

Par
(000)

 

Value

 

Media — 0.1%

 

 

 

 

 

 

 

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

 

USD

39,975

 

$

288,732

 

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

 

 

14,965

 

 

 

 

 

 

 

 

 

288,732

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

312

 

 

 

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

 

 

10

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

288,732

 

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

 

 

 

 

 

325,523,632

 


 

 

 

 

 

 

 

 


Short-Term Securities

 

 

 

 

 

 

 

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

 

 

2,264,805

 

 

2,264,805

 

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

 

 

 

 

 

2,264,805

 


 

 

 

 

 

 

 

 


Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.1%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust:

 

 

 

 

 

 

 

Strike Price USD 134.00, Expires 3/17/12

 

 

1,075

 

 

101,050

 

Strike Price USD 136.00, Expires 3/17/12

 

 

180

 

 

28,440

 

Strike Price USD 136.00, Expires 4/21/12

 

 

180

 

 

57,420

 

 

 

 

 

 

 

186,910

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

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

 

 

17

 

 

 

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

 

 

 

 

 

186,910

 

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

 

 

 

 

 

327,975,347

 


 

 

 

 

 

 

 

 


Options Written

 

 

 

 

 

 

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

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

 

 

1,075

 

 

(15,587

)

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

 

 

 

 

 

(15,587

)

Total Investments, Net of Options Written– 129.0%

 

 

 

 

 

327,959,760

 

Liabilities in Excess of Other Assets — (29.0)%

 

 

 

 

 

(73,783,998

)

Net Assets — 100.0%

 

 

 

 

$

254,175,762

 

 

 

 

 

 

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Goldman Sachs & Co.

 

$

960,000

 

 

 

Citigroup Global Markets, Inc.

 

$

148,081

 

$

3,081

 

Bank of America

 

$

537,355

 

$

4,355

 

Barclays Capital Inc.

 

$

277,588

 

$

1,988

 

Morgan Stanley Co.

 

$

1,419,590

 

$

43,590

 


 

 

(j)

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

 

 

(k)

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

 

 

(l)

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

 

 

(m)

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

 

 

(n)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2011

 

Net
Activity

 

Shares Held at
February 28,
2012

 

Income

 

BlackRock Liquidity
Funds, TempCash,
Institutional Class

 

 

1,721,866

 

 

542,939

 

 

2,264,805

 

$

1,625

 


 

 

(o)

Represents the current yield as of report date

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

117

 

S&P 500
Index E-Mini

 

Chicago
Mercantile

 

March
2012

 

$

7,981,740

 

$

(257,937

)


 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

 

Unrealized
Appreciation
(Depreciation)

 

USD

901,215

 

CAD

925,000

 

Citibank NA

 

4/11/12

 

$

(32,815

)

USD

476,773

 

GBP

300,000

 

Citibank NA

 

4/11/12

 

 

(362

)

EUR

94,000

 

USD

121,713

 

Citibank NA

 

4/18/12

 

 

3,548

 

USD

18,023,462

 

EUR

14,031,500

 

Citibank NA

 

4/18/12

 

 

(674,365

)

USD

260,236

 

EUR

198,000

 

Citibank NA

 

4/18/12

 

 

(3,611

)

USD

504,030

 

EUR

380,000

 

Citibank NA

 

4/18/12

 

 

(2,343

)

USD

129,685

 

EUR

98,000

 

Citibank NA

 

4/18/12

 

 

(906

)

EUR

300,000

 

USD

403,899

 

Deutsche Bank AG

 

4/18/12

 

 

(4,131

)

USD

72,462

 

EUR

56,000

 

Deutsche Bank AG

 

4/18/12

 

 

(2,161

)

USD

129,945

 

EUR

98,000

 

Deutsche Bank AG

 

4/18/12

 

 

(646

)

USD

166,318

 

GBP

106,000

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

(2,270

)

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

1,674,448

 

CAD

1,710,000

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

(52,246

)

 

 

 

 

 

 

 

 

 

 

 

 

 

GBP

150,000

 

USD

235,239

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

3,328

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USD

736,004

 

EUR

565,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(16,893

)


 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

22

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation (Depreciation)

 

USD

104,559

 

EUR

80,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

$

(2,045

)

USD

436,394

 

EUR

329,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(2,018

)

