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
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February 29, 2012 |
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Annual Report |
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BlackRock Corporate High Yield Fund, Inc. (COY) |
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BlackRock Corporate High Yield Fund III, Inc. (CYE) |
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BlackRock Debt Strategies Fund, Inc. (DSU) |
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BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB) |
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BlackRock Senior High Income Fund, Inc. (ARK) |
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Not FDIC Insured § No Bank Guarantee § May Lose Value |
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Table of Contents |
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Page |
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3 |
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Annual Report: |
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4 |
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14 |
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14 |
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Financial Statements: |
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15 |
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59 |
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60 |
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61 |
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63 |
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64 |
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69 |
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79 |
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79 |
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80 |
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81 |
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84 |
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2 |
ANNUAL REPORT |
FEBRUARY 29, 2012 |
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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 & Poors downgraded the US governments 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 regions debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europes 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 nations 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.
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Sincerely, |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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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
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Total Returns as of February 29, 2012 |
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6-month |
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12-month |
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US large cap equities |
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13.31 |
% |
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5.12 |
% |
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US small cap equities |
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12.40 |
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(0.15 |
) |
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International equities |
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4.13 |
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(7.45 |
) |
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Emerging market |
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5.27 |
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(0.11 |
) |
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3-month Treasury |
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0.00 |
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0.08 |
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US Treasury securities |
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3.70 |
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17.22 |
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US investment grade bonds |
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2.73 |
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8.37 |
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Tax-exempt municipal |
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5.93 |
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12.88 |
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US high yield bonds |
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8.62 |
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6.92 |
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Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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THIS PAGE NOT PART OF YOUR FUND REPORT |
3 |
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BlackRock Corporate High Yield Fund, Inc. |
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Investment Objective |
BlackRock Corporate High Yield Fund, Inc.s (COY) (the Fund) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities, which are rated in the lower rating categories of the established rating services (BB or lower by Standard & Poors Corporation (S&Ps) or Ba or lower by Moodys Investors Service, Inc. (Moodys)) or are unrated securities considered by BlackRock to be of comparable quality. 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.
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No assurance can be given that the Funds investment objectives will be achieved. |
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Portfolio Management Commentary |
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How did the Fund perform? |
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For the 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. |
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What factors influenced performance? |
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The Funds positive performance during the 12-month period was driven largely by security selection among higher-quality and non-rated credits. The Funds exposure to Charter Communications, Inc. boosted returns, as did holdings of Delphi Automotive Plc stock received in connection with the companys reorganization in 2009. Overall, risk assets performed well over the period despite sharp volatility in the latter half of 2011. |
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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 Funds 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. |
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The Fund uses credit default swaps to express a particular view in an individual credit name and as a means of managing risk. It also utilizes credit default swaps on a basket of securities in order to put cash to work or quickly increase or decrease the portfolios exposure to market movements. The Fund may also use stock futures and options to hedge the equity risk inherent within an individual position or group of positions. Stock futures are an efficient mechanism for reducing risk under certain market conditions. 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. |
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Describe recent portfolio activity. |
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During the 12-month period, the Funds 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. |
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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. |
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Describe portfolio positioning at period end. |
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At period end, the Fund held 80% of its total portfolio in corporate bonds, 12% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred securities and other interests. The Funds 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. |
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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4 |
ANNUAL REPORT |
FEBRUARY 29, 2012 |
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BlackRock Corporate High Yield Fund, Inc. |
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Fund Information |
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Symbol on New York Stock Exchange (NYSE) |
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% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14. |
The table below summarizes the changes in the Funds market price and NAV per share:
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2/29/12 |
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2/28/11 |
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Change |
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High |
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Low |
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Market Price |
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$7.76 |
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$7.03 |
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10.38 |
% |
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$7.82 |
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$5.99 |
Net Asset Value |
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$7.29 |
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$7.42 |
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(1.75 |
)% |
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$7.56 |
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$6.45 |
The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
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Portfolio Composition |
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Corporate Bonds |
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80 |
% |
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85 |
% |
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Floating Rate Loan Interests |
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12 |
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7 |
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Common Stocks |
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5 |
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5 |
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Preferred Securities |
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2 |
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1 |
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Other Interests |
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1 |
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2 |
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Credit Quality Allocations4 |
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A |
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1 |
% |
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1 |
% |
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BBB/Baa |
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6 |
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4 |
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BB/Ba |
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42 |
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31 |
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B |
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40 |
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46 |
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CCC/Caa |
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10 |
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13 |
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Not Rated |
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1 |
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5 |
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4 |
Using the higher of S&Ps or Moodys ratings. |
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ANNUAL REPORT |
FEBRUARY 29, 2012 |
5 |
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Fund Summary as of February 29, 2012 |
BlackRock Corporate High Yield Fund III, Inc. |
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Investment Objective |
BlackRock Corporate High Yield Fund III, Inc.s (CYE) (the Fund) primary investment objective is to provide current income by investing primarily in fixed-income securities, which are rated in the lower rating categories of the established rating services (BBB or lower by S&Ps or Baa or lower by Moodys) or are unrated securities of comparable quality. The Funds secondary investment objective is to provide capital appreciation. The Fund may invest directly in such securities or synthetically through the use of derivatives.
