UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSRS

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-21464

 

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

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund II, Inc., 55 East 52 nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 02/28/2011

 

Date of reporting period: 08/31/2010

 

Item 1 – Report to Stockholders

 

 

(BLACKROCK LOGO)

August 31, 2010

Semi-Annual Report (Unaudited)

BlackRock Corporate High Yield Fund, Inc. (COY)

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

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Senior High Income Fund, Inc. (ARK)

 

Not FDIC Insured § No Bank Guarantee § May Lose Value



 

 

Table of Contents


 

 

 

 

 

Page

 

 

 

Dear Shareholder

 

3

Semi-Annual Report:

 

 

Fund Summaries

 

4

The Benefits and Risks of Leveraging

 

9

Derivative Financial Instruments

 

9

Financial Statements:

 

 

Schedules of Investments

 

10

Statements of Assets and Liabilities

 

48

Statements of Operations

 

49

Statements of Changes in Net Assets

 

50

Statements of Cash Flows

 

53

Financial Highlights

 

54

Notes to Financial Statements

 

59

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

67

Officers and Directors

 

71

Additional Information

 

72


 

 

 

 

2

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

D ear Shareholder

The global economic recovery continues, although global and US economic statistics show that the pace of economic growth has slowed. The sovereign debt crisis in Europe, slowing growth in China and concerns over the possibility that the United States and other developed markets are heading for a double-dip recession have all acted to depress investor sentiment. Despite broadening evidence of a slowdown in global economic activity, market volatility has normalized from the extreme levels seen in recent months. In the United States, economic data continues to be mixed, but it is our view that the preponderance of data suggests that the recovery is continuing. The critical issue for investors remains the question of whether the economy will experience a double-dip recession. We are on the optimistic side of this debate and would point out that while the recovery has been slow, we have made significant progress.

Global equity markets have moved unevenly higher since bottoming out in early 2009 as investors were enticed by depressed valuations, improved corporate earnings, and their desire for higher yields. Several significant downturns, however, have occurred — primarily as a result of mixed economic data and concerns about the possibility of prolonged deflation (especially in Europe). As the period drew to a close, equity markets lost ground on weaker-than-expected economic data, most notably from the United States. International equities posted negative returns on both a six- and 12-month basis while US equities posted negative returns over the six months, but were still showing positive returns on a 12-month basis as the domestic economic recovery had been more pronounced and credit-related issues held European markets down. Within the United States, smaller cap stocks continue to outperform large caps year-to-date.

In fixed income markets, yields have fluctuated significantly over the past year as economic data has been mixed. Risk aversion and credit issues have kept interest rates low and US Treasury yields have fallen significantly as investors favored “safe haven” assets. As the period drew to a close, Treasuries modestly outperformed the spread sectors of the market (those driven by changes in credit risk). Corporate credit spreads benefited from the low rate environment and high yield fixed income remains attractive due to low default rates and better-than-expected results on European bank stress tests. Meanwhile, tax-exempt municipal bonds slightly outperformed US investment grade bonds on a 12-month basis, but underperformed year-to-date as investors rotated to the relative safety of Treasuries.

Regarding cash investments, yields on money market securities remain near all-time lows (producing returns only marginally above zero percent), with the Federal Open Market Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an “extended period.”

Against this backdrop, the major market averages posted the following returns:

 

 

 

 

 

 

 

 

Total Returns as of August 31, 2010

 

6-month

 

12-month

 

US large cap equities (S&P 500 Index)

 

(4.04

)%

 

4.91

%

 

US small cap equities (Russell 2000 Index)

 

(3.60

)

 

6.60

 

 

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

 

(3.04

)

 

(2.34

)

 

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

 

0.07

 

 

0.14

 

 

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

 

11.49

 

 

11.58

 

 

US investment grade bonds (Barclays Capital US Aggregate Bond Index)

 

5.81

 

 

9.18

 

 

Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)

 

5.42

 

 

9.78

 

 

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

 

6.62

 

 

21.40

 

 


 

 

 

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

Although conditions have improved over the past couple of years, investors across the globe continue to face uncertainty about the future direction of economic growth. Through periods of uncertainty, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine , where you’ll find the most recent issue of our award-winning Shareholder ® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives . We thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.

 

Sincerely,

-S- ROB KAPITO

Rob Kapito

President, BlackRock Advisors, LLC


 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3



 

 

 

 

F und Summary as of August 31, 2010

BlackRock Corporate High Yield Fund, Inc.


 

Fund Overview

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

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

 

Performance

For the six months ended August 31, 2010, the Fund returned 6.15% based on market price and 7.94% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 10.10% based on market price and 7.66% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the six-month period, high yield bonds lagged investment grade issues but outperformed the broad US equity market. Given our outlook for a continued slow economic environment, we focused more on sectors and companies with relatively stable cash flows and the ability to generate steady income, and less on companies which require growth to prosper and service their debt. Outside of this focus, the Fund’s investments in special situations and recovery stories, most notably in the automotive sector, contributed to the Fund’s outperformance versus its peer group. The Fund’s underweight in higher quality speculative grade names and overweight in lower quality credits benefited performance. Toward the end of the period, we moved to an underweight position in lower quality names as lower quality issues have recently become expensive relative to higher quality names. During the period, the Fund maintained leverage at an average of approximately 17% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. The Fund’s exposure to Floating Rate Loans detracted from performance (despite favorable security selection within the sector) as the bank loan sector underperformed high yield during the period.

 

 

 

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


 

Fund Information


 

 

Symbol on NYSE

COY

Initial Offering Date

June 25, 1993

Yield on Closing Market Price as of August 31, 2010 ($6.98) 1

8.77%

Current Monthly Distribution per Share 2

$0.051

Current Annualized Distribution per Share 2

$0.612

Leverage as of August 31, 2010 3

17%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Change

 

High

 

Low

 

Market Price

 

$

6.98

 

$

6.88

 

 

1.45

%

$

7.08

 

$

5.50

 

Net Asset Value

 

$

6.85

 

$

6.64

 

 

3.16

%

$

7.02

 

$

6.60

 

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

 

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Corporate Bonds

 

84

%

 

82

%

 

Floating Rate Loan Interests

 

12

 

 

13

 

 

Common Stocks

 

2

 

 

3

 

 

Other Interests

 

2

 

 

2

 

 


 

Credit Quality Allocations 4


 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

BBB/Baa

 

3

%

 

3

%

 

BB/Ba

 

36

 

 

30

 

 

B

 

46

 

 

46

 

 

CCC/Caa

 

11

 

 

12

 

 

CC/Ca

 

—

 

 

1

 

 

D

 

—

 

 

1

 

 

Not Rated

 

4

 

 

7

 

 


 

 

 

 

4

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


 

 

 

 

4

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Fund Summary as of August 31, 2010

BlackRock Corporate High Yield Fund III, Inc.


 

Fund Overview

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

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

 

Performance

For the six months ended August 31, 2010, the Fund returned 8.45% based on market price and 7.81% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 10.10% based on market price and 7.66% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the six-month period, high yield bonds lagged investment grade issues but outperformed the broad US equity market, as the slowing economy and concerns about Europe caused investors to sell riskier investments and falling interest rates pushed up the prices of higher quality bonds. Given our outlook for a continued slow economic environment, we began to focus more on sectors and companies with relatively stable cash flows and the ability to generate steady income, and less on companies with less stable cash flow and which require growth to be able to service their debt. Outside of this focus, we continued to invest in a few special situations and recovery stories, most notably in the automotive sector. These investments were key contributors to the Fund’s outperformance versus its peer group for the period. The Fund’s underweight position in higher quality speculative grade names and overweight in lower quality credits benefited performance during the period. Toward the end of the period, we moved to an underweight position in lower quality names, which we believe will benefit the Fund going forward as lower quality issues have recently become expensive relative to higher quality names. During the period, the Fund maintained leverage at an average amount between 18% to 20% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. The Fund’s exposure to Floating Rate Loans detracted from performance (despite favorable security selection within the sector) as the bank loan sector underperformed high yield during the period.

 

 

 

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


 

Fund Information


 

 

Symbol on NYSE

CYE

Initial Offering Date

January 30, 1998

Yield on Closing Market Price as of August 31, 2010 ($6.92) 1

8.67%

Current Monthly Distribution per Share 2

$0.05

Current Annualized Distribution per Share 2

$0.60

Leverage as of August 31, 2010 3

20%


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Change

 

High

 

Low

 

Market Price

 

$

6.92

 

$

6.67

 

 

3.75

%

$

7.14

 

$

5.29

 

Net Asset Value

 

$

6.90

 

$

6.69

 

 

3.14

%

$

7.13

 

$

6.66

 

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

 

 

Portfolio Composition


 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Corporate Bonds

 

80

%

 

81

%

 

Floating Rate Loan Interests

 

14

 

 

13

 

 

Common Stocks

 

2

 

 

4

 

 

Other Interests

 

2

 

 

2

 

 

Preferred Stocks

 

2

 

 

—

 

 


 

Credit Quality Allocations 4


 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

BBB/Baa

 

3

%

 

3

%

 

BB/Ba

 

35

 

 

29

 

 

B

 

46

 

 

47

 

 

CCC/Caa

 

11

 

 

12

 

 

D

 

—

 

 

1

 

 

Not Rated

 

5

 

 

8

 

 

 

 

 

 

 

 

 

 

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


 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

5



 

 

 

Fund Summary as of August 31, 2010

BlackRock Debt Strategies Fund, Inc.

 

 

Fund Overview

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

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

 

 

Performance

For the six months ended August 31, 2010, the Fund returned 4.91% based on market price and 7.61% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 10.10% based on market price and 7.66% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Fund’s Lipper category competitors invest primarily in high yield bonds, whereas the Fund invests in both high yield bonds and bank loans. During the period, approximately 48% of the Fund was invested in bank loans, with 43% in high yield, and the remainder in common stock, convertibles and investment-grade bonds. The Fund performed in line with its Lipper category, even though bank loans underperformed high yield during the period. The Fund maintained relatively conservative positioning, with a focus on sectors that are less sensitive to the economy and the consumer. This positioning had a negative impact on performance in a generally improving market, although it proved beneficial during the market correction that occurred in the second quarter of 2010. The Fund continued to maintain relatively low levels of leverage, which detracted from performance versus competitors that maintained higher leverage, as would be expected in an advancing market. Contributing positively to performance were the Fund’s overweight position in the automobiles sector, investments in several distressed credits and special situations, and an underweight position in health care.

 

 

 

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


 

 

 

Fund Information

 

 

 

Symbol on NYSE

 

DSU

Initial Offering Date

 

March 27, 1998

Yield on Closing Market Price as of August 31, 2010 ($3.92) 1

 

8.88%

Current Monthly Distribution per Share 2

 

$0.029

Current Annualized Distribution per Share 2

 

$0.348

Leverage as of August 31, 2010 3

 

16%


 

 

1

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

 

2

A change in the distribution rate was declared on September 1, 2010. The Monthly Distribution per Share was decreased to $0.027. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Change

 

High

 

Low

 

Market Price

 

$

3.92

 

$

3.91

 

 

0.26

%

$

4.42

 

$

2.95

 

Net Asset Value

 

$

4.00

 

$

3.89

 

 

2.83

%

$

4.14

 

$

3.89

 

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

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Floating Rate Loan Interests

 

50

%

 

47

%

 

Corporate Bonds

 

46

 

 

49

 

 

Common Stocks

 

3

 

 

4

 

 

Other Interests

 

1

 

 

—

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations 4

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

BBB/Baa

 

6

%

 

5

%

 

BB/Ba

 

30

 

 

27

 

 

B

 

48

 

 

44

 

 

CCC/Caa

 

9

 

 

11

 

 

D

 

—

 

 

1

 

 

Not Rated

 

7

 

 

12

 

 


 

 

4

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


 

 

 

 

6

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

Fund Summary as of August 31, 2010

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

 

Fund Overview

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

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

 

 

Performance

For the six months ended August 31, 2010, the Fund returned (7.02)% based on market price and 4.25% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 2.23% based on market price and 2.82% based on NAV. The performance of the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously offered closed-end funds. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Fund’s allocation to high yield bonds (approximately 20%) benefited performance as the sector performed well during the period. We focused on higher quality loan structures and borrowers with relatively stable cash flows and the ability to generate steady income. Outside of this focus, we invested in a few special situations and recovery stories, most notably in the automotive sector, which contributed positively to performance. The Fund’s overweight in higher quality speculative investments and underweight in lower quality credits modestly detracted from performance. The Fund maintained leverage at an average between 16% to 17% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing.

 

 

 

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


 

 

 

Fund Information

 

 

 

Symbol on NYSE

 

FRB

Initial Offering Date

 

July 30, 2004

Yield on Closing Market Price as of August 31, 2010 ($13.50) 1

 

6.67%

Current Monthly Distribution per Share 2

 

$0.075

Current Annualized Distribution per Share 2

 

$0.900

Leverage as of August 31, 2010 3

 

17%


 

 

1

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

 

2

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

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Change

 

High

 

Low

 

Market Price

 

$

13.50

 

$

15.01

 

 

(10.06

)%

$

15.63

 

$

12.80

 

Net Asset Value

 

$

13.27

 

$

13.16

 

 

0.84

%

$

13.52

 

$

13.03

 

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

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Floating Rate Loan Interests

 

76

%

 

73

%

 

Corporate Bonds

 

22

 

 

26

 

 

Other Interests

 

1

 

 

1

 

 

Common Stock

 

1

 

 

—

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations 4

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

BBB/Baa

 

6

%

 

6

%

 

BB/Ba

 

34

 

 

34

 

 

B

 

48

 

 

38

 

 

CCC/Caa

 

6

 

 

10

 

 

CC/Ca

 

1

 

 

1

 

 

D

 

—

 

 

2

 

 

Not Rated

 

5

 

 

9

 

 


 

 

4

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


 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

7



 

 

 

 

Fund Summary as of August 31, 2010

BlackRock Senior High Income Fund, Inc.


 

Fund Overview

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

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

 

Performance

For the six months ended August 31, 2010, the Fund returned 3.86% based on market price and 5.98% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 10.10% based on market price and 7.66% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Fund’s Lipper category competitors invest primarily in high yield bonds, whereas the Fund invests in both high yield bonds and bank loans. During the period, approximately 46% of the Fund was invested in bank loans, with 47% in high yield, and the remainder in common stock, convertibles and investment-grade bonds. The Fund’s allocation to bank loans detracted from relative performance during the period, as loans underperformed high yield. The Fund maintained relatively conservative positioning, with a focus on sectors that are less sensitive to the economy and the consumer. This positioning had a negative impact on performance in a generally improving market, although it proved beneficial during the market correction that occurred in the second quarter of 2010. The Fund continued to maintain relatively low levels of leverage (less than 15%), which detracted from performance versus competitors that maintained higher leverage, as would be expected in an advancing market. Contributing positively to performance were the Fund’s overweight position in the automobiles sector, investments in several distressed credits and special situations, and an underweight position in health care.

 

 

 

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

 

 

Fund Information


 

 

 

Symbol on NYSE

 

ARK

Initial Offering Date

 

April 30, 1993

Yield on Closing Market Price as of August 31, 2010 ($3.94) 1

 

7.61%

Current Monthly Distribution per Common Share 2

 

$0.025

Current Annualized Distribution per Common Share 2

 

$0.300

Leverage as of August 31, 2010 3

 

13%


 

 

 

 

1

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

 

 

 

 

2

The distribution is not constant and is subject to change.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 9.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/10

 

2/28/10

 

Change

 

High

 

Low

 

Market Price

 

$

3.94

 

$

3.94

 

 

0.00

%

$

4.48

 

$

3.59

 

Net Asset Value

 

$

3.99

 

$

3.91

 

 

2.05

%

$

4.09

 

$

3.87

 

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

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

8/31/10

 

2/28/10

Floating Rate Loan Interests

 

51

%

 

46

%

Corporate Bonds

 

46

 

 

52

 

Common Stocks

 

2

 

 

2

 

Other Interests

 

1

 

 

—

 

 

 

 

 

 

 

 

Credit Quality Allocations 4

 

 

 

 

 

 

 

8/31/10

 

2/28/10

BBB/Baa

 

7

%

 

5

%

BB/Ba

 

32

 

 

33

 

B

 

48

 

 

43

 

CCC/Caa

 

7

 

 

11

 

D

 

—

 

 

1

 

Not Rated

 

6

 

 

7

 


 

 

 

 

4

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


 

 

 

 

8

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

T he Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance the yield and NAV. However, these objectives cannot be achieved in all interest rate environments.

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

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

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

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates of 6%, the yield curve has a negative slope. In this case, the Fund pays interest expense on the higher short-term interest rates whereas the Fund’s total portfolio earns income based on lower long-term interest rates.

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

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

Under the Investment Company Act of 1940, the Funds are permitted to borrow through their credit facility up to 33 1 / 3 % of their total managed assets. As of August 31, 2010, the Funds had outstanding leverage from borrowings as a percentage of their total managed assets as follows:

 

 

 

 

 

 

 

Percent of
Leverage

 

COY

 

17

%

 

CYE

 

20

%

 

DSU

 

16

%

 

FRB

 

17

%

 

ARK

 

13

%

 


 

 

D erivative Financial Instruments

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

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

9



 

 

 

 

S chedule of Investments August 31, 2010 (Unaudited)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Building Products — 0.1%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

5,953

 

$

226,214

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

26,900

 

 

333,829

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (a)

 

 

1,425

 

 

71

 

Communications Equipment — 0.5%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

22,577

 

 

1,208,773

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

2,020

 

 

83,830

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc (a)

 

 

3,634

 

 

31,776

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

67,974

 

 

2,107

 

Household Durables — 0.2%

 

 

 

 

 

 

 

Beazer Homes USA, Inc. (a)

 

 

113,588

 

 

393,014

 

Machinery — 0.2%

 

 

 

 

 

 

 

Accuride Corp., Restricted Shares (a)

 

 

84,389

 

 

92,828

 

Navistar International Corp. (a)

 

 

8,700

 

 

364,356

 

 

 

 

 

 

 

 

 

 

 

 

 

457,184

 

Media — 0.4%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

15,186

 

 

516,324

 

Gannett Co., Inc.

 

 

39,500

 

 

477,555

 

 

 

 

 

 

 

 

 

 

 

 

 

993,879

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

36,744

 

 

86,144

 

Ainsworth Lumber Co. Ltd. (a)(b)

 

 

41,686

 

 

97,731

 

Western Forest Products, Inc. (a)

 

 

147,968

 

 

40,935

 

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

 

 

41,528

 

 

11,488

 

 

 

 

 

 

 

 

 

 

 

 

 

236,298

 

Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B (a)

 

 

352

 

 

3,640

 

Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (a)

 

 

83,184

 

 

415,922

 

Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

76,542

 

 

274,786

 

Total Common Stocks — 1.9%

 

 

 

 

 

4,661,323

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000 )

 

 

 

 

Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

USD

200

 

 

215,000

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

 

 

230

 

 

228,850

 

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

 

 

500

 

 

516,250

 

 

 

 

 

 

 

 

 

 

 

 

 

960,100

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 8/16/15

 

USD

695

 

$

695,000

 

Series 2, 12.38%, 8/16/15

 

 

695

 

 

695,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,390,000

 

Airlines — 2.9%

 

 

 

 

 

 

 

Air Canada (b):

 

 

 

 

 

 

 

9.25%, 8/01/15

 

 

970

 

 

950,600

 

12.00%, 2/01/16

 

 

260

 

 

243,100

 

American Airlines, Inc., 10.50%, 10/15/12 (b)

 

 

870

 

 

924,375

 

American Airlines Pass Through Trust, Series 2001-02,
7.86%, 4/01/13

 

 

390

 

 

408,135

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

540

 

 

534,600

 

Series 1997-4-B, 6.90%, 7/02/18

 

 

503

 

 

490,655

 

Series 2001-1-C, 7.03%, 12/15/12

 

 

224

 

 

222,395

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

926

 

 

972,807

 

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

 

 

1,982

 

 

2,210,376

 

 

 

 

 

 

 

 

 

 

 

 

 

6,957,043

 

Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

220

 

 

236,500

 

11.25%, 11/01/15 (c)

 

 

164

 

 

176,300

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

41

 

 

39,860

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

8.25%, 8/15/20

 

 

400

 

 

409,500

 

8.75%, 8/15/20

 

 

280

 

 

296,100

 

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

 

 

2,475

 

 

2,462,625

 

 

 

 

 

 

 

 

 

 

 

 

 

3,620,885

 

Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages USA, Inc., 8.13%, 9/01/18 (b)

 

 

245

 

 

252,044

 

Crown European Holdings SA, 7.13%, 8/15/18 (b)

 

EUR

225

 

 

292,259

 

 

 

 

 

 

 

 

 

 

 

 

 

544,303

 

Biotechnology — 0.3%

 

 

 

 

 

 

 

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

 

USD

582

 

 

593,916

 

Building Products — 1.5%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

710

 

 

752,600

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

490

 

 

476,525

 

7.00%, 2/15/20

 

 

570

 

 

567,150

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

695

 

 

678,494

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

1,130

 

 

1,163,900

 

 

 

 

 

 

 

 

 

 

 

 

 

3,638,669

 

Capital Markets — 0.5%

 

 

 

 

 

 

 

E*Trade Financial Corp., 3.43%, 8/31/19 (b)(d)(e)

 

 

226

 

 

271,200

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

 

904

 

 

334,480

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(c)

 

 

254

 

 

22,889

 

Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (b)(c)

 

 

266

 

 

23,928

 

Offshore Group Investments Ltd., 11.50%, 8/01/15 (b)

 

 

480

 

 

478,800

 

 

 

 

 

 

 

 

 

 

 

 

 

1,131,297

 


 

Portfolio Abbreviations

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

 

 

CAD

Canadian Dollar

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

PIK

Payment-In-Kind

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.

10

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 3.5%

 

 

 

 

 

 

 

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

 

USD

800

 

$

791,000

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

405

 

 

426,263

 

7.13%, 5/01/20

 

 

715

 

 

766,837

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

490

 

 

500,412

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

155

 

 

160,619

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

730

 

 

717,225

 

8.88%, 2/01/18

 

 

690

 

 

638,250

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

 

260

 

 

324,543

 

8.63%, 3/15/20

 

 

220

 

 

218,075

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

385

 

 

389,331

 

Innophos, Inc., 8.88%, 8/15/14

 

 

740

 

 

758,500

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

1,180

 

 

1,196,225

 

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

 

EUR

385

 

 

504,968

 

Wellman Holdings, Inc., Subordinate Note (d):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19 (b)

 

USD

790

 

 

687,300

 

(Third Lien), 5.00%, 1/29/19 (c)

 

 

259

 

 

101,015

 

 

 

 

 

 

 

 

 

 

 

 

 

8,180,563

 

Commercial Banks — 3.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

1,735

 

 

1,648,250

 

7.00%, 5/01/17

 

 

5,870

 

 

5,519,631

 

 

 

 

 

 

 

 

 

 

 

 

 

7,167,881

 

Commercial Services & Supplies — 1.1%

 

 

 

 

 

 

 

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

 

 

480

 

 

528,000

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

555

 

 

604,950

 

Scientific Games International, Inc., 9.25%,
6/15/19

 

 

215

 

 

227,900

 

West Corp., 11.00%, 10/15/16

 

 

1,170

 

 

1,228,500

 

 

 

 

 

 

 

 

 

 

 

 

 

2,589,350

 

Construction Materials — 0.9%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

2,029

 

 

2,138,035

 

Consumer Finance — 1.0%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

640

 

 

663,200

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (f)

 

 

195

 

 

191,100

 

7.80%, 6/01/12

 

 

200

 

 

210,468

 

8.00%, 12/15/16

 

 

170

 

 

184,609

 

6.63%, 8/15/17

 

 

1,150

 

 

1,168,828

 

 

 

 

 

 

 

 

 

 

 

 

 

2,418,205

 

Containers & Packaging — 3.2%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

475

 

 

499,938

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

755

 

 

719,137

 

8.25%, 11/15/15

 

 

125

 

 

125,313

 

9.50%, 5/15/18 (b)

 

 

395

 

 

363,400

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

2,305

 

 

2,195,512

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

810

 

 

862,650

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(f)

 

 

390

 

 

368,550

 

Owens-Brockway Glass Container, Inc., 6.75%,
12/01/14

 

EUR

152

 

 

194,548

 

Pregis Corp., 12.38%, 10/15/13

 

USD

1,130

 

 

1,130,000

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

465

 

 

601,057

 

7.75%, 11/15/19

 

 

440

 

 

571,530

 

 

 

 

 

 

 

 

 

 

 

 

 

7,631,635

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

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

 

USD

2,800

 

$

2,898,000

 

Diversified Financial Services — 6.7%

 

 

 

 

 

 

 

Ally Financial Inc. (b):

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

1,970

 

 

2,048,800

 

7.50%, 9/15/20

 

 

1,760

 

 

1,742,400

 

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

 

 

935

 

 

936,169

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

 

1,150

 

 

1,785,742

 

7.13%, 1/16/12

 

 

1,450

 

 

1,901,826

 

7.13%, 1/15/13

 

 

550

 

 

721,382

 

GMAC, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

350

 

 

357,437

 

2.74%, 12/01/14 (f)

 

 

371

 

 

318,959

 

8.00%, 3/15/20 (b)

 

 

2,300

 

 

2,357,500

 

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

 

 

1,120

 

 

1,192,800

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

1,340

 

 

1,350,050

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

 

350

 

 

450,186

 

8.50%, 5/15/18

 

 

710

 

 

681,600

 

 

 

 

 

 

 

 

 

 

 

 

 

15,844,851

 

Diversified Telecommunication Services — 4.5%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

980,000

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

550

 

 

580,250

 

8.25%, 4/15/17

 

 

700

 

 

740,250

 

8.50%, 4/15/20

 

 

325

 

 

344,906

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,100

 

 

1,155,000

 

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

 

 

500

 

 

492,500

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

200

 

 

210,000

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,890

 

 

1,925,437

 

8.00%, 10/01/15 (b)

 

 

500

 

 

537,500

 

Series B, 7.50%, 2/15/14

 

 

1,385

 

 

1,410,969

 

Qwest Corp.:

 

 

 

 

 

 

 

7.63%, 6/15/15

 

 

500

 

 

561,250

 

8.38%, 5/01/16

 

 

650

 

 

757,250

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

400

 

 

426,500

 

7.88%, 11/01/17

 

 

600

 

 

609,000

 

 

 

 

 

 

 

 

 

 

 

 

 

10,730,812

 

Energy Equipment & Services — 1.9%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

1,210

 

 

1,197,900

 

7.75%, 5/15/17

 

 

300

 

 

297,750

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

1,715

 

 

1,603,525

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

285

 

 

282,150

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

625

 

 

675,000

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

500

 

 

512,500

 

 

 

 

 

 

 

 

 

 

 

 

 

4,568,825

 

Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

750

 

 

735,000

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

380

 

 

403,750

 

10.25%, 10/15/19

 

 

580

 

 

595,950

 

8.00%, 8/15/20 (b)

 

 

480

 

 

477,000

 

 

 

 

 

 

 

 

 

 

 

 

 

2,211,700

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

11



 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

USD

200

 

$

205,750

 

Reddy Ice Corp., 11.25%, 3/15/15 (b)

 

 

410

 

 

415,638

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

440

 

 

491,150

 

TreeHouse Foods, Inc., 7.75%, 3/01/18

 

 

150

 

 

158,625

 

 

 

 

 

 

 

 

 

 

 

 

 

1,271,163

 

Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

2,255

 

 

2,415,669

 

Hologic, Inc., 2.00%, 12/15/37 (d)(g)

 

 

910

 

 

822,412

 

 

 

 

 

 

 

 

 

 

 

 

 

3,238,081

 

Health Care Providers & Services — 4.9%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

260

 

 

260,000

 

Gentiva Health Services, Inc., 11.50%, 9/01/18 (b)

 

 

655

 

 

677,925

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

1,645

 

 

1,727,250

 

8.50%, 4/15/19

 

 

935

 

 

1,024,994

 

7.25%, 9/15/20

 

 

2,145

 

 

2,241,525

 

inVentiv Health Inc., 10.00%, 8/15/18 (b)

 

 

600

 

 

586,500

 

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

 

 

465

 

 

465,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,717

 

 

1,828,605

 

10.00%, 5/01/18

 

 

622

 

 

699,750

 

8.88%, 7/01/19

 

 

2,010

 

 

2,173,312

 

 

 

 

 

 

 

 

 

 

 

 

 

11,684,861

 

Health Care Technology — 1.1%

 

 

 

 

 

 

 

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

 

 

2,235

 

 

2,589,806

 

Hotels, Restaurants & Leisure — 2.3%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,100

 

 

1,039,500

 

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

 

GBP

388

 

 

491,129

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

USD

615

 

 

658,050

 

Inn of the Mountain Gods Resort & Casino, 12.00%,
11/15/10 (a)(h)

 

 

1,425

 

 

623,437

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,
2/15/14 (a)(b)(h)

 

 

1,175

 

 

396,563

 

MGM Mirage, 13.00%, 11/15/13

 

 

90

 

 

103,950

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

235

 

 

256,150

 

11.13%, 11/15/17

 

 

780

 

 

871,650

 

Marina District Finance Co., Inc., 9.88%, 8/15/18 (b)

 

 

340

 

 

339,150

 

Travelport LLC:

 

 

 

 

 

 

 

5.16%, 9/01/14 (f)

 

 

145

 

 

134,488

 

9.88%, 9/01/14

 

 

190

 

 

194,275

 

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

 

 

315

 

 

230

 

Virgin River Casino Corp., 9.00%, 1/15/12 (a)(h)

 

 

805

 

 

362,250

 

 

 

 

 

 

 

 

 

 

 

 

 

5,470,822

 

Household Durables — 3.6%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

170

 

 

147,050

 

8.13%, 6/15/16

 

 

295

 

 

258,125

 

12.00%, 10/15/17

 

 

1,425

 

 

1,604,906

 

9.13%, 6/15/18

 

 

1,620

 

 

1,433,700

 

DFS Furniture Holdings Plc, 9.75%, 7/15/17 (b)

 

GBP

193

 

 

277,494

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

USD

1,620

 

 

1,571,400

 

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

 

 

625

 

 

585,938

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Household Durables (concluded)

 

 

 

 

 

 

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

USD

125

 

$

128,281

 

6.25%, 4/01/14

 

 

485

 

 

452,263

 

7.00%, 8/15/15

 

 

325

 

 

299,000

 

10.75%, 9/15/16

 

 

1,285

 

 

1,352,462

 

8.38%, 5/15/18

 

 

535

 

 

514,938

 

 

 

 

 

 

 

 

 

 

 

 

 

8,625,557

 

Independent Power Producers & Energy Traders — 2.9%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

 

587

 

 

596,539

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,190

 

 

1,249,500

 

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

 

 

3,115

 

 

2,999,754

 

Energy Future Intermediate Holding Co. LLC, 10.00%,
12/01/20

 

 

161

 

 

154,718

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

1,215

 

 

1,239,300

 

7.38%, 2/01/16

 

 

250

 

 

251,875

 

7.38%, 1/15/17

 

 

385

 

 

387,888

 

 

 

 

 

 

 

 

 

 

 

 

 

6,879,574

 

Industrial Conglomerates — 2.6%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,190

 

 

2,255,700

 

13.50%, 12/01/15 (c)

 

 

3,759

 

 

3,909,102

 

 

 

 

 

 

 

 

 

 

 

 

 

6,164,802

 

Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,642,000

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(f)

 

 

630

 

 

533,925

 

 

 

 

 

 

 

 

 

 

 

 

 

2,175,925

 

Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

540

 

 

537,975

 

Machinery — 1.8%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

900

 

 

765,000

 

Accuride Corp., 7.50%, 2/26/20 (c)(d)

 

 

9

 

 

22,842

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

1,750

 

 

1,909,687

 

8.25%, 11/01/21

 

 

1,000

 

 

1,047,500

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

130

 

 

136,825

 

Titan International, Inc., 5.63%, 1/15/17 (b)(d)

 

 

220

 

 

261,800

 

 

 

 

 

 

 

 

 

 

 

 

 

4,143,654

 

Marine — 0.7%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (d)

 

 

1,985

 

 

1,667,400

 

Media — 12.8%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

2,235

 

 

2,290,875

 

10.13%, 10/15/13

 

 

715

 

 

731,087

 

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

 

 

502

 

 

595,301

 

CCO Holdings LLC (b):

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

430

 

 

445,050

 

8.13%, 4/30/20

 

 

430

 

 

452,575

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(f)

 

 

150

 

 

3,000

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

370

 

 

404,225

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)

 

 

555

 

 

593,850

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

779

 

 

808,212

 

Series B, 9.25%, 12/15/17

 

 

3,945

 

 

4,137,319

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

605

 

 

605,266

 

Loan Close 3, 8/15/18

 

 

700

 

 

700,000

 

Shares Loan, 4.00%, 8/15/18

 

 

714

 

 

713,688

 


 

 

 

 

See Notes to Financial Statements.

