UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-08497
Name of Fund: BlackRock Corporate High Yield Fund III, Inc. (CYE)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Corporate High Yield Fund III, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2013
Date of reporting period: 05/31/2012
Item 1 – Schedule of Investments
|
|
|
|
|
|
|
Consolidated Schedule of Investments May 31, 2012 (Unaudited) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
Par |
|
Value |
|
||
|
American Airlines Pass-Through |
|
USD |
1,087 |
|
$ |
1,141,282 |
|
|
Total Asset-Backed Securities – 0.4% |
|
|
|
|
|
1,141,282 |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
|
|
||
|
Auto Components — 2.8% |
|
|
|
|
|
|
|
|
Delphi Automotive Plc (a) |
|
|
13,654 |
|
|
396,387 |
|
|
Delphi Automotive Plc (a) |
|
|
242,654 |
|
|
7,044,234 |
|
|
|
|
|
|
|
|
7,440,621 |
|
|
Biotechnology — 0.0% |
|
|
|
|
|
|
|
|
Ironwood Pharmaceuticals, Inc. (a) |
|
|
7,130 |
|
|
84,990 |
|
|
Capital Markets — 0.2% |
|
|
|
|
|
|
|
|
E*Trade Financial Corp. (a) |
|
|
74,600 |
|
|
633,354 |
|
|
Chemicals — 0.2% |
|
|
|
|
|
|
|
|
CF Industries Holdings, Inc. |
|
|
2,200 |
|
|
376,112 |
|
|
Huntsman Corp. |
|
|
14,000 |
|
|
179,200 |
|
|
|
|
|
|
|
|
555,312 |
|
|
Commercial Banks — 0.3% |
|
|
|
|
|
|
|
|
CIT Group, Inc. (a) |
|
|
22,270 |
|
|
761,411 |
|
|
Communications Equipment — 0.3% |
|
|
|
|
|
|
|
|
Loral Space & Communications |
|
|
12,778 |
|
|
770,514 |
|
|
Diversified Financial Services — 0.6% |
|
|
|
|
|
|
|
|
Kcad Holdings I Ltd. |
|
|
220,203,372 |
|
|
1,745,552 |
|
|
Diversified Telecommunication Services — 0.1% |
|
|
|
|
|
|
|
|
Level 3 Communications, Inc. (a) |
|
|
15,380 |
|
|
326,517 |
|
|
Electrical Equipment — 0.0% |
|
|
|
|
|
|
|
|
Medis Technologies Ltd. (a) |
|
|
70,784 |
|
|
262 |
|
|
Energy Equipment & Services — 1.0% |
|
|
|
|
|
|
|
|
Laricina Energy Ltd. |
|
|
35,294 |
|
|
1,452,287 |
|
|
Osum Oil Sands Corp. |
|
|
82,000 |
|
|
992,400 |
|
|
Transocean Ltd. |
|
|
8,600 |
|
|
351,138 |
|
|
|
|
|
|
|
|
2,795,825 |
|
|
Hotels, Restaurants & Leisure — 0.0% |
|
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. |
|
|
1,099 |
|
|
55 |
|
|
Travelport Worldwide Ltd. |
|
|
76,940 |
|
|
38,470 |
|
|
|
|
|
|
|
|
38,525 |
|
|
Media — 1.6% |
|
|
|
|
|
|
|
|
Belo Corp., Class A |
|
|
23,782 |
|
|
137,460 |
|
|
Charter Communications, Inc. (a) |
|
|
63,805 |
|
|
4,000,574 |
|
|
Clear Channel Outdoor Holdings, |
|
|
9,964 |
|
|
62,773 |
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
Value |
|
||
|
Media (concluded) |
|
|
|
|
|
|
|
|
DISH Network Corp., Class A |
|
|
5,900 |
|
$ |
165,436 |
|
|
|
|
|
|
|
|
4,366,243 |
|
|
Metals & Mining — 0.1% |
|
|
|
|
|
|
|
|
African Minerals Ltd. (a) |
|
|
47,050 |
|
|
273,301 |
|
|
Oil, Gas & Consumable Fuels — 0.1% |
|
|
|
|
|
|
|
|
African Petroleum Corp. Ltd (a) |
|
|
102,100 |
|
|
139,238 |
|
|
Paper & Forest Products — 0.2% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd. (a) |
|
|
122,117 |
|
|
144,244 |
|
|
Ainsworth Lumber Co. Ltd. (a)(b) |
|
|
140,415 |
|
|
165,858 |
|
|
Western Forest Products, Inc. (a) |
|
|
158,023 |
|
|
126,988 |
|
|
Western Forest Products, Inc. (a) |
|
|
45,762 |
|
|
36,774 |
|
|
|
|
|
|
|
|
473,864 |
|
|
Road & Rail — 0.2% |
|
|
|
|
|
|
|
|
Dollar Thrifty Automotive Group, |
|
|
5,900 |
|
|
481,322 |
|
|
Semiconductors & Semiconductor Equipment — 0.3% |
|
|
|
|
|
|
|
|
Spansion, Inc., Class A (a) |
|
|
64,237 |
|
|
693,759 |
|
|
SunPower Corp. (a) |
|
|
271 |
|
|
1,358 |
|
|
|
|
|
|
|
|
695,117 |
|
|
Software — 0.0% |
|
|
|
|
|
|
|
|
Bankruptcy Management |
|
|
501 |
|
|
15 |
|
|
HMH Holdings/EduMedia (a) |
|
|
89,669 |
|
|
897 |
|
|
|
|
|
|
|
|
912 |
|
|
Total Common Stocks – 8.0% |
|
|
|
|
|
21,582,880 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
|
|
|
|
|
Aerospace & Defense — 0.5% |
|
|
|
|
|
|
|
|
Huntington Ingalls Industries, Inc.: |
|
|
|
|
|
|
|
|
6.88%, 3/15/18 |
|
USD |
230 |
|
|
238,050 |
|
|
7.13%, 3/15/21 |
|
|
330 |
|
|
342,375 |
|
|
Kratos Defense & Security |
|
|
846 |
|
|
896,760 |
|
|
|
|
|
|
|
|
1,477,185 |
|
|
Air Freight & Logistics — 0.5% |
|
|
|
|
|
|
|
|
National Air Cargo Group, Inc.: |
|
|
|
|
|
|
|
|
Series 1, 12.38%, 9/02/15 |
|
|
617 |
|
|
635,499 |
|
|
Series 2, 12.38%, 8/16/15 |
|
|
624 |
|
|
642,631 |
|
|
|
|
|
|
|
|
1,278,130 |
|
|
Airlines — 2.0% |
|
|
|
|
|
|
|
|
Continental Airlines, Inc.: |
|
|
|
|
|
|
|
|
Series 1997-4, Class B, |
|
|
278 |
|
|
277,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
1 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Airlines (concluded) |
|
|
|
|
|
|
|
|
Continental Airlines, Inc. (concluded): |
|
|
|
|
|
|
|
|
Series 2010-1, Class B, |
|
USD |
480 |
|
$ |
480,955 |
|
|
Delta Air Lines, Inc.: |
|
|
|
|
|
|
|
|
Series 2002-1, Class G-1, |
|
|
611 |
|
|
647,474 |
|
|
Series 2009-1, Class B, |
|
|
199 |
|
|
213,179 |
|
|
Series 2010-1, Class B, |
|
|
500 |
|
|
500,000 |
|
|
United Air Lines, Inc., 12.75%, |
|
|
2,062 |
|
|
2,082,992 |
|
|
US Airways Pass Through Trust: |
|
|
|
|
|
|
|
|
Series 2011-1, Class C, |
|
|
679 |
|
|
699,261 |
|
|
Series 2012-1, Class C, |
|
|
450 |
|
|
450,000 |
|
|
|
|
|
|
|
|
5,351,564 |
|
|
Auto Components — 2.2% |
|
|
|
|
|
|
|
|
Baker Corp. International, Inc., |
|
|
210 |
|
|
210,000 |
|
|
Dana Holding Corp., 6.75%, |
|
|
450 |
|
|
481,500 |
|
|
Delphi Corp., 6.13%, 5/15/21 |
|
|
170 |
|
|
181,050 |
|
|
Icahn Enterprises LP: |
|
|
|
|
|
|
|
|
4.00%, 8/15/13 (b)(d)(e) |
|
|
255 |
|
|
254,363 |
|
|
8.00%, 1/15/18 |
|
|
3,035 |
|
|
3,213,306 |
|
|
IDQ Holdings, Inc., 11.50%, |
|
|
380 |
|
|
397,100 |
|
|
International Automotive |
|
|
40 |
|
|
36,100 |
|
|
Jaguar Land Rover Plc, 8.25%, |
|
GBP |
482 |
|
|
728,744 |
|
|
Titan International, Inc., 7.88%, |
|
USD |
465 |
|
|
481,275 |
|
|
|
|
|
|
|
|
5,983,438 |
|
|
Beverages — 0.3% |
|
|
|
|
|
|
|
|
Crown European Holdings SA: |
|
|
|
|
|
|
|
|
7.13%, 8/15/18 (b) |
|
EUR |
302 |
|
|
398,629 |
|
|
7.13%, 8/15/18 |
|
|
238 |
|
|
314,152 |
|
|
|
|
|
|
|
|
712,781 |
|
|
Biotechnology — 0.1% |
|
|
|
|
|
|
|
|
QHP Royalty Sub LLC, 10.25%, |
|
USD |
165 |
|
|
165,106 |
|
|
Building Products — 0.7% |
|
|
|
|
|
|
|
|
Building Materials Corp. of America (b): |
|
|
|
|
|
|
|
|
7.00%, 2/15/20 |
|
|
530 |
|
|
556,500 |
|
|
6.75%, 5/01/21 |
|
|
950 |
|
|
971,375 |
|
|
Momentive Performance |
|
|
475 |
|
|
356,250 |
|
|
|
|
|
|
|
|
1,884,125 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Capital Markets — 1.1% |
|
|
|
|
|
|
|
|
American Capital Ltd., 7.96%, |
|
USD |
720 |
|
$ |
722,023 |
|
|
E*Trade Financial Corp.: |
|
|
|
|
|
|
|
|
12.50%, 11/30/17 |
|
|
1,070 |
|
|
1,227,825 |
|
|
2.36%, 8/31/19 (b)(e)(g) |
|
|
244 |
|
|
205,875 |
|
|
Series A, 2.36%, 8/31/19 |
|
|
7 |
|
|
5,906 |
|
|
KKR Group Finance Co., 6.38%, |
|
|
650 |
|
|
699,614 |
|
|
|
|
|
|
|
|
2,861,243 |
|
|
Chemicals — 4.1% |
|
|
|
|
|
|
|
|
American Pacific Corp., 9.00%, |
|
|
880 |
|
|
875,600 |
|
|
Ashland, Inc., 9.13%, 6/01/17 |
|
|
25 |
|
|
27,438 |
|
|
Basell Finance Co. BV, 8.10%, |
|
|
495 |
|
|
584,100 |
|
|
Celanese US Holdings LLC, 5.88%, |
|
|
1,785 |
|
|
1,860,862 |
|
|
Chemtura Corp., 7.88%, 9/01/18 |
|
|
310 |
|
|
321,625 |
|
|
Hexion US Finance Corp.: |
|
|
|
|
|
|
|
|
6.63%, 4/15/20 (b) |
|
|
535 |
|
|
541,687 |
|
|
9.00%, 11/15/20 |
|
|
310 |
|
|
270,475 |
|
|
Huntsman International LLC, |
|
|
170 |
|
|
190,400 |
|
|
Ineos Finance Plc (b): |
|
|
|
|
|
|
|
|
8.38%, 2/15/19 |
|
|
890 |
|
|
914,475 |
|
|
7.50%, 5/01/20 |
|
|
440 |
|
|
435,600 |
|
|
INEOS Group Holdings Plc, 8.50%, |
|
|
145 |
|
|
130,863 |
|
|
Kinove German Bondco GmbH, |
|
EUR |
380 |
|
|
466,440 |
|
|
Kraton Polymers LLC, 6.75%, |
|
USD |
125 |
|
|
128,125 |
|
|
LyondellBasell Industries NV, |
|
|
2,745 |
|
|
2,813,625 |
|
|
Nexeo Solutions LLC, 8.38%, |
|
|
185 |
|
|
177,600 |
|
|
PolyOne Corp., 7.38%, 9/15/20 |
|
|
215 |
|
|
226,825 |
|
|
Solutia, Inc., 7.88%, 3/15/20 |
|
|
620 |
|
|
725,400 |
|
|
TPC Group LLC, 8.25%, 10/01/17 |
|
|
335 |
|
|
351,750 |
|
|
|
|
|
|
|
|
11,042,890 |
|
|
Commercial Banks — 1.6% |
|
|
|
|
|
|
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
|
7.00%, 5/02/16 (b) |
|
|
2,786 |
|
|
2,782,517 |
|
|
5.25%, 3/15/18 |
|
|
550 |
|
|
541,750 |
|
|
5.50%, 2/15/19 (b) |
|
|
530 |
|
|
515,425 |
|
|
6.00%, 4/01/36 |
|
|
550 |
|
|
494,398 |
|
|
|
|
|
|
|
|
4,334,090 |
|
|
Commercial Services & Supplies — 2.1% |