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No assurance can be given that the Funds investment objectives will be achieved. |
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Portfolio Management Commentary |
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How did the Fund perform? |
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For the 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. |
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What factors influenced performance? |
|
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The Funds positive performance during the 12-month period was driven largely by security selection among higher-quality credits. The Funds exposure to Charter Communications, Inc. boosted returns, as did holdings of Delphi Automotive Plc stock received in connection with the companys 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 Funds 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 portfolios exposure to market movements. The Fund may also use stock futures and options to hedge the equity risk inherent within an individual position or group of positions. Stock futures are an efficient mechanism for reducing risk under certain market conditions. 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 Funds 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. |
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Describe portfolio positioning at period end. |
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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 Funds 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. |
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The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
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6 |
ANNUAL REPORT |
FEBRUARY 29, 2012 |
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BlackRock Corporate High Yield Fund III, Inc. |
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Fund Information |
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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% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
The distribution rate is not constant and is subject to change. |
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3 |
Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 14. |
The table below summarizes the changes in the Funds market price and NAV per share:
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2/29/12 |
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2/28/11 |
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Change |
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High |
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Low |
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Market Price |
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$7.75 |
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$7.14 |
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8.54 |
% |
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$7.75 |
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$6.08 |
Net Asset Value |
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$7.41 |
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$7.56 |
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(1.98 |
)% |
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$7.70 |
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$6.54 |
The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
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Portfolio Composition |
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Corporate Bonds |
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77 |
% |
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80 |
% |
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Floating Rate Loan Interests |
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15 |
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11 |
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Common Stocks |
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6 |
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5 |
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Preferred Securities |
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2 |
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2 |
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Other Interests |
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2 |
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Credit Quality Allocations4 |
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||
A |
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1 |
% |
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BBB/Baa |
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7 |
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|
4 |
% |
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BB/Ba |
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38 |
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31 |
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B |
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43 |
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|
46 |
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CCC/Caa |
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10 |
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14 |
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Not Rated |
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1 |
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|
5 |
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|
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4 |
Using the higher of S&Ps or Moodys ratings. |
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|
ANNUAL REPORT |
FEBRUARY 29, 2012 |
7 |
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Fund Summary as of February 29, 2012 |
BlackRock Debt Strategies Fund, Inc. |
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Investment Objective |
BlackRock Debt Strategies Fund, Inc.s (DSU) (the Fund) primary investment objective is to provide current income by investing primarily in a diversified portfolio of US companies debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&Ps or Baa or lower by Moodys) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. The Funds secondary objective is to provide capital appreciation. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in such securities or synthetically through the use of derivatives.
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|
No assurance can be given that the Funds investment objectives will be achieved. |
|
Portfolio Management Commentary |
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|
|
How did the Fund perform? |
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|
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 Funds 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 Funds tactical exposure to convertible bonds had a positive impact on performance and the use of leverage was an additional contributor. |
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|
|
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 Funds 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 Funds 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 Funds 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. |
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|
|
|
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. |
|
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|
|
|
|
8 |
ANNUAL REPORT |
FEBRUARY 29, 2012 |
|
|
BlackRock Debt Strategies Fund, Inc. |
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|
|
Fund Information |
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|
|
|
|
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 Funds market price and NAV per share:
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|
|
|
|
|
|
|
|
|
|
|
|
|
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 Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
|
|
|
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
||
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||
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&Ps or Moodys 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 Funds 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 Funds 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 Funds 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 Funds gains for the period. |
|
|
|
Describe recent portfolio activity. |
|
|
|
The period began with severe market volatility in reaction to headwinds from Europes 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 Funds 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 Funds 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 Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
|
|
|
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
||
Floating Rate Loan Interests |
|
84 |
% |
|
81 |
% |
|
Corporate Bonds |
|
13 |
|
|
15 |
|
|
Asset-Backed Securities |
|
2 |
|
|
3 |
|
|
Common Stocks |
|
1 |
|
|
|
|
|
Other Interests |
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
Credit Quality Allocations4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||
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&Ps or Moodys 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 Funds 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 Funds discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
|
|
|
What factors influenced performance? |
|
|
|
The Funds 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 Funds 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 Funds 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 Funds 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 Funds 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 Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
|
|
|
|
|
|
|
|
Portfolio Composition |
|
|
|
|
|
|
|
|
|
|
|
|
|
||
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||
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&Ps or Moodys ratings. |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
FEBRUARY 29, 2012 |
13 |
|
|
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 Funds shareholders will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.