USD

3,029,818

 

GBP

1,976,500

 

UBS AG

 

4/11/12

 

 

(113,702

)

USD

321,008

 

EUR

243,000

 

UBS AG

 

4/18/12

 

 

(2,805

)

Total

 

 

 

 

 

 

 

 

 

$

(906,443

)


 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

95

 

$

(5,287

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

155

 

 

(8,097

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

85

 

 

(2,410

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

80

 

 

(2,861

)

MGM Resorts
International

 

 

5.00

%

 

Deutsche Bank AG

 

6/20/15

 

$

80

 

 

(5,209

)

Republic
of Hungary

 

 

1.00

%

 

Deutsche Bank AG

 

12/20/15

 

$

280

 

 

14,909

 

Realogy Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

9/20/16

 

$

125

 

 

(14,443

)

iStar
Financial, Inc.

 

 

5.00

%

 

Deutsche Bank AG

 

12/20/16

 

$

250

 

 

(25,647

)

Israel (State of)

 

 

1.00

%

 

Deutsche Bank AG

 

3/20/17

 

$

210

 

 

(2,183

)

Israel
Government Bond

 

 

1.00

%

 

Deutsche Bank AG

 

3/20/17

 

$

625

 

 

(6,931

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(58,159

)


 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Air Lease
Corporation

 

 

5.00

%

 

Goldman Sachs
International

 

2/14/13

 

NR

 

$

500

 

$

690

 

CIT Group, Inc.

 

 

5.00

%

 

Deutsche
Bank AG

 

9/20/15

 

BB–

 

$

3,100

 

 

207,030

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

3/20/16

 

B

 

$

500

 

 

26,496

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

6/20/16

 

B

 

$

300

 

 

14,273

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

6/20/16

 

B

 

$

300

 

 

16,159

 

Aramark Corp.

 

 

5.00

%

 

Credit Suisse
Securities
(USA LLC)

 

9/20/16

 

B

 

$

125

 

 

10,126

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

9/20/16

 

B

 

$

350

 

 

15,806

 

Aramark Corp.

 

 

5.00

%

 

Goldman Sachs
International

 

9/20/16

 

B

 

$

125

 

 

9,663

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Bausch & Lomb
Incorporated

 

 

5.00

%

 

Credit Suisse
Securities
(USA LLC)

 

3/20/17

 

B

 

$

100

 

$

5,007

 

Aramark Corp.

 

 

5.00

%

 

Deutsche
Bank AG

 

3/20/17

 

B

 

$

185

 

 

3,984

 

Crown Castle
International
Corp.

 

 

7.25

%

 

Deutsche
Bank AG

 

3/20/17

 

B–

 

$

430

 

 

9,327

 

Ford Motor
Company

 

 

5.00

%

 

Deutsche
Bank AG

 

3/20/17

 

BB+

 

$

1,300

 

 

78,265

 

CCO Holding
LLC

 

 

8.00

%

 

Deutsche
Bank AG

 

9/20/17

 

BB–

 

$

1,500

 

 

(84

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

396,742

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

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


 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Credit
Rating3

 

Notional
Amount
(000)4

 

Unrealized
Appreciation

 

Dow Jones CDX
North America
High Yield Index
Series 17

 

 

5.00

%

 

Morgan Stanley

 

12/20/16

 

B+

 

$

582

 

$

26,506

 


 

 

 

 

3

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

 

 

 

 

4

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


 

 

 

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

 

 

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

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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


 

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

FEBRUARY 29, 2012

23




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund, Inc. (COY)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

9,783,549

 

$

7,300,861

 

$

4,138,509

 

$

21,222,919

 

Corporate Bonds

 

 

 

 

255,021,496

 

 

4,181,040

 

 

259,202,536

 

Floating Rate
Loan Interests

 

 

 

 

32,976,564

 

 

5,454,878

 

 

38,431,442

 

Other Interests

 

 

88

 

 

 

 

34

 

 

122

 

Preferred
Securities

 

 

2,141,552

 

 

4,236,329

 

 

 

 

6,377,881

 

Warrants

 

 

 

 

288,732

 

 

 

 

288,732

 

Short-Term
Investments

 

 

2,264,805

 

 

 

 

 

 

2,264,805

 

Total

 

$

14,189,994

 

$

299,823,982

 