|
|
|
|
|
|
|
|
ARAMARK Corp., 8.50%, 2/01/15 |
|
|
360 |
|
|
368,554 |
|
|
ARAMARK Holdings Corp., 8.63%, |
|
|
440 |
|
|
449,904 |
|
|
Aviation Capital Group Corp., |
|
|
540 |
|
|
543,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
2 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Commercial Services & Supplies (concluded) |
|
|
|
|
|
|
|
|
AWAS Aviation Capital Ltd., 7.00%, |
|
USD |
108 |
|
$ |
111,361 |
|
|
Brickman Group Holdings, Inc., |
|
|
25 |
|
|
24,000 |
|
|
Casella Waste Systems, Inc., |
|
|
650 |
|
|
637,000 |
|
|
Clean Harbors, Inc., 7.63%, |
|
|
380 |
|
|
397,100 |
|
|
Covanta Holding Corp., 6.38%, |
|
|
635 |
|
|
658,418 |
|
|
Iron Mountain, Inc., 7.75%, |
|
|
340 |
|
|
362,100 |
|
|
Mead Products LLC/ACCO Brands |
|
|
460 |
|
|
472,650 |
|
|
Mobile Mini, Inc., 7.88%, |
|
|
365 |
|
|
383,250 |
|
|
RSC Equipment Rental, Inc., |
|
|
875 |
|
|
925,312 |
|
|
Verisure Holding AB: |
|
|
|
|
|
|
|
|
8.75%, 9/01/18 |
|
EUR |
184 |
|
|
213,296 |
|
|
8.75%, 12/01/18 |
|
|
100 |
|
|
103,248 |
|
|
West Corp., 8.63%, 10/01/18 |
|
USD |
135 |
|
|
140,738 |
|
|
|
|
|
|
|
|
5,790,787 |
|
|
Communications Equipment — 1.0% |
|
|
|
|
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15 |
|
|
780 |
|
|
643,500 |
|
|
Consolidated Communications |
|
|
650 |
|
|
650,000 |
|
|
Frontier Communications Corp., |
|
|
900 |
|
|
920,250 |
|
|
Hughes Satellite Systems Corp., |
|
|
380 |
|
|
385,700 |
|
|
|
|
|
|
|
|
2,599,450 |
|
|
Computers & Peripherals — 0.1% |
|
|
|
|
|
|
|
|
SanDisk Corp., 1.50%, 8/15/17 |
|
|
220 |
|
|
218,900 |
|
|
Construction & Engineering — 0.2% |
|
|
|
|
|
|
|
|
Boart Longyear Management |
|
|
200 |
|
|
206,500 |
|
|
URS Corp., 5.00%, 4/01/22 (b) |
|
|
350 |
|
|
346,486 |
|
|
|
|
|
|
|
|
552,986 |
|
|
Construction Materials — 1.2% |
|
|
|
|
|
|
|
|
HD Supply, Inc. (b): |
|
|
|
|
|
|
|
|
8.13%, 4/15/19 |
|
|
1,320 |
|
|
1,376,100 |
|
|
11.00%, 4/15/20 |
|
|
1,400 |
|
|
1,445,500 |
|
|
Xefin Lux SCA: |
|
|
|
|
|
|
|
|
8.00%, 6/01/18 (b) |
|
EUR |
254 |
|
|
287,375 |
|
|
8.00%, 6/01/18 |
|
|
200 |
|
|
226,280 |
|
|
|
|
|
|
|
|
3,335,255 |
|
|
Consumer Finance — 0.9% |
|
|
|
|
|
|
|
|
Credit Acceptance Corp., 9.13%, |
|
USD |
445 |
|
|
478,375 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Consumer Finance (concluded) |
|
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC: |
|
|
|
|
|
|
|
|
7.80%, 6/01/12 |
|
USD |
200 |
|
$ |
200,000 |
|
|
7.00%, 4/15/15 |
|
|
520 |
|
|
583,700 |
|
|
12.00%, 5/15/15 |
|
|
730 |
|
|
921,625 |
|
|
6.63%, 8/15/17 |
|
|
139 |
|
|
161,399 |
|
|
|
|
|
|
|
|
2,345,099 |
|
|
Containers & Packaging — 1.5% |
|
|
|
|
|
|
|
|
Ardagh Packaging Finance Plc (b): |
|
|
|
|
|
|
|
|
7.38%, 10/15/17 |
|
EUR |
375 |
|
|
477,598 |
|
|
9.13%, 10/15/20 |
|
USD |
205 |
|
|
213,200 |
|
|
9.13%, 10/15/20 |
|
|
395 |
|
|
406,850 |
|
|
Berry Plastics Corp.: |
|
|
|
|
|
|
|
|
4.35%, 9/15/14 (d) |
|
|
300 |
|
|
293,625 |
|
|
8.25%, 11/15/15 |
|
|
115 |
|
|
121,613 |
|
|
9.50%, 5/15/18 |
|
|
215 |
|
|
220,375 |
|
|
9.75%, 1/15/21 |
|
|
315 |
|
|
327,600 |
|
|
Beverage Packaging Holdings |
|
EUR |
643 |
|
|
699,661 |
|
|
GCL Holdings SCA, 9.38%, |
|
|
267 |
|
|
297,131 |
|
|
Graphic Packaging International, |
|
USD |
375 |
|
|
413,438 |
|
|
OI European Group BV, 6.88%, |
|
EUR |
155 |
|
|
197,886 |
|
|
Sealed Air Corp., 8.38%, 9/15/21 |
|
USD |
255 |
|
|
280,500 |
|
|
Tekni-Plex, Inc., 9.75%, 6/01/19 |
|
|
180 |
|
|
178,650 |
|
|
|
|
|
|
|
|
4,128,127 |
|
|
Diversified Consumer Services — 1.5% |
|
|
|
|
|
|
|
|
Service Corp. International, 7.00%, |
|
|
3,000 |
|
|
3,337,500 |
|
|
ServiceMaster Co., 8.00%, |
|
|
655 |
|
|
686,931 |
|
|
|
|
|
|
|
|
4,024,431 |
|
|
Diversified Financial Services — 4.5% |
|
|
|
|
|
|
|
|
Ally Financial, Inc.: |
|
|
|
|
|
|
|
|
7.50%, 12/31/13 |
|
|
280 |
|
|
296,800 |
|
|
8.00%, 11/01/31 |
|
|
3,650 |
|
|
4,106,250 |
|
|
Boparan Holdings Ltd. (b): |
|
|
|
|
|
|
|
|
9.75%, 4/30/18 |
|
EUR |
102 |
|
|
124,862 |
|
|
9.88%, 4/30/18 |
|
GBP |
145 |
|
|
216,770 |
|
|
CNG Holdings, Inc., 9.38%, |
|
USD |
300 |
|
|
301,500 |
|
|
DPL, Inc., 7.25%, 10/15/21 (b) |
|
|
1,175 |
|
|
1,277,812 |
|
|
General Motors Financial Co., Inc., |
|
|
300 |
|
|
322,072 |
|
|
Lehman Brothers Holdings, Inc. (a)(i): |
|
|
|
|
|
|
|
|
5.38%, 10/17/12 |
|
EUR |
150 |
|
|
45,441 |
|
|
4.75%, 1/16/14 |
|
|
760 |
|
|
230,236 |
|
|
1.00%, 2/05/14 |
|
|
1,600 |
|
|
494,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
3 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Diversified Financial Services (concluded) |
|
|
|
|
|
|
|
|
Lehman Brothers Holdings, Inc. (a)(i) |
|
|
|
|
|
|
|
|
1.00%, 9/22/18 |
|
USD |
175 |
|
$ |
40,031 |
|
|
1.00%, 12/31/49 |
|
|
620 |
|
|
141,825 |
|
|
Leucadia National Corp., 8.13%, |
|
|
825 |
|
|
921,937 |
|
|
Reynolds Group Issuer, Inc.: |
|
|
|
|
|
|
|
|
7.75%, 10/15/16 (f) |
|
EUR |
123 |
|
|
156,272 |
|
|
7.75%, 10/15/16 |
|
|
256 |
|
|
325,249 |
|
|
7.13%, 4/15/19 (b) |
|
USD |
245 |
|
|
251,738 |
|
|
9.00%, 4/15/19 (b) |
|
|
100 |
|
|
96,000 |
|
|
7.88%, 8/15/19 (b) |
|
|
455 |
|
|
481,163 |
|
|
9.88%, 8/15/19 (b) |
|
|
1,290 |
|
|
1,286,775 |
|
|
6.88%, 2/15/21 (b) |
|
|
200 |
|
|
203,000 |
|
|
8.50%, 2/15/21 (b) |
|
|
135 |
|
|
125,213 |
|
|
WMG Acquisition Corp.: |
|
|
|
|
|
|
|
|
9.50%, 6/15/16 (b) |
|
|
120 |
|
|
128,100 |
|
|
11.50%, 10/01/18 |
|
|
585 |
|
|
623,025 |
|
|
|
|
|
|
|
|
12,196,671 |
|
|
Diversified Telecommunication Services — 1.7% |
|
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., |
|
|
1,035 |
|
|
796,950 |
|
|
ITC Deltacom, Inc., 10.50%, |
|
|
280 |
|
|
294,700 |
|
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
|
8.13%, 7/01/19 |
|
|
1,675 |
|
|
1,675,000 |
|
|
8.63%, 7/15/20 (b) |
|
|
950 |
|
|
969,000 |
|
|
Windstream Corp.: |
|
|
|
|
|
|
|
|
8.13%, 8/01/13 |
|
|
460 |
|
|
484,150 |
|
|
7.88%, 11/01/17 |
|
|
393 |
|
|
418,545 |
|
|
|
|
|
|
|
|
4,638,345 |
|
|
Electric Utilities — 0.8% |
|
|
|
|
|
|
|
|
The Tokyo Electric Power Co., Inc., |
|
EUR |
1,750 |
|
|
2,142,237 |
|
|
Electronic Equipment, Instruments & Components — 0.3% |
|
|
|
|
|
|
|
|
CDW LLC/CDW Finance Corp., |
|
USD |
205 |
|
|
210,638 |
|
|
Elster Finance BV, 6.25%, |
|
EUR |
114 |
|
|
145,542 |
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18 |
|
USD |
235 |
|
|
272,600 |
|
|
NXP BV/NXP Funding LLC, 9.75%, |
|
|
200 |
|
|
225,500 |
|
|
|
|
|
|
|
|
854,280 |
|
|
Energy Equipment & Services — 3.3% |
|
|
|
|
|
|
|
|
Antero Resources Finance Corp., |
|
|
165 |
|
|
167,063 |
|
|
Atwood Oceanics, Inc., 6.50%, |
|
|
140 |
|
|
144,900 |
|
|
Calfrac Holdings LP, 7.50%, |
|
|
395 |
|
|
371,300 |
|
|
Compagnie Générale de Géophysique |
|
|
|
|
|
|
|
|
7.75%, 5/15/17 |
|
|
250 |
|
|
257,500 |
|
|
6.50%, 6/01/21 |
|
|
1,255 |
|
|
1,229,900 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Energy Equipment & Services (concluded) |
|
|
|
|
|
|
|
|
Forbes Energy Services Ltd., |
|
USD |
365 |
|
$ |
338,537 |
|
|
Frac Tech Services LLC, 8.13%, |
|
|
1,755 |
|
|
1,737,450 |
|
|
Gulfmark Offshore, Inc., 6.38%, |
|
|
155 |
|
|
155,775 |
|
|
Hornbeck Offshore Services, Inc., |
|
|
315 |
|
|
308,700 |
|
|
Key Energy Services, Inc., 6.75%, |
|
|
450 |
|
|
451,687 |
|
|
MEG Energy Corp., 6.50%, |
|
|
1,205 |
|
|
1,229,100 |
|
|
Oil States International, Inc., |
|
|
320 |
|
|
330,400 |
|
|
Peabody Energy Corp.: |
|
|
|
|
|
|
|
|
6.25%, 11/15/21 (b) |
|
|
1,405 |
|
|
1,401,487 |
|
|
7.88%, 11/01/26 |
|
|
375 |
|
|
388,125 |
|
|
Precision Drilling Corp.: |
|
|
|
|
|
|
|
|
6.63%, 11/15/20 |
|
|
155 |
|
|
157,325 |
|
|
6.50%, 12/15/21 |
|
|
295 |
|
|
297,213 |
|
|
|
|
|
|
|
|
8,966,462 |
|
|
Food & Staples Retailing — 0.2% |
|
|
|
|
|
|
|
|
Bakkavor Finance 2 Plc, 8.25%, |
|
GBP |
100 |
|
|
125,608 |
|
|
Rite Aid Corp., 9.25%, 3/15/20 (b) |
|
USD |
375 |
|
|
359,062 |
|
|
|
|
|
|
|
|
484,670 |
|
|
Food Products — 0.3% |
|
|
|
|
|
|
|
|
Darling International, Inc., 8.50%, |
|
|
115 |
|
|
128,369 |
|
|
Del Monte Corp., 7.63%, 2/15/19 |
|
|
350 |
|
|
339,500 |
|
|
Post Holdings, Inc., 7.38%, |
|
|
230 |
|
|
234,025 |
|
|
|
|
|
|
|
|
701,894 |
|
|
Health Care Equipment & Supplies — 2.2% |
|
|
|
|
|
|
|
|
Biomet, Inc.: |
|
|
|
|
|
|
|
|
10.00%, 10/15/17 |
|
|
195 |
|
|
207,431 |
|
|
10.38%, 10/15/17 (h) |
|
|
2,790 |
|
|
2,969,606 |
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
519 |
|
|
528,083 |
|
|