To illustrate these concepts, assume a Funds capitalization is $100 million and it 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 Funds long-term investments, and therefore the Funds shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Funds total portfolio earns income based on lower long-term interest rates.
Furthermore, the value of the Funds portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Funds borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds 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 Funds net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Funds net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Funds ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.
Under the Investment Company Act of 1940, 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 Funds 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 |
COY |
21% |
CYE |
24% |
DSU |
25% |
FRB |
22% |
ARK |
23% |
|
|
The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds ability to use a derivative financial instrument successfully depends on the investment advisors ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds investments in these instruments are discussed in detail in the Notes to Financial Statements.
|
|
|
|
|
|
14 |
ANNUAL REPORT |
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) |
|
|
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 |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
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., |
|
|
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, |
|
|
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, |
|
|
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, |
|
|
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 Poors 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 |
|
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., |
|
|
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%, |
|
|
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 |
|
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%, |
|
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., |
|
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., |
|
|
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 |
|
Value |
|
||
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
General Motors Financial Co., Inc., 6.75%, |
|
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., |
|
|
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 & |
|
|
|
|
|
|
|
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%, |
|
|
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, |
|
|
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 |
|
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%, |
|
|
192 |
|
|
212,640 |
|
Fresenius Medical Care US Finance II, Inc., 5.88%, |
|
|
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%, |
|
|
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.), |
|
|
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%, |
|
|
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%, |
|
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%, |
|
|
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 |
|
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 & |
|
|
|
|
|
|
|
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 |
|
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., |
|
|
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%, |
|
|
315 |
|
|
360,675 |
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, |
|
EUR |
613 |
|
|
873,869 |
|
Kabel Deutschland Vertrieb und Service |
|
|
315 |
|
|
442,794 |
|
Lamar Media Corp., 5.88%, 2/01/22 (c) |
|
USD |
185 |
|
|
193,094 |
|
Live Nation Entertainment, Inc., 8.13%, |
|
|
675 |
|
|
718,031 |
|
Musketeer GmbH, 9.50%, 3/15/21 (c) |
|
EUR |
385 |
|
|
553,970 |
|
NAI Entertainment Holdings LLC, 8.25%, |
|
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 |
|
|
|
|
|
|
|
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%, |
|
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 |
|
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%, |
|
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, |
|
|
250 |
|
|
258,750 |
|
Chesapeake Oilfield Operating LLC, 6.63%, |
|
|
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%, |
|
|
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 |
|
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%, |
|
|
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%, |
|
|
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 |
|
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 |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.2% |
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit New Term Loan B, |
|
|
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), |
|
|
318 |
|
|
323,155 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (h) |
|
Par |
|
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 |
