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 811-8497
Name of Fund: BlackRock Corporate High Yield Fund III, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Corporate High Yield Fund III, Inc., 800 Scudders Mill
Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton,
NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 05/31/2007
Date of reporting period: 12/01/06 - 02/28/07
Item 1 - Schedule of Investments
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
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Face
Industry Amount Corporate Bonds Value
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Aerospace & Defense - 4.7% $ 1,947,000 Alliant Techsystems, Inc., 2.75% due 9/15/2011 (b)(i) $ 2,095,459
780,000 Argo-Tech Corp., 9.25% due 6/01/2011 846,300
560,000 Bombardier, Inc., 8% due 11/15/2014 (i) 585,200
1,425,000 DRS Technologies, Inc., 6.875% due 11/01/2013 1,428,562
975,000 Esterline Technologies Corp., 7.75% due 6/15/2013 994,500
1,425,000 L-3 Communications Corp., 7.625% due 6/15/2012 1,478,437
1,625,000 L-3 Communications Corp., 5.875% due 1/15/2015 1,584,375
1,375,000 L-3 Communications Corp., 6.375% due 10/15/2015 1,368,125
1,380,000 L-3 Communications Corp., 3% due 8/01/2035 (b)(i) 1,473,150
1,310,000 Standard Aero Holdings, Inc., 8.25% due 9/01/2014 1,332,925
470,000 TransDigm, Inc., 7.75% due 7/15/2014 (i) 482,925
1,950,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 1,901,250
-----------
15,571,208
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Airlines - 0.5% 999,772 Continental Airlines, Inc. Series 1997-4-B, 6.90%
due 7/02/2018 999,772
77,084 Continental Airlines, Inc. Series 1998-1-C, 6.541%
due 9/15/2009 76,698
462,404 Continental Airlines, Inc. Series 2001-1 Class C,
7.033% due 12/15/2012 462,982
-----------
1,539,452
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Automotive - 3.5% 605,000 Accuride Corp., 8.50% due 2/01/2015 612,562
2,875,000 Autonation, Inc., 7.36% due 4/15/2013 (d) 2,918,125
1,525,000 Autonation, Inc., 7% due 4/15/2014 1,545,969
350,000 Ford Capital BV, 9.50% due 6/01/2010 352,625
700,000 Ford Motor Company, 8.90% due 1/15/2032 623,000
710,000 Ford Motor Credit Co., 8.11% due 1/13/2012 (d) 713,831
600,000 General Motors Acceptance Corp., 7.25%
due 3/02/2011 614,307
70,000 The Goodyear Tire & Rubber Co., 7.857%
due 8/15/2011 72,187
925,000 The Goodyear Tire & Rubber Co., 8.625%
due 12/01/2011 (i) 982,812
470,000 Keystone Automotive Operations, Inc., 9.75%
due 11/01/2013 467,650
1,600,000 Lear Corp., 8.75% due 12/01/2016 1,542,000
1,210,000 United Auto Group, Inc., 7.75% due 12/15/2016 (i) 1,231,175
-----------
11,676,243
-----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 4.3% 1,850,000 Allbritton Communications Co., 7.75%
due 12/15/2012 1,896,250
1,125,000 Barrington Broadcasting Group LLC, 10.50%
due 8/15/2014 (i) 1,178,437
2,000,000 CMP Susquehanna Corp., 9.875% due 5/15/2014 (i) 2,055,000
400,000 Nexstar Finance, Inc., 7% due 1/15/2014 386,000
2,975,000 Paxson Communications Corp., 8.61%
due 1/15/2012 (d)(i) 3,027,063
2,475,000 Salem Communications Corp., 7.75% due 12/15/2010 2,518,313
1,575,000 Sinclair Broadcast Group, Inc., 8% due 3/15/2012 1,622,250
500,000 Sirius Satellite Radio, Inc., 9.625% due 8/01/2013 505,000
1,225,000 Young Broadcasting, Inc., 10% due 3/01/2011 1,215,813
-----------
14,404,126
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Cable - U.S. - 7.8% 845,000 CCH I Holdings LLC, 11% due 10/01/2015 876,687
1,800,000 CCH I LLC, 11% due 10/01/2015 1,872,000
2,275,000 CSC Holdings, Inc. Series B, 7.625% due 4/01/2011 2,337,562
75,000 Cablevision Systems Corp. Series B, 9.87%
due 4/01/2009 (d) 79,875
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
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Face
Industry Amount Corporate Bonds Value