8.75%, 3/15/18 (b) |
|
|
450 |
|
|
452,250 |
|
|
7.75%, 4/15/18 |
|
|
100 |
|
|
80,750 |
|
|
Fresenius Medical Care US |
|
|
650 |
|
|
646,750 |
|
|
Fresenius Medical Care US |
|
|
208 |
|
|
216,840 |
|
|
Fresenius US Finance II, Inc., |
|
|
540 |
|
|
616,950 |
|
|
Teleflex, Inc., 6.88%, 6/01/19 |
|
|
295 |
|
|
312,700 |
|
|
|
|
|
|
|
|
6,031,360 |
|
|
Health Care Providers & Services — 5.7% |
|
|
|
|
|
|
|
|
Aviv Healthcare Properties LP: |
|
|
|
|
|
|
|
|
7.75%, 2/15/19 |
|
|
415 |
|
|
431,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
4 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Health Care Providers & Services (concluded) |
|
|
|
|
|
|
|
|
Aviv Healthcare Properties LP |
|
|
|
|
|
|
|
|
7.75%, 2/15/19 (b) |
|
USD |
155 |
|
$ |
159,650 |
|
|
ConvaTec Healthcare E SA, 7.38%, |
|
EUR |
494 |
|
|
623,048 |
|
|
Crown Newco 3 Plc, 7.00%, |
|
GBP |
364 |
|
|
532,947 |
|
|
HCA, Inc.: |
|
|
|
|
|
|
|
|
8.50%, 4/15/19 |
|
USD |
135 |
|
|
149,006 |
|
|
6.50%, 2/15/20 |
|
|
1,995 |
|
|
2,107,219 |
|
|
7.88%, 2/15/20 |
|
|
95 |
|
|
104,263 |
|
|
7.25%, 9/15/20 |
|
|
2,600 |
|
|
2,834,000 |
|
|
5.88%, 3/15/22 |
|
|
275 |
|
|
272,938 |
|
|
IASIS Healthcare LLC, 8.38%, |
|
|
1,565 |
|
|
1,471,100 |
|
|
INC Research LLC, 11.50%, |
|
|
410 |
|
|
387,962 |
|
|
inVentiv Health, Inc., 10.00%, |
|
|
135 |
|
|
114,075 |
|
|
Omnicare, Inc., 7.75%, 6/01/20 |
|
|
1,005 |
|
|
1,102,987 |
|
|
PSS World Medical, Inc., 6.38%, |
|
|
285 |
|
|
287,850 |
|
|
Symbion, Inc., 8.00%, 6/15/16 |
|
|
345 |
|
|
336,375 |
|
|
Tenet Healthcare Corp.: |
|
|
|
|
|
|
|
|
10.00%, 5/01/18 |
|
|
459 |
|
|
523,260 |
|
|
6.25%, 11/01/18 (b) |
|
|
330 |
|
|
333,300 |
|
|
8.88%, 7/01/19 |
|
|
2,504 |
|
|
2,785,700 |
|
|
United Surgical Partners |
|
|
290 |
|
|
300,875 |
|
|
Vanguard Health Holding Co. II |
|
|
465 |
|
|
455,700 |
|
|
|
|
|
|
|
|
15,313,855 |
|
|
Health Care Technology — 1.0% |
|
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, |
|
|
2,405 |
|
|
2,813,850 |
|
|
Hotels, Restaurants & Leisure — 4.0% |
|
|
|
|
|
|
|
|
Affinity Gaming LLC/Affinity |
|
|
290 |
|
|
290,000 |
|
|
Caesars Entertainment Operating Co., |
|
|
|
|
|
|
|
|
11.25%, 6/01/17 |
|
|
1,090 |
|
|
1,158,125 |
|
|
10.00%, 12/15/18 |
|
|
3,898 |
|
|
2,631,150 |
|
|
Caesars Operating Escrow LLC., |
|
|
440 |
|
|
438,350 |
|
|
Carlson Wagonlit BV, 6.88%, |
|
|
325 |
|
|
323,375 |
|
|
Diamond Resorts Corp., 12.00%, |
|
|
1,190 |
|
|
1,282,225 |
|
|
El Dorado Resorts LLC, 8.63%, |
|
|
140 |
|
|
131,250 |
|
|
Enterprise Inns Plc, 6.50%, |
|
GBP |
324 |
|
|
381,502 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Hotels, Restaurants & Leisure (concluded) |
|
|
|
|
|
|
|
|
Gategroup Finance Luxembourg |
|
EUR |
265 |
|
$ |
320,300 |
|
|
Little Traverse Bay Bands of |
|
USD |
300 |
|
|
273,000 |
|
|
MGM Resorts International: |
|
|
|
|
|
|
|
|
10.38%, 5/15/14 |
|
|
190 |
|
|
213,750 |
|
|
4.25%, 4/15/15 (e) |
|
|
800 |
|
|
791,000 |
|
|
11.13%, 11/15/17 |
|
|
1,400 |
|
|
1,568,000 |
|
|
Travelport LLC: |
|
|
|
|
|
|
|
|
5.11%, 9/01/14 (d) |
|
|
180 |
|
|
113,850 |
|
|
9.88%, 9/01/14 |
|
|
40 |
|
|
27,900 |
|
|
9.00%, 3/01/16 |
|
|
120 |
|
|
77,400 |
|
|
6.47%, 12/01/16 (b)(h) |
|
|
412 |
|
|
297,952 |
|
|
Tropicana Entertainment LLC, |
|
|
305 |
|
|
— |
|
|
Wynn Las Vegas LLC, 5.38%, |
|
|
620 |
|
|
600,625 |
|
|
|
|
|
|
|
|
10,919,754 |
|
|
Household Durables — 1.9% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 12.00%, |
|
|
1,345 |
|
|
1,449,238 |
|
|
Jarden Corp., 7.50%, 1/15/20 |
|
EUR |
305 |
|
|
383,921 |
|
|
Libbey Glass, Inc., 6.88%, |
|
USD |
250 |
|
|
250,625 |
|
|
Ryland Group, Inc., 6.63%, |
|
|
340 |
|
|
341,700 |
|
|
Spie BondCo 3 SCA, 11.00%, |
|
EUR |
303 |
|
|
354,990 |
|
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
|
10.75%, 9/15/16 |
|
USD |
1,390 |
|
|
1,622,825 |
|
|
8.38%, 1/15/21 |
|
|
555 |
|
|
593,850 |
|
|
|
|
|
|
|
|
4,997,149 |
|
|
Household Products — 0.5% |
|
|
|
|
|
|
|
|
Ontex IV SA, 7.50%, 4/15/18 (b) |
|
EUR |
150 |
|
|
177,129 |
|
|
Spectrum Brands Holdings, Inc.: |
|
|
|
|
|
|
|
|
9.50%, 6/15/18 |
|
USD |
360 |
|
|
397,800 |
|
|
9.50%, 6/15/18 (b) |
|
|
590 |
|
|
651,950 |
|
|
|
|
|
|
|
|
1,226,879 |
|
|
Independent Power Producers & Energy Traders — 3.2% |
|
|
|
|
|
|
|
|
AES Corp., 7.38%, 7/01/21 (b) |
|
|
275 |
|
|
297,000 |
|
|
Calpine Corp. (b): |
|
|
|
|
|
|
|
|
7.25%, 10/15/17 |
|
|
180 |
|
|
189,900 |
|
|
7.50%, 2/15/21 |
|
|
100 |
|
|
104,500 |
|
|
7.88%, 1/15/23 |
|
|
195 |
|
|
206,213 |
|
|
Energy Future Holdings Corp., |
|
|
1,920 |
|
|
2,040,000 |
|
|
Energy Future Intermediate Holding Co. |
|
|
|
|
|
|
|
|
10.00%, 12/01/20 |
|
|
2,714 |
|
|
2,924,335 |
|
|
11.75%, 3/01/22 (b) |
|
|
1,420 |
|
|
1,448,400 |
|
|
Laredo Petroleum, Inc.: |
|
|
|
|
|
|
|
|
9.50%, 2/15/19 |
|
|
510 |
|
|
566,100 |
|
|
7.38%, 5/01/22 (b) |
|
|
425 |
|
|
434,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
5 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Independent Power Producers & Energy Traders (concluded) |
|
|
|
|
|
|
|
|
QEP Resources, Inc., 5.38%, |
|
USD |
333 |
|
$ |
325,507 |
|
|
|
|
|
|
|
|
8,536,517 |
|
|
Industrial Conglomerates — 2.5% |
|
|
|
|
|
|
|
|
Sequa Corp. (b): |
|
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
2,340 |
|
|
2,483,325 |
|
|
13.50%, 12/01/15 |
|
|
3,954 |
|
|
4,196,194 |
|
|
|
|
|
|
|
|
6,679,519 |
|
|
Insurance — 1.0% |
|
|
|
|
|
|
|
|
Alliant Holdings I, Inc., 11.00%, |
|
|
1,700 |
|
|
1,763,750 |
|
|
CNO Financial Group, Inc., 9.00%, |
|
|
367 |
|
|
389,020 |
|
|
Genworth Financial, Inc., 7.63%, |
|
|
430 |
|
|
417,297 |
|
|
MPL 2 Acquisition Canco, Inc., |
|
|
260 |
|
|
223,600 |
|
|
|
|
|
|
|
|
2,793,667 |
|
|
IT Services — 2.4% |
|
|
|
|
|
|
|
|
Alliance Data Systems Corp., |
|
|
360 |
|
|
358,200 |
|
|
Epicor Software Corp., 8.63%, |
|
|
570 |
|
|
571,425 |
|
|
First Data Corp.: |
|
|
|
|
|
|
|
|
7.38%, 6/15/19 (b) |
|
|
1,525 |
|
|
1,525,000 |
|
|
8.88%, 8/15/20 (b) |
|
|
535 |
|
|
571,113 |
|
|
8.25%, 1/15/21 (b) |
|
|
620 |
|
|
601,400 |
|
|
12.63%, 1/15/21 |
|
|
1,699 |
|
|
1,601,307 |
|
|
SunGard Data Systems, Inc.: |
|
|
|
|
|
|
|
|
7.38%, 11/15/18 |
|
|
550 |
|
|
559,625 |
|
|
7.63%, 11/15/20 |
|
|
600 |
|
|
615,000 |
|
|
|
|
|
|
|
|
6,403,070 |
|
|
Machinery — 1.2% |
|
|
|
|
|
|
|
|
SPX Corp., 6.88%, 9/01/17 |
|
|
175 |
|
|
190,750 |
|
|
UR Financing Escrow Corp. (b): |
|
|
|
|
|
|
|
|
5.75%, 7/15/18 |
|
|
257 |
|
|
261,498 |
|
|
7.38%, 5/15/20 |
|
|
440 |
|
|
451,000 |
|
|
7.63%, 4/15/22 |
|
|
2,157 |
|
|
2,205,532 |
|
|
|
|
|
|
|
|
3,108,780 |
|
|
Media — 13.7% |
|
|
|
|
|
|
|
|
Affinion Group, Inc., 7.88%, |
|
|
815 |
|
|
688,675 |
|
|
AMC Networks, Inc., 7.75%, |
|
|
225 |
|
|
249,750 |
|
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
1,542 |
|
|
1,726,598 |
|
|
CCO Holdings LLC: |
|
|
|
|
|
|
|
|
7.38%, 6/01/20 |
|
|
270 |
|
|
288,900 |
|
|
6.50%, 4/30/21 |
|
|
498 |
|
|
509,205 |
|
|
Cengage Learning Acquisitions, |
|
|
950 |
|
|
947,625 |
|
|
Checkout Holding Corp., 10.67%, |
|
|
670 |
|
|
261,300 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Media (continued) |
|
|
|
|
|
|
|
|
Cinemark USA, Inc., 8.63%, |
|
USD |
220 |
|
$ |
239,250 |
|
|
Clear Channel Communications, |
|
|
555 |
|
|
477,300 |
|
|
Clear Channel Worldwide Holdings, Inc.: |
|
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
1,495 |
|
|
1,599,650 |
|
|
7.63%, 3/15/20 (b) |
|
|
1,982 |
|
|
1,892,810 |
|
|
Series B, 9.25%, 12/15/17 |
|
|
5,202 |
|
|
5,592,150 |
|
|
Cox Enterprises, Inc. (b): |
|
|
|
|
|
|
|
|
Loan Close 2, 12.00%, |
|
|
674 |
|
|
679,242 |
|
|
Loan Close 3, 12.00%, |
|
|
771 |
|
|
776,569 |
|
|
Shares Loan, 12.00%, |
|
|
795 |
|
|
800,914 |
|
|
CSC Holdings LLC, 8.50%, |
|
|
390 |
|
|
429,487 |
|
|
DISH DBS Corp., 5.88%, 7/15/22 (b) |
|
|
610 |
|
|
594,750 |
|
|
Gray Television, Inc., 10.50%, |
|
|
345 |
|
|
355,350 |
|
|
Harron Communications LP, |
|
|
320 |
|
|
335,200 |
|
|
Intelsat Jackson Holdings SA: |
|
|
|
|
|
|
|
|
11.25%, 6/15/16 |
|
|
883 |
|
|
921,631 |
|
|
7.25%, 10/15/20 (b) |
|
|
910 |
|
|
903,175 |
|
|
Intelsat Luxemburg SA: |
|
|
|
|
|
|
|
|
11.25%, 2/04/17 |
|
|
620 |
|
|
609,150 |
|
|
11.50%, 2/04/17 (h) |
|
|
1,380 |
|
|
1,355,850 |
|
|
Interactive Data Corp., 10.25%, |
|
|
1,345 |
|
|
1,489,587 |
|
|
The Interpublic Group of Cos., Inc., |
|
|
340 |
|
|
383,350 |
|
|
Kabel Deutschland Vertrieb und |
|
EUR |