12

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

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

 

USD

90

 

$

93,713

 

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

 

 

420

 

 

404,250

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

330

 

 

277,200

 

9.50%, 5/15/15

 

 

390

 

 

371,475

 

Intelsat Corp., 9.25%, 6/15/16

 

 

2,090

 

 

2,215,400

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

945

 

 

980,437

 

Liberty Global, Inc., 4.50%, 11/15/16 (b)(d)

 

 

440

 

 

539,000

 

Liberty Media Corp., 3.13%, 3/30/23 (d)

 

 

1,023

 

 

1,112,512

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

519

 

 

388,045

 

8.00%, 4/30/14 (b)

 

 

53

 

 

39,627

 

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

 

USD

600

 

 

579,000

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

1,285

 

 

1,326,762

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

70

 

 

78,488

 

10.00%, 8/01/14

 

 

2,085

 

 

2,189,250

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(h)

 

 

812

 

 

771,181

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

410

 

 

410,513

 

10.38%, 9/01/14

 

 

1,496

 

 

1,552,100

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

305

 

 

312,625

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

125

 

 

147,318

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

USD

1,120

 

 

1,069,600

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

EUR

640

 

 

657,600

 

8.13%, 12/01/17

 

 

407

 

 

526,086

 

9.63%, 12/01/19

 

 

530

 

 

703,546

 

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

 

USD

500

 

 

520,625

 

Unitymedia GmbH, 9.63%, 12/01/19

 

EUR

158

 

 

209,736

 

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

 

 

343

 

 

441,187

 

 

 

 

 

 

 

 

 

 

 

 

 

30,397,724

 

Metals & Mining — 4.1%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

USD

20

 

 

20,150

 

Aleris International, Inc. (a)(h):

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

950

 

 

1,900

 

10.00%, 12/15/16

 

 

800

 

 

304

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

800

 

 

837,000

 

7.38%, 2/15/16

 

 

215

 

 

215,269

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

500

 

 

550,625

 

10.63%, 9/01/16

 

 

1,100

 

 

1,274,625

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

1,850

 

 

1,854,625

 

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

 

 

615

 

 

747,994

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

565

 

 

498,612

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

490

 

 

501,025

 

New World Resources NV:

 

 

 

 

 

 

 

7.38%, 5/15/15

 

 

245

 

 

304,267

 

7.88%, 5/01/18

 

 

190

 

 

243,185

 

7.88%, 5/01/18 (b)

 

 

192

 

 

245,745

 

Novelis, Inc., 11.50%, 2/15/15

 

 

405

 

 

445,500

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.84%, 11/01/14 (f)

 

 

380

 

 

352,450

 

12.00%, 11/01/15

 

 

245

 

 

252,044

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

250

 

 

265,625

 

United States Steel Corp., 7.38%, 4/01/20

 

 

480

 

 

486,000

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

600

 

 

630,000

 

 

 

 

 

 

 

 

 

 

 

 

 

9,726,945

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Multiline Retail — 2.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

USD

1,285

 

$

1,410,288

 

11.88%, 7/15/17 (c)

 

 

4,007

 

 

4,608,050

 

 

 

 

 

 

 

 

 

 

 

 

 

6,018,338

 

Oil, Gas & Consumable Fuels — 8.3%

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

55

 

 

59,538

 

7.25%, 10/01/20

 

 

790

 

 

801,850

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

450

 

 

516,938

 

10.75%, 2/01/18

 

 

240

 

 

264,600

 

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

 

 

470

 

 

474,700

 

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

 

 

40

 

 

43,400

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

2,170

 

 

2,178,137

 

2.25%, 12/15/38 (d)

 

 

775

 

 

580,281

 

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

 

 

270

 

 

277,425

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

165

 

 

179,025

 

10.25%, 12/15/15

 

 

1,075

 

 

1,075,000

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

1,825

 

 

1,936,781

 

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

 

 

375

 

 

387,188

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

652

 

 

696,010

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

1,005

 

 

1,060,275

 

Massey Energy Co., 6.88%, 12/15/13

 

 

865

 

 

875,812

 

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

 

 

1,730

 

 

1,820,825

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

1,615

 

 

1,619,037

 

9.75%, 8/15/13

 

 

900

 

 

888,750

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

380

 

 

377,150

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

1,000

 

 

1,051,250

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

530

 

 

592,275

 

7.88%, 6/01/15

 

 

450

 

 

466,875

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

430

 

 

448,275

 

Range Resources Corp., 8.00%, 5/15/19

 

 

400

 

 

428,000

 

Teekay Corp., 8.50%, 1/15/20

 

 

610

 

 

651,175

 

 

 

 

 

 

 

 

 

 

 

 

 

19,750,572

 

Paper & Forest Products — 2.6%

 

 

 

 

 

 

 

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

 

 

337

 

 

287,866

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

310

 

 

326,275

 

8.00%, 4/01/20

 

 

140

 

 

142,450

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

370

 

 

416,250

 

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

 

 

1,525

 

 

1,669,875

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

190

 

 

191,187

 

NewPage Corp., 11.38%, 12/31/14

 

 

2,930

 

 

2,380,625

 

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

 

 

785

 

 

828,175

 

 

 

 

 

 

 

 

 

 

 

 

 

6,242,703

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (f)

 

 

995

 

 

803,463

 

Elan Finance Plc, 8.88%, 12/01/13

 

 

90

 

 

90,675

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

580

 

 

617,404

 

 

 

 

 

 

 

 

 

 

 

 

 

1,511,542

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

USD

1,500

 

 

1,374,375

 

Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

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

 

 

1,325

 

 

1,209,063

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

13



 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

USD

475

 

$

496,375

 

Hertz Holdings Netherlands BV, 8.50%, 7/31/15 (b)

 

EUR

660

 

 

869,841

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

 

USD

750

 

 

733,125

 

 

 

 

 

 

 

 

 

 

 

 

 

2,099,341

 

Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.:

 

 

 

 

 

 

 

6.00%, 5/01/15 (d)

 

 

129

 

 

126,259

 

7.75%, 8/01/20 (b)

 

 

265

 

 

262,350

 

 

 

 

 

 

 

 

 

 

 

 

 

388,609

 

Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(c)(f)

 

 

445

 

 

8,906

 

Specialty Retail — 1.6%

 

 

 

 

 

 

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(g)

 

 

985

 

 

749,831

 

Hillman Group, Inc., 10.88%, 6/01/18 (b)

 

 

490

 

 

515,725

 

Ltd. Brands, Inc., 8.50%, 6/15/19

 

 

745

 

 

841,850

 

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

 

 

345

 

 

351,038

 

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

 

 

390

 

 

393,900

 

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

 

 

950

 

 

907,250

 

 

 

 

 

 

 

 

 

 

 

 

 

3,759,594

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

470

 

 

434,750

 

Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

300

 

 

305,625

 

Wireless Telecommunication Services — 5.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

1,795

 

 

1,880,262

 

7.75%, 5/15/16

 

 

336

 

 

346,920

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

635

 

 

639,763

 

9.13%, 1/15/15 (c)

 

 

1,711

 

 

1,719,185

 

8.25%, 9/01/17

 

 

850

 

 

882,937

 

10.50%, 4/15/18

 

 

500

 

 

536,250

 

FiberTower Corp., 9.00%, 1/01/16 (c)

 

 

293

 

 

249,069

 

iPCS, Inc., 2.59%, 5/01/13 (f)

 

 

760

 

 

710,600

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

2,365

 

 

2,459,600

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

1,110

 

 

1,107,225

 

Series F, 5.95%, 3/15/14

 

 

100

 

 

96,625

 

Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)

 

 

265

 

 

251,750

 

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

 

 

1,720

 

 

1,436,200

 

 

 

 

 

 

 

 

 

 

 

 

 

12,316,386

 

Total Corporate Bonds — 98.9%

 

 

 

 

 

235,210,163

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 

Auto Components — 1.0%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Term Loan, 8.51%,
3/01/12 (c)

 

 

455

 

 

436,988

 

Allison Transmission, Inc., Term Loan, 3.04%, 8/07/14

 

 

2,164

 

 

1,994,156

 

 

 

 

 

 

 

 

 

 

 

 

 

2,431,144

 

Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan, 3.03%,
12/15/13

 

 

3,243

 

 

3,119,476

 

Building Products — 1.2%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.54%, 2/28/11

 

 

2,940

 

 

2,939,698

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan,
5.31% – 5.56%, 12/15/14

 

USD

377

 

$

261,513

 

Chemicals — 0.2%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan
(First Lien), 3.52% – 3.73%, 7/30/14

 

 

406

 

 

371,090

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Tranche Loan, 15.63%,
12/14/17

 

 

1,750

 

 

1,750,000

 

Diversified Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.89%, 12/17/14

 

EUR

3,350

 

 

4,236,667

 

Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

USD

500

 

 

490,000

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

436

 

 

427,280

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term
Loan B, 6.50%, 7/31/16

 

 

900

 

 

898,312

 

 

 

 

 

 

 

 

 

 

 

 

 

1,815,592

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.37%,
3/27/12 (c)

 

 

3,121

 

 

2,902,582

 

IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

47

 

 

39,964

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

380

 

 

323,556

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

743

 

 

633,782

 

 

 

 

 

 

 

 

 

 

 

 

 

997,302

 

Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

205

 

 

155,503

 

Initial Tranche B-2 Term Loan, 3.79% – 4.07%,
10/10/14

 

 

296

 

 

224,518

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

2,558

 

 

1,928,166

 

 

 

 

 

 

 

 

 

 

 

 

 

2,308,187

 

Media — 1.6%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

1,470

 

 

1,465,100

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
5.79%, 6/12/14 (c)

 

 

883

 

 

804,193

 

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

 

 

1,375

 

 

1,459,219

 

 

 

 

 

 

 

 

 

 

 

 

 

3,728,512

 

Multiline Retail — 0.6%

 

 

 

 

 

 

 

Hema Holding BV, Mezzanine, 9.15%, 1/29/17 (c)

 

EUR

1,043

 

 

1,216,042

 

The Neiman Marcus Group, Inc., Term Loan,
2.30%, 4/06/13

 

USD

225

 

 

213,631

 

 

 

 

 

 

 

 

 

 

 

 

 

1,429,673

 

Oil, Gas & Consumable Fuels — 1.3%

 

 

 

 

 

 

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

1,104

 

 

1,112,496

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

296

 

 

298,879

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (c)

 

 

2,216

 

 

1,756,268

 

 

 

 

 

 

 

 

 

 

 

 

 

3,167,643

 


 

 

 

 

See Notes to Financial Statements.

14

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, PIK Loan,
6.69% – 7.44%, 2/01/13 (c)

 

USD

1,240

 

$

743,985

 

Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.30% – 3.53%, 10/10/13

 

 

373

 

 

322,075

 

Synthetic Letter of Credit, 0.11%, 10/10/13

 

 

75

 

 

64,760

 

Second Lien Term Facility, 13.50%, 10/15/17

 

 

925

 

 

975,875

 

 

 

 

 

 

 

 

 

 

 

 

 

1,362,710

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.01% – 3.23%,
5/29/14

 

 

133

 

 

113,398

 

Michaels Stores, Inc., Term Loan B-1, 2.63% – 2.81%,
10/31/13

 

 

331

 

 

312,138

 

 

 

 

 

 

 

 

 

 

 

 

 

425,536

 

Total Floating Rate Loan Interests — 14.3%

 

 

 

 

 

33,991,310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 1.9%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP
Class B Membership Interests

 

 

— (j)

 

 

4,553,557

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

700

 

 

70

 

Adelphia Recovery Trust

 

 

878

 

 

3,512

 

 

 

 

 

 

 

 

 

 

 

 

 

3,582

 

Total Other Interests — 1.9%

 

 

 

 

 

4,557,139

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

Ally Financial Inc., 7.00% (b)

 

 

2,674

 

 

2,208,808

 

Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 7.50% (d)

 

 

5,000

 

 

99,050

 

Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (a)(b)(f)

 

 

34,982

 

 

—

 

Total Preferred Stocks — 1.0%

 

 

 

 

 

2,307,858

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (k)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

29,930

 

 

1

 

Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

39,975

 

 

—

 

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

 

 

14,965

 

 

150

 

 

 

 

 

 

 

 

 

 

 

 

 

150

 

Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

1

 

 

—

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

9,997

 

 

—

 

Total Warrants — 0.0%

 

 

151

 

 

 

 

Total Long-Term Investments
(Cost — $285,578,895) — 118.0%

 

 

 

 

 

280,727,944

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BlackRock Liquidity Funds, TempCash,
Institutional Class, 0.27% (l)(m)

 

 

322,368

 

$

322,368

 

Total Short-Term Securities
(Cost — $322,368) — 0.1%

 

 

 

 

 

322,368

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, expires 12/21/19, Broker
Goldman Sachs Bank USA

 

 

17

 

 

—

 

Total Options Purchased
(Cost — $16,622) — 0.0%

 

 

 

 

 

—

 

Total Investments (Cost — $285,917,885*) — 118.1%

 

 

 

 

 

281,050,312

 

Liabilities in Excess of Other Assets — (18.1)%

 

 

 

 

 

(43,199,176

)

 

 

 

 

 

 

Net Assets — 100.0%

 

 

 

 

$

237,851,136

 

 

 

 

 

 

 


 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

Aggregate cost

 

$

287,104,524

 

 

 

 

 

 

Gross unrealized appreciation

 

$

13,346,589

 

 

Gross unrealized depreciation

 

 

(19,400,801

)

 

 

 

 

 

Net unrealized depreciation

 

$

(6,054,212

)

 

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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.

 

 

(h)

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

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

Amount is less than $1,000.

 

 

(k)

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.

 

 

(l)

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


 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

4,931,674

 

(4,609,306

)

322,368

 

$

2,350


 

 

(m)

Represents the current yield as of report date.


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

15



 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

•

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

EUR

763,800

 

USD

980,728

 

Citibank NA

 

9/15/10

 

$

(12,823

)

USD

16,539,551

 

EUR

13,056,000

 

Citibank NA

 

9/15/10

 

 

(5,315

)

USD

489,452

 

EUR

385,000

 

Deutsche Bank AG

 

9/15/10

 

 

1,571

 

USD

179,941

 

CAD

190,000

 

Deutsche Bank AG

 

10/20/10

 

 

1,906

 

GBP

114,000

 

USD

177,834

 

UBS AG

 

10/20/10

 

 

(3,059

)

USD

2,115,757

 

GBP

1,386,000

 

Citibank NA

 

10/20/10

 

 

(9,141

)

USD

293,808

 

GBP

192,500

 

Deutsche Bank AG

 

10/20/10

 

 

(1,317

)

USD

178,806

 

GBP

116,000

 

Royal Bank of
Scotland Plc

 

10/20/10

 

 

964

 

Total

 

 

 

 

 

 

 

 

$

(27,214

)

 

 

 

 

 

 

 

 

 

 


 

 

•

Financial futures contracts sold as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 

26

 

S&P 500
Index

 

Chicago
Mercantile

 

September
2010

 

$

6,922,729

 

$

108,779

 


 

 

•

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

iStar Financial, Inc.

 

5.00%

 

Morgan
Stanley Capital
Services, Inc.

 

September
2011

 

$

1,500

 

$

35,889

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2011

 

$

475

 

 

28,246

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2013

 

$

925

 

 

155,858

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Louisiana-
Pacific Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2014

 

$

500

 

 

(106,314

)

Total

 

 

 

 

 

 

 

 

 

 

$

113,679

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

•

Credit default swaps on single-name issuers — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating 1

 

Notional
Amount
(000) 2

 

Unrealized
Appreciation
(Depreciation)

 

Texas Competitive
Electric Holdings
Co. LLC

 

5.00%

 

Goldman Sachs
International

 

September
2012

 

CCC

 

$

475

 

$

(42,756

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

Credit Suisse
International

 

March 2015

 

C

 

$

100

 

 

699

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

C

 

$

450

 

 

(15,573

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Advanced
Micro Devices,
Inc.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

B+

 

$

550

 

 

(6,161

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Levi
Strauss & Co.

 

5.00%

 

Citibank NA

 

June 2015

 

B+

 

$

360

 

 

221

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NOVA
Chemicals Corp.

 

5.00%

 

Goldman Sachs
International

 

June 2015

 

B+

 

$

350

 

 

(6,416

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Levi
Strauss & Co.

 

5.00%

 

Goldman Sachs
International

 

September
2015

 

B+

 

$

500

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

September
2015

 

C

 

$

125

 

 

(450

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(70,436

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

1

Using Standard & Poor’s rating of the issuer.

 

 

 

 

 

 

2

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

 

 

 

 

•

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. This definition 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 derivatives, which are as follows:

 

 

 

 

 

•

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

 

 

 

 

 

•

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

 

 

 

 

 

•

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

 

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

 

See Notes to Financial Statements.

16

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

The following tables summarize the inputs used as of August 31, 2010 in determining the fair valuation of the Fund’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

4,022,995

 

$

222,335

 

$

415,993

 

$

4,661,323

 

Corporate Bonds

 

 

—

 

 

230,198,853

 

 

5,011,310

 

 

235,210,163

 

Floating Rate Loan Interests

 

 

—

 

 

22,125,725

 

 

11,865,585

 

 

33,991,310

 

Other Interests

 

 

—

 

 

4,553,557

 

 

3,582

 

 

4,557,139

 

Preferred Stocks

 

 

2,307,858

 

 

—

 

 

—

 

 

2,307,858

 

Warrants

 

 

—

 

 

—

 

 

151

 

 

151

 

Short-Term Securities

 

 

322,368

 

 

—

 

 

—

 

 

322,368

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

—

 

 

(21,252

)

 

(21,252

)

 

 

Total

 

$

6,653,221

 

$

257,100,470

 

$

17,275,369

 

$

281,029,060

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments 1

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

220,913

 

 

—

 

$

220,913

 

Equity contracts

 

$

108,779

 

 

—

 

 

—

 

 

108,779

 

Foreign currency exchange contracts

 

 

—

 

 

4,441

 

 

—

 

 

4,441

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(177,670

)

 

—

 

 

(177,670

)

Foreign currency exchange contracts

 

 

—

 

 

(31,655

)

 

—

 

 

(31,655

)

 

 

Total

 

$

108,779

 

$

16,029

 

 

—

 

$

124,808

 

 

 


 

 

 

 

1

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

 

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Warrants

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

75,096

 

$

3,961,360

 

$

19,218,811

 

$

4,212,670

 

$

150

 

$

(51,643

)

$

27,416,444

 

Accrued discounts/premiums

 

 

—

 

 

12,626

 

 

79,364

 

 

—

 

 

—

 

 

—

 

 

91,990

 

Net realized gain (loss)

 

 

—

 

 

5,192

 

 

215,474

 

 

311,075

 

 

22,463

 

 

—

 

 

554,204

 

Net change in unrealized appreciation/depreciation 2

 

 

8,805

 

 

(138,594

)

 

852,238

 

 

323,519

 

 

1

 

 

30,391

 

 

1,076,360

 

Purchases

 

 

—

 

 

34,239

 

 

8,418,054

 

 

319,000

 

 

—

 

 

—

 

 

8,771,293

 

Sales

 

 

—

 

 

—

 

 

(13,176,786

)

 

(609,125

)

 

(22,463

)

 

—

 

 

(13,808,374

)

Transfers in 3

 

 

415,922

 

 

1,390,000

 

 

917,280

 

 

—

 

 

—

 

 

—

 

 

2,723,202

 

Transfers out 3

 

 

(83,830

)

 

(253,513

)

 

(4,658,850

)

 

(4,553,557

)

 

—

 

 

—

 

 

(9,549,750

)

 

 

Balance, as of August 31, 2010

 

$

415,993

 

$

5,011,310

 

$

11,865,585

 

$

3,582

 

$

151

 

$

(21,252

)

$

17,275,369

 

 

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $249,870.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

17



 

 

 

 

Schedule of Investments August 31, 2010 (Unaudited)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Building Products — 0.1%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

5,365

 

$

203,870

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

29,600

 

 

367,336

 

Chemicals — 0.2%

 

 

 

 

 

 

 

LyondellBasell Industries NV, Class A (a)

 

 

6,388

 

 

130,954

 

LyondellBasell Industries NV, Class B (a)

 

 

18,485

 

 

378,758

 

Wellman Holdings, Inc. (a)

 

 

1,522

 

 

76

 

 

 

 

 

 

 

 

 

 

 

 

 

509,788

 

Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

Air Lease Corp. (a)(b)

 

 

12,900

 

 

258,000

 

Communications Equipment — 0.5%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

25,022

 

 

1,339,678

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

2,145

 

 

89,017

 

Diversified Financial Services — 0.0%

 

 

 

 

 

 

 

Citigroup, Inc. (a)

 

 

1

 

 

4

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

70,784

 

 

2,194

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,099

 

 

4,616

 

Household Durables — 0.2%

 

 

 

 

 

 

 

Beazer Homes USA, Inc. (a)

 

 

153,500

 

 

531,110

 

Machinery — 0.2%

 

 

 

 

 

 

 

Accuride Corp., Restricted Shares (a)

 

 

90,983

 

 

100,081

 

Navistar International Corp. (a)

 

 

9,400

 

 

393,672

 

 

 

 

 

 

 

 

 

 

 

 

 

493,753

 

Media — 0.7%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

16,555

 

 

562,870

 

Gannett Co., Inc.

 

 

44,700

 

 

540,423

 

Gray Television, Inc. (a)

 

 

162,000

 

 

299,700

 

Sinclair Broadcast Group, Inc., Class A (a)

 

 

50,000

 

 

299,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,701,993

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

122,117

 

 

286,297

 

Ainsworth Lumber Co. Ltd. (a)(b)

 

 

140,415

 

 

329,195

 

Western Forest Products, Inc. (a)

 

 

158,023

 

 

43,716

 

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

 

 

45,762

 

 

12,660

 

 

 

 

 

 

 

 

 

 

 

 

 

671,868

 

 

 

 

 

 

 

 

 

Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B (a)

 

 

778

 

 

8,044

 

Software — 0.3%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (a)

 

 

90,514

 

 

452,570

 

TiVo, Inc. (a)

 

 

26,525

 

 

208,487

 

 

 

 

 

 

 

 

 

 

 

 

 

661,057

 

Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

76,542

 

 

274,786

 

Total Common Stocks — 2.8%

 

 

 

 

 

7,117,114

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

USD

200

 

$

215,000

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

 

 

230

 

 

228,850

 

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

 

 

540

 

 

557,550

 

 

 

 

 

 

 

 

 

 

 

 

 

1,001,400

 

Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 8/16/15

 

 

755

 

 

755,000

 

Series 2, 12.38%, 8/16/15

 

 

755

 

 

755,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,510,000

 

Airlines — 2.9%

 

 

 

 

 

 

 

Air Canada (b):

 

 

 

 

 

 

 

9.25%, 8/01/15

 

 

1,060

 

 

1,038,800

 

12.00%, 2/01/16

 

 

280

 

 

261,800

 

American Airlines, Inc., 10.50%, 10/15/12 (b)

 

 

940

 

 

998,750

 

American Airlines Pass Through Trust, Series
2001-02, 7.86%, 4/01/13

 

 

400

 

 

418,600

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

630

 

 

623,700

 

Series 1997-4-B, 6.90%, 7/02/18 (c)

 

 

522

 

 

508,827

 

Series 2001-1-C, 7.03%, 12/15/12

 

 

250

 

 

249,236

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

1,045

 

 

1,097,526

 

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

 

 

2,082

 

 

2,320,895

 

 

 

 

 

 

 

 

 

 

 

 

 

7,518,134

 

Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

230

 

 

247,250

 

11.25%, 11/01/15 (d)

 

 

177

 

 

190,275

 

Delphi International Holdings Unsecured,
12.00%, 10/06/14

 

 

91

 

 

89,282

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

8.25%, 8/15/20

 

 

440

 

 

450,450

 

8.75%, 8/15/20

 

 

250

 

 

264,375

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

4.00%, 8/15/13 (b)(e)(f)

 

 

255

 

 

232,050

 

8.00%, 1/15/18

 

 

2,470

 

 

2,457,650

 

 

 

 

 

 

 

 

 

 

 

 

 

3,931,332

 

Beverages — 0.1%

 

 

 

 

 

 

 

Cott Beverages USA, Inc., 8.13%, 9/01/18 (b)

 

 

264

 

 

271,590

 

Crown European Holdings SA, 7.13%, 8/15/18 (b)

 

EUR

245

 

 

318,238

 

 

 

 

 

 

 

 

 

 

 

 

 

589,828

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

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

 

USD

591

 

 

602,400

 

Building Products — 1.5%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

770

 

 

816,200

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

530

 

 

515,425

 

7.00%, 2/15/20

 

 

620

 

 

616,900

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

735

 

 

717,544

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

1,180

 

 

1,215,400

 

 

 

 

 

 

 

 

 

 

 

 

 

3,881,469

 

Capital Markets — 0.7%

 

 

 

 

 

 

 

E*Trade Financial Corp. (e)(g):

 

 

 

 

 

 

 

3.39%, 8/31/19 (b)

 

 

244

 

 

292,800

 

Series A, 3.64%, 8/31/19

 

 

7

 

 

8,400

 

MU Finance Plc, 8.75%, 2/01/17 (b)

 

GBP

422

 

 

621,312

 


 

 

 

 

See Notes to Financial Statements.

 

 

18

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Capital Markets (concluded)

 

 

 

 

 

 

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

USD

963

 

$

356,310

 

Marsico Parent Holdco, LLC, 12.50%,
7/15/16 (b)(d)

 

 

272

 

 

24,452

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (b)(d)

 

 

289

 

 

26,008

 

Offshore Group Investments Ltd., 11.50%,
8/01/15 (b)

 

 

520

 

 

518,700

 

 

 

 

 

 

 

 

 

 

 

 

 

1,847,982

 

Chemicals — 3.5%

 

 

 

 

 

 

 

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

 

 

880

 

 

870,100

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

440

 

 

463,100

 

7.13%, 5/01/20

 

 

780

 

 

836,550

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

530

 

 

541,262

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

165

 

 

170,981

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

790

 

 

776,175

 

8.88%, 2/01/18

 

 

765

 

 

707,625

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

 

280

 

 

349,508

 

8.63%, 3/15/20

 

 

235

 

 

232,944

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

420

 

 

424,725

 

Innophos, Inc., 8.88%, 8/15/14

 

 

825

 

 

845,625

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

1,260

 

 

1,277,325

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

555

 

 

585,525

 

Wellman Holdings, Inc., Subordinate Note (e):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19 (b)

 

 

844

 

 

734,280

 

(Third Lien), 5.00%, 1/29/19 (d)

 

 

276

 

 

107,749

 

 

 

 

 

 

 

 

 

 

 

 

 

8,923,474

 

Commercial Banks — 3.1%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

3,076

 

 

2,922,662

 

7.00%, 5/01/17

 

 

5,170

 

 

4,861,488

 

Glitnir Banki HF (a)(h):

 

 

 

 

 

 

 

4.15%, 4/20/10 (b)

 

 

111

 

 

31,635

 

6.38%, 9/25/12 (b)

 

 

500

 

 

142,500

 

Series EMTN, 5.07%, 1/27/10

 

EUR

50

 

 

17,741

 

Series EMTN, 3.00%, 6/30/10

 

 

45

 

 

15,967

 

Series GMTN, 4.38%, 2/05/10

 

 

50

 

 

17,742

 

 

 

 

 

 

 

 

 

 

 

 

 

8,009,735

 

Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

USD

250

 

 

275,000

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

585

 

 

637,650

 

Scientific Games International, Inc.,
9.25%, 6/15/19

 

 

230

 

 

243,800

 

West Corp., 11.00%, 10/15/16

 

 

1,290

 

 

1,354,500

 

 

 

 

 

 

 

 

 

 

 

 

 

2,510,950

 

Construction Materials — 1.0%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

2,395

 

 

2,523,239

 

Consumer Finance — 1.0%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

680

 

 

704,650

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (f)

 

 

215

 

 

210,700

 

7.80%, 6/01/12

 

 

200

 

 

210,468

 

8.00%, 12/15/16

 

 

180

 

 

195,468

 

6.63%, 8/15/17

 

 

1,260

 

 

1,280,629

 

 

 

 

 

 

 

 

 

 

 

 

 

2,601,915

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 3.2%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

USD

525

 

$

552,562

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

810

 

 

771,525

 

8.25%, 11/15/15

 

 

135

 

 

135,338

 

9.50%, 5/15/18 (b)

 

 

435

 

 

400,200

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

2,470

 

 

2,352,675

 

Graphic Packaging International, Inc.,
9.50%, 6/15/17

 

 

840

 

 

894,600

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(f)

 

 

420

 

 

396,900

 

Owens-Brockway Glass Container, Inc.,
6.75%, 12/01/14

 

EUR

155

 

 

198,388

 

Pregis Corp., 12.38%, 10/15/13

 

USD

1,200

 

 

1,200,000

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

495

 

 

639,835

 

7.75%, 11/15/19

 

 

470

 

 

610,498

 

 

 

 

 

 

 

 

 

 

 

 

 

8,152,521

 

Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

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

 

 

3,000

 

 

3,105,000

 

Diversified Financial Services — 6.9%

 

 

 

 

 

 

 

Ally Financial Inc. (b):

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

1,990

 

 

2,069,600

 

7.50%, 9/15/20

 

 

1,910

 

 

1,890,900

 

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

 

 

995

 

 

996,244

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

 

700

 

 

1,086,973

 

7.13%, 1/16/12

 

 

1,800

 

 

2,360,888

 

7.13%, 1/15/13

 

 

1,050

 

 

1,377,184

 

GMAC, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

280

 

 

285,950

 

2.74%, 12/01/14 (f)

 

 

394

 

 

338,732

 

8.00%, 3/15/20 (b)

 

 

3,180

 

 

3,259,500

 

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

 

 

1,175

 

 

1,251,375

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

1,460

 

 

1,470,950

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

 

400

 

 

514,499

 

8.50%, 5/15/18

 

 

775

 

 

744,000

 

 

 

 

 

 

 

 

 

 

 

 

 

17,646,795

 

Diversified Telecommunication Services — 4.5%

 

 

 

 

 

 

 

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

 

 

1,035

 

 

1,014,300

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

630

 

 

664,650

 

8.25%, 4/15/17

 

 

800

 

 

846,000

 

8.50%, 4/15/20

 

 

350

 

 

371,438

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,200

 

 

1,260,000

 

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

 

 

540

 

 

531,900

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

215

 

 

225,750

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,020

 

 

2,057,875

 

8.00%, 10/01/15 (b)

 

 

600

 

 

645,000

 

Series B, 7.50%, 2/15/14

 

 

1,450

 

 

1,477,187

 

Qwest Corp.:

 

 

 

 

 

 

 

7.63%, 6/15/15

 

 

525

 

 

589,312

 

8.38%, 5/01/16

 

 

680

 

 

792,200

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

460

 

 

490,475

 

7.88%, 11/01/17

 

 

630

 

 

639,450

 

 

 

 

 

 

 

 

 

 

 

 

 

11,605,537

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

19



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services — 1.9%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

USD

1,315

 

$

1,301,850

 

7.75%, 5/15/17

 

 

320

 

 

317,600

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

1,835

 

 

1,715,725

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

310

 

 

306,900

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

665

 

 

718,200

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

555

 

 

568,875

 

 

 

 

 

 

 

 

 

 

 

 

 

4,929,150

 

Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

800

 

 

784,000

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

410

 

 

435,625

 

10.25%, 10/15/19

 

 

670

 

 

688,425

 

8.00%, 8/15/20 (b)

 

 

530

 

 

526,688

 

 

 

 

 

 

 

 

 

 

 

 

 

2,434,738

 

Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

220

 

 

226,325

 

Reddy Ice Corp., 11.25%, 3/15/15 (b)

 

 

440

 

 

446,050

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

460

 

 

513,475

 

TreeHouse Foods, Inc., 7.75%, 3/01/18

 

 

160

 

 

169,200

 

 

 

 

 

 

 

 

 

 

 

 

 

1,355,050

 

Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

2,455

 

 

2,629,919

 

Hologic, Inc., 2.00%, 12/15/37 (e)(i)

 

 

955

 

 

863,081

 

 

 

 

 

 

 

 

 

 

 

 

 

3,493,000

 

Health Care Providers & Services — 4.9%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

280

 

 

280,000

 

Gentiva Health Services, Inc., 11.50%, 9/01/18 (b)

 

 

710

 

 

734,850

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

1,785

 

 

1,874,250

 

8.50%, 4/15/19

 

 

1,020

 

 

1,118,175

 

7.25%, 9/15/20

 

 

2,315

 

 

2,419,175

 

inVentiv Health Inc., 10.00%, 8/15/18 (b)

 

 

650

 

 

635,375

 

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

 

 

500

 

 

500,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,799

 

 

1,915,935

 

10.00%, 5/01/18

 

 

644

 

 

724,500

 

8.88%, 7/01/19

 

 

2,279

 

 

2,464,169

 

 

 

 

 

 

 

 

 

 

 

 

 

12,666,429

 

Health Care Technology — 1.1%

 

 

 

 

 

 

 

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

 

 

2,405

 

 

2,786,794

 

Hotels, Restaurants & Leisure — 2.3%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,190

 

 

1,124,550

 

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

 

GBP

425

 

 

537,963

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

USD

660

 

 

706,200

 

Inn of the Mountain Gods Resort & Casino,
12.00%, 11/15/10 (a)(h)

 

 

1,550

 

 

678,125

 

Little Traverse Bay Bands of Odawa Indians,
10.25%, 2/15/14 (a)(b)(h)

 

 

1,290

 

 

435,375

 

MGM Mirage, 13.00%, 11/15/13

 

 

110

 

 

127,050

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

255

 

 

277,950

 

11.13%, 11/15/17

 

 

820

 

 

916,350

 

Marina District Finance Co., Inc., 9.88%,
8/15/18 (b)

 

 

370

 

 

369,075

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Travelport LLC:

 

 

 

 

 

 

 

5.16%, 9/01/14 (f)

 

USD

160

 

$

148,400

 

9.88%, 9/01/14

 

 

210

 

 

214,725

 

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

 

 

305

 

 

223

 

Virgin River Casino Corp., 9.00%, 1/15/12 (a)(h)

 

 

940

 

 

423,000

 

 

 

 

 

 

 

 

 

 

 

 

 

5,958,986

 

Household Durables — 3.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

185

 

 

160,025

 

8.13%, 6/15/16

 

 

315

 

 

275,625

 

12.00%, 10/15/17

 

 

1,345

 

 

1,514,806

 

9.13%, 6/15/18

 

 

1,770

 

 

1,566,450

 

DFS Furniture Holdings Plc, 9.75%, 7/15/17 (b)

 

GBP

208

 

 

299,061

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

USD

1,725

 

 

1,673,250

 

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

 

 

675

 

 

632,812

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

135

 

 

138,544

 

6.25%, 4/01/14

 

 

365

 

 

340,363

 

7.00%, 8/15/15

 

 

265

 

 

243,800

 

10.75%, 9/15/16

 

 

1,390

 

 

1,462,975

 

8.38%, 5/15/18

 

 

605

 

 

582,313

 

 

 

 

 

 

 

 

 

 

 

 

 

8,890,024

 

Independent Power Producers & Energy Traders — 2.8%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

 

450

 

 

457,313

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,260

 

 

1,323,000

 

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

 

 

3,395

 

 

3,269,395

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

174

 

 

167,211

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

1,275

 

 

1,300,500

 

7.38%, 2/01/16

 

 

270

 

 

272,025

 

7.38%, 1/15/17

 

 

400

 

 

403,000

 

 

 

 

 

 

 

 

 

 

 

 

 

7,192,444

 

Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,340

 

 

2,410,200

 

13.50%, 12/01/15 (d)

 

 

3,954

 

 

4,112,171

 

 

 

 

 

 

 

 

 

 

 

 

 

6,522,371

 

Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,744,625

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(f)

 

 

680

 

 

576,300

 

 

 

 

 

 

 

 

 

 

 

 

 

2,320,925

 

Leisure Equipment & Products — 0.4%

 

 

 

 

 

 

 

Brunswick Corp., 11.25%, 11/01/16 (b)

 

 

795

 

 

908,288

 

Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

585

 

 

582,806

 

Machinery — 1.7%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

980

 

 

833,000

 

Accuride Corp., 7.50%, 2/26/20 (d)(e)

 

 

10

 

 

24,627

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (e)

 

 

1,900

 

 

2,073,375

 

8.25%, 11/01/21

 

 

1,000

 

 

1,047,500

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

140

 

 

147,350

 

Titan International, Inc., 5.63%, 1/15/17 (b)(e)

 

 

240

 

 

285,600

 

 

 

 

 

 

 

 

 

 

 

 

 

4,411,452

 

Marine — 0.7%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (e)

 

 

2,230

 

 

1,873,200

 


 

 

 

 

See Notes to Financial Statements.