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$ 475,000 Cablevision Systems Corp. Series B, 8%
due 4/15/2012 $ 482,125
3,430,000 Charter Communications Holdings II LLC, 10.25%
due 9/15/2010 3,610,075
1,975,000 Echostar DBS Corp., 7.125% due 2/01/2016 2,041,656
240,000 Intelsat Bermuda Ltd., 11.354% due 6/15/2013 (d)(i) 257,400
1,150,000 Intelsat Bermuda Ltd., 8.872% due 1/15/2015 (d)(i) 1,177,312
2,150,000 Intelsat Subsidiary Holding Co. Ltd., 8.625%
due 1/15/2015 2,311,250
571,000 Loral Spacecom Corp., 14% due 11/15/2015 (g) 656,650
2,425,000 Mediacom LLC, 9.50% due 1/15/2013 2,491,688
2,193,000 PanAmSat Corp., 9% due 8/15/2014 2,368,440
1,125,000 PanAmSat Corp., 9% due 6/15/2016 (i) 1,234,688
2,000,000 Quebecor Media, Inc., 7.75% due 3/15/2016 2,050,000
1,900,000 Rainbow National Services LLC, 10.375%
due 9/01/2014 (i) 2,128,000
-----------
25,975,408
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Chemicals - 6.3% 880,000 American Pacific Corp., 9% due 2/01/2015 (i) 887,700
1,544,000 BCP Crystal Holdings Corp., 9.625% due 6/15/2014 1,715,770
825,000 Innophos, Inc., 8.875% due 8/15/2014 855,937
455,000 Key Plastics LLC and Key Plastics Finance Corp.,
11.75% due 3/15/2013 (i) 458,413
785,000 Lyondell Chemical Co., 8.25% due 9/15/2016 843,875
4,320,000 Millennium America, Inc., 9.25% due 6/15/2008 4,492,800
2,330,000 Momentive Performance Materials, Inc., 10.125%
due 12/01/2014 (g)(i) 2,452,325
885,000 Momentive Performance Materials, Inc., 11.50%
due 12/01/2016 (i) 920,400
2,065,000 Nova Chemicals Corp., 8.502% due 11/15/2013 (d) 2,065,000
1,200,000 Nalco Co., 7.75% due 11/15/2011 1,239,000
1,200,000 Nalco Co., 8.875% due 11/15/2013 1,278,000
724,000 Nalco Finance Holdings, Inc., 10.065% due 2/01/2014 (a) 622,640
2,300,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 2,458,125
550,000 Terra Capital, Inc., 7% due 2/01/2017 (i) 547,250
-----------
20,837,235
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Consumer - Durables - 0.9% 1,350,000 Sealy Mattress Co., 8.25% due 6/15/2014 1,424,250
1,400,000 Simmons Bedding Co., 7.875% due 1/15/2014 1,435,000
-----------
2,859,250
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Non-Durables - 4.8% 3,375,000 American Greetings Corp., 7.375% due 6/01/2016 3,488,906
1,400,000 Chattem, Inc., 7% due 3/01/2014 1,400,000
2,325,000 Church & Dwight Co., Inc., 6% due 12/15/2012 2,272,687
3,575,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 3,003,000
1,600,000 Levi Strauss & Co., 10.11% due 4/01/2012 (d) 1,634,000
2,000,000 Levi Strauss & Co., 8.875% due 4/01/2016 2,155,000
2,000,000 Quiksilver, Inc., 6.875% due 4/15/2015 1,950,000
-----------
15,903,593
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Media - 8.4% 1,045,000 Affinion Group, Inc., 11.50% due 10/15/2015 1,133,825
225,000 American Media Operations, Inc. Series B, 10.25%
due 5/01/2009 214,875
350,000 CBD Media Holdings LLC, 9.25% due 7/15/2012 365,750
2,600,000 CBD Media, Inc., 8.625% due 6/01/2011 2,691,000
1,600,000 Cadmus Communications Corp., 8.375%
due 6/15/2014 1,620,000
380,000 CanWest Media, Inc., 8% due 9/15/2012 391,400
1,367,000 Dex Media West LLC, 9.875% due 8/15/2013 1,488,321
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
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Face
Industry Amount Corporate Bonds Value
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$ 2,010,000 Idearc, Inc., 8% due 11/15/2016 (i) $ 2,065,275
2,013,000 Liberty Media Corp., 0.75% due 3/30/2023 (b) 2,415,600
280,000 Network Communications, Inc., 10.75%
due 12/01/2013 289,100
3,000,000 Nielsen Finance LLC, 10% due 8/01/2014 (i) 3,277,500
1,060,000 Nielsen Finance LLC, 9.919% due 8/01/2016 (a)(i) 743,325
3,328,000 Primedia, Inc., 8% due 5/15/2013 3,419,520
2,845,000 Quebecor World, Inc., 9.75% due 1/15/2015 (i) 3,008,588