345 |
|
|
443,656 |
|
|
Lamar Media Corp., 5.88%, |
|
USD |
140 |
|
|
140,875 |
|
|
Live Nation Entertainment, Inc., |
|
|
735 |
|
|
767,156 |
|
|
NAI Entertainment Holdings LLC, |
|
|
620 |
|
|
675,800 |
|
|
Nielsen Finance LLC: |
|
|
|
|
|
|
|
|
11.63%, 2/01/14 |
|
|
117 |
|
|
132,941 |
|
|
7.75%, 10/15/18 |
|
|
2,145 |
|
|
2,305,875 |
|
|
Odeon & UCI Finco Plc, 9.00%, |
|
GBP |
207 |
|
|
304,672 |
|
|
ProQuest LLC, 9.00%, 10/15/18 |
|
USD |
500 |
|
|
430,000 |
|
|
ProtoStar I Ltd., 18.00%, |
|
|
850 |
|
|
425 |
|
|
Truven Health Analytics, Inc., |
|
|
510 |
|
|
502,350 |
|
|
Unitymedia GmbH: |
|
|
|
|
|
|
|
|
9.63%, 12/01/19 |
|
EUR |
168 |
|
|
219,157 |
|
|
9.63%, 12/01/19 (b) |
|
|
570 |
|
|
743,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
6 |
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Media (concluded) |
|
|
|
|
|
|
|
|
Unitymedia GmbH (concluded): |
|
|
|
|
|
|
|
|
9.50%, 3/15/21 |
|
EUR |
320 |
|
$ |
413,486 |
|
|
Unitymedia Hessen GmbH & Co. KG: |
|
|
|
|
|
|
|
|
8.13%, 12/01/17 (b) |
|
USD |
655 |
|
|
691,025 |
|
|
8.13%, 12/01/17 (b) |
|
EUR |
441 |
|
|
572,562 |
|
|
7.50%, 3/15/19 |
|
|
673 |
|
|
846,728 |
|
|
UPC Holding BV, 9.88%, 4/15/18 |
|
USD |
400 |
|
|
432,000 |
|
|
UPCB Finance II Ltd.: |
|
|
|
|
|
|
|
|
6.38%, 7/01/20 (b) |
|
EUR |
822 |
|
|
978,288 |
|
|
6.38%, 7/01/20 |
|
|
300 |
|
|
357,040 |
|
|
Virgin Media Secured Finance Plc, |
|
GBP |
283 |
|
|
462,329 |
|
|
Ziggo Bond Co. BV, 8.00%, |
|
EUR |
388 |
|
|
513,346 |
|
|
Ziggo Finance BV, 6.13%, |
|
|
652 |
|
|
846,508 |
|
|
|
|
|
|
|
|
36,887,257 |
|
|
Metals & Mining — 3.9% |
|
|
|
|
|
|
|
|
Eco-Bat Finance Plc, 7.75%, |
|
|
460 |
|
|
548,883 |
|
|
FMG Resources August 2006 Property |
|
|
|
|
|
|
|
|
6.88%, 2/01/18 |
|
USD |
370 |
|
|
363,525 |
|
|
6.88%, 4/01/22 |
|
|
525 |
|
|
505,312 |
|
|
Global Brass and Copper, Inc., |
|
|
300 |
|
|
303,000 |
|
|
Goldcorp, Inc., 2.00%, 8/01/14 (e) |
|
|
1,060 |
|
|
1,188,525 |
|
|
Kaiser Aluminum Corp., 8.25%, |
|
|
225 |
|
|
226,125 |
|
|
New Gold, Inc., 7.00%, 4/15/20 |
|
|
150 |
|
|
153,000 |
|
|
New World Resources NV, 7.88%, |
|
EUR |
655 |
|
|
747,140 |
|
|
Newmont Mining Corp., Series A, |
|
USD |
1,475 |
|
|
1,836,375 |
|
|
Novelis, Inc., 8.75%, 12/15/20 |
|
|
3,315 |
|
|
3,505,612 |
|
|
Schmolz + Bickenbach |
|
EUR |
315 |
|
|
373,918 |
|
|
Taseko Mines Ltd., 7.75%, |
|
USD |
420 |
|
|
399,000 |
|
|
Vedanta Resources Plc, 8.25%, |
|
|
270 |
|
|
233,550 |
|
|
|
|
|
|
|
|
10,383,965 |
|
|
Multiline Retail — 1.7% |
|
|
|
|
|
|
|
|
Dollar General Corp., 11.88%, |
|
|
4,351 |
|
|
4,655,614 |
|
|
Oil, Gas & Consumable Fuels — 11.3% |
|
|
|
|
|
|
|
|
Alpha Appalachia Holdings, Inc., |
|
|
280 |
|
|
235,900 |
|
|
Alpha Natural Resources, Inc.: |
|
|
|
|
|
|
|
|
6.00%, 6/01/19 |
|
|
130 |
|
|
116,350 |
|
|
6.25%, 6/01/21 |
|
|
440 |
|
|
391,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Oil, Gas & Consumable Fuels (continued) |
|
|
|
|
|
|
|
|
Aurora USA Oil & Gas, Inc., 9.88%, |
|
USD |
455 |
|
$ |
475,475 |
|
|
Berry Petroleum Co., 6.38%, |
|
|
410 |
|
|
418,200 |
|
|
BreitBurn Energy Partners LP, |
|
|
255 |
|
|
249,900 |
|
|
CCS, Inc., 11.00%, 11/15/15 (b) |
|
|
570 |
|
|
589,950 |
|
|
Chaparral Energy, Inc., 7.63%, |
|
|
220 |
|
|
224,950 |
|
|
Chesapeake Energy Corp.: |
|
|
|
|
|
|
|
|
6.63%, 8/15/20 |
|
|
195 |
|
|
183,300 |
|
|
6.88%, 11/15/20 |
|
|
175 |
|
|
165,813 |
|
|
6.13%, 2/15/21 |
|
|
595 |
|
|
559,300 |
|
|
Chesapeake Midstream Partners |
|
|
275 |
|
|
261,250 |
|
|
Chesapeake Oilfield Operating |
|
|
5 |
|
|
4,325 |
|
|
Coffeyville Resources LLC, 9.00%, |
|
|
116 |
|
|
123,540 |
|
|
Concho Resources, Inc.: |
|
|
|
|
|
|
|
|
7.00%, 1/15/21 |
|
|
160 |
|
|
171,600 |
|
|
6.50%, 1/15/22 |
|
|
110 |
|
|
114,950 |
|
|
5.50%, 10/01/22 |
|
|
475 |
|
|
466,687 |
|
|
Consol Energy, Inc., 8.25%, |
|
|
1,965 |
|
|
1,965,000 |
|
|
Continental Resources, Inc., |
|
|
370 |
|
|
407,000 |
|
|
Copano Energy LLC, 7.13%, |
|
|
335 |
|
|
345,050 |
|
|
Crosstex Energy LP: |
|
|
|
|
|
|
|
|
8.88%, 2/15/18 |
|
|
180 |
|
|
189,000 |
|
|
7.13%, 6/01/22 (b) |
|
|
150 |
|
|
148,875 |
|
|
Crown Oil Partners IV LP, 15.00%, |
|
|
591 |
|
|
590,722 |
|
|
Denbury Resources, Inc., 8.25%, |
|
|
47 |
|
|
50,760 |
|
|
Energy XXI Gulf Coast, Inc.: |
|
|
|
|
|
|
|
|
9.25%, 12/15/17 |
|
|
555 |
|
|
596,625 |
|
|
7.75%, 6/15/19 |
|
|
900 |
|
|
909,000 |
|
|
EV Energy Partners LP, 8.00%, |
|
|
150 |
|
|
151,500 |
|
|
Everest Acquisition LLC/Everest |
|
|
|
|
|
|
|
|
6.88%, 5/01/19 |
|
|
395 |
|
|
404,875 |
|
|
9.38%, 5/01/20 |
|
|
300 |
|
|
307,500 |
|
|
Hilcorp Energy I LP, 7.63%, |
|
|
745 |
|
|
778,525 |
|
|
Holly Energy Partners LP, 6.50%, |
|
|
155 |
|
|
154,225 |
|
|
Kodiak Oil & Gas Corp., 8.13%, |
|
|
420 |
|
|
432,600 |
|
|
Linn Energy LLC: |
|
|
|
|
|
|
|
|
6.50%, 5/15/19 (b) |
|
|
95 |
|
|
92,150 |
|
|
6.25%, 11/01/19 (b) |
|
|
2,045 |
|
|
1,947,862 |
|
|
8.63%, 4/15/20 |
|
|
225 |
|
|
238,500 |
|
|
7.75%, 2/01/21 |
|
|
200 |
|
|
204,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
7 |
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
|
MarkWest Energy Partners LP: |
|
|
|
|
|
|
|
|
6.75%, 11/01/20 |
|
USD |
55 |
|
$ |
58,438 |
|
|
6.25%, 6/15/22 |
|
|
80 |
|
|
82,000 |
|
|
Newfield Exploration Co., 6.88%, |
|
|
780 |
|
|
826,800 |
|
|
Northern Oil and Gas, Inc., 8.00%, |
|
|
310 |
|
|
308,450 |
|
|
Oasis Petroleum, Inc.: |
|
|
|
|
|
|
|
|
7.25%, 2/01/19 |
|
|
330 |
|
|
339,900 |
|
|
6.50%, 11/01/21 |
|
|
290 |
|
|
290,000 |
|
|
Offshore Group Investments Ltd., |
|
|
1,080 |
|
|
1,150,200 |
|
|
OGX Petroleo e Gas Participacoes SA |
|
|
|
|
|
|
|
|
8.50%, 6/01/18 |
|
|
4,055 |
|
|
3,902,937 |
|
|
8.38%, 4/01/22 |
|
|
700 |
|
|
663,250 |
|
|
PBF Holding Co. LLC, 8.25%, |
|
|
295 |
|
|
283,200 |
|
|
PetroBakken Energy Ltd., 8.63%, |
|
|
1,195 |
|
|
1,212,925 |
|
|
Petrohawk Energy Corp., 7.25%, |
|
|
320 |
|
|
364,711 |
|
|
Petroleum Geo-Services ASA, |
|
|
575 |
|
|
595,125 |
|
|
Pioneer Natural Resources Co.: |
|
|
|
|
|
|
|
|
6.88%, 5/01/18 |
|
|
460 |
|
|
541,357 |
|
|
7.50%, 1/15/20 |
|
|
145 |
|
|
179,298 |
|
|
Plains Exploration & Production Co.: |
|
|
|
|
|
|
|
|
6.63%, 5/01/21 |
|
|
585 |
|
|
576,225 |
|
|
6.75%, 2/01/22 |
|
|
55 |
|
|
54,450 |
|
|
Range Resources Corp.: |
|
|
|
|
|
|
|
|
8.00%, 5/15/19 |
|
|
345 |
|
|
376,050 |
|
|
5.75%, 6/01/21 |
|
|
985 |
|
|
1,014,550 |
|
|
5.00%, 8/15/22 |
|
|
435 |
|
|
417,600 |
|
|
Samson Investment Co., 9.75%, |
|
|
690 |
|
|
686,550 |
|
|
SandRidge Energy, Inc.: |
|
|
|
|
|
|
|
|
7.50%, 3/15/21 |
|
|
250 |
|
|
242,500 |
|
|
8.13%, 10/15/22 (b) |
|
|
255 |
|
|
251,175 |
|
|
SESI LLC: |
|
|
|
|
|
|
|
|
6.38%, 5/01/19 |
|
|
325 |
|
|
341,250 |
|
|
7.13%, 12/15/21 (b) |
|
|
235 |
|
|
256,150 |
|
|
SM Energy Co.: |
|
|
|
|
|
|
|
|
6.63%, 2/15/19 |
|
|
130 |
|
|
133,900 |
|
|
6.50%, 11/15/21 |
|
|
265 |
|
|
270,963 |
|
|
Vanguard Natural Resources, |
|
|
270 |
|
|
266,625 |
|
|
|
|
|
|
|
|
30,353,938 |
|
|
Paper & Forest Products — 1.5% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., |
|
|
1,221 |
|
|
989,268 |
|
|
Boise Paper Holdings LLC: |
|
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
65 |
|
|
71,663 |
|
|
8.00%, 4/01/20 |
|
|
125 |
|
|
136,875 |
|
|
Clearwater Paper Corp.: |
|
|
|
|
|
|
|
|
10.63%, 6/15/16 |
|
|
390 |
|
|
434,850 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Paper & Forest Products (concluded) |
|
|
|
|
|
|
|
|
Clearwater Paper Corp. (concluded): |
|
|
|
|
|
|
|
|
7.13%, 11/01/18 |
|
USD |
585 |
|
$ |
615,712 |
|
|
Longview Fibre Paper & Packaging, |
|
|
345 |
|
|
342,413 |
|
|
NewPage Corp., 11.38%, |
|
|
2,070 |
|
|
1,283,400 |
|
|
Sappi Papier Holding GmbH, |
|
|
140 |
|
|
131,600 |
|
|
|
|
|
|
|
|
4,005,781 |
|
|
Pharmaceuticals — 0.8% |
|
|
|
|
|
|
|
|
Capsugel Finance Co. SCA: |
|
|
|
|
|
|
|
|
9.88%, 8/01/19 (b) |
|
EUR |
200 |
|
|
259,665 |
|
|
9.88%, 8/01/19 |
|
|
100 |
|
|
129,833 |
|
|
Pharmaceutical Product |
|
USD |
220 |
|
|
234,300 |
|
|
Spectrum Brands, Inc., 6.75%, |
|
|
260 |
|
|
263,250 |
|
|
Valeant Pharmaceuticals International |
|
|
|
|
|
|
|
|
6.50%, 7/15/16 |
|
|
855 |
|
|
872,100 |
|
|
6.75%, 8/15/21 |
|
|
570 |
|
|
523,687 |
|
|
|
|
|
|
|
|
2,282,835 |
|
|
Professional Services — 0.4% |
|
|
|
|
|
|
|
|
FTI Consulting, Inc., 6.75%, |
|
|
920 |
|
|
968,300 |
|
|
Real Estate Investment Trusts (REITs) — 0.7% |
|
|
|
|
|
|
|
|