|
|
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, |
|
|
1,750 |
|
|
1,750,000 |
|
Consumer Finance 1.4% |
|
|
|
|
|
|
|
Springleaf Finance Corp. (FKA AGFS Funding Co.), |
|
|
3,940 |
|
|
3,591,743 |
|
Diversified Consumer Services 0.0% |
|
|
|
|
|
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
Delayed Draw Term Loan, 2.75% 2.99%, |
|
|
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 |
|
|
475 |
|
|
467,162 |
|
Electronic
Equipment, Instruments & |
|
|
|
|
|
|
|
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, |
|
|
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%, |
|
|
155 |
|
|
149,575 |
|
Food Products 0.1% |
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan (Second Lien), |
|
|
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, |
|
|
412 |
|
|
403,490 |
|
inVentiv Health, Inc., Combined Term Loan, |
|
|
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%, |
|
|
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 |
|
Value |
|
||
Hotels, Restaurants & Leisure (concluded) |
|
|
|
|
|
|
|
Travelport LLC (FKA Travelport, Inc.): |
|
|
|
|
|
|
|
Extended Tranche A Term Loan, |
|
USD |
172 |
|
$ |
81,479 |
|
Extended Tranche B Term Loan, |
|
|
533 |
|
|
119,916 |
|
|
|
|
|
|
|
3,416,485 |
|
Independent
Power Producers & |
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co. LLC (TXU), |
|
|
686 |
|
|
382,898 |
|
Industrial Conglomerates 0.2% |
|
|
|
|
|
|
|
Sequa Corp., Incremental Term Loan, |
|
|
405 |
|
|
406,349 |
|
IT Services 0.3% |
|
|
|
|
|
|
|
First Data Corp., Extended Term Loan B, |
|
|
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, |
|
|
1,447 |
|
|
1,400,456 |
|
Cequel Communications LLC, Term Loan B, |
|
|
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 |
|
|
5,955 |
|
|
5,944,876 |
|
Interactive Data Corp., New Term Loan B, |
|
|
45 |
|
|
44,899 |
|
Newsday LLC, Fixed Rate Term Loan, |
|
|
1,375 |
|
|
1,414,531 |
|
Univision Communications, Inc., Extended First |
|
|
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, |
|
USD |
1,525 |
|
|
1,532,265 |
|
Paper & Forest Products 0.3% |
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, Term Loan with |
|
|
1,372 |
|
|
686,018 |
|
Pharmaceuticals 0.1% |
|
|
|
|
|
|
|
Pharmaceutical Products Development, Inc., Term |
|
|
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, |
|
|
104 |
|
|
96,574 |
|
Extended Term Loan, 4.77%, 10/10/16 |
|
|
689 |
|
|
639,091 |
|
|
|
|
|
|
|
735,665 |
|
Semiconductors
& Semiconductor |
|
|
|
|
|
|
|
NXP B.V., Term Loan A-2, 5.50%, 3/03/17 |
|
|
65 |
|
|
64,512 |
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (h) |
|
Par |
|
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% |
|
|
|
|
|
|
|
Claires Stores, Inc., Term Loan B, 2.99% 3.30%, |
|
USD |
482 |
|
|
456,568 |
|
Wireless Telecommunication Services 0.1% |
|
|
|
|
|
|
|
Crown Castle International Corp., Term Loan B, |
|
|
190 |
|
|
189,135 |
|
Total Floating Rate Loan Interests 15.1% |
|
|
|
|
|
38,431,442 |
|
|
|
|
|
|
|
|
|
Other Interests (l) |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts 0.2% |
|
Par |
|
|
|
|
|
Insurance 0.2% |
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%, 11/15/66 (h) |
|
|
790 |
|
|
542,137 |
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
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. |
|
|
312 |
|
|
|
|
HMH Holdings/EduMedia (Expires 3/09/17) |
|
|
10 |
|
|
|
|
Total Warrants 0.1% |
|
|
|
|
|
288,732 |
|
Total
Long-Term Investments |
|
|
|
|
|
325,523,632 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempCash, |
|
|
2,264,805 |
|
|
2,264,805 |
|
Total
Short-Term Securities |
|
|
|
|
|
2,264,805 |
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
17 |
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
186,910 |
|
Total
Investments Before Options Written |
|
|
|
|
|
327,975,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Put Options (0.0)% |
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike Price USD 125.00, |
|
|
1,075 |
|
|
(15,587 |
) |
Total
Options Written |
|
|
|
|
|
(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
|
|
||
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 |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
BlackRock Liquidity |
|
|
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
|
|
Unrealized
|
|
||
117 |
|
S&P
500 |
|
Chicago
|
|
March
|
|
$ |
7,981,740 |
|
$ |
(257,937 |
) |
|
|
|
Foreign currency exchange contracts as of February 29, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
|
|
Currency
|
|
Counterparty |
|
Settlement |
|
|
Unrealized
|
|
||
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 |
|
4/11/12 |
|
|
(2,270 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
USD |
1,674,448 |
|
CAD |
1,710,000 |
|
Royal
Bank of |
|
4/11/12 |
|
|
(52,246 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
GBP |
150,000 |