$

13,774,461

 

$

327,788,437

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

221, 195

 

$

217,046

 

$

438,241

 

Equity contracts

 

$

186,910

 

 

 

 

 

 

186,910

 

Foreign currency
exchange
contracts

 

 

 

 

6,876

 

 

 

 

6,876

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(73,068

)

 

(84

)

 

(73,152

)

Equity contracts

 

 

(273,524

)

 

 

 

 

 

(273,524

)

Foreign currency
exchange
contracts

 

 

 

 

(913,319

)

 

 

 

(913,319

)

Total

 

$

(86,614

)

$

(758,316

)

$

216,962

 

$

(627,968

)


 

 

 

 

1

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


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Warrants

 

Unfunded Loan
Commitments
(Liabilities)

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2011

 

$

412,146

 

$

5,083,048

 

$

6,878,236

 

$

7

 

$

154

 

$

(11,592

)

$

12,361,999

 

Accrued discounts/premiums

 

 

 

 

6,787

 

 

92,447

 

 

 

 

 

 

 

 

99,234

 

Net realized gain (loss)

 

 

5,012

 

 

(2,034,509

)

 

39,924

 

 

 

 

 

 

 

 

(1,989,573

)

Net change in unrealized appreciation/depreciation2

 

 

(2,557,439

)

 

2,637,797

 

 

288,385

 

 

27

 

 

(154

)

 

11,592

 

 

380,208

 

Purchases

 

 

6,283,492

 

 

624,199

 

 

336,483

 

 

 

 

 

 

 

 

7,244,174

 

Sales

 

 

(6,339

)

 

(2,136,282

)

 

(3,005,956

)

 

 

 

 

 

 

 

(5,148,577

)

Transfers in3

 

 

1,637

 

 

 

 

825,359

 

 

 

 

 

 

 

 

826,996

 

Transfers out3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 29, 2012

 

$

4,138,509

 

$

4,181,040

 

$

5,454,878

 

$

34

 

 

 

 

 

$

13,774,461

 


 

 

 

 

2

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


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

 

 

 

 

 

 

 

Credit
Contracts

 

Assets/Liabilities:

 

 

 

 

Balance, as of February 28, 2011

 

 

 

Accrued discounts/premiums

 

$

(28,779

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation4

 

 

216,962

 

Issuances5

 

 

268,154

 

Purchases

 

 

 

Sales

 

 

 

Settlements6

 

 

(239,375

)

Transfers in3

 

 

 

Transfers out3

 

 

 

Balance, as of February 29, 2012

 

$

216,962

 


 

 

 

 

3

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

 

 

 

 

4

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

 

 

 

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

6

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

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

 

 

 

See Notes to Consolidated Financial Statements.

 

 

 

 

 

 

24

ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments February 29, 2012

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 2.9%

 

 

 

 

 

 

 

Delphi Automotive Plc (a)

 

 

13,654

 

$

436,941

 

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

 

 

242,654

 

 

7,570,792

 

 

 

 

 

 

 

8,007,733

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

74,600

 

 

718,398

 

Commercial Banks — 0.3%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

16,900

 

 

687,999

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

12,778

 

 

910,305

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

186,717,877

 

 

1,709,402

 

Diversified Telecommunication Services — 0.1%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

15,380

 

 

373,888

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

70,784

 

 

354

 

Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

35,294

 

 

1,515,988

 

Osum Oil Sands Corp. (a)

 

 

82,000

 

 

1,035,929

 

Transocean Ltd.

 

 

5,400

 

 

288,036

 

 

 

 

 

 

 

2,839,953

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

1,099

 

 

110

 

Travelport Worldwide Ltd.

 

 

76,940

 

 

38,470

 

 

 

 

 

 

 

38,580

 

Media — 1.6%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

47,382

 

 

339,729

 

Charter Communications, Inc. (a)

 

 

63,805

 

 

4,045,875

 

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

 

 

9,964

 

 

131,824

 

 

 

 

 

 

 

4,517,428

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

47,050

 

 

430,135

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

122,117

 

 

192,534

 

Ainsworth Lumber Co. Ltd. (c)

 

 

140,415

 

 

221,383

 

Western Forest Products, Inc. (a)

 

 

158,023

 

 

153,319

 

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

 

 

45,762

 

 

44,400