Felcor Lodging LP, 6.75%, |
|
|
1,405 |
|
|
1,408,513 |
|
|
The Rouse Co. LP, 6.75%, |
|
|
520 |
|
|
543,400 |
|
|
|
|
|
|
|
|
1,951,913 |
|
|
Real Estate Management & Development — 2.5% |
|
|
|
|
|
|
|
|
CBRE Services, Inc., 6.63%, |
|
|
335 |
|
|
356,775 |
|
|
Forest City Enterprises, Inc., |
|
|
1,425 |
|
|
1,410,750 |
|
|
IVG Immobilien AG, 8.00% (k) |
|
EUR |
100 |
|
|
59,352 |
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
|
11.50%, 4/15/17 |
|
USD |
400 |
|
|
354,000 |
|
|
12.00%, 4/15/17 |
|
|
100 |
|
|
88,500 |
|
|
7.88%, 2/15/19 (b) |
|
|
2,380 |
|
|
2,261,000 |
|
|
7.63%, 1/15/20 (b) |
|
|
505 |
|
|
518,888 |
|
|
9.00%, 1/15/20 (b) |
|
|
365 |
|
|
365,000 |
|
|
Shea Homes LP, 8.63%, 5/15/19 |
|
|
1,250 |
|
|
1,303,125 |
|
|
|
|
|
|
|
|
6,717,390 |
|
|
Road & Rail — 1.4% |
|
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, |
|
|
130 |
|
|
134,550 |
|
|
Florida East Coast Railway Corp., |
|
|
410 |
|
|
420,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
8 |
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Road & Rail (concluded) |
|
|
|
|
|
|
|
|
The Hertz Corp.: |
|
|
|
|
|
|
|
|
7.50%, 10/15/18 |
|
USD |
550 |
|
$ |
572,688 |
|
|
6.75%, 4/15/19 (b) |
|
|
290 |
|
|
296,525 |
|
|
7.38%, 1/15/21 |
|
|
415 |
|
|
435,231 |
|
|
Hertz Holdings Netherlands BV: |
|
|
|
|
|
|
|
|
8.50%, 7/31/15 |
|
EUR |
188 |
|
|
247,572 |
|
|
8.50%, 7/31/15 (b) |
|
|
1,325 |
|
|
1,744,857 |
|
|
|
|
|
|
|
|
3,851,673 |
|
|
Semiconductors & Semiconductor Equipment — 0.2% |
|
|
|
|
|
|
|
|
Spansion LLC, 7.88%, 11/15/17 |
|
USD |
580 |
|
|
556,800 |
|
|
Software — 1.0% |
|
|
|
|
|
|
|
|
Audatex North America, Inc., |
|
|
530 |
|
|
545,900 |
|
|
Lawson Software, Inc., 9.38%, |
|
|
1,780 |
|
|
1,833,400 |
|
|
Sophia LP, 9.75%, 1/15/19 (b) |
|
|
442 |
|
|
458,575 |
|
|
|
|
|
|
|
|
2,837,875 |
|
|
Specialty Retail — 2.9% |
|
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., |
|
|
365 |
|
|
392,375 |
|
|
Claire’s Stores, Inc., 9.00%, |
|
|
635 |
|
|
635,000 |
|
|
Hillman Group, Inc., 10.88%, |
|
|
530 |
|
|
552,525 |
|
|
House of Fraser Funding Plc: |
|
|
|
|
|
|
|
|
8.88%, 8/15/18 (b) |
|
GBP |
285 |
|
|
382,141 |
|
|
8.88%, 8/15/18 |
|
|
221 |
|
|
296,326 |
|
|
Limited Brands, Inc.: |
|
|
|
|
|
|
|
|
8.50%, 6/15/19 |
|
USD |
785 |
|
|
923,356 |
|
|
5.63%, 2/15/22 |
|
|
160 |
|
|
161,200 |
|
|
Penske Automotive Group, Inc., |
|
|
1,025 |
|
|
1,060,875 |
|
|
Phones4u Finance Plc, 9.50%, |
|
GBP |
400 |
|
|
536,338 |
|
|
QVC, Inc. (b): |
|
|
|
|
|
|
|
|
7.13%, 4/15/17 |
|
USD |
230 |
|
|
243,800 |
|
|
7.50%, 10/01/19 |
|
|
625 |
|
|
679,687 |
|
|
7.38%, 10/15/20 |
|
|
290 |
|
|
316,100 |
|
|
Sally Holdings LLC: |
|
|
|
|
|
|
|
|
6.88%, 11/15/19 (b) |
|
|
545 |
|
|
580,425 |
|
|
5.75%, 6/01/22 |
|
|
435 |
|
|
439,894 |
|
|
Sonic Automotive, Inc., 9.00%, |
|
|
370 |
|
|
399,600 |
|
|
Toys ‘R’ US-Delaware, Inc., 7.38%, |
|
|
150 |
|
|
151,125 |
|
|
|
|
|
|
|
|
7,750,767 |
|
|
Textiles, Apparel & Luxury Goods — 0.2% |
|
|
|
|
|
|
|
|
Levi Strauss & Co., 6.88%, |
|
|
440 |
|
|
436,700 |
|
|
Trading Companies & Distributors — 0.2% |
|
|
|
|
|
|
|
|
Aircastle Ltd., 6.75%, 4/15/17 (b) |
|
|
470 |
|
|
465,300 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
Trading Companies & Distributors (concluded) |
|
|
|
|
|
|
|
|
Russel Metals, Inc., 6.00%, |
|
CAD |
175 |
|
$ |
172,772 |
|
|
|
|
|
|
|
|
638,072 |
|
|
Transportation Infrastructure — 0.2% |
|
|
|
|
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18 (b) |
|
USD |
431 |
|
|
439,620 |
|
|
Wireless Telecommunication Services — 4.4% |
|
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
|
7.75%, 5/15/16 |
|
|
110 |
|
|
116,050 |
|
|
7.75%, 10/15/20 |
|
|
70 |
|
|
64,050 |
|
|
Digicel Group Ltd. (b): |
|
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
700 |
|
|
689,500 |
|
|
9.13%, 1/15/15 |
|
|
1,783 |
|
|
1,756,255 |
|
|
8.25%, 9/01/17 |
|
|
1,180 |
|
|
1,185,900 |
|
|
10.50%, 4/15/18 |
|
|
500 |
|
|
510,000 |
|
|
iPCS, Inc., 2.59%, 5/01/13 (d) |
|
|
545 |
|
|
534,100 |
|
|
Matterhorn Mobile Holdings SA, |
|
EUR |
305 |
|
|
381,847 |
|
|
MetroPCS Wireless, Inc., 6.63%, |
|
USD |
760 |
|
|
735,300 |
|
|
NII Capital Corp., 7.63%, 4/01/21 |
|
|
621 |
|
|
523,192 |
|
|
Sprint Capital Corp., 6.88%, |
|
|
2,220 |
|
|
1,648,350 |
|
|
Sprint Nextel Corp. (b): |
|
|
|
|
|
|
|
|
9.00%, 11/15/18 |
|
|
1,930 |
|
|
2,089,225 |
|
|
7.00%, 3/01/20 |
|
|
1,730 |
|
|
1,742,975 |
|
|
|
|
|
|
|
|
11,976,744 |
|
|
Total Corporate Bonds – 105.3% |
|
|
|
|
|
283,589,790 |
|
|
|
|||||||
|
|
|||||||
|
|
|||||||
|
Floating Rate Loan Interests (d) |
|
|
|
|
|
|
|
|
Airlines — 0.2% |
|
|
|
|
|
|
|
|
Delta Air Lines, Inc., Credit - New |
|
|
397 |
|
|
394,592 |
|
|
Auto Components — 0.5% |
|
|
|
|
|
|
|
|
Federal-Mogul Corp., Term Loan B, |
|
|
948 |
|
|
890,674 |
|
|
Schaeffler AG, Term Loan C2, |
|
|
495 |
|
|
492,525 |
|
|
|
|
|
|
|
|
1,383,199 |
|
|
Building Products — 0.2% |
|
|
|
|
|
|
|
|
Goodman Global, Inc., Term Loan |
|
|
398 |
|
|
401,108 |
|
|
Capital Markets — 0.4% |
|
|
|
|
|
|
|
|
Nuveen Investments, Inc.: |
|
|
|
|
|
|
|
|
Incremental Term Loan, |
|
|
655 |
|
|
653,363 |
|
|
New Second Lien Term Loan, |
|
|
415 |
|
|
417,465 |
|
|
|
|
|
|
|
|
1,070,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
9 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (d) |
|
|
|
Par |
|
Value |
|
||
|
Chemicals — 0.7% |
|
|
|
|
|
|
|
|
|
|
Ineos US Finance LLC, 6 year Term |
|
USD |
|
|
1,150 |
|
$ |
1,126,379 |
|
|
PQ Corp., Term Loan B, 3.99%, |
|
|
|
|
290 |
|
|
277,874 |
|
|
Styron Sarl LLC, Term Loan B, |
|
|
|
|
438 |
|
|
390,968 |
|
|
|
|
|
|
|
|
|
|
1,795,221 |
|
|
Commercial Services & Supplies — 0.7% |
|
|
|
|
|
|
|
|
|
|
AWAS Finance Luxembourg Sarl, |
|
|
|
|
476 |
|
|
473,539 |
|
|
Delos Aircraft, Inc., Term Loan B2, |
|
|
|
|
550 |
|
|
549,313 |
|
|
Volume Services America, Inc., |
|
|
|
|
985 |
|
|
979,257 |
|
|
|
|
|
|
|
|
|
|
2,002,109 |
|
|
Communications Equipment — 0.1% |
|
|
|
|
|
|
|
|
|
|
Avaya, Inc., Term Loan B1, 3.22%, |
|
|
|
|
254 |
|
|
239,467 |
|
|
Construction & Engineering — 0.7% |
|
|
|
|
|
|
|
|
|
|
Safway Services LLC, Mezzanine |
|
|
|
|
2,000 |
|
|
2,000,000 |
|
|
Construction Materials — 0.4% |
|
|
|
|
|
|
|
|
|
|
HD Supply, Inc., Senior Debt B, |
|
|
|
|
1,115 |
|
|
1,119,460 |
|
|
Consumer Finance — 1.7% |
|
|
|
|
|
|
|
|
|
|
Springleaf Finance Corp., Term |
|
|
|
|
5,085 |
|
|
4,688,777 |
|
|
Diversified Consumer Services — 0.1% |
|
|
|
|
|
|
|
|
|
|
Laureate Education, Inc., Extended |
|
|
|
|
145 |
|
|
138,579 |
|
|
ServiceMaster Co.: |
|
|
|
|
|
|
|
|
|
|
Delayed Draw Term Loan, |
|
|
|
|
9 |
|
|
8,275 |
|
|
Term Loan, 2.74% - 2.99%, |
|
|
|
|
85 |
|
|
83,096 |
|
|
|
|
|
|
|
|
|
|
229,950 |
|
|
Diversified Telecommunication Services — 0.5% |
|
|
|
|
|
|
|
|
|
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
|
|
|
Term Loan B3, 5.75%, |
|
|
|
|
850 |
|
|
841,959 |
|
|
Tranche A Term Loan, 2.49% - |
|
|
|
|
500 |
|
|
486,460 |
|
|
|
|
|
|
|
|
|
|
1,328,419 |
|
|
Electronic Equipment, Instruments & Components — 0.1% |
|
|
|
|
|
|
|
|
|
|
CDW LLC, Extended Term Loan, |
|
|
|
|
276 |
|
|
263,617 |
|
|
Energy Equipment & Services — 2.2% |
|
|
|
|
|
|
|
|
|
|
Dynegy Midwest Generation LLC, |
|
|
|
|
1,986 |
|
|
2,024,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (d) |
|
|
|
Par |
|
Value |
|
||
|
Energy Equipment & Services (concluded) |
|
|
|
|
|
|
|
|
|
|
Dynegy Power LLC, Gas Co. Term |
|
USD |
|
|
3,635 |
|
$ |
3,745,987 |
|
|
Tervita Corp., Incremental Term |
|
|
|
|
274 |
|
|
272,941 |
|
|
|
|
|
|
|
|
|
|
6,043,775 |
|
|
Food & Staples Retailing — 0.1% |
|
|
|
|
|
|
|
|
|
|
US Foods, Inc. (FKA U.S. |
|
|
|
|
164 |
|
|
158,735 |
|
|
Food Products — 0.3% |
|
|
|
|
|
|
|
|
|
|
Advance Pierre Foods, Term Loan |
|
|
|
|
900 |
|
|
904,779 |
|
|
Health Care Equipment & Supplies — 0.5% |
|
|
|
|
|
|
|
|
|
|
Bausch & Lomb, Inc., Term Loan B, |
|
|
|
|
475 |
|
|
466,431 |
|
|
Hupah Finance Inc., Term Loan B, |
|
|
|
|
765 |
|
|
767,394 |
|
|
|
|
|
|
|
|
|
|
1,233,825 |
|
|
Health Care Providers & Services — 0.7% |
|
|
|
|
|
|
|
|
|
|
Harden Healthcare LLC: |
|
|
|
|
|
|
|
|
|
|
Term Loan A, 8.50%, 3/02/15 |
|
|
|
|
380 |
|
|
372,771 |
|
|
Tranche A Additional Term |
|
|
|
|
401 |
|
|
393,196 |
|
|
inVentiv Health, Inc., Combined |
|
|
|
|
735 |
|
|
688,358 |
|
|
Wolverine Healthcare, Term Loan |
|
|
|
|
375 |