 

 

20

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 12.7%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

USD

2,445

 

$

2,506,125

 

10.13%, 10/15/13

 

 

765

 

 

782,212

 

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

 

 

543

 

 

643,098

 

CCO Holdings LLC (b):

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

470

 

 

486,450

 

8.13%, 4/30/20

 

 

470

 

 

494,675

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(f)

 

 

160

 

 

3,200

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

390

 

 

426,075

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(d)

 

 

610

 

 

652,700

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

835

 

 

866,312

 

Series B, 9.25%, 12/15/17

 

 

4,240

 

 

4,446,700

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

636

 

 

635,530

 

Loan Close 3, 4.00%, 8/15/18

 

 

735

 

 

735,000

 

Shares Loan, 4.00%, 8/15/18

 

 

749

 

 

749,372

 

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

 

 

90

 

 

93,713

 

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

 

 

455

 

 

437,938

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

350

 

 

294,000

 

9.50%, 5/15/15

 

 

420

 

 

400,050

 

Intelsat Corp., 9.25%, 6/15/16

 

 

2,120

 

 

2,247,200

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

1,030

 

 

1,068,625

 

Liberty Global, Inc., 4.50%, 11/15/16 (b)(e)

 

 

470

 

 

575,750

 

Liberty Media Corp., 3.13%, 3/30/23 (e)

 

 

1,113

 

 

1,210,387

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

546

 

 

408,232

 

8.00%, 4/30/14 (b)

 

 

67

 

 

50,094

 

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

 

USD

650

 

 

627,250

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

1,395

 

 

1,440,337

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

180

 

 

201,825

 

10.00%, 8/01/14

 

 

2,145

 

 

2,252,250

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(e)(h)

 

 

850

 

 

807,410

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

440

 

 

440,550

 

10.38%, 9/01/14

 

 

1,582

 

 

1,641,325

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

335

 

 

343,375

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

136

 

 

160,282

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

USD

1,330

 

 

1,270,150

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

755

 

 

775,762

 

8.13%, 12/01/17

 

EUR

441

 

 

570,035

 

9.63%, 12/01/19

 

 

570

 

 

756,644

 

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

 

USD

500

 

 

520,625

 

Unitymedia GmbH, 9.63%, 12/01/19

 

EUR

168

 

 

223,011

 

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

 

 

388

 

 

499,069

 

 

 

 

 

 

 

 

 

 

 

 

 

32,743,338

 

Metals & Mining — 4.0%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

USD

20

 

 

20,150

 

Aleris International, Inc. (a)(h):

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,035

 

 

2,070

 

10.00%, 12/15/16

 

 

800

 

 

304

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

875

 

 

915,469

 

7.38%, 2/15/16

 

 

225

 

 

225,281

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

535

 

 

589,169

 

10.63%, 9/01/16

 

 

1,180

 

 

1,367,325

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

1,975

 

 

1,979,937

 

GoldCorp, Inc., 2.00%, 8/01/14 (e)

 

 

665

 

 

808,806

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

605

 

 

533,913

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

520

 

 

531,700

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining (concluded)

 

 

 

 

 

 

 

New World Resources NV:

 

 

 

 

 

 

 

7.38%, 5/15/15

 

EUR

255

 

$

316,686

 

7.88%, 5/01/18

 

 

190

 

 

243,185

 

7.88%, 5/01/18 (b)

 

 

210

 

 

268,784

 

Novelis, Inc., 11.50%, 2/15/15

 

USD

430

 

 

473,000

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.84%, 11/01/14 (f)

 

 

400

 

 

371,000

 

12.00%, 11/01/15

 

 

265

 

 

272,619

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

260

 

 

276,250

 

United States Steel Corp., 7.38%, 4/01/20

 

 

520

 

 

526,500

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

640

 

 

672,000

 

 

 

 

 

 

 

 

 

 

 

 

 

10,394,148

 

Multiline Retail — 2.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

1,393

 

 

1,528,817

 

11.88%, 7/15/17 (d)

 

 

4,351

 

 

5,003,650

 

 

 

 

 

 

 

 

 

 

 

 

 

6,532,467

 

Oil, Gas & Consumable Fuels — 8.3%

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

55

 

 

59,538

 

7.25%, 10/01/20

 

 

855

 

 

867,825

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

500

 

 

574,375

 

10.75%, 2/01/18

 

 

260

 

 

286,650

 

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

 

 

510

 

 

515,100

 

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

 

 

45

 

 

48,825

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

2,360

 

 

2,368,850

 

2.25%, 12/15/38 (e)

 

 

800

 

 

599,000

 

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

 

 

295

 

 

303,113

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

175

 

 

189,875

 

10.25%, 12/15/15

 

 

1,145

 

 

1,145,000

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

1,990

 

 

2,111,887

 

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

 

 

405

 

 

418,163

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

737

 

 

786,747

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

1,100

 

 

1,160,500

 

Massey Energy Co., 6.88%, 12/15/13

 

 

945

 

 

956,812

 

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

 

 

1,870

 

 

1,968,175

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

1,735

 

 

1,739,337

 

9.75%, 8/15/13

 

 

975

 

 

962,812

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

420

 

 

416,850

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

1,100

 

 

1,156,375

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

555

 

 

620,213

 

7.88%, 6/01/15

 

 

460

 

 

477,250

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

450

 

 

469,125

 

Range Resources Corp., 8.00%, 5/15/19

 

 

400

 

 

428,000

 

Teekay Corp., 8.50%, 1/15/20

 

 

660

 

 

704,550

 

 

 

 

 

 

 

 

 

 

 

 

 

21,334,947

 

Paper & Forest Products — 2.9%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(d)

 

 

1,134

 

 

969,671

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

330

 

 

347,325

 

8.00%, 4/01/20

 

 

165

 

 

167,888

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

390

 

 

438,750

 

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

 

 

1,600

 

 

1,752,000

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

210

 

 

211,312

 

NewPage Corp., 11.38%, 12/31/14

 

 

3,150

 

 

2,559,375

 

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

 

 

840

 

 

886,200

 

 

 

 

 

 

 

 

 

 

 

 

 

7,332,521

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

21



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (f)

 

USD

1,050

 

$

847,875

 

Elan Finance Plc, 8.88%, 12/01/13

 

 

105

 

 

105,787

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

630

 

 

670,629

 

 

 

 

 

 

 

 

 

 

 

 

 

1,624,291

 

Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

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

 

USD

1,425

 

 

1,300,313

 

Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

 

510

 

 

532,950

 

Hertz Holdings Netherlands BV, 8.50%, 7/31/15 (b)

 

EUR

710

 

 

935,738

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

 

USD

820

 

 

801,550

 

 

 

 

 

 

 

 

 

 

 

 

 

2,270,238

 

Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.:

 

 

 

 

 

 

 

6.00%, 5/01/15 (e)

 

 

138

 

 

135,068

 

7.75%, 8/01/20 (b)

 

 

285

 

 

282,150

 

 

 

 

 

 

 

 

 

 

 

 

 

417,218

 

Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(d)(f)

 

 

477

 

 

9,542

 

Specialty Retail — 1.6%

 

 

 

 

 

 

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (e)(i)

 

 

1,055

 

 

803,119

 

Hillman Group, Inc., 10.88%, 6/01/18 (b)

 

 

530

 

 

557,825

 

Ltd. Brands, Inc., 8.50%, 6/15/19

 

 

785

 

 

887,050

 

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

 

 

370

 

 

376,475

 

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

 

 

420

 

 

424,200

 

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

 

 

1,025

 

 

978,875

 

 

 

 

 

 

 

 

 

 

 

 

 

4,027,544

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

530

 

 

490,250

 

Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

325

 

 

331,094

 

Wireless Telecommunication Services — 4.9%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

1,890

 

 

1,979,775

 

7.75%, 5/15/16

 

 

220

 

 

227,150

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

700

 

 

705,250

 

9.13%, 1/15/15 (d)

 

 

1,783

 

 

1,791,915

 

8.25%, 9/01/17

 

 

870

 

 

903,712

 

10.50%, 4/15/18

 

 

500

 

 

536,250

 

FiberTower Corp., 9.00%, 1/01/16 (d)

 

 

293

 

 

249,068

 

iPCS, Inc., 2.59%, 5/01/13 (f)

 

 

815

 

 

762,025

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

2,405

 

 

2,501,200

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

1,170

 

 

1,167,075

 

Series F, 5.95%, 3/15/14

 

 

110

 

 

106,288

 

Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)

 

 

275

 

 

261,250

 

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

 

 

1,790

 

 

1,494,650

 

 

 

 

 

 

 

 

 

 

 

 

 

12,685,608

 

Total Corporate Bonds — 98.4%

 

 

 

 

 

253,780,887

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 

Auto Components — 1.0%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Term Loan, 8.51%,
3/01/12 (d)

 

 

455

 

 

436,988

 

Allison Transmission, Inc., Term Loan,
3.04%, 8/07/14

 

 

2,213

 

 

2,039,026

 

 

 

 

 

 

 

 

 

 

 

 

 

2,476,014

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

 

Value

 

Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan,
3.03%, 12/15/13

 

USD

3,592

 

$

3,455,826

 

Building Products — 1.3%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.54%, 2/28/11

 

 

3,234

 

 

3,233,668

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan,
5.31% – 5.56%, 12/15/14

 

 

377

 

 

261,514

 

Chemicals — 0.1%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan
(First Lien), 3.52% – 3.73%, 7/30/14

 

 

376

 

 

343,728

 

Commercial Services & Supplies — 0.9%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan,
7.75%, 6/10/16

 

 

1,000

 

 

1,005,833

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

550

 

 

552,979

 

International Lease Finance Corp., Term Loan 1,
6.75%, 3/17/15

 

 

750

 

 

755,938

 

 

 

 

 

 

 

 

 

 

 

 

 

2,314,750

 

Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Tranche Loan,
15.63%, 12/14/17

 

 

2,000

 

 

2,000,000

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

American General Finance Corp., Term Loan,
7.25%, 4/21/15

 

 

4,250

 

 

4,199,531

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

250

 

 

249,113

 

 

 

 

 

 

 

 

 

 

 

 

 

4,448,644

 

Diversified Telecommunication Services — 1.7%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.89%, 12/17/14

 

EUR

3,460

 

 

4,375,781

 

Electric Utilities — 0.5%

 

 

 

 

 

 

 

New Development Holdings, LLC, Term Loan, 7.00%,
7/03/17

 

USD

1,350

 

 

1,363,500

 

Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

525

 

 

514,500

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

495

 

 

485,545

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.), Term
Loan B, 6.50%, 7/31/16

 

 

900

 

 

898,313

 

 

 

 

 

 

 

 

 

 

 

 

 

1,898,358

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.37%,
3/27/12 (d)

 

 

3,334

 

 

3,100,402

 

IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

284

 

 

242,384

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

408

 

 

348,130

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

595

 

 

507,148

 

 

 

 

 

 

 

 

 

 

 

 

 

1,097,662

 

Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.79% – 4.03%, 10/10/14

 

 

215

 

 

162,909

 

Initial Tranche B-2 Term Loan,
3.79% – 4.07%, 10/10/14

 

 

255

 

 

193,115

 

Initial Tranche B-3 Term Loan,
3.79% – 4.03%, 10/10/14

 

 

2,807

 

 

2,115,640

 

 

 

 

 

 

 

 

 

 

 

 

 

2,471,664

 

Media — 1.6%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson Learning),
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14

 

 

1,715

 

 

1,709,284

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
5.79%, 6/12/14 (d)

 

 

958

 

 

872,304

 


 

 

 

 

See Notes to Financial Statements.

 

 

22

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

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

 

USD

1,325

 

$

1,406,156

 

Protostar Ltd., Debtor in Possession Term Loan,
18.00%, 10/26/10 (d)

 

 

159

 

 

158,820

 

 

 

 

 

 

 

 

 

 

 

 

 

4,146,564

 

Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group, Inc., Term Loan,
2.30%, 4/06/13

 

 

244

 

 

231,433

 

Oil, Gas & Consumable Fuels — 1.3%

 

 

 

 

 

 

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

1,261

 

 

1,271,424

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

339

 

 

341,576

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18 (d)

 

 

2,322

 

 

1,839,899

 

 

 

 

 

 

 

 

 

 

 

 

 

3,452,899

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, PIK Loan,
6.69% – 7.44%, 2/01/13 (d)

 

 

1,340

 

 

804,059

 

Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.30% – 3.53%, 10/10/13

 

 

398

 

 

343,264

 

Synthetic Letter of Credit, 0.11%, 10/10/13

 

 

81

 

 

70,156

 

Second Lien Term Facility, 13.50%, 10/15/17

 

 

1,000

 

 

1,055,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,468,420

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B,
3.01% – 3.23%, 5/29/14

 

 

137

 

 

117,564

 

Michaels Stores, Inc., Term Loan B-1,
2.63% – 2.81%, 10/31/13

 

 

355

 

 

334,433

 

 

 

 

 

 

 

 

 

 

 

 

 

451,997

 

Wireless Telecommunication Services — 0.7%

 

 

 

 

 

 

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

1,750

 

 

1,750,000

 

Total Floating Rate Loan Interests — 17.5%

 

 

 

 

 

45,146,883

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 2.0%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP
Class B Membership Interests

 

 

—

(k)

 

5,037,660

 

Lear Corp. Escrow

 

 

460

 

 

5,750

 

 

 

 

 

 

 

 

 

 

 

 

 

5,043,410

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

575

 

 

58

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

750

 

 

75

 

Adelphia Recovery Trust

 

 

941

 

 

3,762

 

 

 

 

 

 

 

 

 

 

 

 

 

3,837

 

Total Other Interests — 2.0%

 

 

 

 

 

5,047,305

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.1%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(e)

 

 

2,200

 

 

210,100

 

Diversified Financial Services — 1.5%

 

 

 

 

 

 

 

Ally Financial Inc., 7.00% (b)

 

 

3,245

 

 

2,680,472

 

Citigroup, Inc., 7.50% (e)

 

 

11,000

 

 

1,258,950

 

 

 

 

 

 

 

 

 

 

 

 

 

3,939,422

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 7.50% (e)

 

 

10,132

 

$

200,715

 

Media — 0.2%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (a)(b)(f)

 

 

37,314

 

 

—

 

TRA Global, Inc. (a)

 

 

286,652

 

 

463,144

 

 

 

 

 

 

 

 

 

 

 

 

 

463,144

 

Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

8,994

 

 

97,045

 

Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O (a)

 

 

30,000

 

 

12,300

 

Freddie Mac, Series Z (a)

 

 

75,961

 

 

25,067

 

 

 

 

 

 

 

 

 

 

 

 

 

37,367

 

Total Preferred Stocks — 1.9%

 

 

 

 

 

4,947,793

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires 10/01/13)

 

 

700

 

 

31,460

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

32,042

 

 

—

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (Expires 4/29/14)

 

 

485

 

 

5

 

Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

42,640

 

 

1

 

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

 

 

22,447

 

 

224

 

 

 

 

 

 

 

 

 

 

 

 

 

225

 

 

 

 

 

 

 

 

 

Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

1

 

 

—

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

11,225

 

 

—

 

Total Warrants — 0.0%

 

 

 

 

 

31,690

 

Total Long-Term Investments
(Cost — $321,408,636) — 122.6%

 

 

 

 

 

316,071,672

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.24% (m)(n)

 

 

2,569,493

 

 

2,569,493

 

Total Short-Term Securities
(Cost — $2,569,493) — 1.0%

 

 

 

 

 

2,569,493

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, expires 12/21/19, Broker
Goldman Sachs Bank USA

 

 

19

 

 

—

 

Total Options Purchased
(Cost — $18,578) — 0.0%

 

 

 

 

 

—

 

Total Investments (Cost — $323,996,707*) — 123.6%

 

 

 

 

 

318,641,165

 

 

Liabilities in Excess of Other Assets — (23.6)%

 

 

 

 

 

(60,886,126

)

 

 

 

 

 

 

Net Assets — 100.0%

 

 

 

 

$

257,755,039

 

 

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

23



 

 

 

 

Schedule of Investments (continued)

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


 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

Aggregate cost

 

$

325,170,052

 

 

 

 

 

Gross unrealized appreciation

 

$

15,013,408

 

 

Gross unrealized depreciation

 

 

(21,542,295

)

 

 

 

 

Net unrealized depreciation

 

$

(6,528,887

)

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(d)

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

 

 

(e)

Convertible security.

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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.

 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

Amount is less than $1,000.

 

 

(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)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

3,276,755

 

(707,262

)

2,569,493

 

$

1,690

 


 

 

(n)

Represents the current yield as of report date.

 

 

•

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

 

 

EUR

 

784,300

 

USD

 

1,007,943

 

Citibank NA

 

9/15/10

 

$

(14,059

)

 

USD

 

16,913,617

 

EUR

 

13,357,500

 

Citibank NA

 

9/15/10

 

 

(13,317

)

 

USD

 

315,687

 

EUR

 

245,000

 

Deutsche Bank AG

 

9/15/10

 

 

5,218

 

 

GBP

 

238,000

 

USD

 

371,268

 

UBS AG

 

10/20/10

 

 

(6,387

)

 

USD

 

2,211,164

 

GBP

 

1,448,500

 

Citibank NA

 

10/20/10

 

 

(9,553

)

 

USD

 

425,230

 

CAD

 

449,000

 

Deutsche Bank AG

 

10/20/10

 

 

4,505

 

 

USD

 

316,702

 

GBP

 

207,500

 

Deutsche Bank AG

 

10/20/10

 

 

(1,420

)

 

USD

 

342,197

 

GBP

 

222,000

 

Royal Bank
of Scotland

 

10/20/10

 

 

1,845

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

(33,168

)

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Financial futures contracts sold as of August 31, 2010 were as follows:

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 

 

27

 

S&P 500
Index

 

Chicago
Mercantile

 

September
2010

 

$

7,189,857

 

$

113,832

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 

 

K. Hovnanian

 

5.00

%

Goldman Sachs

 

December

 

$

510

 

$

30,327

 

 

Enterprises, Inc.

 

 

 

International

 

2011

 

 

 

 

 

 

 

 

 

K. Hovnanian

 

5.00

%

Goldman Sachs

 

December

 

$

1,000

 

 

168,495

 

 

Enterprises, Inc.

 

 

 

Bank USA

 

2013

 

 

 

 

 

 

 

 

 

Louisiana-

 

5.00

%

JPMorgan

 

March 2014

 

$

500

 

 

(106,314

)

 

Pacific Corp.

 

 

 

Chase Bank NA

 

 

 

 

 

 

 

 

 

 

 

Brunswick Corp.

 

5.00

%

Goldman Sachs

 

September

 

$

200

 

 

(10,541

)

 

 

 

 

 

Bank USA

 

2014

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

81,967

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Credit default swaps on single-name issuers — sold protection outstanding as of August 31, 2010 were as follows:

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating 1

 

Notional
Amount
(000) 2

 

Unrealized
Appreciation
(Depreciation)

 

 

 

Texas Competitive

 

5.00

%

Goldman Sachs

 

September

 

CCC

 

$

500

 

$

(45,006

)

 

Electric Holdings

 

 

 

International

 

2012

 

 

 

 

 

 

 

 

 

 

Co., LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00

%

Credit Suisse

 

March 2015

 

C

 

$

100

 

 

699

 

 

 

 

 

 

International

 

 

 

 

 

 

 

 

 

 

 

 

 

Advanced

 

5.00

%

JPMorgan

 

March 2015

 

B+

 

$

600

 

 

(6,721

)

 

Micro Devices,

 

 

 

Chase Bank NA

 

 

 

 

 

 

 

 

 

 

 

 

Inc.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00

%

JPMorgan

 

March 2015

 

C

 

$

475

 

 

(16,004

)

 

 

 

 

 

Chase Bank NA

 

 

 

 

 

 

 

 

 

 

 

 

 

Levi

 

5.00

%

Goldman Sachs

 

June 2015

 

B+

 

$

235

 

 

1,254

 

 

Strauss & Co.

 

 

 

International

 

 

 

 

 

 

 

 

 

 

 

 

 

NOVA

 

5.00

%

Goldman Sachs

 

June 2015

 

B+

 

$

375

 

 

(6,874

)

 

Chemicals Corp.

 

 

 

International

 

 

 

 

 

 

 

 

 

 

 

 

 

Levi

 

5.00

%

Goldman Sachs

 

September

 

B+

 

$

560

 

 

—

 

 

Strauss & Co.

 

 

 

International

 

2015

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00

%

JPMorgan

 

September

 

C

 

$

125

 

 

(450

)

 

 

 

 

 

Chase Bank NA

 

2015

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(73,102

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Using S&P’s rating of the issuer.

 

 

 

 

2

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

 

 

 

•

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. This definition 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 derivatives, which are as follows:

 

 

 

 

•

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


 

 

 

 

See Notes to Financial Statements.

24

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (concluded)

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


 

 

•

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 derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of August 31, 2010 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

5,977,192

 

$

687,276

 

$

452,646

 

$

7,117,114

 

Corporate Bonds

 

 

—

 

 

248,391,323

 

 

5,389,564

 

 

253,780,887

 

Floating Rate Loan Interests

 

 

—

 

 

31,243,970

 

 

13,902,913

 

 

45,146,883

 

Other Interests

 

 

—

 

 

5,037,660

 

 

9,645

 

 

5,047,305

 

Preferred Stocks

 

 

4,274,549

 

 

210,100

 

 

463,144

 

 

4,947,793

 

Warrants

 

 

—

 

 

—

 

 

31,690

 

 

31,690

 

Short-Term Securities

 

 

2,569,493

 

 

—

 

 

—

 

 

2,569,493

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded loan commitments

 

 

—

 

 

—

 

 

(47,602

)

 

(47,602

)

 

 

Total

 

$

12,821,234

 

$

285,570,329

 

$

20,202,000

 

$

318,593,563

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments 1

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

200,775

 

 

—

 

$

200,775

 

Equity contracts

 

$

113,832

 

 

—

 

 

—

 

 

113,832

 

Foreign currency exchange contracts

 

 

—

 

 

11,568

 

 

—

 

 

11,568

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(191,910

)

 

—

 

 

(191,910

)

Foreign currency exchange contracts

 

 

—

 

 

(44,736

)

 

—

 

 

(44,736

)

 

 

Total

 

$

113,832

 

$

(24,303

)

 

—

 

$

89,529

 

 

 


 

 

 

 

1

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Stocks

 

Warrants

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

79,746

 

$

4,246,019

 

$

21,135,986

 

$

4,699,133

 

$

1

 

$

230

 

$

(115,579

)

$

30,045,536

 

Accrued discounts/premiums

 

 

—

 

 

13,176

 

 

122,051

 

 

—

 

 

—

 

 

—

 

 

—

 

 

135,227

 

Net realized gain (loss)

 

 

—

 

 

9,735

 

 

272,814

 

 

349,894

 

 

—

 

 

25,669

 

 

—

 

 

658,112

 

Net change in unrealized appreciation/depreciation 2

 

 

9,348

 

 

(153,725

)

 

313,212

 

 

358,728

 

 

—

 

 

—

 

 

67,977

 

 

595,540

 

Purchases

 

 

—

 

 

35,613

 

 

741,716

 

 

319,000

 

 

—

 

 

—

 

 

—

 

 

1,096,329

 

Sales

 

 

—

 

 

—

 

 

(6,741,723

)

 

(685,200

)

 

—

 

 

(25,669

)

 

—

 

 

(7,452,592

)

Transfers in 3

 

 

452,570

 

 

1,510,000

 

 

2,999,158

 

 

5,750

 

 

463,143

 

 

31,460

 

 

—

 

 

5,462,081

 

Transfers out 3

 

 

(89,018

)

 

(271,254

)

 

(4,940,301

)

 

(5,037,660

)

 

—

 

 

—

 

 

—

 

 

(10,338,233

)

 

 

Balance, as of August 31, 2010

 

$

452,646

 

$

5,389,564

 

$

13,902,913

 

$

9,645

 

$

463,144

 

$

31,690

 

$

(47,602

)

$

20,202,000

 

 

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $110,767.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

25



 

 

 

 

Schedule of Investments August 31, 2010 (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks (a)

 

Shares

 

Value

 

Building Products — 0.3%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

32,730

 

$

1,243,740

 

Chemicals — 0.2%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

339,340

 

 

130,273

 

LyondellBasell Industries NV, Class A

 

 

9,898

 

 

202,909

 

LyondellBasell Industries NV, Class B

 

 

31,315

 

 

641,644

 

Wellman Holdings, Inc.

 

 

5,373

 

 

269

 

 

 

 

 

 

 

 

 

 

 

 

 

975,095

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

2,970

 

 

123,255

 

Containers & Packaging — 1.7%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

317,776

 

Viskase Cos., Inc.

 

 

1,428,423

 

 

6,770,725

 

 

 

 

 

 

 

 

 

 

 

 

 

7,088,501

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

286,757

 

 

8,889

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.

 

 

2,753

 

 

11,563

 

HRP Corp., Class B (b)(c)

 

 

5,000

 

 

50

 

 

 

 

 

 

 

 

 

 

 

 

 

11,613

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

Euramax International

 

 

2,337

 

 

771,309

 

Paper & Forest Products — 1.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

1,095,719

 

 

2,568,854

 

Ainsworth Lumber Co. Ltd. (b)

 

 

1,335,501

 

 

3,131,010

 

Western Forest Products, Inc. (b)

 

 

211,149

 

 

58,413

 

 

 

 

 

 

 

 

 

 

 

 

 

5,758,277

 

Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

4,892

 

 

50,583

 

Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

161,041

 

 

805,207

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

604

 

Total Common Stocks — 3.9%

 

 

 

 

 

16,837,073

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000 )

 

 

 

 

Aerospace & Defense — 1.2%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

USD

1,750

 

 

1,881,250

 

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

 

 

1,160

 

 

1,197,700

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

2,000

 

 

2,060,000

 

 

 

 

 

 

 

 

 

 

 

 

 

5,138,950

 

Airlines — 0.7%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (b)

 

 

1,250

 

 

1,225,000

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

950

 

 

997,751

 

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

 

 

793

 

 

884,150

 

 

 

 

 

 

 

 

 

 

 

 

 

3,106,901

 

Auto Components — 1.3%

 

 

 

 

 

 

 

The Goodyear Tire & Rubber Co., 8.75%, 8/15/20

 

 

130

 

 

137,475

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

320

 

 

317,600

 

8.00%, 1/15/18

 

 

5,260

 

 

5,233,700

 

Venture Holdings Co. LLC (a)(d)(e):

 

 

 

 

 

 

 

12.00%, 6/01/09

 

 

4,450

 

 

—

 

Series B, 9.50%, 7/01/05

 

 

1,800

 

 

180

 

 

 

 

 

 

 

 

 

 

 

 

 

5,688,955

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Beverages — 0.1%

 

 

 

 

 

 

 

Crown European Holdings SA, 7.13%, 8/15/18 (b)

 

EUR

410

 

$

532,562

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

USD

491

 

 

500,586

 

Building Products — 2.5%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

1,300

 

 

1,293,500

 

CPG International I, Inc.:

 

 

 

 

 

 

 

7.50%, 7/01/12 (f)

 

 

7,500

 

 

7,246,875

 

10.50%, 7/01/13

 

 

1,300

 

 

1,298,375

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

105

 

 

102,506

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

1,050

 

 

1,081,500

 

 

 

 

 

 

 

 

 

 

 

 

 

11,022,756

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

E*Trade Financial Corp., 4.01%, 8/31/19 (b)(g)(h)

 

 

593

 

 

711,600

 

MU Finance Plc, 8.75%, 2/01/17 (b)

 

GBP

698

 

 

1,027,667

 

 

 

 

 

 

 

 

 

 

 

 

 

1,739,267

 

Chemicals — 3.0%

 

 

 

 

 

 

 

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

 

USD

1,490

 

 

1,473,237

 

CF Industries, Inc., 6.88%, 5/01/18

 

 

1,475

 

 

1,552,437

 

GEO Specialty Chemicals, Inc. (b):

 

 

 

 

 

 

 

7.50%, 3/31/15 (c)(g)

 

 

4,171

 

 

2,711,012

 

10.00%, 3/31/15

 

 

4,106

 

 

2,668,640

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

585

 

 

574,763

 

8.88%, 2/01/18

 

 

455

 

 

420,875

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

465

 

 

490,575

 

Wellman Holdings, Inc., Subordinate Note (g):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19 (b)

 

 

2,978

 

 

2,590,860

 

(Third Lien), 5.00%, 1/29/19 (c)

 

 

978

 

 

381,332

 

 

 

 

 

 

 

 

 

 

 

 

 

12,863,731

 

Commercial Banks — 2.2%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

1,615

 

 

1,534,250

 

7.00%, 5/01/17

 

 

7,820

 

 

7,353,240

 

Glitnir Banki HF (a)(d):

 

 

 

 

 

 

 

4.15%, 4/20/10 (b)

 

 

184

 

 

52,440

 

6.38%, 9/25/12 (b)

 

 

1,115

 

 

317,775

 

Series EMTN, 5.07%, 1/27/10

 

EUR

50

 

 

17,741

 

Series EMTN, 3.00%, 6/30/10

 

 

75

 

 

26,612

 

Series GMTN, 4.38%, 2/05/10

 

 

85

 

 

30,161

 

 

 

 

 

 

 

 

 

 

 

 

 

9,332,219

 

Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

USD

660

 

 

726,000

 

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

 

 

1,200

 

 

1,230,000

 

The Geo Group, Inc., 7.75%, 10/15/17 (b)

 

 

850

 

 

875,500

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

970

 

 

1,057,300

 

West Corp., 9.50%, 10/15/14

 

 

340

 

 

346,800

 

 

 

 

 

 

 

 

 

 

 

 

 

4,235,600

 

Construction Materials — 0.7%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

2,983

 

 

3,143,546

 

Consumer Finance — 1.1%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

570

 

 

590,662

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (f)

 

 

2,680

 

 

2,626,400

 

6.63%, 8/15/17

 

 

900

 

 

914,735

 

Inmarsat Finance Plc, 7.38%, 12/01/17 (b)

 

 

725

 

 

743,125

 

 

 

 

 

 

 

 

 

 

 

 

 

4,874,922

 


 

 

 

 

See Notes to Financial Statements.

26

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 2.7%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

USD

625

 

$

657,813

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

2,100

 

 

2,105,250

 

9.50%, 5/15/18 (b)

 

 

895

 

 

823,400

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

470

 

 

447,675

 

Beverage Packaging Holdings Luxembourg II SA,
8.00%, 12/15/16

 

EUR

260

 

 

312,187

 

Crown Americas LLC, 7.63%, 5/15/17 (b)

 

USD

710

 

 

757,925

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

975

 

 

1,038,375

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

830

 

 

1,072,854

 

7.75%, 11/15/19

 

 

785

 

 

1,019,661

 

Smurfit Kappa Funding Plc, 7.75%, 4/01/15

 

USD

3,325

 

 

3,325,000

 

 

 

 

 

 

 

 

 

 

 

 

 

11,560,140

 

Diversified Financial Services — 4.4%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15 (b)

 

 

1,700

 

 

1,768,000

 

7.50%, 9/15/20 (b)

 

 

5,450

 

 

5,395,500

 

8.00%, 11/01/31

 

 

1,350

 

 

1,329,750

 

Archimedes Funding III Ltd., 5.50%, 11/29/11 (b)

 

 

3,734

 

 

2,240,208

 

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

 

 

705

 

 

705,881

 

FCE Bank Plc, 7.13%, 1/16/12

 

EUR

3,250

 

 

4,262,714

 

GMAC, Inc.:

 

 

 

 

 

 

 

5.38%, 6/06/11

 

 

436

 

 

551,140

 

7.50%, 12/31/13

 

USD

90

 

 

91,913

 

8.00%, 3/15/20 (b)

 

 

200

 

 

205,000

 

Preferred Term Securities VI, Ltd. (a)(b)(g)

 

 

35

 

 

1,750

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

1,625

 

 

1,637,187

 

Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b)

 

EUR

650

 

 

836,060

 

 

 

 

 

 

 

 

 

 

 

 

 

19,025,103

 

Diversified Telecommunication Services — 2.5%

 

 

 

 

 

 

 

Frontier Communications Corp., 8.25%, 4/15/17

 

USD

2,915

 

 

3,082,613

 

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

 

 

1,750

 

 

1,723,750

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

390

 

 

409,500

 

Qwest Corp., 8.38%, 5/01/16

 

 

4,000

 

 

4,660,000

 

tw telecom holdings, Inc., 8.00%, 3/01/18

 

 

920

 

 

956,800

 

 

 

 

 

 

 

 

 

 

 

 

 

10,832,663

 

Electronic Equipment, Instruments & Components — 0.0%

 

 

 

 

 

 

 

Muzak Holdings, LLC, 13.00%, 3/15/10 (a)(d)

 

 

2,675

 

 

268

 

Energy Equipment & Services — 0.9%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas,
7.50%, 5/15/15

 

 

1,845

 

 

1,826,550

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

2,000

 

 

1,870,000

 

 

 

 

 

 

 

 

 

 

 

 

 

3,696,550

 

Food & Staples Retailing — 0.4%

 

 

 

 

 

 

 

Rite Aid Corp., 9.75%, 6/12/16

 

 

1,590

 

 

1,689,375

 

Food Products — 0.6%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

900

 

 

925,875

 

Bumble Bee Foods LLC, 7.75%, 12/15/15 (b)

 

 

730

 

 

771,975

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

940

 

 

1,049,275

 

 

 

 

 

 

 

 

 

 

 

 

 

2,747,125

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

1,345

 

 

1,440,831

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services — 1.2%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

USD

470

 

$

470,000

 

inVentiv Health, Inc., 10.00%, 8/15/18 (b)

 

 

405

 

 

395,888

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

680

 

 

724,200

 

8.88%, 7/01/19

 

 

3,280

 

 

3,546,500

 

 

 

 

 

 

 

 

 

 

 

 

 

5,136,588

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

2,980

 

 

3,453,075

 

Hotels, Restaurants & Leisure — 1.4%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,040

 

 

982,800

 

HRP Myrtle Beach Holdings LLC, 14.69%,
4/01/14 (a)(b)(d)(h)

 

 

6,891

 

 

689

 

HRP Myrtle Beach Operations LLC (a)(b)(d)(h):

 

 

 

 

 

 

 

0.00%, 4/01/12

 

 

5,000

 

 

500

 

12.04%, 4/01/13

 

 

5,000

 

 

500

 

Little Traverse Bay Bands of Odawa Indians,
10.25%, 2/15/14 (a)(b)(d)

 

 

2,560

 

 

864,000

 

MGM Mirage, 13.00%, 11/15/13

 

 

345

 

 

398,475

 

MGM Resorts International, 11.13%, 11/15/17

 

 

1,340

 

 

1,497,450

 

Marina District Finance Co., Inc., 9.88%, 8/15/18 (b)

 

 

310

 

 

309,225

 

Travelport LLC, 5.16%, 9/01/14 (f)

 

 

2,160

 

 

2,003,400

 

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

 

 

530

 

 

387

 

 

 

 

 

 

 

 

 

 

 

 

 

6,057,426

 

Household Durables — 1.0%

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,914,625

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

 

1,695

 

 

1,644,150

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

315

 

 

293,738

 

7.00%, 8/15/15

 

 

600

 

 

552,000

 

 

 

 

 

 

 

 

 

 

 

 

 

4,404,513

 

IT Services — 0.3%

 

 

 

 

 

 

 

SunGard Data Systems, Inc., 4.88%, 1/15/14

 

 

1,265

 

 

1,211,238

 

Independent Power Producers &

 

 

 

 

 

 

 

Energy Traders — 2.6%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

 

261

 

 

265,241

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,750

 

 

1,837,500

 

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

 

 

3,190

 

 

3,071,980

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

3,705

 

 

3,779,100

 

7.38%, 2/01/16

 

 

690

 

 

695,175

 

7.38%, 1/15/17

 

 

665

 

 

669,987

 

8.50%, 6/15/19

 

 

800

 

 

822,000

 

 

 

 

 

 

 

 

 

 

 

 

 

11,140,983

 

Industrial Conglomerates — 1.7%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,850

 

 

2,935,500

 

13.50%, 12/01/15 (c)

 

 

4,023

 

 

4,183,759

 

 

 

 

 

 

 

 

 

 

 

 

 

7,119,259

 

Insurance — 0.6%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

1,128,875

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(f)

 

 

1,630

 

 

1,381,425

 

 

 

 

 

 

 

 

 

 

 

 

 

2,510,300

 

Leisure Equipment & Products — 0.3%

 

 

 

 

 

 

 

Brunswick Corp., 11.25%, 11/01/16 (b)

 

 

980

 

 

1,119,650

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

27



 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Machinery — 1.5%

 

 

 

 

 

 

 

ESCO Corp., 4.41%, 12/15/13 (b)(f)

 

USD

3,070

 

$

2,793,700

 

Navistar International Corp., 8.25%, 11/01/21

 

 

2,000

 

 

2,095,000

 

Titan International, Inc., 8.00%, 1/15/12

 

 

1,530

 

 

1,591,200

 

 

 

 

 

 

 

 

 

 

 

 

 

6,479,900

 

Media — 6.2%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

 

2,835

 

 

2,905,875

 

CCO Holdings LLC, 7.88%, 4/30/18 (b)

 

 

2,075

 

 

2,147,625

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

680

 

 

742,900

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

639

 

 

662,963

 

Series B, 9.25%, 12/15/17

 

 

5,422

 

 

5,686,322

 

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

 

 

3,000

 

 

3,123,750

 

Gannett Co., Inc.:

 

 

 

 

 

 

 

10.00%, 4/01/16

 

 

390

 

 

435,848

 