1,400,000 RH Donnelley Corp. Series A-2, 6.875%
due 1/15/2013 1,365,000
1,300,000 RH Donnelley Corp. Series A-3, 8.875%
due 1/15/2016 1,387,750
1,800,000 Universal City Florida Holding Co. I, 10.11%
due 5/01/2010 (d) 1,863,000
-----------
27,739,829
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Exploration & 510,000 Berry Petroleum Co., 8.25% due 11/01/2016 508,725
Production - 3.7% 1,550,000 Chaparral Energy, Inc., 8.50% due 12/01/2015 1,546,125
1,710,000 Compton Petroleum Finance Corp., 7.625%
due 12/01/2013 1,675,800
2,000,000 Encore Acquisition Co., 6.25% due 4/15/2014 1,845,000
2,800,000 Exco Resources, Inc., 7.25% due 1/15/2011 2,835,000
1,500,000 OPTI Canada, Inc., 8.25% due 12/15/2014 (i) 1,552,500
780,000 Sabine Pass LNG LP, 7.50% due 11/30/2016 (i) 780,000
1,370,000 Stone Energy Corp., 8.11% due 7/15/2010 (d)(i) 1,371,713
-----------
12,114,863
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 2.4% 1,100,000 Copano Energy LLC, 8.125% due 3/01/2016 1,138,500
945,000 Ferrellgas Partners LP, 8.75% due 6/15/2012 982,800
380,000 KCS Energy, Inc., 7.125% due 4/01/2012 370,500
720,000 North American Energy Partners, Inc., 8.75%
due 12/01/2011 734,400
2,000,000 Ocean RIG ASA, 9.36% due 4/04/2011 (d) 2,000,000
2,690,000 SemGroup LP, 8.75% due 11/15/2015 (i) 2,730,350
-----------
7,956,550
-----------------------------------------------------------------------------------------------------------------------------------
Financial - 0.5% 1,200,000 American Real Estate Partners LP, 7.125%
due 2/15/2013 (i) 1,182,000
440,000 NCO Group, Inc., 10.23% due 11/15/2013 (d)(i) 442,200
-----------
1,624,200
-----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 4.1% 800,000 AmeriQual Group LLC, 9.50% due 4/01/2012 (i) 834,000
2,400,000 Constellation Brands, Inc., 8.125% due 1/15/2012 2,496,000
1,225,000 Constellation Brands, Inc., 7.25% due 9/01/2016 1,270,937
3,000,000 Cott Beverages USA, Inc., 8% due 12/15/2011 3,071,250
3,024,000 Del Monte Corp., 8.625% due 12/15/2012 3,175,200
200,000 Landry's Restaurants, Inc. Series B, 7.50%
due 12/15/2014 199,000
2,000,000 National Beef Packing Co. LLC, 10.50% due 8/01/2011 2,095,000
505,000 Swift & Co., 12.50% due 1/01/2010 528,988
-----------
13,670,375
-----------------------------------------------------------------------------------------------------------------------------------
Gaming - 8.1% 3,125,000 Boyd Gaming Corp., 8.75% due 4/15/2012 3,257,812
1,350,000 Caesars Entertainment, Inc., 7.875% due 3/15/2010 1,424,250
100,000 Caesars Entertainment, Inc., 8.125% due 5/15/2011 105,875
300,000 Galaxy Entertainment Finance Co. Ltd., 10.354%
due 12/15/2010 (d)(i) 318,000
550,000 Galaxy Entertainment Finance Co. Ltd., 9.875%
due 12/15/2012 (i) 600,187
595,000 Greektown Holdings, 10.75% due 12/01/2013 (i) 636,650
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 500,000 Harrah's Operating Co., Inc., 5.75% due 10/01/2017 $ 417,500
1,550,000 Inn of the Mountain Gods Resort & Casino,
12% due 11/15/2010 1,689,500
1,290,000 Little Traverse Bay Bands of Odawa Indians,
10.25% due 2/15/2014 (i) 1,328,700
475,000 MGM Mirage, 6.75% due 4/01/2013 469,062
975,000 Mirage Resorts, Inc., 6.75% due 2/01/2008 981,094
2,025,000 Penn National Gaming, Inc., 6.875% due 12/01/2011 2,025,000
2,575,000 Poster Financial Group, Inc., 8.75% due 12/01/2011 2,678,000
1,150,000 Resorts International Hotel and Casino, Inc., 11.50%
due 3/15/2009 1,201,750
975,000 San Pasqual Casino, 8% due 9/15/2013 (i) 1,001,813
1,225,000 Station Casinos, Inc., 6.50% due 2/01/2014 1,136,188
1,625,000 Station Casinos, Inc., 7.75% due 8/15/2016 1,669,688
1,400,000 Station Casinos, Inc., 6.625% due 3/15/2018 1,268,750
2,210,000 Tropicana Entertainment, 9.625% due 12/15/2014 (i) 2,223,813
600,000 Turning Stone Resort Casino Enterprise, 9.125%