|
|
368,906 |
|
|
|
|
|
|
|
|
|
|
1,823,231 |
|
|
Hotels, Restaurants & Leisure — 1.3% |
|
|
|
|
|
|
|
|
|
|
Caesars Entertainment Operating Co., |
|
|
|
|
|
|
|
|
|
|
Extended Term Loan B6, |
|
|
|
|
200 |
|
|
176,032 |
|
|
Incremental Term Loan B4, |
|
|
|
|
484 |
|
|
486,873 |
|
|
Term Loan B1, 3.24%, |
|
|
|
|
546 |
|
|
498,342 |
|
|
Term Loan B2, 3.24%, |
|
|
|
|
309 |
|
|
282,084 |
|
|
Term Loan B3, 3.24% - 3.47%, |
|
|
|
|
968 |
|
|
883,121 |
|
|
OSI Restaurant Partners LLC: |
|
|
|
|
|
|
|
|
|
|
Revolver, 2.54% - 2.72%, |
|
|
|
|
9 |
|
|
9,207 |
|
|
Term Loan B, 2.56%, 6/14/14 |
|
|
|
|
95 |
|
|
93,091 |
|
|
Sabre, Inc., Non Extended Initial |
|
|
|
|
100 |
|
|
95,021 |
|
|
Station Casinos, Inc., Term Loan |
|
|
|
|
871 |
|
|
818,501 |
|
|
Travelport LLC: |
|
|
|
|
|
|
|
|
|
|
Extended Tranche A Term |
|
|
|
|
190 |
|
|
74,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
10 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (d) |
|
|
|
Par |
|
Value |
|
||
|
Hotels, Restaurants & Leisure (concluded) |
|
|
|
|
|
|
|
|
|
|
Travelport LLC (concluded): |
|
|
|
|
|
|
|
|
|
|
Extended Tranche B Term |
|
USD |
|
|
600 |
|
$ |
60,048 |
|
|
|
|
|
|
|
|
|
|
3,476,329 |
|
|
Industrial Conglomerates — 0.2% |
|
|
|
|
|
|
|
|
|
|
Sequa Corp.: |
|
|
|
|
|
|
|
|
|
|
Incremental Term Loan, |
|
|
|
|
439 |
|
|
437,803 |
|
|
Term Loan, 3.72%, 12/03/14 |
|
|
|
|
155 |
|
|
151,973 |
|
|
|
|
|
|
|
|
|
|
589,776 |
|
|
IT Services — 0.3% |
|
|
|
|
|
|
|
|
|
|
Ceridian Corp., Term Loan, 3.24%, |
|
|
|
|
114 |
|
|
108,113 |
|
|
First Data Corp., Extended Term |
|
|
|
|
785 |
|
|
709,161 |
|
|
|
|
|
|
|
|
|
|
817,274 |
|
|
Leisure Equipment & Products — 0.2% |
|
|
|
|
|
|
|
|
|
|
Eastman Kodak Co., DIP Term |
|
|
|
|
653 |
|
|
652,553 |
|
|
Machinery — 0.2% |
|
|
|
|
|
|
|
|
|
|
Rexnord Corp., Term Loan B, |
|
|
|
|
594 |
|
|
589,951 |
|
|
Media — 5.4% |
|
|
|
|
|
|
|
|
|
|
Affinion Group, Inc., Term Loan B, |
|
|
|
|
40 |
|
|
36,682 |
|
|
Cengage Learning Acquisitions, Inc.: |
|
|
|
|
|
|
|
|
|
|
Non-Extended Term Loan, |
|
|
|
|
324 |
|
|
292,728 |
|
|
Tranche 1 Incremental Term |
|
|
|
|
1,684 |
|
|
1,611,745 |
|
|
Cequel Communications LLC, Term |
|
|
|
|
475 |
|
|
462,650 |
|
|
Clear Channel Communications, Inc.: |
|
|
|
|
|
|
|
|
|
|
Term Loan B, 3.89%, 1/28/16 |
|
|
|
|
2,116 |
|
|
1,646,043 |
|
|
Term Loan C, 3.89%, 1/28/16 |
|
|
|
|
385 |
|
|
297,045 |
|
|
EMI Music Publishing Ltd., Term |
|
|
|
|
560 |
|
|
556,500 |
|
|
HMH Publishing Co. Ltd., Term |
|
|
|
|
923 |
|
|
511,784 |
|
|
Intelsat Jackson Holdings SA, |
|
|
|
|
7,227 |
|
|
7,162,246 |
|
|
Interactive Data Corp., Term Loan |
|
|
|
|
409 |
|
|
401,810 |
|
|
Newsday LLC, Fixed Rate Term |
|
|
|
|
1,325 |
|
|
1,350,679 |
|
|
Univision Communications, Inc., |
|
|
|
|
335 |
|
|
306,987 |
|
|
|
|
|
|
|
|
|
|
14,636,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (d) |
|
|
|
Par |
|
Value |
|
||
|
Metals & Mining — 0.2% |
|
|
|
|
|
|
|
|
|
|
Constellium Holding Co. BV, Term |
|
USD |
|
|
430 |
|
$ |
419,250 |
|
|
Oil, Gas & Consumable Fuels — 1.3% |
|
|
|
|
|
|
|
|
|
|
Chesapeake Energy Corp., |
|
|
|
|
2,340 |
|
|
2,296,710 |
|
|
Obsidian Natural Gas Trust, Term |
|
|
|
|
1,089 |
|
|
1,089,016 |
|
|
|
|
|
|
|
|
|
|
3,385,726 |
|
|
Paper & Forest Products — 0.5% |
|
|
|
|
|
|
|
|
|
|
NewPage Corp., DIP Term Loan, |
|
|
|
|
600 |
|
|
604,752 |
|
|
Verso Paper Finance Holdings LLC, |
|
|
|
|
1,509 |
|
|
754,284 |
|
|
|
|
|
|
|
|
|
|
1,359,036 |
|
|
Pharmaceuticals — 0.5% |
|
|
|
|
|
|
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, |
|
|
|
|
988 |
|
|
954,913 |
|
|
Pharmaceutical Product |
|
|
|
|
419 |
|
|
419,025 |
|
|
|
|
|
|
|
|
|
|
1,373,938 |
|
|
Real Estate Investment Trusts (REITs) — 0.5% |
|
|
|
|
|
|
|
|
|
|
iStar Financial, Inc.: |
|
|
|
|
|
|
|
|
|
|
Term Loan A1, 5.00%, |
|
|
|
|
1,290 |
|
|
1,283,768 |
|
|
Term Loan A2, 7.00%, |
|
|
|
|
5 |
|
|
4,987 |
|
|
|
|
|
|
|
|
|
|
1,288,755 |
|
|
Real Estate Management & Development — 0.4% |
|
|
|
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
|
|
|
Extended Letter of Credit |
|
|
|
|
112 |
|
|
101,861 |
|
|
Extended Term Loan, 4.49%, |
|
|
|
|
737 |
|
|
671,333 |
|
|
Stockbridge SBE Holdings LLC, |
|
|
|
|
185 |
|
|
182,225 |
|
|
|
|
|
|
|
|
|
|
955,419 |
|
|
Semiconductors & Semiconductor Equipment — 0.0% |
|
|
|
|
|
|
|
|
|
|
NXP BV, Term Loan A-2, 5.50%, |
|
|
|
|
70 |
|
|
68,734 |
|
|
Software — 0.5% |
|
|
|
|
|
|
|
|
|
|
Lawson Software, Inc., Term Loan |
|
|
|
|
1,235 |
|
|
1,232,580 |
|
|
Magic Newco LLC, Second Lien |
|
|
|
|
245 |
|
|
236,628 |
|
|
|
|
|
|
|
|
|
|
1,469,208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
11 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (d) |
|
|
|
|
Par |
|
Value |
|
||
|
Specialty Retail — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
Claire’s Stores, Inc., Term Loan B, |
|
|
|
|
USD |
387 |
|
$ |
360,151 |
|
|
Textiles, Apparel & Luxury Goods — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
Ascend Performance Materials |
|
|
|
|
|
1,140 |
|
|
1,107,704 |
|
|
Wireless Telecommunication Services — 1.3% |
|
|
|
|
|
|
|
|
|
|
|
Crown Castle International Corp., |
|
|
|
|
|
160 |
|
|
157,206 |
|
|
Vodafone Americas Finance 2, Inc. (h): |
|
|
|
|
|
|
|
|
|
|
|
Term Loan, 6.88%, 8/11/15 |
|
|
|
|
|
1,938 |
|
|
1,967,246 |
|
|
Term Loan B, 6.25%, 7/11/16 |
|
|
|
1,341 |
|
|
1,360,734 |
|
||
|
|
|
|
|
|
|
|
|
|
3,485,186 |
|
|
Total Floating Rate Loan Interests – 23.4% |
|
|
|
|
|
|
|
|
63,116,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Other Interests (m) |
|
Beneficial |
|
|
|
||
|
Adelphia Escrow (a) |
|
|
750 |
|
|
8 |
|
|
Adelphia Recovery Trust (a) |
|
|
941 |
|
|
94 |
|
|
Buffets, Inc. (a) |
|
|
575 |
|
|
6 |
|
|
Lear Corp. Escrow (a) |
|
|
460 |
|
|
3,450 |
|
|
Wellman Holdings, Inc., Litigation |
|
|
2,830 |
|
|
28 |
|
|
Total Other Interests – 0.0% |
|
|
|
|
|
3,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Preferred Securities |
|
|
|
|
|
||
|
|
|
Par |
|
|
|
||
|
Capital Trusts |
|
|
|
|
|||
|
Insurance — 0.2% |
|
|
|
|
|
|
|
|
Genworth Financial, Inc., 6.15%, |
|
|
865 |
|
|
493,284 |
|
|
Total Capital Trusts – 0.2% |
|
|
|
|
|
493,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Preferred Stocks |
|
Shares |
|
|
|
||
|
Auto Components — 0.8% |
|
|
|
|
|
|
|
|
Dana Holding Corp., 4.00% (b) |
|
|
17,830 |
|
|
2,041,535 |
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
Shares |
|
Value |
|
||
|
Diversified Financial Services — 1.3% |
|
|
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (b)(d) |
|
|
4,074 |
|
$ |
3,493,200 |
|
|
Media — 0.1% |
|
|
|
|
|
|
|
|
TRA Global, Inc. (a) |
|
|
286,652 |
|
|
352,582 |
|
|
Real Estate Investment Trusts (REITs) — 0.0% |
|
|
|
|
|
|
|
|
MPG Office Trust, Inc., Series A, |
|
|
8,994 |
|
|
128,165 |
|
|
Thrifts & Mortgage Finance — 0.1% |
|
|
|
|
|
|
|
|
Fannie Mae, 7.00% (a) |
|
|
30,000 |
|
|
64,500 |
|
|
Freddie Mac, 8.00% (a) |
|
|
75,961 |
|
|
127,614 |
|
|
|
|
|
|
|
|
192,114 |
|
|
Total Preferred Stocks – 2.3% |
|
|
|
|
|
6,207,596 |
|
|
Trust Preferred |
|
|
|
|
|
|
|
|
Diversified Financial Services — 1.0% |
|
|
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, |
|
|
80,390 |
|
|
1,842,539 |
|
|
RBS
Capital Funding Trust VII, |
|
|
60,800 |
|
|
829,920 |
|
|
Total Trust Preferred – 1.0% |
|
|
|
|
|
2,672,459 |
|
|
Total Preferred Securities – 3.5% |
|
|
|
|
|
9,373,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Warrants (l) |
|
|
|
|
|
||
|
Containers & Packaging — 0.0% |
|
|
|
|
|
|
|
|
MDP Acquisitions Plc |
|
|
700 |
|
|
22,924 |
|
|
Health Care Providers & Services — 0.0% |
|
|
|
|
|
|
|
|
HealthSouth Corp. |
|
|
32,042 |
|
|
— |
|
|
Hotels, Restaurants & Leisure — 0.0% |
|
|
|
|
|
|
|
|
Buffets Restaurants |
|
|
485 |
|
|
— |
|
|
Media — 0.1% |
|
|
|
|
|
|
|
|
Cumulus Media, Inc. |
|
|
42,640 |
|
|
250,664 |
|
|
New Vision Holdings LLC, |
|
|
22 |
|
|
— |
|
|
|
|
|
|
|
|
250,664 |
|
|
Software — 0.0% |
|
|
|
|
|
|
|
|
Bankruptcy Management |
|
|
334 |
|
|
— |
|
|
HMH Holdings/EduMedia |
|
|
11,225 |
|
|
— |
|
|
Total Warrants – 0.1% |
|
|
|
|
|
273,588 |
|
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
12 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
|
Total Long-Term Investments |
|
|
|
|
$ |
379,081,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
Shares |
|
|
|
|
|