9.38%, 11/15/17 (b)

 

 

1,015

 

 

1,111,425

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

1,715

 

 

1,779,312

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

1,355

 

 

1,399,038

 

Nielsen Finance LLC, 11.63%, 2/01/14

 

 

1,925

 

 

2,158,406

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

555

 

 

568,875

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

241

 

 

284,029

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

USD

895

 

 

854,725

 

UPC Germany GmbH, 8.13%, 12/01/17 (b)

 

 

3,000

 

 

3,082,500

 

 

 

 

 

 

 

 

 

 

 

 

 

26,943,593

 

Metals & Mining — 0.9%

 

 

 

 

 

 

 

Aleris International, Inc. (a)(d):

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,100

 

 

2,200

 

10.00%, 12/15/16

 

 

1,500

 

 

570

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

490

 

 

501,025

 

RathGibson, Inc., 11.25%, 2/15/14 (a)(d)

 

 

4,440

 

 

47,730

 

Ryerson, Inc., 7.84%, 11/01/14 (f)(i)

 

 

3,595

 

 

3,334,363

 

 

 

 

 

 

 

 

 

 

 

 

 

3,885,888

 

Multiline Retail — 0.8%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

1,075

 

 

1,179,813

 

11.88%, 7/15/17 (c)

 

 

1,775

 

 

2,041,250

 

 

 

 

 

 

 

 

 

 

 

 

 

3,221,063

 

Oil, Gas & Consumable Fuels — 2.6%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16

 

 

235

 

 

254,388

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

1,440

 

 

1,654,200

 

10.75%, 2/01/18

 

 

355

 

 

391,387

 

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

 

 

490

 

 

503,475

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

1,750

 

 

1,857,187

 

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

 

 

225

 

 

232,313

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

 

925

 

 

1,019,812

 

8.25%, 2/15/20

 

 

670

 

 

715,225

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

470

 

 

499,375

 

Massey Energy Co., 6.88%, 12/15/13

 

 

1,300

 

 

1,316,250

 

OPTI Canada, Inc., 9.00%, 12/15/12 (b)

 

 

1,850

 

 

1,854,625

 

Titan Petrochemicals Group Ltd., 8.50%,
3/18/12 (b)

 

 

1,760

 

 

968,000

 

 

 

 

 

 

 

 

 

 

 

 

 

11,266,237

 

Paper & Forest Products — 2.8%

 

 

 

 

 

 

 

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

 

 

4,312

 

 

3,686,510

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

640

 

 

720,000

 

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

 

 

2,950

 

 

3,230,250

 

NewPage Corp., 11.38%, 12/31/14

 

 

3,890

 

 

3,160,625

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

550

 

 

580,250

 

Series B, 4.22%, 8/01/14 (f)

 

 

890

 

 

729,800

 

 

 

 

 

 

 

 

 

 

 

 

 

12,107,435

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (f)

 

USD

1,570

 

$

1,267,775

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

564

 

 

600,373

 

 

 

 

 

 

 

 

 

 

 

 

 

1,868,148

 

Real Estate Investment Trusts (REITs) — 0.2%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc., 7.50%,
2/15/20 (b)

 

USD

1,010

 

 

1,052,925

 

Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(c)(f)

 

 

1,780

 

 

35,611

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

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

 

 

1,275

 

 

1,217,625

 

Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp.:

 

 

 

 

 

 

 

7.38%, 5/15/20

 

 

925

 

 

952,750

 

7.75%, 11/15/23

 

 

410

 

 

446,140

 

 

 

 

 

 

 

 

 

 

 

 

 

1,398,890

 

Wireless Telecommunication Services — 3.5%

 

 

 

 

 

 

 

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

 

 

3,050

 

 

3,149,125

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15 (c)

 

 

3,948

 

 

3,967,740

 

8.25%, 9/01/17

 

 

300

 

 

311,625

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

9.25%, 11/01/14

 

 

760

 

 

790,400

 

9.25%, 11/01/14

 

 

2,100

 

 

2,184,000

 

Nextel Communications, Inc., Series E, 6.88%,
10/31/13

 

 

2,275

 

 

2,269,312

 

Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)

 

 

755

 

 

717,250

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

625

 

 

660,938

 

6.88%, 11/15/28

 

 

1,000

 

 

835,000

 

 

 

 

 

 

 

 

 

 

 

 

 

14,885,390

 

Total Corporate Bonds — 55.5%

 

 

 

 

 

239,687,787

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked Deposit,
0.43%, 3/26/14

 

 

124

 

 

98,445

 

Term Loan, 2.26% – 2.53%, 3/26/14

 

 

2,072

 

 

1,650,926

 

 

 

 

 

 

 

 

 

 

 

 

 

1,749,371

 

Airlines — 0.4%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit-Linked Deposit Loan,
0.11% – 2.28%, 4/30/12

 

 

1,940

 

 

1,855,125

 

Auto Components — 2.7%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Term Loan, 8.51%,
3/01/12 (c)

 

 

3,194

 

 

3,066,405

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/09/16

 

 

998

 

 

959,675

 

Allison Transmission, Inc., Term Loan, 3.04%,
8/07/14

 

 

7,267

 

 

6,695,941

 

Dana Holding Corp., Term Advance, 4.52% – 6.50%,
1/30/15

 

 

346

 

 

339,646

 

The Goodyear Tire & Rubber Co., Loan (Second
Lien), 2.24%, 4/30/14

 

 

750

 

 

694,336

 

 

 

 

 

 

 

 

 

 

 

 

 

11,756,003

 

Automobiles — 0.7%

 

 

 

 

 

 

 

Ford Motor Co.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 3.03%, 12/15/13

 

 

2,935

 

 

2,823,307

 

Tranche B-2 Term Loan, 3.03%, 12/15/13

 

 

316

 

 

302,847

 

 

 

 

 

 

 

 

 

 

 

 

 

3,126,154

 


 

 

 

 

See Notes to Financial Statements.

28

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Beverages — 0.6%

 

 

 

 

 

 

 

SW Acquisitions Co., Inc., Term Loan, 5.75%,
6/01/16

 

USD

2,638

 

$

2,640,222

 

Building Products — 1.0%

 

 

 

 

 

 

 

Building Materials Corp. of America, Term Loan
Advance, 3.06%, 2/22/14

 

 

553

 

 

542,139

 

Goodman Global, Inc., Term Loan, 6.25%, 2/13/14

 

 

2,683

 

 

2,692,335

 

Momentive Performance Materials

 

 

 

 

 

 

 

(Blitz 06-103 GmbH), Tranche B-2 Term

 

 

 

 

 

 

 

Loan, 2.88%, 12/04/13

 

EUR

1,075

 

 

1,248,770

 

 

 

 

 

 

 

 

 

 

 

 

 

4,483,244

 

Chemicals — 3.2%

 

 

 

 

 

 

 

CF Industries, Inc., Term Loan B-1, 4.50%,
4/05/15

 

USD

1,534

 

 

1,541,528

 

Chemtura Corp.:

 

 

 

 

 

 

 

Debtor in Possession Term Facility, 6.00%,
2/11/11

 

 

1,600

 

 

1,596,000

 

Exit Term Loan, 5.50%, 8/16/16

 

 

1,300

 

 

1,305,417

 

Gentek Holding, LLC, Tranche B Term Loan, 7.00%,
10/29/14

 

 

724

 

 

724,154

 

MacDermid, Inc., Tranche C Term Loan, 2.27%,
4/12/14

 

EUR

697

 

 

803,984

 

Nalco Co., Term Loan, 6.50%, 5/13/16

 

USD

1,708

 

 

1,713,442

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan,
(First Lien), 3.52% – 3.73%, 7/30/14

 

 

3,306

 

 

3,022,858

 

Rockwood Specialties Group, Inc., Term Loan H,
6.00%, 5/15/14

 

 

1,340

 

 

1,339,436

 

Solutia, Inc., Term Loan, 4.75%, 3/17/17

 

 

1,820

 

 

1,818,404

 

 

 

 

 

 

 

 

 

 

 

 

 

13,865,223

 

Commercial Banks — 0.4%

 

 

 

 

 

 

 

CIT Group, Inc., Term Loan, 6.25%, 1/20/12

 

 

1,500

 

 

1,495,110

 

Commercial Services & Supplies — 3.5%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit-1 Facility, 0.11%, 1/26/14

 

 

55

 

 

51,997

 

Letter of Credit-2 Facility, 0.11%, 7/26/16

 

 

64

 

 

61,826

 

Term Loan B, 3.78%, 7/26/16

 

 

970

 

 

940,102

 

US Term Loan, 2.41%, 1/26/14

 

 

761

 

 

719,013

 

AWAS Finance Luxembourg Sarl, Term Loan, 7.75%,
6/10/16

 

 

2,250

 

 

2,263,124

 

Altegrity, Inc., Incremental Term Loan, 7.75%,
2/21/15

 

 

3,000

 

 

2,988,750

 

Casella Waste Systems, Inc., Term Loan B, 7.00%,
4/09/14

 

 

386

 

 

388,030

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

975

 

 

980,282

 

International Lease Finance Corp., Term Loan 1,
6.75%, 3/17/15

 

 

2,800

 

 

2,822,168

 

Quad Graphics, Term Loan, 5.50%, 4/20/16

 

 

950

 

 

906,300

 

Synagro Technologies, Inc., Term Loan (First Lien),
2.27% – 2.28%, 4/02/14

 

 

786

 

 

664,011

 

West Corp., Incremental Term Loan B-3, 7.25%,
10/24/13

 

 

2,104

 

 

2,097,152

 

 

 

 

 

 

 

 

 

 

 

 

 

14,882,755

 

Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, First Out Tranche Loan,
9.00%, 12/18/17

 

 

2,750

 

 

2,750,000

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Term Loan B, 6.25%,
8/05/16

 

 

675

 

 

675,281

 

Consumer Discretionary — 1.0%

 

 

 

 

 

 

 

Laureate Education, Series A New Term Loan, 7.00%,
8/15/14

 

 

4,297

 

 

4,224,708

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Consumer Finance — 1.9%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan, 7.25%, 4/21/15

 

USD

5,000

 

$

4,940,625

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

3,432

 

 

3,420,315

 

 

 

 

 

 

 

 

 

 

 

 

 

8,360,940

 

Containers & Packaging — 0.2%

 

 

 

 

 

 

 

Anchor Glass Container Corp., Term Loan (First Lien),
6.00%, 3/02/16

 

 

243

 

 

240,556

 

BWAY Holding Co., Term Loan B, 5.50% – 6.00%,
6/16/17

 

 

357

 

 

356,126

 

Berry Plastics Holding Corp., Term Loan C,
2.38%, 4/03/15

 

 

343

 

 

312,757

 

ICL Industrial Containers ULC/ICL Contenants
Industriels ULC (FKA BWAY Corp.), Term Loan C,
5.50% – 6.00%, 6/16/17

 

 

33

 

 

33,408

 

 

 

 

 

 

 

 

 

 

 

 

 

942,847

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.35%,
11/14/14

 

 

4,583

 

 

3,995,790

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Loan, 2.77% – 3.04%, 7/24/14

 

 

2,305

 

 

2,118,965

 

Delayed Draw Term Loan, 2.77%, 7/24/14

 

 

230

 

 

211,017

 

 

 

 

 

 

 

 

 

 

 

 

 

6,325,772

 

Diversified Financial Services — 1.0%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Incremental US Term Loan, 6.25%, 5/05/16

 

 

1,400

 

 

1,390,084

 

US Term Loan, 6.25%, 5/05/16

 

 

1,193

 

 

1,186,239

 

Whitelabel IV SA:

 

 

 

 

 

 

 

Term Loan B1, 5.00%, 8/11/17

 

EUR

565

 

 

708,837

 

Term Loan B2, 5.00%, 8/11/17

 

 

935

 

 

1,173,030

 

 

 

 

 

 

 

 

 

 

 

 

 

4,458,190

 

Diversified Telecommunication Services — 2.1%

 

 

 

 

 

 

 

Cincinnati Bell, Inc., Tranche B Term Loan, 6.50%,
6/11/17

 

USD

1,995

 

 

1,980,038

 

Hawaiian Telcom Communications, Inc., Tranche C
Term Loan, 4.75%, 5/30/14 (c)

 

 

4,644

 

 

3,250,642

 

Level 3 Communications, Incremental Term Loan,
2.53% – 2.78%, 3/13/14

 

 

3,250

 

 

2,911,288

 

Wind Telecomunicazioni SpA:

 

 

 

 

 

 

 

Term Loan Facility B2, 4.66%, 5/24/13

 

 

568

 

 

551,841

 

Term Loan Facility C2, 3.66%, 5/26/14

 

 

568

 

 

551,841

 

 

 

 

 

 

 

 

 

 

 

 

 

9,245,650

 

Electric Utilities — 0.7%

 

 

 

 

 

 

 

New Development Holdings, LLC, Term Loan,
7.00%, 7/03/17

 

 

3,000

 

 

3,030,000

 

Electronic Equipment, Instruments &

 

 

 

 

 

 

 

Components — 1.0%

 

 

 

 

 

 

 

CDW LLC (FKA LOW Corp.), Term Loan, 4.28%,
10/10/14

 

 

2,259

 

 

2,023,280

 

Flextronics International Ltd., Closing Date Loan B,
2.56%, 10/01/12

 

 

535

 

 

515,205

 

Styron Sarl, Term Loan, 7.50%, 6/17/16

 

 

1,600

 

 

1,612,496

 

 

 

 

 

 

 

 

 

 

 

 

 

4,150,981

 

Energy Equipment & Services — 0.4%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term Loan, 6.00%,
4/03/16

 

 

1,912

 

 

1,906,924

 

Food & Staples Retailing — 1.4%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),
Facility B1, 3.55%, 7/09/15

 

GBP

1,700

 

 

2,425,350

 

Pierre Foods, Term Loan, 7.00%, 3/03/16

 

USD

1,284

 

 

1,280,600

 

Pilot Travel Centers, LLC, Initial Tranche B Term Loan,
5.25%, 6/30/16

 

 

2,157

 

 

2,159,485

 

 

 

 

 

 

 

 

 

 

 

 

 

5,865,435

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

29



 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Food Products — 1.7%

 

 

 

 

 

 

 

Dole Food Co., Inc., Tranche B-1 Term Loan,
5.00% – 5.50%, 3/02/17

 

USD

797

 

$

798,767

 

Michael Foods Group, Inc. (FKA M-Foods
Holdings, Inc.), Term Loan B, 6.25%, 6/29/16

 

 

1,000

 

 

1,000,714

 

Pilgrim’s Pride Corp., Term Loan A, 5.53%, 12/01/12

 

 

1,430

 

 

1,415,700

 

Pinnacle Foods Finance LLC, Tranche D Term Loan,
6.00%, 4/02/14

 

 

2,063

 

 

2,065,579

 

Solvest, Ltd. (Dole), Tranche C-1 Term Loan,
5.00% – 5.50%, 3/02/17

 

 

1,979

 

 

1,982,800

 

 

 

 

 

 

 

 

 

 

 

 

 

7,263,560

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC), Term Loan, 3.26%, 5/20/14

 

 

3,074

 

 

2,915,908

 

Health Care Providers & Services — 4.6%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.55%, 7/25/14

 

 

205

 

 

193,242

 

Term Loan Facility, 2.55%, 7/25/14

 

 

4,024

 

 

3,794,425

 

DaVita, Inc., Tranche B-1 Term Loan, 1.77% – 2.04%,
10/05/12

 

 

600

 

 

590,747

 

Gentiva Health Services, Inc., Term Loan B,
6.75%, 8/12/16

 

 

1,100

 

 

1,085,562

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan, 2.03%, 11/16/12

 

 

4,569

 

 

4,395,650

 

Tranche B-1 Term Loan, 2.78%, 11/18/13

 

 

245

 

 

235,811

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

2,650

 

 

2,597,000

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

793

 

 

776,873

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

3,250

 

 

3,243,906

 

Renal Advantage Holdings, Inc., Tranche B Term Loan,
6.00%, 6/03/16

 

 

1,100

 

 

1,100,000

 

Vanguard Health Holding Co. II, LLC
(Vanguard Health Systems, Inc.), Initial
Term Loan, 5.00%, 1/29/16

 

 

1,845

 

 

1,823,056

 

 

 

 

 

 

 

 

 

 

 

 

 

19,836,272

 

Health Care Technology — 0.6%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar Term Loan,
5.25%, 2/26/16

 

 

2,721

 

 

2,725,821

 

Hotels, Restaurants & Leisure — 2.7%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.50%, 1/28/15

 

 

449

 

 

383,817

 

Term Loan B-3, 3.50% – 3.53%, 1/28/15

 

 

1,404

 

 

1,199,391

 

Term Loan B-4, 9.50%, 10/31/16

 

 

2,239

 

 

2,284,770

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 6.00%, 6/30/16

 

 

3,386

 

 

3,347,210

 

Universal City Development Partners Ltd., Loan,
7.75%, 11/06/14

 

 

2,488

 

 

2,499,938

 

VML US Finance LLC (FKA Venetian Macau):

 

 

 

 

 

 

 

Term B Delayed Draw Project Loan, 5.04%,
5/25/12

 

 

1,060

 

 

1,042,023

 

Term B Funded Project Loan, 5.04%, 5/27/13

 

 

1,013

 

 

990,932

 

 

 

 

 

 

 

 

 

 

 

 

 

11,748,081

 

IT Services — 2.8%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan, 3.26%, 11/09/14

 

 

2,910

 

 

2,588,882

 

EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16

 

 

1,150

 

 

1,124,125

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

2,801

 

 

2,388,167

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

1,375

 

 

1,172,779

 

SunGard Data Systems, Inc. (Solar Capital Corp.),
Incremental Term Loan, 6.75%, 2/28/14

 

 

349

 

 

348,613

 

TransUnion LLC, Term Loan, 6.75%,
6/15/17

 

 

4,250

 

 

4,288,518

 

 

 

 

 

 

 

 

 

 

 

 

 

11,911,084

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Independent Power Producers & Energy Traders — 0.5%

 

 

 

 

 

 

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Term Letter of Credit Facility, 4.02%, 4/02/13

 

USD

327

 

$

321,860

 

Tranche B Term Loan, 4.02%, 4/02/13

 

 

26

 

 

25,777

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.79% – 4.07%,
10/10/14

 

 

2,171

 

 

1,645,021

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

196

 

 

148,085

 

 

 

 

 

 

 

 

 

 

 

 

 

2,140,743

 

Industrial Conglomerates — 0.3%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.79%, 12/03/14

 

 

1,394

 

 

1,282,098

 

Insurance — 0.1%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., Term Loan, 3.53%, 8/21/14

 

 

581

 

 

552,049

 

Internet & Catalog Retail — 0.3%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term Loan, 6.75%,
8/26/14

 

 

1,096

 

 

1,096,254

 

Leisure Equipment & Products — 0.3%

 

 

 

 

 

 

 

EB Sports Corp., Loan, 11.50%, 5/01/12 (c)

 

 

1,466

 

 

1,392,281

 

Machinery — 0.2%

 

 

 

 

 

 

 

Generac Acquisition Corp., Term Loan (First Lien),
2.81% – 3.03%, 11/10/13

 

 

343

 

 

315,378

 

Oshkosh Truck Corp., Term Loan B, 6.44% – 6.54%,
12/06/13

 

 

612

 

 

614,883

 

 

 

 

 

 

 

 

 

 

 

 

 

930,261

 

Media — 8.2%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

2,526

 

 

2,517,582

 

Charter Communications Operating, LLC:

 

 

 

 

 

 

 

New Term Loan, 2.26%, 3/06/14

 

 

546

 

 

516,358

 

Term Loan B1, 7.25%, 3/06/14

 

 

1,672

 

 

1,707,700

 

Term Loan C, 3.79%, 9/06/16

 

 

5,302

 

 

5,071,115

 

Ellis Communications KDOC, LLC, Loan, 10.00%,
12/30/11

 

 

6,303

 

 

2,363,533

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
5.79%, 6/12/14 (c)

 

 

3,154

 

 

2,871,752

 

Hanley-Wood, LLC, Term Loan, 2.56% – 2.63%,
3/10/14

 

 

742

 

 

321,082

 

Interactive Data Corp., Term Loan, 6.75%, 1/29/17

 

 

1,300

 

 

1,307,583

 

Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):

 

 

 

 

 

 

 

Facility B1, 3.52%, 6/30/15

 

EUR

337

 

 

322,477

 

Facility C1, 3.77%, 6/30/16

 

 

674

 

 

644,953

 

Mediacom Illinois, LLC (FKA Mediacom
Communications, LLC), Tranche D Term
Loan, 5.50%, 3/31/17

 

USD

993

 

 

972,327

 

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

 

 

4,250

 

 

4,510,312

 

Sinclair Television Group, Inc., New Tranche B Loan,
5.50% – 6.25%, 10/29/15

 

 

1,587

 

 

1,588,602

 

Springer Science+Business Media SA, Facility A1,
6.75%, 7/01/16

 

EUR

1,900

 

 

2,381,692

 

Sunshine Acquisition Ltd. (FKA HIT Entertainment),
Term Facility, 5.68%, 6/01/12

 

USD

1,432

 

 

1,335,986

 

TWCC Holdings Corp., Replacement Term Loan,
5.00%, 9/14/15

 

 

1,943

 

 

1,940,669

 

UPC Financing Partnership, Facility U, 4.64%,
12/31/17

 

EUR

1,600

 

 

1,882,159

 

Virgin Media Investment Holdings, Ltd., Facility B,
4.77%, 12/31/15

 

GBP

1,250

 

 

1,858,360

 

Yell Group Plc Facility A3-Yell Finance (UK) Limited,
2.60%, 4/30/14

 

USD

1,406

 

 

1,357,031

 

 

 

 

 

 

 

 

 

 

 

 

 

35,471,273

 


 

 

 

 

See Notes to Financial Statements.

 

 

30

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Metals & Mining — 0.6%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

USD

1,286

 

$

1,196,384

 

14.00%, 6/29/13 (c)

 

 

1,343

 

 

1,249,093

 

 

 

 

 

 

 

 

 

 

 

 

 

2,445,477

 

Multi-Utilities — 0.3%

 

 

 

 

 

 

 

Energy Transfer Equity, LP, Term Loan, 2.02%,
11/01/12

 

 

750

 

 

734,062

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit, 0.41%, 11/01/13

 

 

9

 

 

7,940

 

Term B Advance (First Lien), 3.06%, 11/01/13

 

 

509

 

 

472,314

 

 

 

 

 

 

 

 

 

 

 

 

 

1,214,316

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2 Term Loan,
3.01% – 3.03%, 7/07/14

 

 

2,179

 

 

2,097,209

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 2.65%, 7/06/15

 

EUR

369

 

 

442,525

 

Facility C, 3.40%, 7/05/16

 

 

369

 

 

442,525

 

Facility D, 5.65%, 1/01/17

 

 

2,900

 

 

3,399,399

 

The Neiman Marcus Group, Inc., Term Loan,
2.30%, 4/06/13

 

USD

966

 

 

915,428

 

 

 

 

 

 

 

 

 

 

 

 

 

7,297,086

 

Oil, Gas & Consumable Fuels — 2.2%

 

 

 

 

 

 

 

Big West Oil, LLC, Term Loan, 12.00%, 7/23/15

 

 

1,500

 

 

1,518,125

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

2,246

 

 

2,264,723

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

603

 

 

608,433

 

Turbo Beta Ltd., Dollar Facility, 14.50%,
3/15/18 (c)

 

GBP

6,226

 

 

4,934,275

 

 

 

 

 

 

 

 

 

 

 

 

 

9,325,556

 

Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

Georgia-Pacific LLC, Term Loan B, 2.30% – 2.53%,
12/23/12

 

USD

214

 

 

210,797

 

Verso Paper Finance Holdings LLC, PIK Loan,
6.69% – 7.44%, 2/01/13 (c)

 

 

4,208

 

 

2,524,622

 

 

 

 

 

 

 

 

 

 

 

 

 

2,735,419

 

Personal Products — 0.0%

 

 

 

 

 

 

 

American Safety Razor Co., LLC, Term Loan
(First Lien), 8.75%, 7/31/13 (c)

 

 

161

 

 

148,717

 

Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Warner Chilcott Co., LLC, Term Loan A, 6.00%,
10/30/14

 

 

708

 

 

706,642

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan B, 6.25%, 4/30/15

 

 

676

 

 

675,102

 

Term Loan B-1, 6.25%, 4/30/15

 

 

270

 

 

269,162

 

Term Loan B-2, 6.25%, 4/30/15

 

 

445

 

 

444,781

 

Term Loan B-3, 6.50%, 2/20/16

 

 

872

 

 

875,000

 

Term Loan B-4, 6.50%, 2/20/16

 

 

283

 

 

283,914

 

 

 

 

 

 

 

 

 

 

 

 

 

3,254,601

 

Professional Services — 0.4%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Term Loan C, 6.00%, 7/31/15

 

 

1,741

 

 

1,740,815

 

Real Estate Management & Development — 1.7%

 

 

 

 

 

 

 

Enclave, Term Loan (First Lien), 6.14%,
3/01/12 (a)(d)

 

 

4,000

 

 

1

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan B, 3.30% – 3.53%,
10/10/13

 

 

1,468

 

 

1,266,267

 

Initial Term Loan B, 3.30%, 10/10/13

 

 

4,418

 

 

3,812,239

 

Synthetic Letter of Credit, 0.11%, 10/10/13

 

 

757

 

 

653,512

 

Term Loan (Second Lien), 13.50%, 10/15/17

 

 

1,500

 

 

1,582,500

 

 

 

 

 

 

 

 

 

 

 

 

 

7,314,519

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Extended Maturity
Term Loan, 4.56%, 12/01/16

 

USD

740

 

$

661,722

 

Software — 0.3%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term Loan, 6.75%,
4/30/16

 

 

1,097

 

 

1,096,336

 

Specialty Retail — 0.9%

 

 

 

 

 

 

 

Burlington Coat Factory Warehouse Corp., Term Loan,
2.54% – 2.66%, 5/28/13

 

 

680

 

 

644,130

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.63% – 2.81%, 10/31/13

 

 

1,384

 

 

1,305,420

 

Term Loan B-2, 4.88% – 5.06%, 7/31/16

 

 

543

 

 

523,653

 

Toys ‘R’ Us, Inc., Term Loan B, 6.00%, 8/17/16

 

 

1,500

 

 

1,496,241

 

 

 

 

 

 

 

 

 

 

 

 

 

3,969,444

 

Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Phillips Van Heusen Corp., U.S. Tranche B Term Loan,
4.75%, 5/06/16

 

 

1,325

 

 

1,332,158

 

Wireless Telecommunication Services — 1.9%

 

 

 

 

 

 

 

Cavtel Holdings, LLC, Term Loan, 10.50%,
12/31/12 (c)

 

 

825

 

 

779,602

 

Digicel International Finance Ltd., U.S. Term Loan
(Non-Rollover), 3.06%, 3/30/12

 

 

1,167

 

 

1,139,381

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 2.56%, 11/03/13

 

 

83

 

 

81,058

 

Tranche B-2 Term Loan B, 3.81%, 11/03/16

 

 

909

 

 

891,419

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

5,500

 

 

5,500,000

 

 

 

 

 

 

 

 

 

 

 

 

 

8,391,460

 

Total Floating Rate Loan Interests — 59.8%

 

 

 

 

 

257,983,246

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

 

Airlines — 0.1%

 

 

 

 

 

 

 

Delta Air Lines, Inc. Default Escrow:

 

 

 

 

 

 

 

8.33%

 

 

5,505

 

 

98,539

 

10.00%

 

 

4,200

 

 

75,180

 

 

 

 

 

 

 

 

 

 

 

 

 

173,719

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust, Class A

 

 

833

 

 

250

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred Equity Interests (k)

 

 

1

 

 

1,190,710

 

Household Durables — 0.2%

 

 

 

 

 

 

 

Stanley Martin, Class B Membership Units (k)

 

 

2

 

 

947,250

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

7,500

 

 

750

 

Adelphia Preferred Escrow

 

 

5

 

 

1

 

Adelphia Recovery Trust

 

 

9,406

 

 

37,624

 

Adelphia Recovery Trust, Series ACC-6B INT

 

 

500

 

 

50

 

 

 

 

 

 

 

 

 

 

 

 

 

38,425

 

Metals & Mining — 0.3%

 

 

 

 

 

 

 

RathGibson Acquisition Co., LLC (k)

 

 

280

 

 

1,488,924

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

1,440

 

 

144

 

Movie Gallery, Inc. Default Escrow

 

 

21,700

 

 

217

 

 

 

 

 

 

 

 

 

 

 

 

 

361

 

Total Other Interests — 0.9%

 

 

 

 

 

3,839,639

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

31



 

 

 

 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

Value

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

126,761

 

$

1

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (Expires 4/29/14)

 

 

1,216

 

 

12

 

Media — 0.0%

 

 

 

 

 

 

 

Charter Communications, Inc. (Expires 11/30/14)

 

 

12,661

 

 

69,636

 

Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

4

 

 

—

 

Software — 0.0%

 

 

 

 

 

 

 

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

 

 

24,924

 

 

—

 

Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. (Expires 5/15/15)

 

 

62,323

 

 

1

 

Total Warrants — 0.0%

 

 

 

 

 

69,650

 

Total Long-Term Investments
(Cost — $596,588,061) — 120.1%

 

 

 

 

 

518,417,395

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 

Bank of New York Cash Reserves, 0.01% (m)

 

USD

2,175

 

 

2,174,508

 

Total Short-Term Securities
(Cost — $2,174,508) — 0.5%

 

 

 

 

 

2,174,508

 

Total Investments (Cost — $598,762,569*) — 120.6%

 

 

 

 

 

520,591,903

 

Liabilities in Excess of Other Assets — (20.6)%

 

 

 

 

 

(89,033,094

)

 

 

 

 

 

 

Net Assets — 100.0%

 

 

 

 

$

431,558,809

 

 

 

 

 

 

 


 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

595,470,258

 

 

 

 

 

 

 

 

 

Gross unrealized appreciation

 

 

 

 

$

24,052,036

 

 

Gross unrealized depreciation

 

 

 

 

 

(98,930,391

)

 

 

 

 

 

 

 

 

Net unrealized depreciation

 

 

 

 

$

(74,878,355

)

 

 

 

 

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

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

 

 

(e)

As a result of bankruptcy proceedings, the company did not repay the principal amount or accrued interest of the security upon maturity.

 

 

(f)

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

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

The investment is held by a wholly-owned taxable subsidiary of the Fund.

 

 

(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)

Represents the current yield as of report date.

 

 

•

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


 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

1,319,723

 

(1,319,723)

—

 

$2,856

 


 

 

•

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

EUR

2,395,100

 

USD

3,055,024

 

Citibank NA

 

9/15/10

 

$

(19,898

)

USD

20,931,990

 

EUR

16,528,000

 

Citibank NA

 

9/15/10

 

 

(12,675

)

USD

520,319

 

EUR

403,500

 

Deutsche Bank AG

 

9/15/10

 

 

8,995

 

CAD

1,140,500

 

USD

1,083,775

 

UBS AG

 

10/20/10

 

 

(15,098

)

USD

3,702,055

 

CAD

3,909,000

 

Deutsche Bank AG

 

10/20/10

 

 

39,222

 

USD

5,130,643

 

GBP

3,328,500

 

Royal Bank
of Scotland Plc

 

10/20/10

 

 

27,669

 

Total

 

 

 

 

 

 

 

 

 

$

28,215

 

 

 

 

 

 

 

 

 

 

 

 


 

 

•

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

K. Hovnanian

 

5.00%

 

Goldman Sachs

 

December

 

$

855

 

$

50,843

 

Enterprises, Inc.

 

 

 

Bank USA

 

2011

 

 

 

 

 

 

 

K. Hovnanian

 

5.00%

 

Goldman Sachs

 

September

 

$

250

 

 

21,190

 

Enterprises, Inc.

 

 

 

Bank USA

 

2013

 

 

 

 

 

 

 

Brunswick Corp.

 

5.00%

 

Goldman Sachs

 

September

 

$

325

 

 

(17,128

)

 

 

 

 

Bank USA

 

2015

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

54,905

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

•

Credit default swaps on traded issuers — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

Issuer

Receive
Fixed
Rate

Counterparty

Expiration

Credit
Rating 1

Notional
Amount
(000) 2

Unrealized
Depreciation

BAA Ferrovial

2.00%

Deutsche

March 2012

A–

GBP 900

$(48,632)

Junior Term Loan

 

Bank AG

 

 

 

 


 

 

 

 

 

 

1

Using S&P’s rating of the issuer.

 

 

 

 

 

 

2

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

 

 

 

 

•

For Fund compliance purposes,the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. This definition 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 derivatives, which are as follows:

 

 

 

 

 

•

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

 

 

 

 

 

•

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


 

 

 

 

See Notes to Financial Statements.

 

 

32

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

•

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 derivatives)

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

The following tables summarize the inputs used as of August 31, 2010 in determining the fair valuation of the Fund’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

11,681,179

 

$

4,220,095

 

$

935,799

 

$

16,837,073

 

Corporate Bonds

 

 

—

 

 

229,063,438

 

 

10,624,349

 

 

239,687,787

 

Floating Rate Loan Interests

 

 

—

 

 

205,463,969

 

 

52,519,277

 

 

257,983,246

 

Other Interests

 

 

—

 

 

173,719

 

 

3,665,920

 

 

3,839,639

 

Warrants

 

 

69,636

 

 

—

 

 

14

 

 

69,650

 

Short-Term Securities

 

 

—

 

 

2,174,508

 

 

—

 

 

2,174,508

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

—

 

 

(52,865

)

 

(52,865

)

 

 

Total

 

$

11,750,815

 

$

441,095,729

 

$

67,692,494

 

$

520,539,038

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments 1

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

72,033

 

 

—

 

$

72,033

 

Foreign currency exchange contracts

 

 

—

 

 

75,886

 

 

—

 

 

75,886

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(17,128

)

$

(48,632

)

 

(65,760

)

Foreign currency exchange contracts

 

 

—

 

 

(47,671

)

 

—

 

 

(47,671

)

 

 

Total

 

 

—

 

$

83,120

 

$

(48,632

)

$

34,488

 

 

 


 

 

1

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Warrants

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

311,675

 

$

11,805,208

 

$

58,483,045

 

$

2,253,500

 

$

31,175

 

 

—

 

$

72,884,603

 

Accrued discounts/premiums

 

 

—

 

 

283,239

 

 

312,255

 

 

—

 

 

—

 

 

—

 

 

595,494

 

Net realized gain (loss)

 

 

—

 

 

177,745

 

 

(6,167,426

)

 

364,537

 

 

—

 

 

—

 

 

(5,625,144

)

Net change in unrealized appreciation/depreciation 2

 

 

713,481

 

 

758,386

 

 

8,253,852

 

 

79,727

 

 

(31,161

)

$

(52,865

)

 

9,721,420

 

Purchases

 

 

—

 

 

23,853

 

 

3,147,673

 

 

—

 

 

—

 

 

—

 

 

3,171,526

 

Sales

 

 

—

 

 

(2,406,340

)

 

(31,346,952

)

 

(520,768

)

 

—

 

 

—

 

 

(34,274,060

)

Transfers in 3

 

 

805,207

 

 

—

 

 

32,221,417

 

 

1,488,924

 

 

—

 

 

—

 

 

34,515,548

 

Transfers out 3

 

 

(894,564

)

 

(17,742

)

 

(12,384,587

)

 

—

 

 

—

 

 

—

 

 

(13,296,893

)

 

 

Balance, as of August 31, 2010

 

$

935,799

 

$

10,624,349

 

$

52,519,277

 

$

3,665,920

 

$

14

 

$

(52,865

)

$

67,692,494

 

 

 


 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $1,342,598.