due 9/15/2014 (i) 624,000
1,800,000 Wynn Las Vegas LLC, 6.625% due 12/01/2014 1,782,000
-----------
26,839,632
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 6.7% 300,000 Accellent, Inc., 10.50% due 12/01/2013 312,000
1,140,000 Angiotech Pharmaceuticals, Inc., 9.11%
due 12/01/2013 (d)(i) 1,177,050
600,000 The Cooper Cos., Inc., 7.125% due 2/15/2015 (i) 606,000
2,000,000 Elan Finance Plc, 9.36% due 11/15/2011 (d) 2,035,000
3,000,000 HealthSouth Corp., 11.354% due 6/15/2014 (d)(i) 3,330,000
725,000 Omnicare, Inc., 6.75% due 12/15/2013 717,750
650,000 Select Medical Corp., 7.625% due 2/01/2015 572,000
2,260,000 Tenet Healthcare Corp., 9.875% due 7/01/2014 2,299,550
825,000 Triad Hospitals, Inc., 7% due 5/15/2012 851,813
3,000,000 US Oncology, Inc., 9% due 8/15/2012 3,172,500
1,000,000 VWR International, Inc., 8% due 4/15/2014 1,015,000
2,000,000 Vanguard Health Holding Co. II, LLC, 9%
due 10/01/2014 2,055,000
4,000,000 Ventas Realty, LP, 6.75% due 6/01/2010 4,085,000
-----------
22,228,663
-----------------------------------------------------------------------------------------------------------------------------------
Housing - 2.8% 3,025,000 Forest City Enterprises, Inc., 7.625% due 6/01/2015 3,100,625
699,000 Goodman Global Holding Co., Inc., 8.36%
due 6/15/2012 (d) 707,737
1,350,000 Goodman Global Holding Co., Inc., 7.875%
due 12/15/2012 1,377,000
295,000 Nortek, Inc., 8.50% due 9/01/2014 300,163
1,200,000 Ply Gem Industries, Inc., 9% due 2/15/2012 1,086,000
1,600,000 Standard-Pacific Corp., 9.25% due 4/15/2012 1,648,000
1,000,000 Texas Industries, Inc., 7.25% due 7/15/2013 1,020,000
-----------
9,239,525
-----------------------------------------------------------------------------------------------------------------------------------
Information Technology - 6.3% 280,000 Amkor Technology, Inc., 7.75% due 5/15/2013 271,600
350,000 Amkor Technology, Inc., 9.25% due 6/01/2016 357,000
600,000 BMS Holdings, Inc., 12.40% due 2/15/2012 (d)(g)(i) 590,900
215,000 Compagnie Generale de Geophysique SA, 7.50%
due 5/15/2015 219,300
320,000 Compagnie Generale de Geophysique-Veritas, 7.75%
due 5/15/2017 331,200
5,010,000 Freescale Semiconductor, Inc., 9.125%
due 12/15/2014 (g)(i) 5,078,887
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 490,000 Freescale Semiconductor, Inc., 9.23%
due 12/15/2014 (d)(i) $ 494,900
1,915,000 Nortel Networks Ltd., 9.61% due 7/15/2011 (d)(i) 2,049,050
125,000 Open Solutions, Inc., 9.75% due 2/01/2015 (i) 129,063
1,135,000 Sanmina-SCI Corp., 8.125% due 3/01/2016 1,083,925
2,180,000 SunGard Data Systems, Inc., 9.125% due 8/15/2013 2,327,150
1,895,000 SunGard Data Systems, Inc., 9.90% due 8/15/2013 (d) 1,980,275
1,105,000 SunGard Data Systems, Inc., 10.25% due 8/15/2015 (i) 1,201,688
235,000 Telcordia Technologies, Inc., 10% due 3/15/2013 (i) 219,725
1,391,859 UGS Capital Corp. II, 10.348% due 6/01/2011 (g)(i) 1,416,217
1,400,000 UGS Corp., 10% due 6/01/2012 1,533,000
1,550,000 Viasystems, Inc., 10.50% due 1/15/2011 1,573,250
-----------
20,857,130
-----------------------------------------------------------------------------------------------------------------------------------
Leisure - 1.7% 1,525,000 FelCor Lodging LP, 8.50% due 6/01/2011 1,637,469
2,000,000 Great Canadian Gaming Corp., 7.25% due 2/15/2015 (i) 2,030,000
1,480,000 Host Marriott LP, 6.75% due 6/01/2016 1,487,400
170,000 Travelport, Inc., 9.875% due 9/01/2014 (i) 181,475
370,000 Travelport, Inc., 9.985% due 9/01/2014 (d)(i) 382,025
-----------
5,718,369
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 3.5% 1,280,000 AGY Holding Corp., 11% due 11/15/2014 (i) 1,324,800
2,175,000 CPI Holdco, Inc., 11.151% due 2/01/2015 (d)(i) 2,245,688
1,690,000 Jarden Corp., 7.50% due 5/01/2017 1,713,237
2,310,000 NXP B.V., 9.50% due 10/15/2015 (i) 2,385,075