BlackRock Liquidity Funds, |
|
|
1,541,301 |
|
|
1,541,301 |
|
|
Total Short-Term Securities |
|
|
|
|
|
1,541,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
|
Exchange-Traded Put Options — 0.1% |
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike |
|
|
795 |
|
|
230,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional |
|
|
|
|
|
|
Over-the-Counter Call Options — 0.0% |
|
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, |
|
|
19 |
|
|
— |
|
|
Total Options Purchased |
|
|
|
|
|
230,948 |
|
|
Total Investments Before Options Written |
|
|
|
|
|
380,853,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts |
|
Value |
|
||
|
Exchange-Traded Put Options — (0.0)% |
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust, Strike |
|
|
795 |
|
|
(31,005 |
) |
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Notional |
|
Value |
|
||
|
Over-the-Counter Put Swaptions — (0.0)% |
|
|
|
|
|
|
|
|
Sold credit default protection on Dow |
|
USD |
1,135 (q) |
|
$ |
(10,359 |
) |
|
Total Options Written |
|
|
|
|
|
(41,364 |
) |
|
Total Investments, Net of Options Written– 141.4% |
|
|
|
|
|
380,812,331 |
|
|
Liabilities in Excess of Other Assets – (41.4)% |
|
|
|
|
|
(111,430,054 |
) |
|
Net Assets – 100.0% |
|
|
|
|
$ |
269,382,277 |
|
|
|
|
|
|
|
|
* |
As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
|
|
|
|
|
|
|
Tax cost |
|
$ |
387,075,957 |
|
|
Gross unrealized appreciation |
|
$ |
15,164,367 |
|
|
Gross unrealized depreciation |
|
|
(21,386,629 |
) |
|
Net unrealized depreciation |
|
$ |
(6,222,262 |
) |
|
|
|
|
(a) |
Non-income producing security. |
|
|
|
|
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
(c) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
|
|
(d) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
(e) |
Convertible security. |
|
|
|
|
(f) |
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. |
|
|
|
|
(g) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
(h) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
|
|
(i) |
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
|
|
|
|
(j) |
When-issued security. Unsettled when-issued transactions were as follows: |
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
|||||||
|
Goldman Sachs & Co. |
|
$ |
125,608 |
|
$ |
(1,757 |
) |
|
Citicorp Security |
|
$ |
176,032 |
|
$ |
(3,968 |
) |
|
Goldman Sachs & Co. |
|
$ |
303,000 |
|
$ |
3,000 |
|
|
JPMorgan Securities |
|
$ |
502,350 |
|
$ |
(4,310 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
13 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
(k) |
Security is perpetual in nature and has no stated maturity date. |
|
|
|
|
(l) |
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
|
|
|
|
(m) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
|
|
|
|
(n) |
Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares |
|
Net |
|
Shares |
|
Income |
|
||||
|
|
|||||||||||||
|
BlackRock |
|
|
— |
|
|
1,541,301 |
|
|
1,541,301 |
|
$ |
217 |
|
|
|
|
|
(o) |
Represents the current yield as of report date. |
|
|
|
|
(p) |
Not rated using Standard & Poor’s (“S&P’s”) rating of the underlying securities. |
|
|
|
|
(q) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
|
|
|
Portfolio Abbreviations |
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
|
|
|
|
AUD |
Australian Dollar |
|
CAD |
Canadian Dollar |
|
DIP |
Debtor-In-Possession |
|
EBITDA |
Earnings Before Interest, Taxes, Depreciation and Amortization |
|
ETF |
Exchange-Traded Fund |
|
EUR |
Euro |
|
FKA |
Formerly Known As |
|
GBP |
British Pound |
|
LIBOR |
London Interbank Offered Rate |
|
SPDR |
Standard and Poor’s Depositary Receipts |
|
USD |
US Dollar |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
14 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
• |
Financial futures contracts sold as of May 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
92 |
|
S&P 500 E-Mini Index |
|
Chicago Mercantile |
|
June 2012 |
|
$ |
6,022,320 |
|
$ |
94,175 |
|
|
|
|
|
• |
Foreign currency exchange contracts as of May 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Currency Sold |
|
Counterparty |
|
Settlement Date |
|
Unrealized Appreciation |
|
|||||
|
USD |
|
75,654 |
|
AUD |
|
74,500 |
|
Deutsche Bank AG |
|
7/18/12 |
|
$ |
3,369 |
|
|
USD |
|
2,820,884 |
|
CAD |
|
2,817,000 |
|
Goldman Sachs & Co. |
|
7/18/12 |
|
|
96,279 |
|
|
USD |
|
176,908 |
|
CAD |
|
175,000 |
|
UBS AG |
|
7/18/12 |
|
|
7,648 |
|
|
USD |
|
4,480,964 |
|
GBP |
|
2,808,000 |
|
Goldman Sachs & Co. |
|
7/18/12 |
|
|
154,142 |
|
|
EUR |
|
308,000 |
|
USD |
|
389,127 |
|
Citibank NA |
|
7/25/12 |
|
|
(8,163 |
) |
|
EUR |
|
1,030,000 |
|
USD |
|
1,345,317 |
|
UBS AG |
|
7/25/12 |
|
|
(71,315 |
) |
|
USD |
|
21,962,160 |
|
EUR |
|
16,638,000 |
|
Citibank NA |
|
7/25/12 |
|
|
1,382,693 |
|
|
USD |
|
169,576 |
|
EUR |
|
131,000 |
|
UBS AG |
|
7/25/12 |
|
|
7,543 |
|
|
USD |
|
231,369 |
|
EUR |
|
179,000 |
|
UBS AG |
|
7/25/12 |
|
|
9,964 |
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
1,582,160 |
|
|
|
|
|
• |
Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Pay |
|
Counterparty/Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
MGM Resorts International |
|
5.00% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
105 |
|
$ |
(5,455 |
) |
|
MGM Resorts International |
|
5.00% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
170 |
|
|
(8,295 |
) |
|
MGM Resorts International |
|
5.00% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
90 |
|
|
(2,406 |
) |
|
MGM Resorts International |
|
5.00% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
90 |
|
|
(3,021 |
) |
|
MGM Resorts International |
|
5.00% |
|
Deutsche Bank AG |
|
6/20/15 |
|
$ |
85 |
|
|
(5,159 |
) |
|
Republic of Hungary |
|
1.00% |
|
Deutsche Bank AG |
|
12/20/15 |
|
$ |
300 |
|
|
23,175 |
|
|
Realogy Corp. |
|
5.00% |
|
Goldman Sachs International |
|
9/20/16 |
|
$ |
150 |
|
|
(11,312 |
) |
|
iStar Financial, Inc. |
|
5.00% |
|
Deutsche Bank AG |
|
12/20/16 |
|
$ |
225 |
|
|
(19,898 |
) |
|
Israel (State of) |
|
1.00% |
|
Deutsche Bank AG |
|
3/20/17 |
|
$ |
225 |
|
|
(1,770 |
) |
|
Israel Government Bond |
|
1.00% |
|
Deutsche Bank AG |
|
3/20/17 |
|
$ |
675 |
|
|
(5,755 |
) |
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
(39,896 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
15 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
• |
Credit default swaps on single-name issues - sold protection outstanding as of May 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer |
|
Receive |
|
Counterparty/Exchange |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
|
Air Lease Corp. |
|
5.00% |
|
Goldman Sachs International |
|
2/14/13 |
|
NR |
|
$ |
500 |
|
$ |
11,858 |
|
|
CIT Group, Inc. |
|
5.00% |
|
Deutsche Bank AG |
|
9/20/15 |
|
BB- |
|
$ |
3,400 |
|
|
370,305 |
|
|
Aramark Corp. |
|
5.00% |
|
Goldman Sachs International |
|
3/20/16 |
|
B- |
|
$ |
500 |
|
|
22,358 |
|
|
Aramark Corp. |
|
5.00% |
|
Goldman Sachs International |
|
6/20/16 |
|
B- |
|
$ |
300 |
|
|
14,384 |
|
|
Aramark Corp. |
|
5.00% |
|
Goldman Sachs International |
|
6/20/16 |
|
B- |
|
$ |
300 |
|
|
12,608 |
|
|
Aramark Corp. |
|
5.00% |
|
Credit Suisse Securities (USA) LLC |
|
9/20/16 |
|
B- |
|
$ |
125 |
|
|
9,147 |
|
|
Aramark Corp. |
|
5.00% |
|
Goldman Sachs International |
|
9/20/16 |
|
B- |
|
$ |
350 |
|
|
13,755 |
|
|
Aramark Corp. |
|
5.00% |
|
Goldman Sachs International |
|
9/20/16 |
|
B- |
|
$ |
125 |
|
|
8,710 |
|
|
Bausch & Lomb Incorporation |
|
5.00% |
|
Credit Suisse Securities (USA) LLC |
|
3/20/17 |
|
B+ |
|
$ |
105 |
|
|
6,761 |
|
|
Aramark Corp. |
|
5.00% |
|
Deutsche Bank AG |
|
3/20/17 |
|
B- |
|
$ |
200 |
|
|
3,218 |
|
|
Crown Castle International Corp. |
|
7.25% |
|
Deutsche Bank AG |
|
3/20/17 |
|
B+ |
|
$ |
470 |
|
|
2,170 |
|
|
Ford Motor Co. |
|
5.00% |
|
Deutsche Bank AG |
|
3/20/17 |
|
BB+ |
|
$ |
1,500 |
|
|
95,860 |
|
|
Goodyear Tire & Rubber Co. |
|
5.00% |
|
Deutsche Bank AG |
|
6/20/17 |
|
B+ |
|
$ |
310 |
|
|
(250 |
) |
|
Goodyear Tire & Rubber Co. |
|
5.00% |
|
Goldman Sachs International |
|
6/20/17 |
|
B+ |
|
$ |
300 |
|
|
(3,834 |
) |
|
CCO Holding LLC |
|
8.00% |
|
Deutsche Bank AG |
|
9/20/17 |
|
BB- |
|
$ |
1,600 |
|
|
63,358 |
|
|
Level 3 Communications Inc. |
|
5.00% |
|
Goldman Sachs International |
|
6/20/19 |
|
B- |
|
$ |
1,000 |
|
|
(15,389 |