 

 

3

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

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

 

Liabilities:

 

 

 

 

Balance, as of February 28, 2010

 

$

(94,696

)

Accrued discounts/premiums

 

 

—

 

Net realized gain (loss)

 

 

—

 

Net change in unrealized appreciation/depreciation 4

 

 

46,064

 

Purchases

 

 

—

 

Sales

 

 

—

 

Transfers in 5

 

 

—

 

Transfers out 5

 

 

—

 

 

 

 

Balance, as of August 31, 2010

 

$

(48,632

)

 

 

 


 

 

4

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on swaps still held on August 31, 2010 was $46,064.

 

 

5

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


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

33



 

 

 

 

Schedule of Investments August 31, 2010 (Unaudited)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks (a)

 

Shares

 

Value

 

Building Products — 0.1%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

3,830

 

$

145,540

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

10,732

 

 

4,120

 

Wellman Holdings, Inc.

 

 

181

 

 

9

 

 

 

 

 

 

 

 

 

 

 

 

 

4,129

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

710

 

 

29,465

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd.

 

 

13,053

 

 

405

 

Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

SunPower Corp., Class B

 

 

5,332

 

 

55,133

 

Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

47,611

 

 

238,055

 

Total Common Stocks — 0.4%

 

 

 

 

 

472,727

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Airlines — 0.4%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (b)

 

USD

250

 

 

245,000

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

285

 

 

299,325

 

 

 

 

 

 

 

 

 

 

 

 

 

544,325

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

16

 

 

15,830

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

105

 

 

104,213

 

8.00%, 1/15/18

 

 

1,000

 

 

995,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,115,043

 

Building Products — 2.4%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

425

 

 

422,875

 

CPG International I, Inc., 7.50%, 7/01/12 (c)

 

 

3,000

 

 

2,898,750

 

 

 

 

 

 

 

 

 

 

 

 

 

3,321,625

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp., 4.00%, 8/31/19 (b)(d)(e)

 

 

46

 

 

55,200

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

 

593

 

 

219,410

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(f)

 

 

166

 

 

14,971

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (b)(f)

 

 

176

 

 

15,865

 

 

 

 

 

 

 

 

 

 

 

 

 

305,446

 

Chemicals — 1.1%

 

 

 

 

 

 

 

CF Industries, Inc., 6.88%, 5/01/18

 

 

480

 

 

505,200

 

GEO Specialty Chemicals, Inc. (b):

 

 

 

 

 

 

 

7.50%, 3/31/15 (d)(f)

 

 

702

 

 

456,366

 

10.00%, 3/31/15

 

 

691

 

 

448,864

 

Wellman Holdings, Inc., Subordinate Note (Third Lien),
5.00%, 1/29/19 (d)(f)

 

 

195

 

 

76,181

 

 

 

 

 

 

 

 

 

 

 

 

 

1,486,611

 

Commercial Banks — 1.1%

 

 

 

 

 

 

 

CIT Group, Inc., 7.00%, 5/01/17

 

 

1,585

 

 

1,490,395

 

Commercial Services & Supplies — 0.5%

 

 

 

 

 

 

 

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

 

 

400

 

 

410,000

 

The Geo Group, Inc., 7.75%, 10/15/17 (b)

 

 

300

 

 

309,000

 

 

 

 

 

 

 

 

 

 

 

 

 

719,000

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Construction Materials — 0.5%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

USD

713

 

$

751,487

 

Consumer Finance — 0.5%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

190

 

 

196,888

 

Inmarsat Finance Plc, 7.38%, 12/01/17 (b)

 

 

525

 

 

538,125

 

 

 

 

 

 

 

 

 

 

 

 

 

735,013

 

Containers & Packaging — 2.4%

 

 

 

 

 

 

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

900

 

 

902,250

 

9.50%, 5/15/18 (b)

 

 

280

 

 

257,600

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

50

 

 

47,625

 

Clondalkin Acquisition BV, 2.54%, 12/15/13 (b)(c)

 

 

1,500

 

 

1,308,750

 

Owens-Brockway Glass Container, Inc., 6.75%,
12/01/14

 

EUR

113

 

 

144,631

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

275

 

 

355,464

 

7.75%, 11/15/19

 

 

265

 

 

344,217

 

 

 

 

 

 

 

 

 

 

 

 

 

3,360,537

 

Diversified Financial Services — 1.6%

 

 

 

 

 

 

 

Ally Financial Inc., 8.30%, 2/12/15 (b)

 

USD

950

 

 

988,000

 

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

 

 

100

 

 

100,125

 

FCE Bank Plc, 7.13%, 1/16/12

 

EUR

400

 

 

524,642

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

USD

400

 

 

403,000

 

Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b)

 

EUR

200

 

 

257,249

 

 

 

 

 

 

 

 

 

 

 

 

 

2,273,016

 

Diversified Telecommunication Services — 1.0%

 

 

 

 

 

 

 

Frontier Communications Corp., 8.25%, 4/15/17

 

USD

290

 

 

306,675

 

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

 

 

500

 

 

492,500

 

Qwest Communications International, Inc., 8.00%,
10/01/15 (b)

 

 

300

 

 

322,500

 

Qwest Corp., 8.38%, 5/01/16

 

 

240

 

 

279,600

 

 

 

 

 

 

 

 

 

 

 

 

 

1,401,275

 

Energy Equipment & Services — 0.5%

 

 

 

 

 

 

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

750

 

 

701,250

 

Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

250

 

 

245,000

 

Rite Aid Corp., 8.00%, 8/15/20 (b)

 

 

140

 

 

139,125

 

 

 

 

 

 

 

 

 

 

 

 

 

384,125

 

Food Products — 0.7%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

300

 

 

308,625

 

Bumble Bee Foods LLC, 7.75%, 12/15/15 (b)

 

 

240

 

 

253,800

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

390

 

 

435,337

 

 

 

 

 

 

 

 

 

 

 

 

 

997,762

 

Health Care Equipment & Supplies — 0.5%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

685

 

 

733,806

 

Health Care Providers & Services — 0.9%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

75

 

 

75,000

 

HCA, Inc., 7.25%, 9/15/20

 

 

255

 

 

266,475

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

95

 

 

101,175

 

8.88%, 7/01/19

 

 

690

 

 

746,062

 

 

 

 

 

 

 

 

 

 

 

 

 

1,188,712

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

980

 

 

1,135,575

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

34

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 1.1%

 

 

 

 

 

 

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,
2/15/14 (a)(b)(g)

 

USD

1,565

 

$

528,188

 

MGM Resorts International, 10.38%, 5/15/14

 

 

260

 

 

283,400

 

Travelport LLC, 5.16%, 9/01/14 (c)

 

 

815

 

 

755,912

 

 

 

 

 

 

 

 

 

 

 

 

 

1,567,500

 

Independent Power Producers & Energy Traders — 2.5%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,215

 

 

1,275,750

 

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

 

 

500

 

 

481,501

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

1,660

 

 

1,693,200

 

 

 

 

 

 

 

 

 

 

 

 

 

3,450,451

 

Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp., 13.50%, 12/01/15 (b)(f)

 

 

679

 

 

705,814

 

Media — 2.6%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

 

555

 

 

568,875

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

230

 

 

251,275

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

212

 

 

219,950

 

Series B, 9.25%, 12/15/17

 

 

847

 

 

888,291

 

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

 

 

525

 

 

546,656

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

60

 

 

70,713

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

USD

135

 

 

128,925

 

UPC Germany GmbH, 8.13%, 12/01/17 (b)

 

 

1,000

 

 

1,027,500

 

 

 

 

 

 

 

 

 

 

 

 

 

3,702,185

 

Metals & Mining — 0.4%

 

 

 

 

 

 

 

FMG Finance Property Ltd., 4.30%, 9/01/11 (b)(c)

 

 

180

 

 

180,225

 

Ryerson, Inc., 7.84%, 11/01/14 (c)

 

 

450

 

 

417,375

 

 

 

 

 

 

 

 

 

 

 

 

 

597,600

 

Multiline Retail — 0.2%

 

 

 

 

 

 

 

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

 

 

235

 

 

270,250

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

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

 

 

160

 

 

164,400

 

OPTI Canada, Inc., 9.00%, 12/15/12 (b)

 

 

665

 

 

666,663

 

 

 

 

 

 

 

 

 

 

 

 

 

831,063

 

Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Verso Paper Holdings LLC, Series B, 4.22%,
8/01/14 (c)

 

 

180

 

 

147,600

 

Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (c)

 

 

300

 

 

242,250

 

Elan Finance Plc, 4.38%, 11/15/11 (c)

 

 

950

 

 

948,812

 

 

 

 

 

 

 

 

 

 

 

 

 

1,191,062

 

Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., 7.38%, 5/15/20

 

 

195

 

 

200,850

 

Wireless Telecommunication Services — 1.8%

 

 

 

 

 

 

 

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

 

 

825

 

 

851,812

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15 (f)

 

 

399

 

 

400,995

 

8.25%, 9/01/17

 

 

100

 

 

103,875

 

iPCS, Inc., 2.59%, 5/01/13 (c)

 

 

500

 

 

467,500

 

Nextel Communications, Inc., Series E, 6.88%,
10/31/13

 

 

425

 

 

423,938

 

Sprint Capital Corp., 8.38%, 3/15/12

 

 

200

 

 

211,500

 

 

 

 

 

 

 

 

 

 

 

 

 

2,459,620

 

Total Corporate Bonds — 27.0%

 

 

 

 

 

37,768,998

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

 

Par
(000)

 

 

Value

 

Aerospace & Defense — 1.6%

 

 

 

 

 

 

 

DynCorp International, Term Loan, 6.25%, 7/07/16

 

USD

575

 

$

570,544

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked Deposit, 0.43%, 3/26/14

 

 

45

 

 

35,596

 

Term Loan, 2.26%, 3/26/14

 

 

736

 

 

586,523

 

TASC, Inc.:

 

 

 

 

 

 

 

Tranche A Term Loan, 5.50%, 12/18/14

 

 

323

 

 

323,269

 

Tranche B Term Loan, 5.75%, 12/18/15

 

 

657

 

 

658,342

 

 

 

 

 

 

 

 

 

 

 

 

 

2,174,274

 

Auto Components — 3.0%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Term Loan, 8.51%,
3/01/12 (f)

 

 

341

 

 

327,741

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/09/16

 

 

748

 

 

719,756

 

Allison Transmission, Inc., Term Loan, 3.04%,
8/07/14

 

 

2,643

 

 

2,435,781

 

Dana Holding Corp., Term Advance, 4.52% – 6.50%,
1/30/15

 

 

475

 

 

466,419

 

Exide Global Holdings Netherlands C.V., European
Borrower, Term Loan, 3.94%, 5/15/12

 

EUR

170

 

 

199,538

 

GPX International Tire Corp. (a)(g):

 

 

 

 

 

 

 

Tranche B Term Loan, 10.25%, 3/30/12

 

 

549

 

 

—

 

PIK fee 12.00%, 4/11/12

 

USD

9

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

4,149,235

 

Automobiles — 1.2%

 

 

 

 

 

 

 

Ford Motor Co.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 3.03%, 12/15/13

 

 

1,626

 

 

1,563,953

 

Tranche B-2 Term Loan, 3.03%, 12/15/13

 

 

146

 

 

139,915

 

 

 

 

 

 

 

 

 

 

 

 

 

1,703,868

 

Beverages — 1.0%

 

 

 

 

 

 

 

SW Acquisitions Co., Inc., Term Loan, 5.75%,
6/01/16

 

 

1,368

 

 

1,369,720

 

Building Products — 1.8%

 

 

 

 

 

 

 

Building Materials Corp. of America, Term Loan
Advance, 3.06%, 2/22/14

 

 

470

 

 

461,329

 

Goodman Global, Inc., Term Loan, 6.25%, 2/13/14

 

 

1,432

 

 

1,436,894

 

Momentive Performance Materials
(Blitz 06-103 GmbH), Tranche B-2 Term
Loan, 2.88%, 12/04/13

 

EUR

345

 

 

400,768

 

PGT Industries, Inc., Tranche A-2 Term Loan, 7.25%,
2/14/12

 

USD

226

 

 

209,183

 

 

 

 

 

 

 

 

 

 

 

 

 

2,508,174

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Term Loan (First Lien),
3.48% – 3.53%, 11/13/14

 

 

525

 

 

463,477

 

Chemicals — 5.2%

 

 

 

 

 

 

 

CF Industries, Inc., Term Loan B-1, 4.50%, 4/05/15

 

 

487

 

 

489,310

 

Chemtura Corp.:

 

 

 

 

 

 

 

Debtor in Possession Term Facility, 6.00%,
2/11/11

 

 

800

 

 

798,000

 

Exit Term Loan, 5.50%, 8/16/16

 

 

800

 

 

803,334

 

Gentek Holding, LLC, Tranche B Term Loan, 7.00%,
10/29/14

 

 

453

 

 

452,596

 

Huish Detergents, Inc., Tranche B Term Loan, 2.02%,
4/26/14

 

 

331

 

 

312,553

 

Lyondell Chemical Co., Exit Term Loan, 5.50%,
4/08/16

 

 

335

 

 

337,326

 

MacDermid, Inc., Tranche C Term Loan, 2.27%,
4/12/14

 

EUR

285

 

 

328,609

 

Nalco Co., Term Loan, 6.50%, 5/13/16

 

USD

1,262

 

 

1,266,457

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan
(First Lien), 3.52% – 3.73%, 7/30/14

 

 

1,304

 

 

1,191,937

 

Rockwood Specialties Group, Inc., Term Loan H,
6.00%, 5/15/14

 

 

678

 

 

678,089

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

35



 

 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Solutia, Inc., Term Loan, 4.75%, 3/17/17

 

USD

647

 

$

646,907

 

 

 

 

 

 

 

 

 

 

 

 

 

7,305,118

 

Commercial Banks — 0.9%

 

 

 

 

 

 

 

CIT Group, Inc., Term Loan, 6.25%, 1/20/12

 

 

1,325

 

 

1,320,681

 

Commercial Services & Supplies — 6.4%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit-1 Facility, 0.11%, 1/26/14

 

 

18

 

 

16,881

 

Letter of Credit-2 Facility, 0.11%, 7/26/16

 

 

29

 

 

27,635

 

U.S. Term Loan, 2.41%, 1/26/14

 

 

247

 

 

233,436

 

U.S. Term Loan B, 3.78%, 7/26/16

 

 

433

 

 

420,209

 

AWAS Finance Luxembourg Sarl, Term Loan, 7.75%,
6/10/16

 

 

675

 

 

678,937

 

Adesa, Inc. (KAR Holdings, Inc.), Initial Term Loan,
3.02%, 10/21/13

 

 

407

 

 

391,331

 

Advanced Disposal Services, Inc., Term Loan B,
6.00%, 1/14/15

 

 

498

 

 

497,500

 

Altegrity, Inc., Incremental Term Loan, 7.75%,
2/21/15

 

 

1,000

 

 

996,250

 

Casella Waste Systems, Inc., Term Loan B, 7.00%,
4/09/14

 

 

495

 

 

497,475

 

Diversey, Inc. (FKA Johnson Diversey, Inc.), Tranche B
Dollar Term Loan, 5.50%, 11/24/15

 

 

498

 

 

496,256

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

600

 

 

603,250

 

International Lease Finance Corp., Term Loan 1,
6.75%, 3/17/15

 

 

1,150

 

 

1,159,105

 

Protection One, Inc., Term Loan, 6.00%, 6/04/16

 

 

870

 

 

860,213

 

Quad Graphics, Term Loan, 5.50%, 4/20/16

 

 

300

 

 

286,200

 

Synagro Technologies, Inc., Term Loan (First Lien),
2.27% – 2.28%, 4/02/14

 

 

970

 

 

819,650

 

West Corp., Incremental Term Loan B-3, 7.25%,
10/24/13

 

 

1,011

 

 

1,008,119

 

 

 

 

 

 

 

 

 

 

 

 

 

8,992,447

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Sorenson Communications, Tranche C Term Loan,
6.00%, 8/16/13

 

 

134

 

 

119,799

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Acquilex Holdings, LLC, Term Loan B, 5.50%, 4/01/16

 

 

100

 

 

99,334

 

Safway Services, LLC, First Out Tranche Loan, 9.00%,
12/18/17

 

 

900

 

 

900,000

 

 

 

 

 

 

 

 

 

 

 

 

 

999,334

 

Construction Materials — 0.3%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Term Loan B, 6.25%,
8/05/16

 

 

475

 

 

475,198

 

Consumer Finance — 2.6%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan, 7.25%, 4/21/15

 

 

2,025

 

 

2,000,953

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

1,687

 

 

1,681,510

 

 

 

 

 

 

 

 

 

 

 

 

 

3,682,463

 

Containers & Packaging — 0.8%

 

 

 

 

 

 

 

Anchor Glass Container Corp., Term Loan (First Lien),
6.00%, 3/02/16

 

 

325

 

 

321,913

 

BWAY Holding Co., Term Loan, 5.50% – 6.00%,
6/16/17

 

 

128

 

 

127,840

 

Berry Plastics Holding Corp., Term Loan C,
2.32% – 2.38%, 4/03/15

 

 

366

 

 

333,444

 

Graham Packaging Co., LP, Term Loan C, 6.75%,
4/05/14

 

 

274

 

 

275,460

 

ICL Industrial Containers ULC/ICL Contenants
Industriels ULC (FKA BWAY Corp.), Term Loan C,
5.50% – 6.00%, 6/16/17

 

 

12

 

 

11,993

 

 

 

 

 

 

 

 

 

 

 

 

 

1,070,650

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

Diversified Consumer Services — 3.1%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.35%,
11/14/14

 

USD

1,466

 

$

1,278,313

 

Laureate Education, Series A New Term Loan,
7.00%, 8/15/14

 

 

2,059

 

 

2,024,942

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Loan, 2.77% – 3.04%, 7/24/14

 

 

964

 

 

886,036

 

Delayed Draw Term Loan, 6.25% – 2.77%, 7/24/14

 

 

96

 

 

88,236

 

 

 

 

 

 

 

 

 

 

 

 

 

4,277,527

 

Diversified Financial Services — 2.0%

 

 

 

 

 

 

 

MSCI, Inc., Term Loan, 4.75%, 6/01/16

 

 

923

 

 

925,379

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Incremental US Term Loan, 6.25%, 5/05/16

 

 

600

 

 

595,750

 

US Term Loan, 6.25%, 5/05/16

 

 

596

 

 

592,498

 

Whitelabel IV SA:

 

 

 

 

 

 

 

Term Loan B-1, 5.00%, 8/11/17

 

 

188

 

 

236,279

 

Term Loan B-2, 5.00%, 8/11/17

 

 

312

 

 

391,010

 

 

 

 

 

 

 

 

 

 

 

 

 

2,740,916

 

Diversified Telecommunication Services — 2.6%

 

 

 

 

 

 

 

Cincinnati Bell Inc., Tranche B Term Loan, 6.50%, 6/11/17

 

 

723

 

 

717,764

 

Integra Telecom Holdings, Inc., Term Loan, 9.25%,
4/15/15

 

 

800

 

 

798,000

 

Level 3 Communications, Incremental Term Loan,
2.53% – 2.78%, 3/13/14

 

 

1,650

 

 

1,478,039

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.89%, 12/17/14

 

EUR

525

 

 

663,955

 

 

 

 

 

 

 

 

 

 

 

 

 

3,657,758

 

Electric Utilities — 1.1%

 

 

 

 

 

 

 

New Development Holdings, LLC, Term Loan,
7.00%, 7/03/17

 

USD

1,500

 

 

1,515,000

 

Electrical Equipment — 0.5%

 

 

 

 

 

 

 

Baldor Electric Co., Term Loan, 5.25% – 5.50%,
1/31/14

 

 

640

 

 

639,625

 

Electronic Equipment, Instruments &
Components — 1.4%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Term Loan B, 4.28%,
10/10/14

 

 

677

 

 

606,494

 

Flextronics International Ltd.:

 

 

 

 

 

 

 

Closing Date Loan B, 2.56%, 10/01/12

 

 

558

 

 

537,039

 

Delayed Draw Term Loan A-2, 2.51%, 10/01/14

 

 

21

 

 

19,419

 

Delayed Draw Term Loan A-3, 2.56%, 10/01/14

 

 

24

 

 

22,656

 

Styron Sarl, Term Loan B, 7.50%, 6/17/16

 

 

800

 

 

806,248

 

 

 

 

 

 

 

 

 

 

 

 

 

1,991,856

 

Energy Equipment & Services — 0.5%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term Loan, 6.00%,
4/03/16

 

 

744

 

 

742,587

 

Food & Staples Retailing — 2.9%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),
Facility B1, 3.55%, 7/09/15

 

GBP

675

 

 

963,006

 

Bolthouse Farms, Inc., Term Loan (First Lien),
5.50%, 2/11/16

 

USD

599

 

 

595,202

 

DS Waters of America, Inc., Term Loan, 2.51%,
10/29/12

 

 

456

 

 

435,918

 

Pierre Foods, Term Loan, 7.00%, 3/03/16

 

 

585

 

 

583,294

 

Pilot Travel Centers, LLC, Initial Tranche B Term Loan,
5.25%, 6/30/16

 

 

1,294

 

 

1,295,691

 

Rite Aid Corp., Term Loan B, 6.00%, 7/09/14

 

 

250

 

 

241,500

 

 

 

 

 

 

 

 

 

 

 

 

 

4,114,611

 

Food Products — 2.6%

 

 

 

 

 

 

 

CII Investment, LLC (FKA Cloverhill):

 

 

 

 

 

 

 

Term Loan A, 8.50%, 10/14/14

 

 

445

 

 

444,771

 

Term Loan B, 8.50%, 10/14/14

 

 

541

 

 

540,943

 

Dole Food Co., Inc., Tranche B-1 Term Loan,

 

 

 

 

 

 

 

5.00% – 5.50%, 3/02/17

 

 

207

 

 

207,640

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

36

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

Food Products (concluded)

 

 

 

 

 

 

 

Michael Foods Group, Inc. (FKA M-Foods
Holdings, Inc.), Term Loan B, 6.25%, 6/29/16

 

USD

500

 

$

500,357

 

Pilgrim’s Pride Corp., Term Loan A, 5.53%,
12/01/12

 

 

640

 

 

633,600

 

Pinnacle Foods Finance LLC, Tranche D Term Loan,
6.00%, 4/02/14

 

 

838

 

 

839,048

 

Solvest, Ltd. (Dole), Tranche C-1 Term Loan,
5.00% – 5.50%, 3/02/17

 

 

522

 

 

522,815

 

 

 

 

 

 

 

 

 

 

 

 

 

3,689,174

 

Health Care Equipment & Supplies — 1.0%

 

 

 

 

 

 

 

Biomet, Inc., Dollar Term Loan, 3.26% – 3.54%,
3/25/15

 

 

425

 

 

410,687

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC), Term Loan, 3.26%, 5/20/14

 

 

439

 

 

416,558

 

Fresenius AG:

 

 

 

 

 

 

 

Tranche C-1 Dollar Term Loan, 4.50%, 9/10/14

 

 

343

 

 

343,171

 

Tranche C-2 Term Loan, 4.50%, 9/10/14

 

 

183

 

 

183,340

 

 

 

 

 

 

 

 

 

 

 

 

 

1,353,756

 

Health Care Providers & Services — 5.7%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.55%, 7/25/14

 

 

89

 

 

83,541

 

Term Loan Facility, 2.55%, 7/25/14

 

 

1,668

 

 

1,572,484

 

DaVita, Inc., Tranche B-1 Term Loan, 1.77% – 2.04%,
10/05/12

 

 

175

 

 

172,301

 

Gentiva Health Services, Inc., Term Loan B, 6.75%,
8/12/16

 

 

600

 

 

592,125

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan, 2.03%, 11/16/12

 

 

976

 

 

938,607

 

Tranche B-1 Term Loan, 2.78%, 11/18/13

 

 

311

 

 

298,895

 

Tranche B-2 Term Loan, 3.78%, 3/31/17

 

 

553

 

 

535,175

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

700

 

 

686,000

 

Tranche A Term Loan, 8.50%, 2/22/15

 

 

396

 

 

388,436

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

1,200

 

 

1,197,750

 

Renal Advantage Holdings, Inc., Tranche B Term Loan,
6.00%, 6/03/16

 

 

600

 

 

600,000

 

Vanguard Health Holding Co. II, LLC (Vanguard
Health Systems, Inc.), Initial Term Loan, 5.00%,
1/29/16

 

 

893

 

 

882,066

 

 

 

 

 

 

 

 

 

 

 

 

 

7,947,380

 

Health Care Technology — 0.7%

 

 

 

 

 

 

 

IMS Health, Inc., Tranche B Dollar Term Loan, 5.25%,
2/26/16

 

 

977

 

 

979,144

 

Hotels, Restaurants & Leisure — 4.7%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.50%, 1/28/15

 

 

128

 

 

109,662

 

Term Loan B-3, 3.50% – 3.53%, 1/28/15

 

 

1,876

 

 

1,603,075

 

Penn National Gaming, Inc., Term Loan B,
2.01% – 2.24%, 10/03/12

 

 

450

 

 

438,916

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 6.00%, 6/30/16

 

 

943

 

 

932,437

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.76%, 8/23/13

 

 

250

 

 

237,198

 

Original Post-First Amendment and Restatement
Synthetic Letter of Credit Loan, 3.03%, 8/23/13

 

 

24

 

 

22,493

 

Tranche B Dollar Term Loan, 2.76%, 8/23/13

 

 

131

 

 

123,870

 

Universal City Development Partners Ltd.:

 

 

 

 

 

 

 

Term Loan, 7.75%, 11/06/14

 

 

746

 

 

749,981

 

Term Loan B, 5.50%, 11/16/14

 

 

769

 

 

769,967

 

VML US Finance LLC (FKA Venetian Macau), Term B:

 

 

 

 

 

 

 

Delayed Draw Project Loan, 5.04%, 5/25/12

 

 

534

 

 

524,738

 

Funded Project Loan, 5.04%, 5/27/13

 

 

1,036

 

 

1,017,964

 

 

 

 

 

 

 

 

 

 

 

 

 

6,530,301

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

IT Services — 4.5%

 

 

 

 

 

 

 

Audio Visual Services Group, Inc., Tranche B Term
Loan (First Lien), 2.79%, 2/28/14 (f)

 

USD

495

 

$

366,234

 

Ceridian Corp., US Term Loan, 3.26%, 11/09/14

 

 

1,046

 

 

930,608

 

EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16

 

 

400

 

 

391,000

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

311

 

 

265,695

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

1,501

 

 

1,279,939

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

480

 

 

409,222

 

SunGard Data Systems, Inc. (Solar Capital Corp.),
Incremental Term Loan, 6.75%, 2/28/14

 

 

1,110

 

 

1,108,367

 

TransUnion LLC, Term Loan, 6.75%, 6/15/17

 

 

1,500

 

 

1,513,594

 

 

 

 

 

 

 

 

 

 

 

 

 

6,264,659

 

Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Term Letter of Credit Facility, 4.02%, 4/02/13

 

 

242

 

 

238,039

 

Tranche B Term Loan, 4.02%, 4/02/13

 

 

19

 

 

19,064

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

819

 

 

620,561

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

614

 

 

463,155

 

 

 

 

 

 

 

 

 

 

 

 

 

1,340,819

 

Industrial Conglomerates — 1.4%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.79%, 12/03/14

 

 

2,122

 

 

1,952,134

 

Insurance — 0.5%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., Term Loan, 3.53%, 8/21/14

 

 

810

 

 

769,589

 

Internet & Catalog Retail — 0.3%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term Loan, 6.75%,
8/26/14

 

 

382

 

 

382,115

 

Machinery — 0.3%

 

 

 

 

 

 

 

Oshkosh Truck Corp., Term Loan B, 6.44% – 6.54%,
12/06/13

 

 

487

 

 

489,796

 

Marine — 0.2%

 

 

 

 

 

 

 

Horizon Lines, LLC:

 

 

 

 

 

 

 

Revolving Loan, 3.52% – 3.55%, 8/08/12

 

 

195

 

 

166,986

 

Term Loan, 3.79%, 8/08/12

 

 

148

 

 

134,762

 

 

 

 

 

 

 

 

 

 

 

 

 

301,748

 

Media — 16.0%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

1,755

 

 

1,749,201

 

Cequel Communications, LLC, New Term Loan,
2.30%, 11/05/13

 

 

530

 

 

509,095

 

Charter Communications Operating, LLC:

 

 

 

 

 

 

 

New Term Loan, 2.26%, 3/06/14

 

 

259

 

 

245,270

 

Term Loan B-1, 7.25%, 3/06/14

 

 

524

 

 

535,252

 

Term Loan C, 3.79%, 9/06/16

 

 

2,827

 

 

2,703,933

 

Clarke American Corp., Term Loan B, 2.76%,
6/30/14

 

 

723

 

 

622,942

 

FoxCo Acquisition Sub, LLC, Term Loan, 7.50%,
7/14/15

 

 

414

 

 

398,168

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
5.79%, 6/12/14 (f)

 

 

1,008

 

 

917,024

 

Hanley-Wood, LLC, Term Loan, 2.56% – 2.63%,
3/10/14

 

 

975

 

 

421,688

 

Intelsat Corp. (FKA PanAmSat Corp.):

 

 

 

 

 

 

 

Tranche B-2-A Term Loan, 3.03%, 1/03/14

 

 

165

 

 

156,337

 

Tranche B-2-B Term Loan, 3.03%, 1/03/14

 

 

165

 

 

156,289

 

Tranche B-2-C Term Loan, 3.03%, 1/03/14

 

 

165

 

 

156,289

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

37



 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Intelsat Subsidiary Holding Co. Ltd., Term Loan B,
3.03%, 7/03/13

 

USD

728

 

$

694,367

 

Interactive Data Corp., Term Loan, 6.75%, 1/29/17

 

 

700

 

 

704,083

 

Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),
Facility B1, 3.52%, 6/30/15

 

EUR

337

 

 

322,477

 

MCNA Cable Holdings LLC (OneLink
Communications), Loan, 6.89%, 3/01/13 (f)

 

USD

586

 

 

497,921

 

Mediacom Illinois, LLC (FKA Mediacom
Communications, LLC):

 

 

 

 

 

 

 

Term Loan, 4.50%, 10/23/17

 

 

1,000

 

 

943,733

 

Tranche D Term Loan, 5.50%, 3/31/17

 

 

496

 

 

486,164

 

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

 

 

1,325

 

 

1,406,156

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

Class A, Dollar Term Loan, 2.29%, 8/09/13

 

 

13

 

 

12,557

 

Class B, Dollar Term Loan, 4.04%, 5/01/16

 

 

1,354

 

 

1,308,709

 

Class C, Dollar Term Loan, 4.04%, 5/28/16

 

 

352

 

 

337,668

 

Penton Media, Inc., Term Loan (First Lien), 5.00%,
8/01/14 (f)

 

 

486

 

 

335,005

 

Regal Cinemas Corp., Term Loan, 4.03%, 11/19/16

 

 

324

 

 

320,135

 

Sinclair Television Group, Inc., New Tranche B Loan,
5.50% – 6.25%, 10/29/15

 

 

614

 

 

614,148

 

Springer Science+Business Media SA, Facility A1,
6.75%, 7/01/16

 

EUR

1,000

 

 

1,253,522

 

Sunshine Acquisition Ltd. (FKA HIT Entertainment),
Term Facility, 5.68%, 6/01/12

 

USD

522

 

 

487,136

 

TWCC Holdings Corp., Replacement Term Loan,
5.00%, 9/14/15

 

 

1,061

 

 

1,059,830

 

UPC Financing Partnership, Facility U, 4.64%,
12/31/17

 

EUR

1,050

 

 

1,235,167

 

Virgin Media Investment Holdings, Ltd., B Facility,
4.77%, 12/31/15

 

GBP

750

 

 

1,115,016

 

Yell Group Plc Facility A3-Yell Finance (UK) Limited,
2.60, 4/30/14

 

USD

703

 

 

678,516

 

 

 

 

 

 

 

 

 

 

 

 

 

22,383,798

 

Multi-Utilities — 0.2%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit, 0.41%, 11/01/13

 

 

4

 

 

3,493

 

Term B Advance (First Lien), 3.06%, 11/01/13

 

 

224

 

 

207,769

 

 

 

 

 

 

 

 

 

 

 

 

 

211,262

 

Multiline Retail — 1.4%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2 Term Loan,
3.01% – 3.03%, 7/07/14

 

 

960

 

 

924,512

 

Hema Holding BV:

 

 

 

 

 

 

 

Facility B, 2.65%, 7/06/15

 

 

209

 

 

250,764

 

Facility C, 3.40%, 7/05/16

 

 

209

 

 

250,764

 

The Neiman Marcus Group, Inc., Term Loan,
2.30%, 4/06/13

 

 

540

 

 

511,563

 

 

 

 

 

 

 

 

 

 

 

 

 

1,937,603

 

Oil, Gas & Consumable Fuels — 1.0%

 

 

 

 

 

 

 

Big West Oil, LLC, Term Loan, 12.00%, 7/23/15

 

 

500

 

 

506,041

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

709

 

 

715,176

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

191

 

 

192,137

 

 

 

 

 

 

 

 

 

 

 

 

 

1,413,354

 

Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

Georgia-Pacific LLC, Term Loan B, 2.30% – 2.53%,
12/23/12

 

 

847

 

 

834,628

 

Verso Paper Finance Holdings LLC, PIK Loan,
6.69% – 7.44%, 2/01/13 (f)

 

 

1,327

 

 

796,357

 

 

 

 

 

 

 

 

 

 

 

 

 

1,630,985

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (c)

 

Par
(000)

 

Value

 

Personal Products — 0.0%

 

 

 

 

 

 

 

American Safety Razor Co., LLC, Term Loan
(First Lien), 8.75%, 7/31/13 (f)

 

USD

54

 

$

49,564

 

Pharmaceuticals — 1.0%

 

 

 

 

 

 

 

Warner Chilcott Co., LLC, Term Loan A, 6.00%,
10/30/14

 

 

398

 

 

397,019

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan, 6.25%, 4/30/15

 

 

217

 

 

216,970

 

Term Loan B-1, 6.25%, 4/30/15

 

 

163

 

 

162,700

 

Term Loan B-2, 6.25%, 4/30/15

 

 

273

 

 

272,549

 

Term Loan B-3, 6.50%, 2/20/16

 

 

272

 

 

272,727

 

Term Loan B-4, 6.50%, 2/20/16

 

 

88

 

 

88,493

 

 

 

 

 

 

 

 

 

 

 

 

 

1,410,458

 

Professional Services — 0.9%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche C Term Loan,
6.00%, 7/31/15

 

 

1,244

 

 

1,243,439

 

Real Estate Management & Development — 1.9%

 

 

 

 

 

 

 

Mattamy Funding Partnership, Term Loan, 2.56%,
4/11/13

 

 

229

 

 

211,049

 

Realogy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan B, 3.30% – 3.53%,
10/10/13

 

 

1,393

 

 

1,202,268

 

Initial Term Loan B, 3.30%, 10/10/13

 

 

1,213

 

 

1,047,033

 

Synthetic Letter of Credit, 0.11%, 10/10/13

 

 

208

 

 

179,487

 

 

 

 

 

 

 

 

 

 

 

 

 

2,639,837

 

Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Extended Maturity
Term Loan, 4.56%, 12/01/16

 

 

300

 

 

268,266

 

Software — 0.8%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term Loan, 6.75%,
4/30/16

 

 

698

 

 

697,669

 

Vertafore, Inc., Term Loan B, 6.75%, 7/28/16

 

 

355

 

 

352,781

 

 

 

 

 

 

 

 

 

 

 

 

 

1,050,450

 

Specialty Retail — 1.7%

 

 

 

 

 

 

 

Bass Pro Group LLC, Term Loan, 5.00% – 5.75%,
4/10/15

 

 

180

 

 

179,492

 

Burlington Coat Factory Warehouse Corp., Term Loan,
2.54% – 2.66%, 5/28/13

 

 

220

 

 

208,395

 

Matalan, Term Loan, 5.57%, 3/24/16

 

GBP

300

 

 

455,723

 

Michaels Stores, Inc., Term Loan B-1:

 

 

 

 

 

 

 

2.63% – 2.81%, 10/31/13

 

USD

523

 

 

493,755

 

4.88% – 5.06%, 7/31/16

 

 

277

 

 

266,804

 

Toys ‘R’ Us, Inc., Term Loan B, 6.00%, 8/17/16

 

 

800

 

 

797,995

 

 

 

 

 

 

 

 

 

 

 

 

 

2,402,164

 

Textiles, Apparel & Luxury Goods — 0.8%

 

 

 

 

 

 

 

Hanesbrands, Inc., New Term Loan, 5.25%,
12/10/15

 

 

368

 

 

371,091

 

Phillips Van Heusen Corp., Tranche B Loan, 4.75%,
5/06/16

 

 

776

 

 

780,264

 

 

 

 

 

 

 

 

 

 

 

 

 

1,151,355

 

Wireless Telecommunication Services — 3.0%

 

 

 

 

 

 

 

Digicel International Finance Ltd., U.S. Term Loan
(Non-Rollover), 3.06%, 3/30/12

 

 

2,340

 

 

2,284,435

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 2.56%, 11/03/13

 

 

84

 

 

81,163

 

Tranche B-2 Term Loan B, 3.81%, 11/03/16

 

 

910

 

 

892,574

 

Vodafone Group Americas Finance 2 Inc., Initial
Loan, 6.88%, 7/30/15

 

 

1,000

 

 

1,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

4,258,172

 

Total Floating Rate Loan Interests — 93.0%

 

 

 

 

 

130,065,640

 


 

 

 

 

See Notes to Financial Statements.