470,000 RBS Global, Inc., 9.50% due 8/01/2014 (i) 495,850
600,000 RBS Global, Inc., 11.75% due 8/01/2016 (i) 657,000
560,000 RBS Global, Inc., 8.875% due 9/01/2016 (i) 571,200
2,165,000 Trimas Corp., 9.875% due 6/15/2012 2,154,175
-----------
11,547,025
-----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 2.2% 640,000 FMG Finance Pty Ltd., 10.625% due 9/01/2016 (i) 728,000
1,975,000 Foundation PA Coal Co., 7.25% due 8/01/2014 1,999,687
2,350,000 Indalex Holding Corp., 11.50% due 2/01/2014 (i) 2,514,500
1,975,000 Novelis, Inc., 7.25% due 2/15/2015 2,054,000
-----------
7,296,187
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 3.5% 685,000 Berry Plastics Holding Corp., 8.875% due 9/15/2014 708,975
1,915,000 Berry Plastics Holding Corp., 9.23% due 9/15/2014 (d) 1,977,237
2,200,000 Graham Packing Co., Inc., 9.875% due 10/15/2014 2,266,000
420,000 Impress Holdings B.V., 8.585% due 9/15/2013 (d)(i) 430,500
2,637,000 Owens-Brockway, 8.875% due 2/15/2009 2,696,333
1,000,000 Owens-Brockway, 8.25% due 5/15/2013 1,047,500
1,355,000 Packaging Dynamics Finance Corp., 10%
due 5/01/2016 (i) 1,422,750
1,000,000 Pregis Corp., 12.375% due 10/15/2013 (i) 1,110,000
-----------
11,659,295
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 7.9% 2,000,000 Abitibi-Consolidated, Inc., 8.855% due 6/15/2011 (d) 2,010,000
720,000 Abitibi-Consolidated, Inc., 6% due 6/20/2013 633,600
1,000,000 Ainsworth Lumber Co. Ltd., 9.11% due 10/01/2010 (d) 845,000
1,975,000 Boise Cascade LLC, 8.235% due 10/15/2012 (d) 1,975,000
400,000 Bowater Canada Finance, 7.95% due 11/15/2011 402,000
2,825,000 Bowater, Inc., 8.355% due 3/15/2010 (d) 2,853,250
3,200,000 Domtar, Inc., 7.125% due 8/15/2015 3,212,000
1,050,000 Graphic Packaging International Corp., 8.50%
due 8/15/2011 1,092,000
640,000 Graphic Packaging International Corp., 9.50%
due 8/15/2013 682,400
1,450,000 NewPage Corp., 11.61% due 5/01/2012 (d) 1,580,500
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
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Face
Industry Amount Corporate Bonds Value
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$ 1,000,000 NewPage Corp., 12% due 5/01/2013 $ 1,090,000
3,400,000 Norske Skog Canada Ltd. Series D, 8.625%
due 6/15/2011 3,468,000
2,000,000 Rock-Tenn Co., 8.20% due 8/15/2011 2,125,000
2,600,000 Smurfit Kappa Funding Plc, 9.625% due 10/01/2012 2,759,250
340,000 Smurfit-Stone Container Enterprises, Inc., 9.75%
due 2/01/2011 351,475
950,000 Verso Paper Holdings LLC, 9.125% due 8/01/2014 (i) 1,002,250
115,000 Verso Paper Holdings LLC, 11.375% due 8/01/2016 (i) 123,625
-----------
26,205,350
-----------------------------------------------------------------------------------------------------------------------------------
Retail - 3.0% 310,000 Beverages & More, Inc., 9.25% due 3/01/2012 (i) 316,975
360,000 Buffets, Inc., 12.50% due 11/01/2014 378,000
340,000 Burlington Coat Factory Warehouse Corp., 11.125%
due 4/15/2014 349,775
1,700,000 Michaels Stores, Inc., 10% due 11/01/2014 (i) 1,819,000
2,110,000 Michaels Stores, Inc., 11.375% due 11/01/2016 (i) 2,289,350
1,125,000 Neiman Marcus Group, Inc., 9% due 10/15/2015 (g) 1,237,500
1,050,000 Neiman Marcus Group, Inc., 10.375% due 10/15/2015 1,176,000
2,500,000 Rite Aid Corp., 7.50% due 3/01/2017 2,481,250
-----------
10,047,850
-----------------------------------------------------------------------------------------------------------------------------------
Service - 6.9% 2,000,000 Ashtead Capital, Inc., 9% due 8/15/2016 (i) 2,160,000
600,000 Avis Budget Car Rental LLC, 7.625%
due 5/15/2014 (i) 609,000
2,800,000 Avis Budget Car Rental LLC, 7.86%
due 5/15/2014 (d)(i) 2,884,000
3,000,000 Corrections Corp. of America, 7.50% due 5/01/2011 3,090,000
625,000 DI Finance Series B, 9.50% due 2/15/2013 668,750