|
USD |
235,239 |
|
Royal
Bank of |
|
4/11/12 |
|
|
3,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD |
736,004 |
|
EUR |
565,000 |
|
Royal
Bank of |
|
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 |
|
Currency
|
|
Counterparty |
|
Settlement
|
|
Unrealized
|
|
|||
USD |
104,559 |
|
EUR |
80,000 |
|
Royal
Bank of |
|
4/18/12 |
|
$ |
(2,045 |
) |
USD |
436,394 |
|
EUR |
329,000 |
|
Royal
Bank of |
|
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 |
|
|
Counterparty |
|
Expiration
|
|
Notional
|
|
Unrealized
|
|
|||
MGM Resorts |
|
|
5.00 |
% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
95 |
|
$ |
(5,287 |
) |
MGM Resorts |
|
|
5.00 |
% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
155 |
|
|
(8,097 |
) |
MGM Resorts |
|
|
5.00 |
% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
85 |
|
|
(2,410 |
) |
MGM Resorts |
|
|
5.00 |
% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
80 |
|
|
(2,861 |
) |
MGM Resorts |
|
|
5.00 |
% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
80 |
|
|
(5,209 |
) |
Republic |
|
|
1.00 |
% |
|
Deutsche Bank AG |
|
12/20/15 |
|
$ |
280 |
|
|
14,909 |
|
Realogy Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
9/20/16 |
|
$ |
125 |
|
|
(14,443 |
) |
iStar |
|
|
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 |
|
|
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
|
|
|
Counterparty |
|
Expiration
|
|
Issuer |
|
Notional
|
|
Unrealized
|
|
|||
Air Lease |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
2/14/13 |
|
NR |
|
$ |
500 |
|
$ |
690 |
|
CIT Group, Inc. |
|
|
5.00 |
% |
|
Deutsche |
|
9/20/15 |
|
BB |
|
$ |
3,100 |
|
|
207,030 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
3/20/16 |
|
B |
|
$ |
500 |
|
|
26,496 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
6/20/16 |
|
B |
|
$ |
300 |
|
|
14,273 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
6/20/16 |
|
B |
|
$ |
300 |
|
|
16,159 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Credit
Suisse |
|
9/20/16 |
|
B |
|
$ |
125 |
|
|
10,126 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
9/20/16 |
|
B |
|
$ |
350 |
|
|
15,806 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Goldman
Sachs |
|
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
|
|
|
Counterparty |
|
Expiration
|
|
Issuer |
|
Notional
|
|
Unrealized
|
|
|||
Bausch & Lomb |
|
|
5.00 |
% |
|
Credit
Suisse |
|
3/20/17 |
|
B |
|
$ |
100 |
|
$ |
5,007 |
|
Aramark Corp. |
|
|
5.00 |
% |
|
Deutsche |
|
3/20/17 |
|
B |
|
$ |
185 |
|
|
3,984 |
|
Crown Castle |
|
|
7.25 |
% |
|
Deutsche |
|
3/20/17 |
|
B |
|
$ |
430 |
|
|
9,327 |
|
Ford Motor |
|
|
5.00 |
% |
|
Deutsche |
|
3/20/17 |
|
BB+ |
|
$ |
1,300 |
|
|
78,265 |
|
CCO Holding |
|
|
8.00 |
% |
|
Deutsche |
|
9/20/17 |
|
BB |
|
$ |
1,500 |
|
|
(84 |
) |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
396,742 |
|
|
|
|
|
1 |
Using S&Ps rating. |
|
|
|
|
2 |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
Credit default swaps on traded indexes sold protection outstanding as of February 29, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive
|
|
|
Counterparty |
|
Expiration
|
|
Credit |
|
Notional
|
|
Unrealized
|
|
|||
Dow Jones CDX |
|
|
5.00 |
% |
|
Morgan Stanley |
|
12/20/16 |
|
B+ |
|
$ |
582 |
|
$ |
26,506 |
|
|
|
|
|
3 |
Using S&Ps 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 Funds industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
|
|
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 Funds 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 Funds perceived risk of investing in those securities. For information about the Funds policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to 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 Funds investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
32,976,564 |
|
|
5,454,878 |
|
|
38,431,442 |
|
Other Interests |
|
|
88 |
|
|
|
|
|
34 |
|
|
122 |
|
Preferred |
|
|
2,141,552 |
|
|
4,236,329 |
|
|
|
|
|
6,377,881 |
|
Warrants |
|
|
|
|
|
288,732 |
|
|
|
|
|
288,732 |
|
Short-Term |
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
$ |
221, 195 |
|
$ |
217,046 |
|
$ |
438,241 |
|
Equity contracts |
|
$ |
186,910 |
|
|
|
|
|
|
|
|
186,910 |
|
Foreign currency |
|
|
|
|
|
6,876 |
|
|
|
|
|
6,876 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
|
|
|
(73,068 |
) |
|
(84 |
) |
|
(73,152 |
) |
Equity contracts |
|
|
(273,524 |
) |
|
|
|
|
|
|
|
(273,524 |
) |
Foreign currency |
|
|
|
|
|
(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 |
|
Corporate
|
|
Floating
Rate |
|
Other |
|
Warrants |
|
Unfunded
Loan |
|
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 |
|
|
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 Funds policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
|
|
|
|
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) |
|
|
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 |
|
|
|
|
|
|
|