 

38

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (h)

 

Beneficial
Interest
(000)

 

Value

 

Auto Components — 1.1%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP
Class B Membership Interests

 

USD

—

(i)

$

1,558,950

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred Equity Interest (j)

 

 

—

(i)

 

299,336

 

Total Other Interests — 1.3%

 

 

 

 

 

1,858,286

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (k)

 

Shares

 

 

 

 

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

 

 

5,330

 

 

—

 

Total Warrants — 0.0%

 

 

 

 

 

—

 

Total Long-Term Investments
(Cost — $176,704,266) — 121.7%

 

 

 

 

 

170,165,651

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.25% (l)(m)

 

 

1,227,551

 

 

1,227,551

 

Total Short-Term Securities
(Cost — $1,227,551) — 0.9%

 

 

 

 

 

1,227,551

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, expires 12/21/19, Broker
Goldman Sachs Bank USA

 

 

11

 

 

—

 

Total Options Purchased
(Cost — $10,756) — 0.0%

 

 

 

 

 

—

 

Total Investments (Cost — $177,942,573*) — 122.6%

 

 

 

 

 

171,393,202

 

Liabilities in Excess of Other Assets — (22.6)%

 

 

 

 

 

(31,552,737

)

 

 

 

 

 

Net Assets — 100.0%

 

 

 

 

$

139,840,465

 

 

 

 

 

 


 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

178,037,546

 

 

 

 

 

 

Gross unrealized appreciation

 

 

 

 

$

3,393,067

 

Gross unrealized depreciation

 

 

 

 

 

(10,037,411

)

 

 

 

 

 

Net unrealized depreciation

 

 

 

 

$

(6,644,344

)

 

 

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

(h)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(i)

Amount is less than $1,000.

 

 

(j)

The investment is held by a wholly owned taxable subsidiary of the Fund.

 

 

(k)

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.

 

 

(l)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

1,797,812

 

 

(570,261

)

 

1,227,551

 

$

2,472

 


 

 

(m)

Represents the current yield as of report date.

 

 

•

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

211,852

 

EUR

 

160,000

 

Citibank NA

 

9/15/10

 

 

$

9,096

 

USD

 

6,736,299

 

EUR

 

5,347,500

 

Deutsche Bank AG

 

9/15/10

 

 

 

(40,177

)

EUR

 

619,200

 

USD

 

789,751

 

Citibank NA

 

9/15/10

 

 

 

(5,086

)

USD

 

2,855,495

 

GBP

 

1,852,500

 

Royal Bank of

 

10/20/10

 

 

 

15,399

 

 

 

 

 

 

 

 

 

Scotland

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

(20,768

)

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

•

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. This definition 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 derivatives, which are as follows:

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

39



 

 

 

Schedule of Investments (concluded)

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

The following tables summarize the inputs used as of August 31, 2010 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

230,543

 

 

—

 

$

242,184

 

$

472,727

 

Corporate Bonds

 

 

—

 

$

36,771,757

 

 

997,241

 

 

37,768,998

 

Floating Rate Loan Interests

 

 

—

 

 

107,309,721

 

 

22,755,919

 

 

130,065,640

 

Other Interests

 

 

—

 

 

1,558,950

 

 

299,336

 

 

1,858,286

 

Short-Term Securities

 

 

1,227,551

 

 

—

 

 

—

 

 

1,227,551

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

—

 

 

(50,937

)

 

(50,937

)

 

 

Total

 

$

1,458,094

 

$

145,640,428

 

$

24,243,743

 

$

171,342,265

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments 1

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

$

24,495

 

 

—

 

$

24,495

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

 

(45,263

)

 

—

 

 

(45,263

)

 

 

Total

 

 

—

 

$

(20,768

)

 

—

 

$

(20,768

)

 

 


 

 

 

 

1

Derivative financial instruments are foreign currency exchange contracts. Foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of August 31, 2009

 

$

30,435

 

$

1,016,670

 

$

18,711,638

 

$

1,622,470

 

$

(34,025

)

$

21,347,188

 

Accrued discounts/premiums

 

 

—

 

 

24,219

 

 

64,432

 

 

—

 

 

—

 

 

88,651

 

Net realized gain (loss)

 

 

—

 

 

5

 

 

(954,756

)

 

—

 

 

—

 

 

(954,751

)

Net change in unrealized appreciation/depreciation 2

 

 

3,159

 

 

(48,878

)

 

1,737,603

 

 

(63,520

)

 

(16,912

)

 

1,611,452

 

Purchases

 

 

—

 

 

4,776

 

 

7,083,084

 

 

—

 

 

—

 

 

7,087,860

 

Sales

 

 

—

 

 

449

 

 

(15,639,731

)

 

—

 

 

—

 

 

(15,639,282

)

Transfers in 3

 

 

238,055

 

 

—

 

 

14,824,999

 

 

299,336

 

 

—

 

 

15,362,390

 

Transfers out 3

 

 

(29,465

)

 

—

 

 

(3,071,350

)

 

(1,558,950

)

 

—

 

 

(4,659,765

)

 

 

Balance, as of August 31, 2010

 

$

242,184

 

$

997,241

 

$

22,755,919

 

$

299,336

 

$

(50,937

)

$

24,243,743

 

 

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $231,584.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.

 

40

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments August 31, 2010 (Unaudited)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks (a)

 

Shares

 

Value

 

Building Products — 0.2%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

12,832

 

$

487,616

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp.

 

 

27,100

 

 

336,311

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

142,466

 

 

54,693

 

Wellman Holdings, Inc.

 

 

5,131

 

 

256

 

 

 

 

 

 

 

 

 

 

 

 

 

54,949

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

2,570

 

 

106,655

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

18,171

 

 

158,888

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

935

 

 

308,517

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

346,134

 

 

811,493

 

Ainsworth Lumber Co. Ltd. (b)

 

 

421,556

 

 

988,315

 

 

 

 

 

 

 

 

 

 

 

 

 

1,799,808

 

Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

76,829

 

 

384,143

 

Total Common Stocks — 1.6%

 

 

 

 

 

3,636,887

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 1.2%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

$

900

 

 

967,500

 

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

 

 

600

 

 

619,500

 

TransDigm, Inc., 7.75%, 7/15/14

 

 

1,100

 

 

1,133,000

 

 

 

 

 

 

 

 

 

 

 

 

 

2,720,000

 

Airlines — 0.8%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (b)

 

 

700

 

 

686,000

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

475

 

 

498,875

 

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

 

 

595

 

 

663,113

 

 

 

 

 

 

 

 

 

 

 

 

 

1,847,988

 

Auto Components — 1.3%

 

 

 

 

 

 

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

160

 

 

158,800

 

8.00%, 1/15/18

 

 

2,690

 

 

2,676,550

 

Venture Holdings Co. LLC (a)(c)(d):

 

 

 

 

 

 

 

12.00%, 6/01/09

 

 

700

 

 

—

 

Series B, 9.50%, 7/01/05

 

 

3,325

 

 

333

 

 

 

 

 

 

 

 

 

 

 

 

 

2,835,683

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 35 (b)

 

 

262

 

 

267,262

 

Building Products — 2.8%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

675

 

 

671,625

 

CPG International I, Inc.:

 

 

 

 

 

 

 

7.50%, 7/01/12 (e)

 

 

3,500

 

 

3,381,875

 

10.50%, 7/01/13

 

 

1,500

 

 

1,498,125

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

725

 

 

746,750

 

 

 

 

 

 

 

 

 

 

 

 

 

6,298,375

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 3.0%

 

 

 

 

 

 

 

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

 

$

610

 

$

603,138

 

CF Industries, Inc., 6.88%, 5/01/18

 

 

770

 

 

810,425

 

GEO Specialty Chemicals, Inc. (b):

 

 

 

 

 

 

 

7.50%, 3/31/15 (f)(g)

 

 

1,869

 

 

1,214,605

 

10.00%, 3/31/15

 

 

1,839

 

 

1,195,168

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

240

 

 

253,200

 

Wellman Holdings, Inc., Subordinate Note (g):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19 (b)

 

 

2,383

 

 

2,073,210

 

(Third Lien), 5.00%, 1/29/19 (f)

 

 

1,680

 

 

655,335

 

 

 

 

 

 

 

 

 

 

 

 

 

6,805,081

 

Commercial Banks — 2.0%

 

 

 

 

 

 

 

CIT Group, Inc., 7.00%, 5/01/17

 

 

4,845

 

 

4,555,812

 

Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

 

365

 

 

401,500

 

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

 

 

700

 

 

717,500

 

The Geo Group, Inc., 7.75%, 10/15/17 (b)

 

 

450

 

 

463,500

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

550

 

 

599,500

 

 

 

 

 

 

 

 

 

 

 

 

 

2,182,000

 

Construction Materials — 1.2%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

2,581

 

 

2,720,173

 

Consumer Finance — 1.4%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

300

 

 

310,875

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (e)

 

 

1,340

 

 

1,313,200

 

6.63%, 8/15/17

 

 

400

 

 

406,549

 

Inmarsat Finance Plc, 7.38%, 12/01/17 (b)

 

 

1,150

 

 

1,178,750

 

 

 

 

 

 

 

 

 

 

 

 

 

3,209,374

 

Containers & Packaging — 2.3%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

325

 

 

342,062

 

Berry Plastics Corp., 8.25%, 11/15/15

 

 

1,100

 

 

1,102,750

 

Clondalkin Acquisition BV, 2.54%, 12/15/13 (b)(e)

 

 

2,000

 

 

1,745,000

 

Crown Americas LLC, 7.63%, 5/15/17 (b)

 

 

400

 

 

427,000

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

555

 

 

591,075

 

Smurfit Kappa Funding Plc, 7.75%, 4/01/15

 

 

1,050

 

 

1,050,000

 

 

 

 

 

 

 

 

 

 

 

 

 

5,257,887

 

Diversified Financial Services — 4.1%

 

 

 

 

 

 

 

Ally Financial, Inc. (b):

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

4,700

 

 

4,888,000

 

7.50%, 9/15/20

 

 

1,650

 

 

1,633,500

 

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

 

 

370

 

 

370,463

 

Highland Legacy Ltd., 6.72%, 6/01/11 (b)(e)

 

 

3,081

 

 

1,417,351

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

955

 

 

962,162

 

 

 

 

 

 

 

 

 

 

 

 

 

9,271,476

 

Diversified Telecommunication Services — 2.8%

 

 

 

 

 

 

 

Frontier Communications Corp., 8.25%, 4/15/17

 

 

1,460

 

 

1,543,950

 

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

 

 

900

 

 

886,500

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

180

 

 

189,000

 

Qwest Corp., 8.38%, 5/01/16

 

 

3,000

 

 

3,495,000

 

tw telecom holdings, Inc., 8.00%, 3/01/18

 

 

230

 

 

239,200

 

 

 

 

 

 

 

 

 

 

 

 

 

6,353,650

 

Energy Equipment & Services — 0.8%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas,
7.50%, 5/15/15

 

 

965

 

 

955,350

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

1,000

 

 

935,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,890,350

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

41



 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food & Staples Retailing — 0.4%

 

 

 

 

 

 

 

Rite Aid Corp., 9.75%, 6/12/16

 

$

825

 

$

876,562

 

Food Products — 0.7%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

500

 

 

514,375

 

Bumble Bee Foods LLC, 7.75%, 12/15/15 (b)

 

 

380

 

 

401,850

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

630

 

 

703,237

 

 

 

 

 

 

 

 

 

 

 

 

 

1,619,462

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

710

 

 

760,587

 

Hologic, Inc., 2.00%, 12/15/37 (g)(h)

 

 

830

 

 

750,113

 

 

 

 

 

 

 

 

 

 

 

 

 

1,510,700

 

Health Care Providers & Services — 1.8%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

245

 

 

245,000

 

HCA, Inc., 8.50%, 4/15/19

 

 

210

 

 

230,213

 

inVentiv Health, Inc., 10.00%, 8/15/18 (b)

 

 

210

 

 

205,275

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

850

 

 

956,250

 

8.88%, 7/01/19

 

 

2,230

 

 

2,411,187

 

 

 

 

 

 

 

 

 

 

 

 

 

4,047,925

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

1,580

 

 

1,830,825

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

540

 

 

510,300

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,
2/15/14 (a)(b)(c)

 

 

1,210

 

 

408,375

 

MGM Mirage, 13.00%, 11/15/13

 

 

80

 

 

92,400

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

720

 

 

784,800

 

11.13%, 11/15/17

 

 

750

 

 

838,125

 

Marina District Finance Co., Inc., 9.88%,
8/15/18 (b)

 

 

160

 

 

159,600

 

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

 

 

220

 

 

161

 

 

 

 

 

 

 

 

 

 

 

 

 

2,793,761

 

Household Durables — 0.9%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,126,250

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

 

900

 

 

873,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,999,250

 

Independent Power Producers & Energy Traders — 2.7%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

 

139

 

 

141,259

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,600

 

 

1,680,000

 

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

 

 

1,065

 

 

1,025,598

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

2,020

 

 

2,060,400

 

7.38%, 2/01/16

 

 

375

 

 

377,812

 

7.38%, 1/15/17

 

 

365

 

 

367,738

 

8.50%, 6/15/19

 

 

500

 

 

513,750

 

 

 

 

 

 

 

 

 

 

 

 

 

6,166,557

 

Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,430

 

 

1,472,900

 

13.50%, 12/01/15 (f)

 

 

1,930

 

 

2,007,176

 

 

 

 

 

 

 

 

 

 

 

 

 

3,480,076

 

Machinery — 1.7%

 

 

 

 

 

 

 

ESCO Corp., 4.41%, 12/15/13 (b)(e)

 

 

1,540

 

 

1,401,400

 

Navistar International Corp., 8.25%, 11/01/21

 

 

1,500

 

 

1,571,250

 

Titan International, Inc., 8.00%, 1/15/12

 

 

770

 

 

800,800

 

 

 

 

 

 

 

 

 

 

 

 

 

3,773,450

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media — 6.5%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

$

1,455

 

$

1,491,375

 

CCO Holdings LLC, 7.88%, 4/30/18 (b)

 

 

1,075

 

 

1,112,625

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

390

 

 

426,075

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

340

 

 

352,750

 

Series B, 9.25%, 12/15/17

 

 

2,757

 

 

2,891,404

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

850

 

 

885,062

 

6.63%, 10/01/14

 

 

750

 

 

766,875

 

Gannett Co., Inc.:

 

 

 

 

 

 

 

10.00%, 4/01/16

 

 

205

 

 

229,100

 

9.38%, 11/15/17 (b)

 

 

530

 

 

580,350

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

900

 

 

933,750

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

745

 

 

769,213

 

Nielsen Finance LLC, 11.63%, 2/01/14

 

 

1,000

 

 

1,121,250

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

290

 

 

297,250

 

UPC Germany GmbH, 8.13%, 12/01/17 (b)

 

 

1,500

 

 

1,541,250

 

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

 

 

1,250

 

 

1,300,000

 

 

 

 

 

 

 

 

 

 

 

 

 

14,698,329

 

Metals & Mining — 0.9%

 

 

 

 

 

 

 

Aleris International, Inc., 9.00%, 12/15/14 (a)(c)

 

 

840

 

 

1,680

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

260

 

 

265,850

 

RathGibson, Inc., 11.25%, 2/15/14 (a)(c)

 

 

2,175

 

 

23,381

 

Ryerson, Inc., 7.84%, 11/01/14 (e)

 

 

1,800

 

 

1,669,500

 

 

 

 

 

 

 

 

 

 

 

 

 

1,960,411

 

Multiline Retail — 0.8%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

660

 

 

724,350

 

11.88%, 7/15/17 (f)

 

 

948

 

 

1,090,200

 

 

 

 

 

 

 

 

 

 

 

 

 

1,814,550

 

Oil, Gas & Consumable Fuels — 2.5%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16

 

 

140

 

 

151,550

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

825

 

 

947,719

 

10.75%, 2/01/18

 

 

200

 

 

220,500

 

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

 

 

260

 

 

267,150

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

900

 

 

955,125

 

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

 

 

120

 

 

123,900

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

 

520

 

 

573,300

 

8.25%, 2/15/20

 

 

351

 

 

374,692

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

280

 

 

297,500

 

Massey Energy Co., 6.88%, 12/15/13

 

 

800

 

 

810,000

 

OPTI Canada, Inc., 9.00%, 12/15/12 (b)

 

 

1,000

 

 

1,002,500

 

 

 

 

 

 

 

 

 

 

 

 

 

5,723,936

 

Paper & Forest Products — 1.8%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(f)

 

 

1,356

 

 

1,159,529

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

365

 

 

410,625

 

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

 

 

1,630

 

 

1,784,850

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

315

 

 

332,325

 

Series B, 4.22%, 8/01/14 (e)

 

 

485

 

 

397,700

 

 

 

 

 

 

 

 

 

 

 

 

 

4,085,029

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (e)

 

 

955

 

 

771,163

 

Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc., 7.50%,
2/15/20 (b)

 

 

530

 

 

552,525

 


 

 

 

 

See Notes to Financial Statements.

42

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Specialty Retail — 0.4%

 

 

 

 

 

 

 

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

 

$

845

 

$

806,975

 

Textiles, Apparel & Luxury Goods — 0.5%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp.:

 

 

 

 

 

 

 

7.38%, 5/15/20

 

 

485

 

 

499,550

 

7.75%, 11/15/23

 

 

215

 

 

233,952

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

525

 

 

485,625

 

 

 

 

 

 

 

 

 

 

 

 

 

1,219,127

 

Wireless Telecommunication Services — 3.4%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

140

 

 

146,650

 

7.75%, 5/15/16

 

 

1,770

 

 

1,827,525

 

Digicel Group Ltd., 12.00%, 4/01/14 (b)

 

 

800

 

 

914,000

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

9.25%, 11/01/14

 

 

2,000

 

 

2,080,000

 

9.25%, 11/01/14

 

 

10

 

 

10,400

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

1,340

 

 

1,336,650

 

Series F, 5.95%, 3/15/14

 

 

100

 

 

96,625

 

Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)

 

 

395

 

 

375,250

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

7.63%, 1/30/11

 

 

220

 

 

223,850

 

8.38%, 3/15/12

 

 

325

 

 

343,687

 

6.88%, 11/15/28

 

 

370

 

 

308,950

 

 

 

 

 

 

 

 

 

 

 

 

 

7,663,587

 

Total Corporate Bonds — 54.7%

 

 

 

 

 

123,609,311

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

 

 

 

 

 

 

Aerospace & Defense — 0.7%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked Deposit, 0.43%, 3/26/14

 

 

52

 

 

41,029

 

Term Loan, 2.26%, 3/26/14

 

 

866

 

 

689,965

 

TASC, Inc., Tranche B Term Loan, 5.75%, 12/18/15

 

 

875

 

 

877,187

 

 

 

 

 

 

 

 

 

 

 

 

 

1,608,181

 

Airlines — 0.5%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit-Linked Deposit Loan,
0.11% – 2.28%, 4/30/12

 

 

1,213

 

 

1,159,453

 

Auto Components — 3.6%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 8.51%,
3/01/12 (f)

 

 

1,543

 

 

1,481,063

 

Affinion Group, Inc., Tranche B Term Loan, 5.00%,
10/09/16

 

 

748

 

 

719,756

 

Allison Transmission, Inc., Term Loan, 3.04%,
8/07/14

 

 

5,421

 

 

4,995,521

 

Dana Holding Corp., Term Advance, 4.52% – 6.50%,
1/30/15

 

 

592

 

 

580,817

 

The Goodyear Tire & Rubber Co., Loan (Second Lien),
2.24%, 4/30/14

 

 

300

 

 

277,734

 

 

 

 

 

 

 

 

 

 

 

 

 

8,054,891

 

Automobiles — 0.7%

 

 

 

 

 

 

 

Ford Motor Co.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 3.03%, 12/15/13

 

 

1,548

 

 

1,489,061

 

Tranche B-2 Term Loan, 3.03%, 12/15/13

 

 

170

 

 

162,994

 

 

 

 

 

 

 

 

 

 

 

 

 

1,652,055

 

Beverages — 0.6%

 

 

 

 

 

 

 

SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16

 

 

1,443

 

 

1,444,603

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

Par
(000)

 

Value

 

Building Products — 0.9%

 

 

 

 

 

 

 

Building Materials Corp. of America, Term Loan
Advance, 3.06%, 2/22/14

 

$

415

 

$

407,498

 

Goodman Global, Inc., Term Loan, 6.25%, 2/13/14

 

 

1,523

 

 

1,528,082

 

 

 

 

 

 

 

 

 

 

 

 

 

1,935,580

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Term Loan (First Lien),
3.48% – 3.53%, 11/13/14

 

 

625

 

 

551,758

 

Chemicals — 3.3%

 

 

 

 

 

 

 

CF Industries, Inc., Term Loan B-1, 4.50%, 4/05/15

 

 

796

 

 

799,522

 

Chemtura Corp.:

 

 

 

 

 

 

 

Debtor in Possession Term Facility, 6.00%,
2/11/11

 

 

800

 

 

798,000

 

Exit Term Loan, 5.50%, 8/16/16

 

 

800

 

 

803,334

 

Gentek Holding, LLC, Tranche B Term Loan, 7.00%,
10/29/14

 

 

362

 

 

362,077

 

Nalco Co., Term Loan, 6.50%, 5/13/16

 

 

1,015

 

 

1,018,132

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan
(First Lien), 3.52% – 3.73%, 7/30/14

 

 

2,166

 

 

1,980,629

 

Rockwood Specialties Group, Inc., Term Loan H,
6.00%, 5/15/14

 

 

736

 

 

735,226

 

Solutia, Inc., Term Loan, 4.75%, 3/17/17

 

 

997

 

 

996,396

 

 

 

 

 

 

 

 

 

 

 

 

 

7,493,316

 

Commercial Banks — 0.5%

 

 

 

 

 

 

 

CIT Group, Inc., Term Loan, 6.25%, 1/20/12

 

 

1,025

 

 

1,021,659

 

Commercial Services & Supplies — 3.8%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit-1 Facility, 0.11%, 1/26/14

 

 

33

 

 

31,209

 

Letter of Credit-2 Facility, 0.11%, 7/26/16

 

 

41

 

 

40,039

 

U.S. Term Loan, 2.41%, 1/26/14

 

 

457

 

 

431,557

 

U.S. Term Loan B, 3.78%, 7/26/16

 

 

628

 

 

608,813

 

AWAS Finance Luxembourg Sarl, Term Loan,
7.75%, 6/10/16

 

 

1,125

 

 

1,131,562

 

Altegrity, Inc., Incremental Term Loan, 7.75%,
2/21/15

 

 

1,500

 

 

1,494,375

 

Casella Waste Systems, Inc., Term Loan B, 7.00%,
4/09/14

 

 

218

 

 

218,889

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

1,075

 

 

1,080,823

 

International Lease Finance Corp., Term Loan 1,
6.75%, 3/17/15

 

 

1,500

 

 

1,511,876

 

Quad Graphics, Term Loan, 5.50%, 4/20/16

 

 

500

 

 

477,000

 

Synagro Technologies, Inc., Term Loan (First Lien),
2.27% – 2.28%, 4/02/14

 

 

422

 

 

356,370

 

West Corp., Incremental Term Loan B-3, 7.25%,
10/24/13

 

 

1,093

 

 

1,089,582

 

 

 

 

 

 

 

 

 

 

 

 

 

8,472,095

 

Construction & Engineering — 0.9%

 

 

 

 

 

 

 

Brand Energy & Infrastructure Services, Inc.

 

 

 

 

 

 

 

(FR Brand Acquisition Corp.), Synthetic Letter
of Credit, Term Loan (First Lien), 0.56%, 2/07/14

 

 

500

 

 

455,625

 

Safway Services, LLC, First Out Tranche Loan,
9.00%, 12/18/17

 

 

1,500

 

 

1,500,000

 

 

 

 

 

 

 

 

 

 

 

 

 

1,955,625

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Fairmount Minerals Ltd., Term Loan B, 6.25%, 8/05/16

 

 

350

 

 

350,146

 

Consumer Finance — 1.1%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan, 7.25%, 4/21/15

 

 

2,500

 

 

2,470,312

 

Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Anchor Glass Container Corp., Term Loan (First Lien),
6.00%, 3/02/16

 

 

149

 

 

147,261

 

BWAY Holding Co., Term Loan B, 5.50% – 6.00%,
6/16/17

 

 

197

 

 

196,326

 

Berry Plastics Holding Corp., Term Loan C,
2.32% – 2.38%, 4/03/15

 

 

496

 

 

452,306

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

43



 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

Par
(000)

 

Value

 

Containers & Packaging (concluded)

 

 

 

 

 

 

 

ICL Industrial Containers ULC/ICL Contenants
Industriels ULC (FKA BWAY Corp.), Term Loan C,
5.50% – 6.00%, 6/16/17

 

$

18

 

$

18,417

 

 

 

 

 

 

 

 

 

 

 

 

 

814,310

 

Diversified Consumer Services — 2.6%

 

 

 

 

 

 

 

Coinmach Service Corp., Term Loan, 3.35%,
11/14/14

 

 

1,955

 

 

1,704,417

 

Laureate Education, Series A New Term Loan, 7.00%,
8/15/14

 

 

2,945

 

 

2,895,832

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Loan, 2.77% – 3.04%, 7/24/14

 

 

1,200

 

 

1,103,366

 

Delayed Draw Term Loan, 2.77%, 7/24/14

 

 

120

 

 

109,879

 

 

 

 

 

 

 

 

 

 

 

 

 

5,813,494

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Incremental US Term Loan, 6.25%, 5/05/16

 

 

800

 

 

794,334

 

US Term Loan, 6.25%, 5/05/16

 

 

894

 

 

889,679

 

 

 

 

 

 

 

 

 

 

 

 

 

1,684,013

 

Diversified Telecommunication Services — 2.0%

 

 

 

 

 

 

 

Cincinnati Bell, Inc., Tranche B Term Loan, 6.50%,
6/11/17

 

 

1,022

 

 

1,014,769

 

Integra Telecom Holdings, Inc., Term Loan, 9.25%,
4/15/15

 

 

925

 

 

922,687

 

Level 3 Communications, Incremental Term Loan,
2.53% – 2.78%, 3/13/14

 

 

2,225

 

 

1,993,113

 

Wind Telecomunicazioni SpA:

 

 

 

 

 

 

 

Term Loan Facility B2, 4.66%, 5/26/14

 

 

300

 

 

291,187

 

Term Loan Facility C2, 3.66%, 5/24/13

 

 

300

 

 

291,188

 

 

 

 

 

 

 

 

 

 

 

 

 

4,512,944

 

Electric Utilities — 0.8%

 

 

 

 

 

 

 

New Development Holdings LLC,
Term Loan, 7.00%, 7/03/17

 

 

1,750

 

 

1,767,500

 

Electrical Equipment — 0.3%

 

 

 

 

 

 

 

Baldor Electric Co., Term Loan, 5.25% – 5.50%,
1/31/14

 

 

585

 

 

584,773

 

Electronic Equipment, Instruments &

 

 

 

 

 

 

 

Components — 0.8%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Term Loan, 4.28%,
10/10/14

 

 

1,212

 

 

1,085,335

 

Styron Sarl, Term Loan, 7.50%, 6/17/16

 

 

800

 

 

806,248

 

 

 

 

 

 

 

 

 

 

 

 

 

1,891,583

 

Energy Equipment & Services — 0.4%

 

 

 

 

 

 

 

MEG Energy Corp., Tranche D Term Loan, 6.00%,
4/03/16

 

 

967

 

 

964,650

 

Food & Staples Retailing — 0.8%

 

 

 

 

 

 

 

Pierre Foods, Term Loan, 7.00%, 3/03/16

 

 

674

 

 

671,957

 

Pilot Travel Centers LLC, Initial Tranche B Term Loan,
5.25%, 6/30/16

 

 

1,078

 

 

1,079,742

 

 

 

 

 

 

 

 

 

 

 

 

 

1,751,699

 

Food Products — 1.7%

 

 

 

 

 

 

 

Dole Food Co., Inc., Tranche B-1 Term Loan,
5.00% – 5.50%, 3/02/17

 

 

437

 

 

437,396

 

Michael Foods Group, Inc. (FKA M-Foods
Holdings, Inc., Term Loan B, 6.25%, 6/29/16

 

 

500

 

 

500,357

 

Pilgrim’s Pride Corp., Term Loan A, 5.53%,
12/01/12

 

 

725

 

 

717,750

 

Pinnacle Foods Finance LLC, Tranche D Term Loan,
6.00%, 4/02/14

 

 

1,096

 

 

1,097,370

 

Solvest, Ltd. (Dole), Tranche C-1 Term Loan,
5.00% – 5.50%, 3/02/17

 

 

1,081

 

 

1,083,316

 

 

 

 

 

 

 

 

 

 

 

 

 

3,836,189

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies — 0.4%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble Therapeutics
Finance LLC), Term Loan, 3.26%, 5/20/14

 

$

878

 

$

833,117

 

Health Care Providers & Services — 4.9%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.55%, 7/25/14

 

 

122

 

 

115,481

 

Term Loan Facility, 2.55%, 7/25/14

 

 

2,346

 

 

2,212,287

 

DaVita, Inc., Tranche B-1 Term Loan, 1.77% – 2.04%,
10/05/12

 

 

300

 

 

295,374

 

Gentiva Health Services, Inc., Term Loan B, 6.75%,
8/12/16

 

 

600

 

 

592,125

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan, 2.03%, 11/16/12

 

 

2,495

 

 

2,400,150

 

Tranche B-1 Term Loan, 2.78%, 11/18/13

 

 

125

 

 

120,312

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Add-on Term Loan, 8.50%, 2/22/15

 

 

396

 

 

388,436

 

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

 

 

1,400

 

 

1,372,000

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

2,000

 

 

1,996,250

 

Renal Advantage Holdings, Inc., Tranche B Term
Loan, 6.00%, 6/03/16

 

 

600

 

 

600,000

 

Vanguard Health Holding Co. II, LLC (Vanguard
Health Systems, Inc.), Initial Term Loan, 5.00%,
1/29/16

 

 

967

 

 

955,875

 

 

 

 

 

 

 

 

 

 

 

 

 

11,048,290

 

Health Care Technology — 0.6%

 

 

 

 

 

 

 

IMS Health Inc., Tranche B Dollar Term Loan, 5.25%,
2/26/16

 

 

1,454

 

 

1,457,111

 

Hotels, Restaurants & Leisure — 3.1%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-3, 3.50% – 3.53%, 1/28/15

 

 

976

 

 

834,364

 

Term Loan B-4, 9.50%, 10/31/16

 

 

1,244

 

 

1,269,316

 

Six Flags Theme Parks, Inc., Tranche B Term Loan
(First Lien), 6.00%, 6/30/16

 

 

1,838

 

 

1,817,057

 

Universal City Development Partners Ltd., Loan,
7.75%, 11/06/14

 

 

1,244

 

 

1,249,969

 

VML US Finance LLC (FKA Venetian Macau):

 

 

 

 

 

 

 

Term B Delayed Draw Project Loan, 5.04%,
5/25/12

 

 

546

 

 

536,546

 

Term B Funded Project Loan, 5.04%, 5/27/13

 

 

1,415

 

 

1,386,668

 

 

 

 

 

 

 

 

 

 

 

 

 

7,093,920

 

IT Services — 3.6%

 

 

 

 

 

 

 

Audio Visual Services Group, Inc., Tranche B Term
Loan (First Lien), 2.79%, 2/28/14 (f)

 

 

990

 

 

732,468

 

Ceridian Corp., US Term Loan, 3.26%, 11/09/14

 

 

1,470

 

 

1,307,975

 

EVERTEC, Inc., Term Loan B, 7.00%, 8/20/16

 

 

675

 

 

659,813

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.01%, 9/24/14

 

 

175

 

 

149,384

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

1,449

 

 

1,235,373

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

1,073

 

 

914,979

 

SunGard Data Systems, Inc. (Solar Capital Corp.),
Incremental Term Loan, 6.75%, 2/28/14

 

 

853

 

 

851,796

 

TransUnion LLC, Term Loan, 6.75%, 6/15/17

 

 

2,250

 

 

2,270,392

 

 

 

 

 

 

 

 

 

 

 

 

 

8,122,180

 

Independent Power Producers & Energy Traders — 0.3%

 

 

 

 

 

 

 

Dynegy Holdings, Inc.:

 

 

 

 

 

 

 

Term Letter of Credit Facility, 4.02%, 4/02/13

 

 

192

 

 

189,027

 

Tranche B Term Loan, 4.02%, 4/02/13

 

 

15

 

 

15,139

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.79% – 4.07%,
10/10/14

 

 

481

 

 

364,674

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

226

 

 

170,298

 

 

 

 

 

 

 

 

 

 

 

 

 

739,138

 


 

 

 

See Notes to Financial Statements.