1,750,000 Dycom Industries, Inc., 8.125% due 10/15/2015 1,802,500
1,480,000 Mac-Gray Corp., 7.625% due 8/15/2015 1,520,700
1,780,000 Sally Holdings LLC, 10.50% due 11/15/2016 (i) 1,842,300
140,000 Seitel Acquisition Corp., 9.75% due 2/15/2014 (i) 142,100
3,000,000 Service Corp. International, 7% due 6/15/2017 3,030,000
1,200,000 United Rentals North America, Inc., 7.75%
due 11/15/2013 1,227,000
3,000,000 Waste Services, Inc., 9.50% due 4/15/2014 3,172,500
130,000 Yankee Acquisition Corp., 8.50% due 2/15/2015 (i) 132,925
540,000 Yankee Acquisition Corp., 9.75% due 2/15/2017 (i) 553,500
-----------
22,835,275
-----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.9% 1,950,000 Chaparral Steel Co., 10% due 7/15/2013 2,179,125
868,000 Ucar Finance, Inc., 10.25% due 2/15/2012 913,570
-----------
3,092,695
-----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 4.9% 1,247,000 ADC Telecommunications, Inc., 1%
due 6/15/2008 (b) 1,183,091
750,000 ADC Telecommunications, Inc., 5.729%
due 6/15/2013 (b)(d) 722,813
2,025,000 Inmarsat Finance Plc, 7.625% due 6/30/2012 2,100,937
2,900,000 LCI International, Inc., 7.25% due 6/15/2007 2,907,250
2,400,000 Nordic Telephone Co. Holdings ApS, 8.875%
due 5/01/2016 (i) 2,586,000
780,000 ProtoStar I Ltd., 12.50% due 10/15/2012 (b)(i) 819,000
350,000 Qwest Communications International, Inc., 7.50%
due 2/15/2014 362,688
1,550,000 Qwest Corp., 8.605% due 6/15/2013 (d) 1,691,438
525,000 Qwest Corp., 7.625% due 6/15/2015 560,438
3,000,000 Windstream Corp., 8.125% due 8/01/2013 3,236,250
-----------
16,169,905
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Transportation - 1.8% $ 370,000 Britannia Bulk Plc, 11% due 12/01/2011 (i) $ 360,287
1,525,000 Navios Maritime Holdings, Inc., 9.50%
due 12/15/2014 (i) 1,566,938
1,400,000 OMI Corp., 7.625% due 12/01/2013 1,414,000
2,325,000 Teekay Shipping Corp., 8.875% due 7/15/2011 2,505,188
-----------
5,846,413
-----------------------------------------------------------------------------------------------------------------------------------
Utility - 9.3% 4,458,000 The AES Corp., 9.375% due 9/15/2010 4,836,930
2,100,000 The AES Corp., 8.75% due 5/15/2013 (i) 2,241,750
1,327,000 Centerpoint Energy, Inc. Series B, 3.75%
due 5/15/2023 (b) 2,091,684
540,000 Conexant Systems, Inc., 9.11% due 11/15/2010 (d)(i) 556,200
2,509,000 ESI Tractebel Acquisition Corp. Series B, 7.99%
due 12/30/2011 2,594,369
1,875,000 Edison Mission Energy, 7.50% due 6/15/2013 1,959,375
1,775,000 El Paso Performance-Linked Trust, 7.75%
due 7/15/2011 (i) 1,885,937
2,600,000 Mirant North America LLC, 7.375% due 12/31/2013 2,671,500
1,625,000 NRG Energy, Inc., 7.25% due 2/01/2014 1,657,500
1,475,000 NRG Energy, Inc., 7.375% due 2/01/2016 1,504,500
390,000 Nevada Power Co., 9% due 8/15/2013 421,781
3,800,000 Reliant Energy, Inc., 9.50% due 7/15/2013 4,118,250
1,200,000 Sierra Pacific Resources, 8.625% due 3/15/2014 1,299,527
925,000 Southern Natural Gas Co., 8.875% due 3/15/2010 966,052
2,066,549 Tenaska Alabama Partners LP, 7% due 6/30/2021 (i) 2,092,833
-----------
30,898,188
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Communications - 4.9% 1,650,000 Centennial Cellular Operating Co. LLC, 10.125%
due 6/15/2013 1,784,062
1,350,000 Cricket Communications, Inc., 9.375%
due 11/01/2014 (i) 1,424,250
850,000 Digicel Group Ltd., 8.875% due 1/15/2015 (i) 829,812
2,050,000 Digicel Group Ltd., 9.125% due 1/15/2015 (g)(i) 1,996,187
1,200,000 Dobson Communications Corp., 9.61%
due 10/15/2012 (d) 1,239,000
1,710,000 MetroPCS Wireless, Inc., 9.25% due 11/01/2014 (i) 1,795,500
210,000 Orascom Telecom Finance SCA, 7.875%
due 2/08/2014 208,950
950,000 Rogers Wireless Communications, Inc., 8.48%
due 12/15/2010 (d) 969,000
250,000 Rogers Wireless Communications, Inc., 8%
due 12/15/2012 266,563
2,600,000 Rural Cellular Corp., 8.25% due 3/15/2012 2,697,500