) |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
615,019 |
|
|
|
|
|
• |
Credit default swaps on traded indexes - sold protection outstanding as of May 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
Receive |
|
Counterparty |
|
Expiration |
|
Issuer |
|
Notional |
|
Unrealized |
|
||
|
Dow Jones CDX North America High Yield Series 18 |
|
5.00% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/17 |
|
B+ |
|
$ |
1,375 |
|
$ |
(16,186 |
) |
|
Dow Jones CDX North America High Yield Series 18 |
|
5.00% |
|
Credit Suisse Securities (USA) LLC |
|
6/20/17 |
|
B+ |
|
$ |
685 |
|
|
(3,773 |
) |
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(19,959 |
) |
|
|
|
|
1 |
Using S&P’s ratings. |
|
|
|
|
2 |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement. |
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
16 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
|
• |
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
|
|
|
• |
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
|
|
|
|
|
|
|
• |
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
• |
Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
• |
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.
The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
— |
|
$ |
1,141,282 |
|
|
— |
|
$ |
1,141,282 |
|
|
Common Stocks |
|
$ |
10,035,724 |
|
|
7,317,550 |
|
$ |
4,229,606 |
|
|
21,582,880 |
|
|
Corporate Bonds |
|
|
— |
|
|
279,190,788 |
|
|
4,399,002 |
|
|
283,589,790 |
|
|
Floating Rate Loan interests |
|
|
— |
|
|
54,463,439 |
|
|
8,653,542 |
|
|
63,116,981 |
|
|
Other Interests |
|
|
94 |
|
|
— |
|
|
3,492 |
|
|
3,586 |
|
|
Preferred Securities |
|
|
2,992,738 |
|
|
6,028,019 |
|
|
352,582 |
|
|
9,373,339 |
|
|
Warrants |
|
|
— |
|
|
273,588 |
|
|
— |
|
|
273,588 |
|
|
Short Term Securities |
|
|
1,541,301 |
|
|
— |
|
|
— |
|
|
1,541,301 |
|
|
Total |
|
$ |
14,569,857 |
|
$ |
348,414,666 |
|
$ |
17,638,224 |
|
$ |
380,622,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
17 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Derivative Financial Instruments1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
— |
|
$ |
209,976 |
|
$ |
447,691 |
|
$ |
657,667 |
|
|
Equity contracts |
|
$ |
325,123 |
|
|
— |
|
|
— |
|
|
325,123 |
|
|
Foreign currency exchange contracts |
|
|
— |
|
|
1,661,638 |
|
|
— |
|
|
1,661,638 |
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
— |
|
|
(112,862 |
) |
|
|
|
|
(112,862 |
) |
|
Equity contracts |
|
|
(31,005 |
) |
|
— |
|
|
— |
|
|
(31,005 |
) |
|
Foreign currency exchange contracts |
|
|
— |
|
|
(79,478 |
) |
|
— |
|
|
(79,478 |
) |
|
Total |
|
$ |
294,118 |
|
$ |
1,679,274 |
|
$ |
447,691 |
|
$ |
2,421,083 |
|
|
|
|
|
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. Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Cash |
|
$ |
989,625 |
|
|
— |
|
|
— |
|
$ |
989,625 |
|
|
Cash pledged as collateral for financial futures contracts |
|
|
210,000 |
|
|
|
|
|
|
|
|
210,000 |
|
|
Cash pledged as collateral for swaps |
|
|
100,000 |
|
|
— |
|
|
— |
|
|
100,000 |
|
|
Foreign currency |
|
|
2,957 |
|
|
— |
|
|
— |
|
|
2,957 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral for swaps |
|
|
(400,000 |
) |
|
— |
|
|
— |
|
|
(400,000 |
) |
|
Loan Payable |
|
|
— |
|
$ |
(119,000,000 |
) |
|
— |
|
|
(119,000,000 |
) |
|
Total |
|
$ |
902,582 |
|
$ |
(119,000,000 |
) |
|
— |
|
$ |
(118,097,418 |
) |
|
|
|
|
|
There were no transfers between level 1 and Level 2 during the period ended May 31, 2012. |
The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee to determine the fair value of certain of the Fund’s Level 3 investments as of May 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
Valuation Techniques |
|
Unobservable |
|
Range
of |
|
Weighted
Average of |
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
1,745,552 |
|
|
Market Comparable Companies |
|
EBITDA Multiple |
|
6.3x |
|
6.3x |
|
Preferred Stocks |
|
|
352,582 |
|
|
Cost With Adjustment |
|
Discount Rate |
|
20% |
|
20% |
|
Corporate Bonds |
|
|
3,534,855 |
|
|
Market Comparable Companies |
|
Yield |
|
7.00% - 9.67% |
|
8.70% |
|
Floating Rate Loan Interests |
|
|
754,284 |
|
|
Estimated Final Distribution |
|
Probable Outcome |
|
50% |
|
50% |
|
Total3 |
|
$ |
6,387,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
A change to the unobservable input may result in a significant change to the value of the investment as follows: |
|
|
|
|
|
|
|
Unobservable Input |
|
Impact to Value if Input Increases |
|
Impact to Value if Input Decreases |
|
EBITDA Multiple |
|
Increase |
|
Decrease |
|
Discount Rate |
|
Decrease |
|
Increase |
|
Yield |
|
Decrease |
|
Increase |
|
Probable Outcome |
|
Increase |
|
Decrease |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
18 |
|
|
|
|
|
|
|
Consolidated Schedule of Investments (concluded) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
2 |
Unobservable inputs are weighted based on the value of the investments included in the range. |
|
|
|
|
3 |
Does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Warrants |
|
Total |
|
|||||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance, as of |
|
$ |
4,322,217 |
|
$ |
4,458,734 |
|
$ |
9,295,244 |
|
$ |
4,642 |
|
$ |
352,582 |
|
$ |
1 |
|
$ |
18,433,420 |
|
|
Transfers into Level 31 |
|
|
— |
|
|
— |
|
|
309,542 |
|
|
— |
|
|
— |
|
|
— |
|
|
309,542 |
|
|
Transfers out of Level 31 |
|
|
(10 |
) |
|
— |
|
|
(792,147 |
) |
|
— |
|
|
— |
|
|
— |
|
|
(792,157 |
) |
|
Accrued discounts/premium |
|
|
— |
|
|
853 |
|
|
26,577 |
|
|
— |
|
|
— |
|
|
— |
|
|
27,430 |
|
|
Net realized gain (loss) |
|
|
— |
|
|
— |
|
|
9,163 |
|
|
— |
|
|
— |
|
|
— |
|
|
9,163 |
|
|
Net change in unrealized |
|
|
(202,572 |
) |
|
(24,958 |
) |
|
(4,533 |
) |
|
(1,150 |
) |
|
— |
|
|
(1 |
) |
|
(233,214 |
) |
|
Purchases |
|
|
152,928 |
|
|
5,898 |
|
|
442,848 |
|
|
— |
|
|
— |
|
|
— |
|
|
601,674 |
|
|
Sales |
|
|
(42,957 |
) |
|
(41,525 |
) |
|
(633,152 |
) |
|
— |
|
|
— |
|
|
— |
|
|
(717,634 |
) |
|
Closing balance, as of May 31, 2012 |
|
$ |
4,229,606 |
|
$ |
4,399,002 |
|
$ |
8,653,542 |
|
$ |
3,492 |
|
$ |
352,582 |
|
|
— |
|
$ |
17,638,224 |
|
|
|
|
|
|
|
1 |
Transfers into and transfers out of Level 3 represent the beginning of the reporting period value. |
|
|
|
|
|
|
2 |
The change in unrealized appreciation/depreciation on investments still held as of May 31, 2012 was $(233,214). |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
||||
|
|
|
Credit Contracts |
|
|
|
Assets: |
|
|
|
|
|
Opening balance, as of February 29, 2012 |
|
$ |
237,861 |
|
|
Transfers into Level 31 |
|
|
— |
|
|
Transfers out of Level 31 |
|
|
— |
|
|
Accrued discounts/premium |
|
|
— |
|
|
Net realized gain (loss) |
|
|
— |
|
|
Net change in unrealized appreciation/depreciation3 |
|
|
209,830 |
|
|
Purchases |
|
|
— |
|
|
Issues4 |
|
|
— |
|
|
Sales |
|
|
— |
|
|
Settlements5 |
|
|
— |
|
|
|
|
|
|
|
|
Closing balance, as of May 31, 2012 |
|
$ |
447,691 |
|
|
|
|
|
|
|
3 |
The change in unrealized appreciation/depreciation on derivative financial instruments still held as of May 31, 2012 was $209,830. |
|
|
|
|
|
|
4 |
Issues represent upfront cash received on certain derivative financial instruments. |
|
|
|
|
|
|
5 |
Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
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.
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2012 |
19 |
|
Item 2 – |
Controls and Procedures |
||
|
|
|
||
|
2(a) – |
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
||
|
|
|
||
|
2(b) – |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
||
|
|
|
||
|
Item 3 – |
Exhibits |
||
|
|
|
||
|
|
Certifications – Attached hereto |
||
|
|
|
||
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
||
|
|
|
||
|
|
BlackRock Corporate High Yield Fund III, Inc. |
||
|
|
|
||
| By: | /s/ John M. Perlowski | ||
| John M. Perlowski | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Corporate High Yield Fund III, Inc. | |||
| Date: July 25, 2012 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
| By: | /s/ John M. Perlowski | ||
| John M. Perlowski | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Corporate High Yield Fund III, Inc. | |||
| Date: July 25, 2012 | |||
| By: | /s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Corporate High Yield Fund III, Inc. | |||
| Date: July 25, 2012 | |||