 

44

SEMI-ANNUAL REPORT

AUGUST 31, 2010



 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

Par
(000)

 

Value

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.79%, 12/03/14

 

$

475

 

$

437,000

 

Insurance — 0.1%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., Term Loan, 3.53%, 8/21/14

 

 

139

 

 

132,262

 

Internet & Catalog Retail — 0.3%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term Loan, 6.75%, 8/26/14

 

 

573

 

 

573,173

 

Leisure Equipment & Products — 0.1%

 

 

 

 

 

 

 

Fender Musical Instruments Corp.:

 

 

 

 

 

 

 

Delayed Draw Loan, 2.55%, 6/09/14

 

 

109

 

 

90,666

 

Initial Loan, 2.79%, 6/09/14

 

 

215

 

 

179,482

 

 

 

 

 

 

 

 

 

 

 

 

 

270,148

 

Machinery — 0.3%

 

 

 

 

 

 

 

Oshkosh Truck Corp., Term Loan B, 6.44% – 6.54%,
12/06/13

 

 

661

 

 

664,534

 

Media — 9.6%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

3,435

 

 

3,423,727

 

Charter Communications Operating, LLC:

 

 

 

 

 

 

 

New Term Loan, 2.26%, 3/06/14

 

 

273

 

 

258,179

 

Term Loan B1, 7.25%, 3/06/14

 

 

873

 

 

892,087

 

Term Loan C, 3.79%, 9/06/16

 

 

3,093

 

 

2,958,615

 

Ellis Communications KDOC, LLC, Loan, 10.00%,
12/30/11

 

 

3,879

 

 

1,454,482

 

HMH Publishing Co., Ltd., Tranche A Term Loan,
5.79%, 6/12/14 (f)

 

 

1,888

 

 

1,718,697

 

Hanley-Wood, LLC, Term Loan, 2.56% – 2.63%,
3/10/14

 

 

975

 

 

421,687

 

Interactive Data Corp., Term Loan, 6.75%, 1/29/17

 

 

700

 

 

704,083

 

Mediacom Illinois, LLC (FKA Mediacom
Communications, LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

 

496

 

 

486,164

 

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

 

 

3,250

 

 

3,449,062

 

Penton Media, Inc., Term Loan (First Lien), 5.00%,
8/01/14 (f)

 

 

728

 

 

502,507

 

Sinclair Television Group, Inc., New Tranche B Loan,
5.50% – 6.25%, 10/29/15

 

 

1,011

 

 

1,011,982

 

Sunshine Acquisition Ltd. (FKA HIT Entertainment),
Term Facility, 5.68%, 6/01/12

 

 

970

 

 

904,682

 

TWCC Holdings Corp., Replacement Term Loan,
5.00%, 9/14/15

 

 

1,040

 

 

1,039,071

 

UPC Financing Partnership, Facility Term Loan,
4.25%, 12/30/16

 

 

1,750

 

 

1,680,000

 

Yell Group Plc Facility A3-Yell Finance (UK) Ltd.,
2.60%, 8/09/11

 

 

703

 

 

678,516

 

 

 

 

 

 

 

 

 

 

 

 

 

21,583,541

 

Metals & Mining — 0.7%

 

 

 

 

 

 

 

Euramax International, Inc., Domestic Term Loan:

 

 

 

 

 

 

 

10.00%, 6/29/13

 

 

858

 

 

797,682

 

13.00%, 6/29/13 (f)

 

 

896

 

 

832,873

 

 

 

 

 

 

 

 

 

 

 

 

 

1,630,555

 

Multi-Utilities — 0.2%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc. (FKA NE Energy, Inc.):

 

 

 

 

 

 

 

Synthetic Letter of Credit, 0.41%, 11/01/13

 

 

7

 

 

6,669

 

Term B Advance (First Lien), 3.06%, 11/01/13

 

 

428

 

 

396,712

 

 

 

 

 

 

 

 

 

 

 

 

 

403,381

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

Par
(000)

 

Value

 

Multiline Retail — 0.6%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2 Term Loan,
3.01% – 3.03%, 7/07/14

 

$

983

 

$

945,881

 

The Neiman Marcus Group, Inc., Term Loan,
2.30%, 4/06/13

 

 

507

 

 

480,151

 

 

 

 

 

 

 

 

 

 

 

 

 

1,426,032

 

Oil, Gas & Consumable Fuels — 1.0%

 

 

 

 

 

 

 

Big West Oil, LLC, Term Loan, 12.00%, 7/23/15

 

 

750

 

 

759,062

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

1,182

 

 

1,191,960

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

318

 

 

320,228

 

 

 

 

 

 

 

 

 

 

 

 

 

2,271,250

 

Personal Products — 0.0%

 

 

 

 

 

 

 

American Safety Razor Co., LLC, Term Loan
(First Lien), 8.75%, 7/31/13 (f)

 

 

81

 

 

74,352

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Warner Chilcott Co., LLC, Term Loan A, 6.00%,
10/30/14

 

 

382

 

 

381,432

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Additional Term Loan B, 6.25%, 4/30/15

 

 

360

 

 

359,650

 

Term Loan B-1, 6.25%, 4/30/15

 

 

149

 

 

148,410

 

Term Loan B-2, 6.25%, 4/30/15

 

 

246

 

 

245,418

 

Term Loan B-3, 6.50%, 2/20/16

 

 

385

 

 

386,364

 

Term Loan B-4, 6.50%, 2/20/16

 

 

125

 

 

125,365

 

 

 

 

 

 

 

 

 

 

 

 

 

1,646,639

 

Professional Services — 0.4%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche C Term Loan,
6.00%, 7/31/15

 

 

995

 

 

994,751

 

Real Estate Management & Development — 0.7%

 

 

 

 

 

 

 

Realogy Corp., Synthetic Letter of Credit, 0.11%,
10/10/13

 

 

1,853

 

 

1,598,751

 

Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc., Extended Maturity
Term Loan, 4.56%, 12/01/16

 

 

390

 

 

348,745

 

Software — 0.2%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term Loan, 6.75%,
4/30/16

 

 

549

 

 

548,168

 

Specialty Retail — 1.2%

 

 

 

 

 

 

 

Burlington Coat Factory Warehouse Corp., Term
Loan, 2.54% – 2.66%, 5/28/13

 

 

355

 

 

336,274

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.63% – 2.81%, 10/31/13

 

 

733

 

 

691,584

 

Term Loan B-2, 4.88% – 5.06%, 7/31/16

 

 

798

 

 

769,875

 

Toys ‘R’ Us, Inc., Term Loan B, 6.00%, 8/17/16

 

 

1,000

 

 

997,494

 

 

 

 

 

 

 

 

 

 

 

 

 

2,795,227

 

Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Phillips Van Heusen Corp., U.S. Tranche B Term Loan,
4.75%, 5/06/16

 

 

748

 

 

751,718

 

Wireless Telecommunication Services — 2.6%

 

 

 

 

 

 

 

Cavtel Holdings, LLC, Term Loan, 10.50%, 12/31/12 (f)

 

 

401

 

 

378,664

 

Digicel International Finance Ltd., U.S. Term Loan
(Non-Rollover), 3.06%, 3/30/12

 

 

2,352

 

 

2,295,875

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 2.56%, 11/03/13

 

 

42

 

 

40,529

 

Tranche B-2 Term Loan, 3.81%, 11/03/16

 

 

454

 

 

445,710

 

Vodafone Americas Finance 2 Inc., Initial Loan,
6.88%, 7/30/15

 

 

2,750

 

 

2,750,000

 

 

 

 

 

 

 

 

 

 

 

 

 

5,910,778

 

Total Floating Rate Loan Interests — 59.9%

 

 

 

 

 

135,145,590

 


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

45



 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

Value

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

 

Intermet Liquidating Trust

 

$

321

 

$

96

 

 

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

 

J.G. Wentworth LLC Preferred Equity Interests (j)

 

 

—

(k)

 

951,244

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

 

Adelphia Preferred Escrow

 

 

3

 

 

—

 

 

Adelphia Recovery Trust

 

 

250

 

 

25

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25

 

 

 

Metals & Mining — 0.3%

 

 

 

 

 

 

 

 

RathGibson Acquisition Co., LLC (j)

 

 

137

 

 

729,063

 

 

 

Total Other Interests — 0.7%

 

 

 

 

 

1,680,428

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

 

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

 

Charter Communications, Inc. (Expires 11/30/14)

 

 

6,862

 

 

37,741

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

37,741

 

 

 

Total Long-Term Investments
(Cost — $286,008,061) — 116.9%

 

 

 

 

 

264,109,957

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 

 

 

Bank of New York Cash Reserves, 0.01% (m)

 

$

1,257

 

 

1,257,197

 

 

 

Total Short-Term Securities
(Cost — $1,257,197) — 0.6%

 

 

 

 

 

1,257,197

 

 

 

Total Investments (Cost — $287,265,258*) — 117.5%

 

 

 

 

 

265,367,154

 

 

Liabilities in Excess of Other Assets — (17.5)%

 

 

 

 

 

(39,482,031

)

 

 

 

 

 

 

 

 

Net Assets — 100.0%

 

 

 

 

$

225,885,123

 

 

 

 

 

 

 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

Aggregate cost

 

$

286,641,288

 

 

 

 

 

 

Gross unrealized appreciation

 

$

8,966,866

 

 

Gross unrealized depreciation

 

 

(30,241,000

)

 

 

 

 

 

Net unrealized depreciation

 

$

(21,274,134

)

 

 

 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

As a result of bankruptcy proceedings, the company did not repay the principal amount or accrued interest of the security upon maturity.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

Convertible security.


 

 

(h)

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 reflects the current yield as of report date.

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

The investment is held by a wholly-owned taxable subsidiary of the Fund. (k) Amount is less than $1,000.

 

 

(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)

Represents the current yield as of report date.

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
February 28,
2010

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 

 

 

BlackRock Liquidity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Funds, TempFund,

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional Class

 

 

1,938,484

 

 

(1,938,484

)

 

—

 

$

2,481

 

 


 

 

•

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

 

Unrealized
Appreciation

 

 

 

USD  1,218,745

 

CAD 1,260,500

 

Citibank NA

 

10/20/10

 

$

37,624

 

 


 

 

•

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation

 

 

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2011

 

$

460

 

$

27,354

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

September
2013

 

$

200

 

 

16,953

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

44,307

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

•

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. This definition 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 derivatives, which are as follows:

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

See Notes to Financial Statements.

 

 

46

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

Schedule of Investments (concluded)

BlackRock Senior High Income Fund, Inc. (ARK)

The following tables summarize the inputs used as of August 31, 2010 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

1,742,075

 

$

1,455,720

 

$

439,092

 

$

3,636,887

 

Corporate Bonds

 

 

—

 

 

117,053,310

 

 

6,556,001

 

 

123,609,311

 

Floating Rate

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan Interests

 

 

—

 

 

111,466,918

 

 

23,678,672

 

 

135,145,590

 

Other Interests

 

 

—

 

 

—

 

 

1,680,428

 

 

1,680,428

 

Warrants

 

 

37,741

 

 

—

 

 

—

 

 

37,741

 

Short-Term Securities

 

 

—

 

 

1,257,197

 

 

—

 

 

1,257,197

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

—

 

 

(21,065

)

 

(21,065

)

 

 

Total

 

$

1,779,816

 

$

231,233,145

 

$

32,333,128

 

$

265,346,089

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments 1

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

44,307

 

 

—

 

$

44,307

 

Foreign currency exchange contracts

 

 

—

 

 

37,624

 

 

—

 

 

37,624

 

 

 

Total

 

 

—

 

$

81,931

 

 

—

 

$

81,931

 

 

 


 

 

1

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2010

 

$

179,112

 

$

8,012,790

 

$

17,012,972

 

$

1,066,529

 

 

—

 

$

26,271,403

 

Accrued discounts/premiums

 

 

—

 

 

76,793

 

 

67,437

 

 

—

 

 

—

 

 

144,230

 

Net realized gain (loss)

 

 

—

 

 

978

 

 

(144,168

)

 

140,206

 

 

—

 

 

(2,984

)

Net change in unrealized appreciation/depreciation 2

 

 

291,009

 

 

(656,826

)

 

1,002,706

 

 

(55,075

)

$

(21,065

)

 

560,749

 

Purchases

 

 

—

 

 

40,983

 

 

4,032,676

 

 

—

 

 

—

 

 

4,073,659

 

Sales

 

 

—

 

 

(918,717

)

 

(8,741,584

)

 

(200,295

)

 

—

 

 

(9,860,596

)

Transfers in 3

 

 

384,143

 

 

—

 

 

12,515,127

 

 

729,063

 

 

—

 

 

13,628,333

 

Transfers out 3

 

 

(415,172

)

 

—

 

 

(2,066,494

)

 

—

 

 

—

 

 

(2,481,666

)

 

 

Balance, as of August 31, 2010

 

$

439,092

 

$

6,556,001

 

$

23,678,672

 

$

1,680,428

 

$

(21,065

)

$

32,333,128

 

 

 


 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $(200,839).

 

 

3

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


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

47



 

 

S tatements of Assets and Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2010 (Unaudited)

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

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

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

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

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated 1

 

$

280,727,944

 

$

316,071,672

 

$

520,591,903

 

$

170,165,651

 

$

265,367,154

 

Investments at value — affiliated 2

 

 

322,368

 

 

2,569,493

 

 

—

 

 

1,227,551

 

 

—

 

Unrealized appreciation on swaps

 

 

220,913

 

 

200,775

 

 

72,033

 

 

—

 

 

44,307

 

Unrealized appreciation on foreign currency exchange contracts

 

 

4,441

 

 

11,568

 

 

75,886

 

 

24,495

 

 

37,624

 

Unrealized appreciation on unfunded loan commitments

 

 

—

 

 

—

 

 

—

 

 

3,402

 

 

—

 

Foreign currency at value 3

 

 

3,919

 

 

31,364

 

 

5,267

 

 

52,181

 

 

298

 

Cash

 

 

1,983,051

 

 

—

 

 

—

 

 

—

 

 

—

 

Cash on deposit for financial futures contracts

 

 

700,000

 

 

730,000

 

 

—

 

 

—

 

 

—

 

Interest receivable

 

 

5,215,987

 

 

5,713,643

 

 

6,444,882

 

 

1,449,301

 

 

3,098,007

 

Investments sold receivable

 

 

1,566,211

 

 

1,694,528

 

 

8,973,940

 

 

4,988,501

 

 

3,221,960

 

Swaps receivable

 

 

46,600

 

 

49,300

 

 

91,584

 

 

—

 

 

58,635

 

Principal paydowns receivable

 

 

—

 

 

—

 

 

1,687,486

 

 

21,787

 

 

45,562

 

Swap premium paid

 

 

412,021

 

 

224,500

 

 

96,183

 

 

—

 

 

553

 

Dividends receivable

 

 

—

 

 

13,331

 

 

57,825

 

 

—

 

 

—

 

Commitment fees receivable

 

 

—

 

 

—

 

 

6,041

 

 

2,286

 

 

2,990

 

Dividends receivable — affiliated

 

 

—

 

 

—

 

 

477

 

 

—

 

 

536

 

Prepaid expenses

 

 

18,345

 

 

19,510

 

 

35,515

 

 

11,127

 

 

18,293

 

Other assets

 

 

123,061

 

 

134,832

 

 

1,863,165

 

 

104,659

 

 

749,553

 

 

 

Total assets

 

 

291,344,861

 

 

327,464,516

 

 

540,002,187

 

 

178,050,941

 

 

272,645,472

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan payable

 

 

50,000,000

 

 

66,000,000

 

 

84,000,000

 

 

28,000,000

 

 

35,000,000

 

Unrealized depreciation on swaps

 

 

177,670

 

 

191,910

 

 

65,760

 

 

—

 

 

—

 

Unrealized depreciation on foreign currency exchange contracts

 

 

31,655

 

 

44,736

 

 

47,671

 

 

45,263

 

 

—

 

Unrealized depreciation on unfunded loan commitments

 

 

21,252

 

 

47,602

 

 

52,865

 

 

54,339

 

 

21,065

 

Cash held as collateral for swaps

 

 

100,000

 

 

—

 

 

—

 

 

—

 

 

—

 

Deferred income

 

 

—

 

 

—

 

 

87,260

 

 

85,072

 

 

35,935

 

Investments purchased payable

 

 

2,615,318

 

 

2,819,567

 

 

23,418,982

 

 

9,806,337

 

 

11,376,646

 

Swap premiums received

 

 

262,224

 

 

271,711

 

 

—

 

 

—

 

 

—

 

Investment advisory fees payable

 

 

121,007

 

 

162,340

 

 

261,246

 

 

106,599

 

 

109,616

 

Interest expense payable

 

 

99,466

 

 

124,416

 

 

177,668

 

 

61,251

 

 

76,258

 

Swaps payable

 

 

34,000

 

 

22,100

 

 

14,300

 

 

—

 

 

6,600

 

Margin variation payable

 

 

20,800

 

 

21,600

 

 

—

 

 

—

 

 

—

 

Commitment fees payable

 

 

1,659

 

 

518

 

 

—

 

 

—

 

 

—

 

Other affiliates payable

 

 

928

 

 

1,024

 

 

1,636

 

 

529

 

 

831

 

Officer’s and Directors’ fees payable

 

 

459

 

 

497

 

 

76,684

 

 

252

 

 

400

 

Income dividends payable

 

 

—

 

 

—

 

 

214,964

 

 

—

 

 

127,788

 

Other accrued expenses payable

 

 

—

 

 

1,456

 

 

24,342

 

 

13,112

 

 

5,210

 

Other liabilities

 

 

7,287

 

 

—

 

 

—

 

 

37,722

 

 

—

 

 

 

Total liabilities

 

 

53,493,725

 

 

69,709,477

 

 

108,443,378

 

 

38,210,476

 

 

46,760,349

 

 

 

Net Assets

 

$

237,851,136

 

$

257,755,039

 

$

431,558,809

 

$

139,840,465

 

$

225,885,123

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital 4

 

$

381,872,533

 

$

439,505,026

 

$

882,654,653

 

$

199,926,953

 

$

401,932,057

 

Undistributed (distributions in excess of) net investment income

 

 

1,564,261

 

 

607,410

 

 

(2,465,478

)

 

(745,306

)

 

3,813,705

 

Accumulated net realized loss

 

 

(140,824,582

)

 

(177,042,955

)

 

(370,880,215

)

 

(52,717,235

)

 

(158,023,391

)

Net unrealized appreciation/depreciation

 

 

(4,761,076

)

 

(5,314,442

)

 

(77,750,151

)

 

(6,623,947

)

 

(21,837,248

)

 

 

Net Assets

 

$

237,851,136

 

$

257,755,039

 

$

431,558,809

 

$

139,840,465

 

$

225,885,123

 

 

 

Net asset value

 

$

6.85

 

$

6.90

 

$

4.00

 

$

13.27

 

$

3.99

 

 

 

1 Investments at cost — unaffiliated

 

$

285,595,517

 

$

321,427,214

 

$

598,762,569

 

$

176,715,022

 

$

287,265,258

 

 

 

2 Investments at cost — affiliated

 

$

322,368

 

$

2,569,493

 

 

—

 

$

1,227,551

 

 

—

 

 

 

3 Foreign currency at cost

 

$

3,942

 

$

31,596

 

$

4,860

 

$

52,907

 

$

308

 

 

 

4 Shares outstanding, 200 million shares authorized, par value $0.10 per share

 

 

34,740,689

 

 

37,345,262

 

 

107,772,006

 

 

10,540,570

 

 

56,606,319

 

 

 


 

 

 

 

See Notes to Financial Statements.

48

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 


 

 

S tatements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended August 31, 2010 (Unaudited)

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

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

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

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

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

12,839,324

 

$

13,730,978

 

$

20,235,546

 

$

5,603,307

 

$

10,051,635

 

Facility and other fees

 

 

66,560

 

 

85,982

 

 

493,723

 

 

164,055

 

 

261,660

 

Dividends

 

 

61,537

 

 

144,039

 

 

—

 

 

—

 

 

—

 

Dividends — affiliated

 

 

2,350

 

 

1,690

 

 

5,765

 

 

2,472

 

 

2,481

 

 

 

Total income

 

 

12,969,771

 

 

13,962,689

 

 

20,735,034

 

 

5,769,834

 

 

10,315,776

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

741,764

 

 

978,541

 

 

1,541,366

 

 

628,550

 

 

659,185

 

Borrowing costs 1

 

 

134,220

 

 

143,307

 

 

232,416

 

 

88,716

 

 

140,825

 

Professional

 

 

56,180

 

 

50,219

 

 

114,878

 

 

64,537

 

 

74,059

 

Custodian

 

 

12,695

 

 

25,349

 

 

30,401

 

 

31,326

 

 

15,166

 

Printing

 

 

15,453

 

 

16,978

 

 

28,893

 

 

9,748

 

 

15,814

 

Accounting services

 

 

28,084

 

 

30,390

 

 

50,810

 

 

17,233

 

 

26,822

 

Transfer agent

 

 

21,731

 

 

20,573

 

 

50,524

 

 

17,337

 

 

28,526

 

Officer and Directors

 

 

11,732

 

 

12,795

 

 

22,819

 

 

7,010

 

 

11,690

 

Registration

 

 

6,176

 

 

6,521

 

 

20,096

 

 

4,735

 

 

10,191

 

Miscellaneous

 

 

35,231

 

 

36,520

 

 

34,459

 

 

19,833

 

 

17,723

 

 

 

Total expenses excluding interest expense

 

 

1,063,266

 

 

1,321,193

 

 

2,126,662

 

 

889,025

 

 

1,000,001

 

Interest expense

 

 

369,791

 

 

429,452

 

 

516,111

 

 

172,197

 

 

238,000

 

 

 

Total expenses

 

 

1,433,057

 

 

1,750,645

 

 

2,642,773

 

 

1,061,222

 

 

1,238,001

 

Less fees waived by advisor

 

 

(1,102

)

 

(760

)

 

(1,186

)

 

(1,074

)

 

(1,087

)

 

 

Total expenses after fees waived

 

 

1,431,955

 

 

1,749,885

 

 

2,641,587

 

 

1,060,148

 

 

1,236,914

 

 

 

Net investment income

 

 

11,537,816

 

 

12,212,804

 

 

18,093,447

 

 

4,709,686

 

 

9,078,862

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

2,999,165

 

 

3,583,729

 

 

(3,981,045

)

 

(576,853

)

 

(1,825,878

)

Financial futures contracts

 

 

491,127

 

 

524,025

 

 

—

 

 

—

 

 

—

 

Swaps

 

 

(604,102

)

 

(248,804

)

 

41,873

 

 

2,111

 

 

20,099

 

Foreign currency transactions

 

 

2,719,547

 

 

2,789,331

 

 

3,201,987

 

 

888,279

 

 

(19,045

)

 

 

 

 

 

5,605,737

 

 

6,648,281

 

 

(737,185

)

 

313,537

 

 

(1,824,824

)

 

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

1,397,957

 

 

1,344,908

 

 

15,644,633

 

 

1,490,889

 

 

5,632,315

 

Financial futures contracts

 

 

108,779

 

 

113,832

 

 

—

 

 

—

 

 

—

 

Swaps

 

 

405,802

 

 

238,857

 

 

111,087

 

 

(856

)

 

44,805

 

Foreign currency transactions

 

 

(1,392,930

)

 

(1,473,543

)

 

(1,793,437

)

 

(613,192

)

 

34,771

 

Unfunded loan commitments

 

 

30,391

 

 

67,977

 

 

(52,865

)

 

(16,912

)

 

(21,065

)

 

 

 

 

 

549,999

 

 

292,031

 

 

13,909,418

 

 

859,929

 

 

5,690,826

 

 

 

Total realized and unrealized gain

 

 

6,155,736

 

 

6,940,312

 

 

13,172,233

 

 

1,173,466

 

 

3,866,002

 

 

 

Net Increase in Net Assets Resulting from Operations

 

$

17,693,552

 

$

19,153,116

 

$

31,265,680

 

$

5,883,152

 

$

12,944,864

 

 

 


 

 

1

See Note 6 of the Notes to Financial Statements for details of borrowings.


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

49


 

 

S tatements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund, Inc. (COY)

 

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

 

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

11,537,816

 

$

22,380,112

 

$

12,212,804

 

$

23,836,686

 

Net realized gain (loss)

 

 

5,605,737

 

 

(18,246,371

)

 

6,648,281

 

 

(16,068,173

)

Net change in unrealized appreciation/depreciation

 

 

549,999

 

 

106,169,011

 

 

292,031

 

 

115,769,455

 

 

 

 

Net increase in net assets resulting from operations

 

 

17,693,552

 

 

110,302,752

 

 

19,153,116

 

 

123,537,968

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(10,622,990

)

 

(25,342,365

)

 

(11,200,041

)

 

(25,189,541

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

188,036

 

 

832,119

 

 

81,395

 

 

111,029

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase in net assets

 

 

7,258,598

 

 

85,792,506

 

 

8,034,470

 

 

98,459,456

 

Beginning of period

 

 

230,592,538

 

 

144,800,032

 

 

249,720,569

 

 

151,261,113

 

 

 

 

End of period

 

$

237,851,136

 

$

230,592,538

 

$

257,755,039

 

$

249,720,569

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

$

1,564,261

 

$

649,435

 

$

607,410

 

$

(405,353

)

 

 

 


 

 

 

 

See Notes to Financial Statements.

50

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

Statements of Changes in Net Assets (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Debt
Strategies Fund, Inc. (DSU)

 

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

 

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

18,093,447

 

$

42,389,165

 

$

4,709,686

 

$

9,000,682

 

Net realized gain (loss)

 

 

(737,185

)

 

(109,291,069

)

 

313,537

 

 

(18,507,006

)

Net change in unrealized appreciation/depreciation

 

 

13,909,418

 

 

275,497,465

 

 

859,929

 

 

65,070,894

 

 

 

 

 

Net increase in net assets resulting from operations

 

 

31,265,680

 

 

208,595,561

 

 

5,883,152

 

 

55,564,570

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(19,393,663

)

 

(41,936,207

)

 

(4,736,968

)

 

(10,283,447

)

Tax return of capital

 

 

—

 

 

(926,392

)

 

—

 

 

(825,748

)

 

 

 

 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(19,393,663

)

 

(42,862,599

)

 

(4,736,968

)

 

(11,109,195

)

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

464,804

 

 

1,409,077

 

 

323,597

 

 

259,478

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase in net assets

 

 

12,336,821

 

 

167,142,039

 

 

1,469,781

 

 

44,714,853

 

Beginning of period

 

 

419,221,988

 

 

252,079,949

 

 

138,370,684

 

 

93,655,831

 

 

 

 

 

 

End of period

 

$

431,558,809

 

$

419,221,988

 

$

139,840,465

 

$

138,370,684

 

 

 

 

 

Distributions in excess of net investment income

 

$

(2,465,478

)

$

(1,165,262

)

$

(745,306

)

$

(718,024

)

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

51



 

 

Statements of Changes in Net Assets (concluded)


 

 

 

 

 

 

 

 

 

 

BlackRock Senior High
Income Fund, Inc. (ARK)

 

 

 

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Operations

 

 

 

 

 

 

 

Net investment income

 

$

9,078,862

 

$

20,424,882

 

Net realized loss

 

 

(1,824,824

)

 

(40,130,950

)

Net change in unrealized appreciation/depreciation

 

 

5,690,826

 

 

114,058,095

 

 

 

 

Net increase in net assets resulting from operations

 

 

12,944,864

 

 

94,352,027

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

Net investment income

 

 

(8,488,581

)

 

(16,952,851

)

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

255,895

 

 

130,893

 

 

 

 

Net Assets

 

 

 

 

 

 

 

Total increase in net assets

 

 

4,712,178

 

 

77,530,069

 

Beginning of period

 

 

221,172,945

 

 

143,642,876

 

 

 

 

End of period

 

$

225,885,123

 

$

221,172,945

 

 

 

 

Undistributed net investment income

 

$

3,813,705

 

$

3,223,424

 

 

 

 


 

 

 

See Notes to Financial Statements.

 

52

SEMI-ANNUAL REPORT

AUGUST 31, 2010



 

 

Statements of Cash F lows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended August 31, 2010 (Unaudited)

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

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

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

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

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 

Cash Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

17,693,552

 

$

19,153,116

 

$

31,265,680

 

$

5,883,152

 

$

12,944,864

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

279,725

 

 

(78,080

)

 

223,299

 

 

168,191

 

 

79,630

 

(Increase) decrease in cash pledged as collateral for financial futures contracts

 

 

(700,000

)

 

(730,000

)

 

—

 

 

—

 

 

—

 

(Increase) decrease in swaps receivable

 

 

74,150

 

 

72,422

 

 

(86,247

)

 

7,389

 

 

(45,562

)

(Increase) decrease in commitment fees receivable

 

 

—

 

 

31

 

 

(6,041

)

 

(1,626

)

 

(2,990

)

Increase in dividends receivable — affiliated

 

 

—

 

 

—

 

 

(477

)

 

—

 

 

(536

)

Decrease in dividends receivable

 

 

18,400

 

 

19,829

 

 

1,671

 

 

—

 

 

—

 

(Increase) decrease in other assets

 

 

(118,546

)

 

(130,317

)

 

(1,274,922

)

 

(104,659

)

 

(649,399

)

Increase (decrease) in other liabilities

 

 

1,659

 

 

518

 

 

(204,300

)

 

37,710

 

 

(99,899

)

Increase in investment advisory fees payable

 

 

8,476

 

 

14,415

 

 

37,776

 

 

11,483

 

 

10,679

 

Increase (decrease) in interest expense payable

 

 

(15,739

)

 

(5,831

)

 

49,996

 

 

6,944

 

 

37,554

 

Increase in other affiliates payable

 

 

90

 

 

106

 

 

188

 

 

33

 

 

55

 

Decrease in accrued expenses payable

 

 

(77,969

)

 

(86,403

)

 

(119,661

)

 

(47,181

)

 

(123,214

)

Increase in margin variable payable

 

 

20,800

 

 

21,600

 

 

—

 

 

—

 

 

—

 

Decrease in swaps payable

 

 

(30,031

)

 

(11,126

)

 

(3,054

)

 

—

 

 

(1,032

)

Increase (decrease) in Officer’s and Directors’ payable

 

 

(168

)

 

(324

)

 

10,994

 

 

(121

)

 

129

 

Net periodic and termination payments of swaps

 

 

(117,179

)

 

18,086

 

 

66,076

 

 

—

 

 

36,197

 

Net realized and unrealized gain (loss)

 

 

(2,627,764

)

 

(3,231,187

)

 

(7,898,021

)

 

247,084

 

 

(2,829,404

)

Amortization of premium and accretion of discount on investments

 

 

(876,997

)

 

(799,723

)

 

(2,261,922

)

 

(676,292

)

 

(952,119

)

Paid-in-kind income

 

 

(186,225

)

 

(410,022

)

 

(971,600

)

 

(146,304

)

 

(301,590

)

Proceeds from sales and paydowns of long-term investments

 

 

133,440,900

 

 

145,146,179

 

 

208,784,670

 

 

82,381,239

 

 

114,105,522

 

Purchases of long-term investments

 

 

(117,822,703

)

 

(138,138,738

)

 

(225,501,618

)

 

(88,207,789

)

 

(107,836,091

)

Net proceeds (purchases) from sales of short-term securities

 

 

4,609,306

 

 

707,262

 

 

(854,785

)

 

570,261

 

 

1,691,943

 

 

 

 

Cash provided by operating activities

 

 

33,573,737

 

 

21,531,813

 

 

1,257,702

 

 

129,514

 

 

16,064,737

 

 

 

 

Cash Used for Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from borrowings

 

 

53,000,000

 

 

62,000,000

 

 

167,000,000

 

 

60,000,000

 

 

79,000,000

 

Cash payments from borrowings

 

 

(75,000,000

)

 

(72,000,000

)

 

(150,000,000

)

 

(56,000,000

)

 

(87,000,000

)

Cash dividends paid to shareholders

 

 

(10,622,990

)

 

(11,118,646

)

 

(18,713,895

)

 

(4,413,371

)

 

(8,064,898

)

Increase in custodian bank payable

 

 

—

 

 

(1,393,499

)

 

—

 

 

4,446

 

 

—

 

 

 

 

Cash used for financing activities

 

 

(32,622,990

)

 

(22,512,145

)

 

(1,713,895

)

 

(408,925

)

 

(16,064,898

)

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

 

(397

)

 

734

 

 

(99,076

)

 

3,756

 

 

(16

)

 

 

 

Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash

 

 

950,350

 

 

(979,598

)

 

(555,269

)

 

(275,655

)

 

(177

)

Cash and foreign currency at beginning of period

 

 

1,036,620

 

 

1,010,962

 

 

560,536

 

 

327,836

 

 

475

 

 

 

 

Cash and foreign currency at end of period

 

$

1,986,970

 

$

31,364

 

$

5,267

 

$

52,181

 

$

298

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid for interest

 

$

385,530

 

$

435,283

 

$

466,115

 

$

165,253

 

$

200,446

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends paid to shareholders

 

$

188,036

 

$

81,395

 

$

464,804

 

$

323,597

 

$

255,895

 

 

 

 


 

 

 

A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.


 

 

 

 

See Notes to Financial Statements.