2,850,000 West Corp., 11% due 10/15/2016 (i) 3,085,125
-----------
16,295,949
------------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost - $406,868,930) - 126.3% 418,649,783
------------------------------------------------------------------------------------------------------------------------------------
Floating Rate Loan Interests (k)
------------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.7% 2,830,000 Wellman, Inc. Second Lien Term Loan, 12.11%
due 2/10/2010 2,439,460
------------------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests
(Cost - $2,793,209) - 0.7% 2,439,460
------------------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations
------------------------------------------------------------------------------------------------------------------------------------
3,000,000 Brazilian Government International Bond, 11%
due 8/17/2040 4,009,500
------------------------------------------------------------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost - $3,795,457) - 1.2% 4,009,500
------------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Shares
Industry Held Common Stocks Value
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 1.1% 82,737 Loral Space & Communications Ltd. (c) $ 3,851,407
-----------------------------------------------------------------------------------------------------------------------------------
Information Technology - 0.6% 98,041 Cypress Semiconductor Corp. (c) 1,862,772
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.4% 70,784 Medis Technologies Ltd. (c) 1,216,069
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.1% 203,785 Western Forest Products, Inc. (c) 367,635
-----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $8,246,278) - 2.2% 7,297,883
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.4% 6,402 Loral Spacecom Corp. Series A, 12% 1,293,204
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $1,265,640) - 0.4% 1,293,204
-----------------------------------------------------------------------------------------------------------------------------------
Warrants (h)
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 0.0% 32,042 HealthSouth Corp. (expires 1/16/2014) 25,634
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.0% 700 MDP Acquisitions Plc (expires 10/01/2013) 14,000
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Communications - 0.2% 825 American Tower Corp. (expires 8/01/2008) 448,627
-----------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $53,675) - 0.2% 488,261
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest Other Interests (e)
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.0% $ 750,000 Adelphia C.V.U. Series ACC-4 3,000
-----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost - $3,000) - 0.0% 3,000
-----------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
-----------------------------------------------------------------------------------------------------------------------------------
$22,019,219 BlackRock Liquidity Series, LLC Cash Sweep Series, (f)(j)
5.33% (f)(j) 22,019,219
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $22,019,219) - 6.6% 22,019,219
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $445,045,408*) - 137.6% 456,200,310
Liabilities in Excess of Other Assets - (37.6%) (124,766,964)
-------------
Net Assets - 100.0% $ 331,433,346
=============
* The cost and unrealized appreciation (depreciation) of investments as of
February 28, 2007, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 445,718,929
=============
Gross unrealized appreciation $ 16,002,964
Gross unrealized depreciation (5,521,583)
-------------
Net unrealized appreciation $ 10,481,381
=============
(a) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(b) Convertible security.
(c) Non-income producing security.
(d) Floating rate security.
(e) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(f) Represents the current yield as of February 28, 2007.
(g) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(h) 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.
(i) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(j) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series $ 21,862,101 $ 386,292
------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2007 (in U.S. dollars)
--------------------------------------------------------------------------------
(k) Floating rate loan interests in which the Fund invests generally pay
interest at rates that are periodically redetermined by reference to a
base lending rate plus a premium. The base lending rates are generally (i)
the lending rate offered by one or more major European banks, such as
LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one
or more major U.S. banks or (iii) the certificate of deposit rate.
o 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 ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes of
this report which may combine industry sub-classifications for reporting
ease. Industries are shown as a percent of net assets.
o Swaps outstanding as of February 28, 2007 were as follows:
------------------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
-------------------------------------------------------------------------------------------------------
Sold credit default protection on General Motors Acceptance
Corp. and receive 3.50%
Broker, JPMorgan Chase
Expires March 2007 $ 800,000 $ 1,436
Sold credit default protection on General Motors Acceptance
Corp. and receive 4.50%
Broker, Morgan Stanley Capital Services, Inc.
Expires March 2007 $ 800,000 1,896
Sold credit default protection on General Motors Corp.
and receive 4.40%
Broker, Morgan Stanley Capital Services, Inc.
Expires June 2007 $ 400,000 4,486
Sold credit default protection on General Motors Corp.
and receive 8.00%
Broker, Morgan Stanley Capital Services, Inc.
Expires June 2007 $ 400,000 8,925
Sold credit default protection on Ford Motor Company
and receive 3.80%
Broker, JPMorgan Chase
Expires March 2010 $ 3,000,000 (12,396)
Sold credit default protection on Ford Motor Company
and receive 3.80%
Broker, UBS Warburg
Expires March 2010 $ 1,000,000 (4,132)
Sold credit default protection on Primedia, Inc.
and receive 2.45%
Broker, Lehman Brothers Special Finance
Expires March 2012 $ 1,000,000 5,393
--------------------------------------------------------------------------------------------------
Total $ 5,608
===========
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
2(b) - As of September 29, 2006, with the conclusion of the combination of
Merrill Lynch's asset management business with BlackRock, the registrant
was migrated to BlackRock's trading and compliance monitoring systems,
and various personnel changes occurred. In conjunction with these
business improvements, there were no changes in the registrant's internal
control over financial reporting (as defined in Rule 30a-3(d) under Act
(17 CFR 270.30a-3(d)) that occurred during the last fiscal quarter that
has materially affected, or is reasonably likely to 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/ Robert C. Doll, Jr.
---------------------------------------------
Robert C. Doll, Jr.
Chief Executive Officer
BlackRock Corporate High Yield Fund III, Inc.
Date: April 23, 2007
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/ Robert C. Doll, Jr.
---------------------------------------------
Robert C. Doll, Jr.
Chief Executive Officer
BlackRock Corporate High Yield Fund III, Inc.
Date: April 23, 2007
By: /s/ Donald C. Burke
---------------------------------------------
Donald C. Burke
Chief Financial Officer
BlackRock Corporate High Yield Fund III, Inc.
Date: April 23, 2007