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

53



 

 

 

 

F inancial Highlights

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended May 31,

 

 

 

 

 

 

 

 

 

 

2008

 

2007

 

2006

 

2005

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.64

 

$

4.19

 

$

7.74

 

$

9.07

 

$

8.52

 

$

8.53

 

$

8.48

 

 

 

Net investment income 1

 

 

0.33

 

 

0.65

 

 

0.50

 

 

0.75

 

 

0.73

 

 

0.74

 

 

0.87

 

Net realized and unrealized gain (loss)

 

 

0.19

 

 

2.53

 

 

(3.50

)

 

(1.32

)

 

0.49

 

 

0.02

 

 

0.07

 

 

 

Net increase (decrease) from investment operations

 

 

0.52

 

 

3.18

 

 

(3.00

)

 

(0.57

)

 

1.22

 

 

0.76

 

 

0.94

 

 

 

Dividends from net investment income

 

 

(0.31

)

 

(0.73

)

 

(0.55

)

 

(0.76

)

 

(0.67

)

 

(0.77

)

 

(0.89

)

 

 

Net asset value, end of period

 

$

6.85

 

$

6.64

 

$

4.19

 

$

7.74

 

$

9.07

 

$

8.52

 

$

8.53

 

 

 

Market price, end of period

 

$

6.98

 

$

6.88

 

$

3.91

 

$

7.28

 

$

8.47

 

$

7.42

 

$

8.46

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

7.94

% 3

 

79.91

%

 

(38.98

)% 3

 

(5.49

)%

 

15.60

%

 

9.75

%

 

11.31

%

 

 

Based on market price

 

 

6.15

% 3

 

99.76

%

 

(39.46

)% 3

 

(4.81

)%

 

23.96

%

 

(3.63

)%

 

13.75

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.20

% 4

 

1.18

%

 

2.29

% 4

 

2.33

%

 

3.25

%

 

2.39

%

 

1.69

%

 

 

Total expenses after fees waived and paid indirectly

 

 

1.20

% 4

 

1.18

%

 

2.29

% 4

 

2.33

%

 

3.25

%

 

2.39

%

 

1.69

%

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.89

% 4

 

0.92

%

 

1.17

% 4

 

0.83

%

 

0.91

%

 

0.90

%

 

0.87

%

 

 

Net investment income

 

 

9.67

% 4

 

11.36

%

 

11.45

% 4

 

9.15

%

 

8.36

%

 

8.55

%

 

9.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

237,851

 

$

230,593

 

$

144,800

 

$

267,698

 

$

313,821

 

$

294,759

 

$

294,218

 

 

 

Borrowings outstanding, end of period (000)

 

$

50,000

 

$

72,000

 

$

38,700

 

$

64,700

 

$

126,200

 

$

127,700

 

$

100,600

 

 

 

Average borrowings outstanding during the period (000)

 

$

57,495

 

$

42,184

 

$

59,553

 

$

81,598

 

$

125,974

 

$

101,539

 

$

104,938

 

 

 

Portfolio turnover

 

 

38

%

 

85

%

 

37

%

 

38

%

 

62

%

 

57

%

 

57

%

 

 

Asset coverage, end of period per $1,000

 

$

5,756

 

$

4,203

 

$

4,742

 

$

5,138

 

$

3,487

 

$

3,308

 

$

3,925

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

54

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year
Ended
February 28,
2010

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended May 31,

 

 

 

 

 

 

 

 

 

 

2008

 

2007

 

2006

 

2005

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.69

 

$

4.05

 

$

7.62

 

$

8.99

 

$

8.46

 

$

8.46

 

$

8.43

 

 

 

Net investment income 1

 

 

0.33

 

 

0.64

 

 

0.50

 

 

0.73

 

 

0.71

 

 

0.72

 

 

0.85

 

Net realized and unrealized gain (loss)

 

 

0.18

 

 

2.68

 

 

(3.51

)

 

(1.33

)

 

0.49

 

 

0.02

 

 

0.07

 

 

 

Net increase (decrease) from investment operations

 

 

0.51

 

 

3.32

 

 

(3.01

)

 

(0.60

)

 

1.20

 

 

0.74

 

 

0.92

 

 

 

Dividends from net investment income

 

 

(0.30

)

 

(0.68

)

 

(0.56

)

 

(0.77

)

 

(0.67

)

 

(0.74

)

 

(0.89

)

 

 

Net asset value, end of period

 

$

6.90

 

$

6.69

 

$

4.05

 

$

7.62

 

$

8.99

 

$

8.46

 

$

8.46

 

 

 

Market price, end of period

 

$

6.92

 

$

6.67

 

$

3.57

 

$

7.03

 

$

8.53

 

$

7.36

 

$

8.38

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

7.81

% 3

 

86.65

%

 

(39.69

)% 3

 

(5.69

)%

 

15.51

%

 

9.78

%

 

11.24

%

 

 

Based on market price

 

 

8.45

% 3

 

111.12

%

 

(42.38

)% 3

 

(8.30

)%

 

25.98

%

 

(3.59

)%

 

16.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.35

% 4

 

1.34

%

 

2.45

% 4

 

2.47

%

 

3.38

%

 

2.49

%

 

1.81

%

 

 

Total expenses after fees waived and paid indirectly

 

 

1.35

% 4

 

1.33

%

 

2.45

% 4

 

2.47

%

 

3.38

%

 

2.49

%

 

1.81

%

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.02

% 4

 

1.04

%

 

1.29

% 4

 

0.96

%

 

1.04

%

 

1.00

%

 

0.99

%

 

 

Net investment income

 

 

9.42

% 4

 

11.35

%

 

11.80

% 4

 

9.01

%

 

8.25

%

 

8.45

%

 

9.71

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

257,755

 

$

249,721

 

$

151,261

 

$

284,361

 

$

335,479

 

$

315,699

 

$

315,626

 

 

 

Borrowings outstanding, end of period (000)

 

$

66,000

 

$

76,000

 

$

44,200

 

$

71,700

 

$

129,700

 

$

141,000

 

$

107,800

 

 

 

Average borrowings outstanding during the period (000)

 

$

66,348

 

$

49,196

 

$

65,500

 

$

88,466

 

$

134,704

 

$

109,144

 

$

112,501

 

 

 

Portfolio turnover

 

 

48

%

 

89

%

 

37

%

 

38

%

 

62

%

 

56

%

 

55

%

 

 

Asset coverage, end of period per $1,000

 

$

4,905

 

$

4,286

 

$

4,422

 

$

4,966

 

$

3,587

 

$

3,239

 

$

3,928

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

55



 

 

 

 

Financial Highlights

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year Ended
February 28,

 

Year
Ended
February 29,
2008

 

Year Ended
February 28,

 

 

 

 

 

 

 

 

 

 

 

 

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

3.89

 

$

2.35

 

$

5.57

 

$

7.01

 

$

6.69

 

$

7.06

 

 

 

Net investment income 1

 

 

0.17

 

 

0.39

 

 

0.52

 

 

0.66

 

 

0.68

 

 

0.63

 

Net realized and unrealized gain (loss)

 

 

0.12

 

 

1.55

 

 

(3.12

)

 

(1.43

)

 

0.28

 

 

(0.35

)

 

 

Net increase (decrease) from investment operations

 

 

0.29

 

 

1.94

 

 

(2.60

)

 

(0.77

)

 

0.96

 

 

0.28

 

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.18

)

 

(0.39

)

 

(0.62

)

 

(0.67

)

 

(0.64

)

 

(0.65

)

Tax return of capital

 

 

—

 

 

(0.01

)

 

—

 

 

—

 

 

—

 

 

—

 

 

 

Total dividends and distributions

 

 

(0.18

)

 

(0.40

)

 

(0.62

)

 

(0.67

)

 

(0.64

)

 

(0.65

)

 

 

Net asset value, end of period

 

$

4.00

 

$

3.89

 

$

2.35

 

$

5.57

 

$

7.01

 

$

6.69

 

 

 

Market price, end of period

 

$

3.92

 

$

3.91

 

$

2.07

 

$

5.43

 

$

7.28

 

$

6.77

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

7.61

% 3

 

87.82

%

 

(50.19

)%

 

(11.72

)%

 

15.35

%

 

4.57

%

 

 

Based on market price

 

 

4.91

% 3

 

114.32

%

 

(54.99

)%

 

(17.13

)%

 

18.37

%

 

11.34

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.22

% 4

 

1.23

%

 

2.42

%

 

3.13

%

 

3.16

%

 

2.63

%

 

 

Total expenses after fees waived

 

 

1.22

% 4

 

1.23

%

 

2.42

%

 

3.13

%

 

3.16

%

 

2.63

%

 

 

Total expenses after fees waived and excluding interest expense

 

 

0.98

% 4

 

1.02

%

 

1.20

%

 

0.99

%

 

0.99

%

 

1.02

%

 

 

Net investment income

 

 

8.35

% 4

 

12.16

%

 

11.79

%

 

9.90

%

 

9.97

%

 

9.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

431,559

 

$

419,222

 

$

252,080

 

$

594,204

 

$

745,944

 

$

708,411

 

 

 

Borrowings outstanding, end of period (000)

 

$

84,000

 

$

67,000

 

$

90,000

 

$

199,000

 

$

298,600

 

$

259,900

 

 

 

Average borrowings outstanding during the period (000)

 

$

79,701

 

$

58,574

 

$

163,286

 

$

272,846

 

$

283,906

 

$

294,371

 

 

 

Portfolio turnover

 

 

36

%

 

86

%

 

44

%

 

51

%

 

65

%

 

46

%

 

 

Asset coverage, end of period per $1,000

 

$

6,137

 

$

7,257

 

$

3,801

 

$

3,986

 

$

3,498

 

$

3,726

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

56

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

 

 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year Ended
February 28,

 

Year
Ended
February 29,
2008

 

Year Ended
February 28,

 

 

 

 

 

 

 

 

 

 

 

 

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.16

 

$

8.92

 

$

16.06

 

$

19.28

 

$

19.39

 

$

19.74

 

 

 

Net investment income 1

 

 

0.45

 

 

0.86

 

 

1.37

 

 

1.55

 

 

1.55

 

 

1.33

 

Net realized and unrealized gain (loss)

 

 

0.11

 

 

4.44

 

 

(6.98

)

 

(3.27

)

 

(0.12

)

 

(0.31

)

 

 

Net increase (decrease) from investment operations

 

 

0.56

 

 

5.30

 

 

(5.61

)

 

(1.72

)

 

1.43

 

 

1.02

 

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.45

)

 

(0.98

)

 

(1.53

)

 

(1.50

)

 

(1.54

)

 

(1.27

)

Net realized gain

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

(0.10

)

Tax return of capital

 

 

—

 

 

(0.08

)

 

—

 

 

—

 

 

—

 

 

—

 

 

 

Total dividends and distributions

 

 

(0.45

)

 

(1.06

)

 

(1.53

)

 

(1.50

)

 

(1.54

)

 

(1.37

)

 

 

Net asset value, end of period

 

$

13.27

 

$

13.16

 

$

8.92

 

$

16.06

 

$

19.28

 

$

19.39

 

 

 

Market price, end of period

 

$

13.50

 

$

15.01

 

$

8.28

 

$

14.75

 

$

18.50

 

$

17.76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

4.25

% 3

 

62.08

%

 

(36.46

)%

 

(8.98

)%

 

8.31

%

 

6.07

%

 

 

Based on market price

 

 

(7.02

)% 3

 

99.15

%

 

(35.78

)%

 

(12.88

)%

 

13.47

%

 

(1.35

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.51

% 4

 

1.50

%

 

2.48

%

 

2.78

%

 

2.87

%

 

2.46

%

 

 

Total expenses after fees waived and paid indirectly

 

 

1.51

% 4

 

1.50

%

 

2.48

%

 

2.78

%

 

2.87

%

 

2.46

%

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.26

% 4

 

1.27

%

 

1.38

%

 

1.20

%

 

1.22

%

 

1.25

%

 

 

Net investment income

 

 

6.69

% 4

 

7.40

%

 

10.08

%

 

8.39

%

 

8.03

%

 

6.88

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

139,840

 

$

138,371

 

$

93,656

 

$

168,553

 

$

202,364

 

$

203,557

 

 

 

Borrowings outstanding, end of period (000)

 

$

28,000

 

$

24,000

 

$

26,000

 

$

50,000

 

$

47,000

 

$

61,400

 

 

 

Average borrowings outstanding during the period (000)

 

$

26,576

 

$

22,225

 

$

45,165

 

$

55,269

 

$

61,022

 

$

63,725

 

 

 

Portfolio turnover

 

 

46

%

 

92

%

 

47

%

 

65

%

 

65

%

 

72

%

 

 

Asset coverage, end of period per $1,000

 

$

5,994

 

$

6,765

 

$

4,602

 

$

4,371

 

$

5,306

 

$

4,315

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

57



 

 

 

Financial Highlights

BlackRock Senior High Income Fund, Inc. (ARK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
August 31,
2010
(Unaudited)

 

Year Ended
February 28,

 

Year
Ended
February 29,
2008

 

Year Ended
February 28,

 

 

 

 

 

 

 

 

 

 

 

 

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

3.91

 

$

2.54

 

$

5.04

 

$

6.17

 

$

6.00

 

$

6.28

 

 

 

Net investment income 1

 

 

0.16

 

 

0.36

 

 

0.41

 

 

0.54

 

 

0.57

 

 

0.55

 

Net realized and unrealized gain (loss)

 

 

0.07

 

 

1.31

 

 

(2.43

)

 

(1.11

)

 

0.16

 

 

(0.27

)

 

 

Net increase (decrease) from investment operations

 

 

0.23

 

 

1.67

 

 

(2.02

)

 

(0.57

)

 

0.73

 

 

0.28

 

 

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.15

)

 

(0.30

)

 

(0.43

)

 

(0.56

)

 

(0.56

)

 

(0.56

)

Tax return of capital

 

 

—

 

 

—

 

 

(0.05

)

 

—

 

 

—

 

 

—

 

 

 

Total dividends and distributions

 

 

(0.15

)

 

(0.30

)

 

(0.48

)

 

(0.56

)

 

(0.56

)

 

(0.56

)

 

 

Net asset value, end of period

 

$

3.99

 

$

3.91

 

$

2.54

 

$

5.04

 

$

6.17

 

$

6.00

 

 

 

Market price, end of period

 

$

3.94

 

$

3.94

 

$

2.21

 

$

4.91

 

$

6.53

 

$

5.88

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

5.98

% 3

 

68.90

%

 

(42.15

)%

 

(9.76

)%

 

12.82

%

 

5.07

%

 

 

Based on market price

 

 

3.86

% 3

 

95.61

%

 

(48.33

)%

 

(16.94

)%

 

21.84

%

 

4.13

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.09

% 4

 

1.13

%

 

2.24

%

 

2.70

%

 

3.03

%

 

2.39

%

 

 

Total expenses after fees waived

 

 

1.09

% 4

 

1.13

%

 

2.24

%

 

2.70

%

 

3.03

%

 

2.39

%

 

 

Total expenses after fees waived and excluding interest expense

 

 

0.88

% 4

 

0.93

%

 

1.05

%

 

0.86

%

 

0.90

%

 

0.91

%

 

 

Net investment income

 

 

8.01

% 4

 

10.70

%

 

9.96

%

 

9.16

%

 

9.42

%

 

9.23

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

225,885

 

$

221,173

 

$

143,643

 

$

284,692

 

$

347,449

 

$

335,690

 

 

 

Borrowings outstanding, end of period (000)

 

$

35,000

 

$

43,000

 

$

47,000

 

$

91,500

 

$

132,000

 

$

141,700

 

 

 

Average borrowings outstanding during the period (000)

 

$

36,755

 

$

29,978

 

$

79,422

 

$

109,978

 

$

131,575

 

$

128,461

 

 

 

Portfolio turnover

 

 

38

%

 

80

%

 

49

%

 

48

%

 

62

%

 

48

%

 

 

Asset coverage, end of period per $1,000

 

$

7,452

 

$

6,144

 

$

4,056

 

$

4,112

 

$

3,632

 

$

3,369

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

58

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

N otes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock Corporate High Yield Fund, Inc. (“COY”), BlackRock Corporate High Yield Fund III, Inc. (“CYE”), BlackRock Debt Strategies Fund, Inc. (“DSU”) and BlackRock Floating Rate Income Strategies Fund II, Inc. (“FRB”) (collectively, the “Funds” or individually as a “Fund”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as diversified, closed-end management investment companies. BlackRock Senior High Income Fund, Inc. (“ARK”) is registered under the 1940 Act as a non-diversified, closed-end management investment company. The Funds are organized as Maryland corporations. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Funds determine and make available for publication the net asset values of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Funds:

Valuation: The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board of Directors (the “Board”). The Funds value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows and trades and values of the underlying reference instruments. Investments in open-end investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Fund’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair values, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.

Foreign Currency Transactions: The Funds’ books and records are maintained in US dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the date the transactions are entered into. Generally, when the US dollar rises in value against foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

59



 

 

Notes to Financial Statements (continued)

The Funds report foreign currency related transactions as components of realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Preferred Stock: The Funds may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: The Funds may invest in floating rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly levered. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London InterBank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of their investment policies.

When a Fund buys a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. The Funds earn and/or pay facility and other fees on floating rate loan interests, which are shown as facility and other fees in the Statements of Operations. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Funds may invest in such loans in the form of participations in loans (“Participations”) and assignments of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower.

Zero-Coupon Bonds: The Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Funds either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts, foreign currency exchange contracts or swaps), or certain borrowings (e.g., loan payable), the Funds will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income, including amortization of premium and accretion of discount on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in facility and other fees in the Statements of Operations.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

 

 

 

 

60

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

Notes to Financial Statements (continued)

Income Taxes: It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies (“RIC”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Certain Funds have wholly owned taxable subsidiaries organized as limited liability companies (the “Taxable Subsidiaries”), each of which holds one of the investments listed in the Schedules of Investments. The Taxable Subsidiaries allow a Fund to hold an investment that is organized as an operating partnership while still satisfying RIC tax requirements. Income earned on the investments held by the Taxable Subsidiaries is taxable to such subsidiaries. Income tax expense, if any, of the Taxable Subsidiaries is reflected in the market value of the investments held by the Taxable Subsidiaries.

Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ US federal tax returns remains open for each of the periods as follows:

 

 

 

 

 

 

 

 

 

 

 

Four Years
Ended

 

Year
Ended

 

Period
Ended

 

Two Years
Ended

COY

 

—

 

February 28,
2010

 

February 28,
2009

 

May 31,
2008

CYE

 

—

 

February 28,
2010

 

February 28,
2009

 

May 31,
2008

DSU

 

February 28,

 

—

 

—

 

—

 

 

2010

 

 

 

 

 

 

FRB

 

February 28,

 

—

 

—

 

—

 

 

2010

 

 

 

 

 

 

ARK

 

February 28,

 

—

 

—

 

—

 

 

2010

 

 

 

 

 

 

The statutes of limitations on the Funds’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. There are no uncertain tax positions that require recognition of a tax liability.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Fund’s Board, non-interested Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in dividends — affiliated in the Statements of Operations.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. The Funds have an arrangement with the custodians whereby fees may be reduced by credits earned on uninvested cash balances, which if applicable are shown as fees paid indirectly in the Statements of Operations. The custodians impose fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement implemented between a Fund and each of its respective counterparties. The ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counter-party non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of its ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Funds purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the values of equity securities

 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

61



 

 

Notes to Financial Statements (continued)

(equity risk). Financial futures contracts are contracts for delayed delivery of securities or currencies at a specific future date and at a specific price or yield. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recognized by the Funds as unrealized gains or losses. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures transactions involves the risk of an imperfect correlation in the movements in the price of financial futures contracts and the underlying assets.

Foreign Currency Exchange Contracts: The Funds enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currency backing some of the investments held by the Funds. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Options: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise price at any time or at a specified time during the option period. When the Funds purchase (write) an option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is “covered,” meaning that the Funds hold the underlying instrument subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of an option written could result in the Funds purchasing or selling a security at a price different from the current market value.

Swaps: The Funds enter into swap agreements, in which the Funds and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counter-party to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

 

•

Credit default swaps — The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds enter into credit default agreements to provide a measure of protection against the default of an issuer (as buyer protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Funds will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising of an index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising of an index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index.


 

 

 

 

62

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

Notes to Financial Statements (continued)


Derivative Instruments Categorized by Risk Exposure:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Values of Derivative Instruments as of August 31, 2010

 

 

 

Asset Derivatives

 

 

 

 

 

Statements of Assets and Liabilities Location

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Foreign currency
exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts

 

$

4,441

 

$

11,568

 

$

75,886

 

$

24,495

 

$

37,624

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

220,913

 

 

200,775

 

 

72,033

 

 

—

 

 

44,307

 

Equity contracts

 

Net unrealized appreciation/depreciation*; Investments at value — unaffiliated**

 

 

108,779

 

 

113,832

 

 

—

 

 

—

 

 

—

 

Total

 

 

 

$

334,133

 

$

326,175

 

$

147,919

 

$

24,495

 

$

81,931

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liability Derivatives

 

 

 

 

 

Statements of Assets and Liabilities Location

 

COY

 

CYE

 

DSU

 

FRB

 

Foreign currency
exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts

 

$

31,655

 

$

44,736

 

$

47,671

 

$

45,263

 

Credit contracts

 

Unrealized depreciation on swaps

 

 

177,670

 

 

191,910

 

 

65,760

 

 

—

 

Total

 

 

 

$

209,325

 

$

236,646

 

$

113,431

 

$

45,263

 

 

 

 

 


 

 

 

*

 

Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

 

**

 

Includes options purchased at value as reported in the Schedules of Investments.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Instruments on the Statements of Operations
Six Months Ended August 31, 2010

 

 

Net Realized Gain (Loss) from

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts***

 

$

2,836,491

 

$

2,854,781

 

$

2,966,761

 

$

951,106

 

$

(18,610

)

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(604,102

)

 

(248,804

)

 

41,873

 

 

2,111

 

 

20,099

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

491,127

 

 

524,025

 

 

—

 

 

—

 

 

—

 

Total

 

$

2,723,516

 

$

3,130,002

 

$

3,008,634

 

$

953,217

 

$

1,489

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts***

 

$

(1,403,326

)

$

(1,469,905

)

$

(1,551,118

)

$

(501,671

)

$

34,787

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

405,802

 

 

238,857

 

 

111,087

 

 

(856

)

 

44,805

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

108,779

 

 

113,832

 

 

—

 

 

—

 

 

—

 

Options****

 

 

(3,230

)

 

(3,610

)

 

—

 

 

(2,090

)

 

—

 

Total

 

$

(891,975

)

$

(1,120,826

)

$

(1,440,031

)

$

(504,617

)

$

79,592

 

 

 


 

 

 

***

 

Foreign currency exchange contracts are included in the net realized gain (loss) from foreign currency transactions and net change in unrealized appreciation/depreciation on foreign currency transactions.

 

****

 

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.


 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

63



 

 

Notes to Financial Statements (continued)

For the six months ended August 31, 2010, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

Financial futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts sold

 

 

25

 

 

25

 

 

—

 

 

—

 

 

—

 

Average notional value of contracts sold

 

$

6,592,015

 

$

6,719,116

 

 

—

 

 

—

 

 

—

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts – US dollars purchased

 

 

6

 

 

6

 

 

7

 

 

4

 

 

1

 

Average number of contracts – US dollars sold

 

 

3

 

 

4

 

 

4

 

 

3

 

 

—

 

Average US dollar amounts purchased

 

$

19,020,717

 

$

20,159,404

 

$

32,132,405

 

$

11,171,524

 

$

904,578

 

Average US dollar amounts sold

 

$

1,352,639

 

$

1,629,522

 

$

5,459,252

 

$

1,882,599

 

 

—

 

Options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts purchased

 

 

17

 

 

19

 

 

—

 

 

11

 

 

—

 

Average notional value of contracts purchased

 

$

16,029

 

$

17,914

 

 

—

 

$

10,371

 

 

—

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts – buy protection

 

 

8

 

 

6

 

 

4

 

 

—

 

 

3

 

Average number of contracts – sell protection

 

 

13

 

 

13

 

 

1

 

 

1

 

 

—

 

Average notional value – buy protection

 

$

6,912,500

 

$

4,691,250

 

$

1,967,500

 

 

—

 

$

922,500

 

Average notional value – sell protection

 

$

3,535,000

 

$

3,702,500

 

$

1,340,910

 

$

500,000

 

 

—

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Funds for 1940 Act purposes, but BAC and Barclays are not.

Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services.

The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee at an annual rate of each Fund’s average daily net assets, plus the proceeds of any outstanding borrowings used for leverage:

 

 

 

 

 

COY

 

 

0.50

%

CYE

 

 

0.60

%

DSU

 

 

0.60

%

FRB

 

 

0.75

%

ARK

 

 

0.50

%

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager. The Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.

The Manager voluntarily agreed to waive its advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through each Fund’s investment in affiliated money market funds; however, the Manager does not waive its advisory fees by the amount of investment advisory fees paid through each Fund’s investment in other affiliated investment companies, if any. This amount is shown as fees waived by advisor in the Statements of Operations.

For the six months ended August 31, 2010, each Fund reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:

 

 

 

 

 

COY

 

$

5,671

 

CYE

 

$

6,239

 

DSU

 

$

5,063

 

FRB

 

$

1,615

 

ARK

 

$

2,590

 

Certain officers and/or directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments including paydowns and excluding short-term securities for the six months ended August 31, 2010, were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

COY

 

$

109,166,705

 

$

123,313,503

 

CYE

 

$

132,482,678

 

$

135,210,998

 

DSU

 

$

207,960,488

 

$

203,954,932

 

FRB

 

$

80,212,760

 

$

78,977,778

 

ARK

 

$

101,314,718

 

$

104,406,607

 


 

 

 

 

64

SEMI-ANNUAL REPORT

AUGUST 31, 2010

 



 

 

Notes to Financial Statements (continued)

5. Commitments:

The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded loan commitments (“commitments”). Commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of August 31, 2010, the Funds had the following unfunded loan commitments:

 

 

 

 

 

 

 

 

Borrower

 

Unfunded
Commitment

 

Value of
Underlying Loan

 

COY

 

 

 

 

 

 

 

Delphi Holdings LLP

 

$

386,400

 

$

365,148

 

CYE

 

 

 

 

 

 

 

Delphi Holdings LLP

 

$

865,487

 

$

817,885

 

DSU

 

 

 

 

 

 

 

Delta, Inc.

 

$

1,475,000

 

$

1,422,135

 

FRB

 

 

 

 

 

 

 

CloverHill

 

$

200,510

 

$

203,912

 

Delphi Holdings LLP

 

$

153,455

 

$

145,015

 

Delta, Inc.

 

$

1,125,000

 

$

1,092,213

 

Horizon Lines LLC

 

$

142,723

 

$

129,611

 

ARK

 

 

 

 

 

 

 

Delta, Inc.

 

$

600,000

 

$

578,935

 

6. Borrowings:

On March 5, 2009, the Funds entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Funds have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:

 

 

 

 

 

 

 

Commitment
Amounts

 

COY

 

$

81,000,000

 

CYE

 

$

85,000,000

 

DSU

 

$

135,000,000

 

FRB

 

$

58,000,000

 

ARK

 

$

91,000,000

 

Advances are made by SSB to the Funds, at the Funds’ option of (a) the higher of (i) 1.0% above the Fed Effective Rate and (ii) 1.0% above the Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR. In addition, the Funds pay a facility fee and a commitment fee based upon SSB’s total commitment to the Funds. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of August 31, 2010 are shown in the Statements of Assets and Liabilities as loan payable. The SSB Agreement was renewed for 364 days under substantially the same terms effective March 4, 2010. The SSB Agreement allows for the following maximum commitment amounts:

 

 

 

 

 

 

 

Commitment
Amounts

 

COY

 

$

90,000,000

 

CYE

 

$

95,000,000

 

DSU

 

$

150,000,000

 

FRB

 

$

58,000,000

 

ARK

 

$

91,000,000

 

The Funds may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the six months ended August 31, 2010, the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:

 

 

 

 

 

 

Daily Weighted
Average
Interest Rate

 

COY

 

1.28%

 

CYE

 

1.28%

 

DSU

 

1.28%

 

FRB

 

1.29%

 

ARK

 

1.28%

 


 

 

 

 

 

SEMI-ANNUAL REPORT

AUGUST 31, 2010

65



 

 

Notes to Financial Statements (concluded)

7. Capital Loss Carryforwards:

As of February 28, 2010, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expires February 28,

 

COY

 

CYE

 

DSU

 

FRB

 

ARK

 

2011

 

$

77,885,783

 

$

119,513,437

 

$

85,285,305

 

 

—

 

$

30,706,546

 

2012

 

 

6,647,369

 

 

1,938,881

 

 

17,223,475

 

 

—

 

 

22,345,071

 

2013

 

 

—

 

 

—

 

 

21,126,025

 

 

—

 

 

—

 

2014

 

 

—

 

 

—

 

 

20,233,987

 

$

203,838

 

 

4,906,362

 

2015

 

 

—

 

 

—

 

 

3,578,574

 

 

1,315,945

 

 

1,585,622

 

2016

 

 

454,146

 

 

363,401

 

 

—

 

 

—

 

 

—

 

2017

 

 

23,362,415

 

 

24,709,530

 

 

56,690,782

 

 

12,168,927

 

 

27,675,242

 

2018

 

 

36,323,237

 

 

33,834,777

 

 

148,062,952

 

 

38,830,450

 

 

60,685,648

 

 

 

Total

 

$

144,672,950

 

$

180,360,026

 

$

352,201,100

 

$

52,519,160

 

$

147,904,491

 

 

 

8. Market and Credit Risk:

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds’ Statements of Assets and Liabilities, less any collateral held by the Funds.

9. Capital Share Transactions:

Each Fund is authorized to issue 200 million shares, par value $0.10 per share, all of which were initially classified as Common Shares. At August 31, 2010, the shares owned by affiliates of the Manager of FRB were 8,843. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestments:

 

 

 

 

 

 

 

 

 

 

Six Months Ended
August 31, 2010

 

Year Ended
February 28, 2010

 

COY

 

 

27,311

 

 

132,418

 

CYE

 

 

11,796

 

 

16,969

 

DSU

 

 

114,520

 

 

422,001

 

FRB

 

 

23,982

 

 

19,658

 

ARK

 

 

63,426

 

 

33,391

 

10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Fund paid a net investment income dividend on September 30, 2010 to shareholders of record on September 15, 2010 as follows:

 

 

 

 

 

 

Common Dividend
Per Share

 

COY

 

$0.051

 

CYE

 

$0.050

 

DSU

 

$0.027

 

FRB

 

$0.075

 

ARK

 

$0.025

 


 

 

 

 

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D isclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Board of Directors (each, a “Board,” and, collectively, the “Boards,” and the members of which are referred to as “Board Members”) of each of BlackRock Corporate High Yield Fund, Inc. (“COY”), BlackRock Corporate High Yield Fund III, Inc. (“CYE”), BlackRock Debt Strategies Fund, Inc. (“DSU”), BlackRock Floating Rate Income Strategies Fund II, Inc. (“FRB”) and BlackRock Senior High Income Fund, Inc. (“ARK” and together with COY, CYE, DSU and FRB, each, a “Fund,” and, collectively, the “Funds”) met on April 8, 2010 and May 13 – 14, 2010 to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. Each Board also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) between the Manager and BlackRock Financial Management, Inc. (the “Sub-Advisor”), with respect to its Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

The Board of each Fund consists of ten individuals, eight of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Boards is an Independent Board Member. The Boards have established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by an Independent Board Member. The Boards also has one ad hoc committee, the Joint Product Pricing Committee, which consists of Independent Board Members and the directors/trustees of the boards of certain other BlackRock-managed funds, who are not “interested persons” of their respective funds.

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by the personnel of BlackRock and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services and assistance in meeting applicable legal and regulatory requirements.

From time to time throughout the year, each Board, acting directly and through its committees, considered at each of its meetings factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the respective Fund and its shareholders. Among the matters the Board considered were: (a) investment performance for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or underperformance against a Fund’s peers and/or benchmark, as applicable; (b) fees, including advisory and other amounts paid to BlackRock and its affiliates by each Fund for services such as call center and fund accounting; (c) each Fund’s operating expenses; (d) the resources devoted to and compliance reports relating to each Fund’s investment objective, policies and restrictions; (e) each Fund’s compliance with its Code of Ethics and compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (k) an analysis of contractual and actual management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; and (l) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 8, 2010 meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with BlackRock to periodically review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April meeting included: (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses, and the investment performance of each Fund as compared with a peer group of funds as determined by Lipper (collectively, “Peers”); (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment advisory fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock; and (f) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At an in-person meeting held on April 8, 2010, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 8, 2010 meeting, the Boards presented BlackRock with questions and requests for additional information and BlackRock responded to these requests with additional written information in advance of the May 13 – 14, 2010 Board meeting.

At an in-person meeting held on May 13 – 14, 2010, each Fund’s Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and each respective Fund and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to each Fund, each for a one-year term ending June 30, 2011. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with each Fund; (d) economies of scale; and (e) other factors deemed relevant by the Board Members.

 

 

 

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Boards also considered other matters they deemed important to the approval process, such as services related to the valuation and pricing of each Fund’s portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with each Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Fund. Throughout the year, the Boards compared each Fund’s performance to the performance of a comparable group of closed-end funds, and the performance of a relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Boards also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance and each Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and each Fund’s portfolio management team, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance, BlackRock’s credit analysis capabilities, BlackRock’s risk analysis capabilities and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards also reviewed a general description of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent.

In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to each Fund. BlackRock and its affiliates and significant shareholders provide each Fund with certain administrative and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In addition to investment advisory services, BlackRock and its affiliates provide each Fund with other services, including: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of each Fund, such as tax reporting, fulfilling regulatory filing requirements, and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: The Boards, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April 8, 2010 meeting, the Boards were provided with reports, independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with their review, the Boards received and reviewed information regarding the investment performance of each Fund as compared to a representative group of similar funds as determined by Lipper and to all funds in each Fund’s applicable Lipper category. The Boards were provided with a description of the methodology used by Lipper to select peer funds. The Boards regularly review the performance of each Fund throughout the year.

The Boards of COY and CYE noted that, in general, COY and CYE performed better than their respective Peers in that the performance of each of COY and CYE were at or above the median of their Lipper Performance Universe in each of the one-, three- and five-year periods reported.

The Board of DSU noted that DSU performed below the median of its Lipper Performance Universe in the three- and five-year periods reported, but that DSU performed better than or equal to the median of its Lipper Performance Universe in the one-year period reported. The Board of DSU and BlackRock reviewed the reasons for DSU’s underperformance during the three- and five-year periods compared with its Peers. The Board of DSU was informed that, among other things, DSU’s credit positioning has traditionally been biased towards the lower quality ratings tiers, which negatively impacted relative performance in 2008.

The Board of FRB noted that FRB performed below the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported. The Board of FRB and BlackRock reviewed the reasons for FRB’s underperformance during these periods compared with its Peers. The Board of FRB was informed that, among other things, for much of 2007, and all of 2008 and 2009, FRB has run a relatively conservative investment strategy, emphasizing more recession-resistant sectors and underweighting higher volatility and more economically sensitive ones. In terms of general strategy, FRB remains relatively conservatively positioned despite the market’s improvement given the ongoing nature of the economic correction and credit crunch, as FRB’s portfolio managers believe that the deleveraging process will continue and impact consumers and more economically sensitive sectors.

The Board of ARK noted that ARK performed below the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported. The Board of ARK and BlackRock reviewed the reasons for ARK’s underperformance during these periods compared with its Peers. The Board of ARK was informed that, among other things, ARK’s credit positioning has traditionally been biased towards the lower quality ratings tiers, which negatively impacted relative performance in 2008.

 

 

 

 

68

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Boards of DSU, FRB and ARK and BlackRock discussed BlackRock’s strategy for improving each respective Fund’s performance and BlackRock’s commitment to providing the resources necessary to assist each Fund’s portfolio managers and to improve each Fund’s performance.

The Boards noted that BlackRock has made changes to the organization of the overall fixed income group management structure designed to result in a strengthened leadership team with clearer accountability.

C. Consideration of the Advisory Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: The Boards, including the Independent Board Members, reviewed each Fund’s contractual advisory fee rate compared with the other funds in its Lipper category. The Boards also compared each Fund’s total expenses, as well as actual management fees, to those of other funds in its Lipper category. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition and profitability with respect to the services it provided each Fund. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Boards reviewed BlackRock’s profitability with respect to each Fund and other funds the Boards currently oversee for the year ended December 31, 2009 compared to available aggregate profitability data provided for the year ended December 31, 2008. The Boards reviewed BlackRock’s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Nevertheless, to the extent such information was available, the Boards considered BlackRock’s overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. That data indicates that operating margins for BlackRock with respect to its registered funds are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Boards considered, among other things, certain third party data comparing BlackRock’s operating margin with that of other publicly traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.

In addition, the Boards considered the cost of the services provided to each Fund by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of each Fund and the other funds advised by BlackRock and its affiliates. As part of their analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of each Fund. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high-quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.

The Board of each Fund noted that its Fund’s contractual management fee rate was lower than or equal to the median contractual management fee rate paid by the Fund’s Peers, in each case, before taking into account any expense reimbursements or fee waivers.

D. Economies of Scale: The Boards, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Boards also considered the extent to which each Fund benefits from such economies and whether there should be changes in the advisory fee rate or structure in order to enable each Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of each Fund.

The Boards noted that most closed-end fund complexes do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering and each fund is managed independently consistent with its own investment objectives. The Boards noted that only one closed-end fund in the Fund Complex has breakpoints in its fee structure. Information provided by Lipper also revealed that only one closed-end fund complex with total closed-end fund nets assets exceeding $10 billion, as of December 31, 2009, used a complex level breakpoint structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates and significant shareholders may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates and significant shareholders as service providers to each Fund, including for administrative and distribution services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain mutual fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that BlackRock completed the acquisition of a complex of exchange-traded funds (“ETFs”) on December 1, 2009, and that BlackRock’s funds may invest in such ETFs without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their respective Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

 

 

 

 

 

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AUGUST 31, 2010

69



 

 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

Conclusion

The Boards, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and each Fund for a one-year term ending June 30, 2011 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to each Fund, for a one-year term ending June 30, 2011. As part of its approval, each Board considered the discussions of BlackRock’s fee structure, as it applies to its respective Fund, being conducted by the ad hoc Joint Product Pricing Committee. Based upon its evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at a decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for each Fund reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. Certain aspects of the arrangements may be the subject of more attention in some years than in others, and the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

 

 

 

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O fficers and Directors

Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee and Director
Richard S. Davis, Director
Frank J. Fabozzi, Director and Member of the Audit Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
Anne Ackerley, Fund President and Chief Executive Officer
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer of the Funds
Howard Surloff, Secretary

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor
BlackRock Financial Management, Inc.
New York, NY 10055

Custodians
JPMorgan Chase Bank, N.A. 1
New York, NY 10017

State Street Bank and Trust Company 2
Boston, MA 02111

The Bank of New York Mellon 3
New York, NY 10286

Transfer Agents
BNY Mellon Shareowner Services 3
Jersey City, NJ 07310

Computershare Trust Company, N.A. 1,2
Providence, RI 02940

Accounting Agent
State Street Bank and Trust Company
Princeton, NJ 08540

Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10036

Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Princeton, NJ 08540

Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809

 

 

1

For COY.

2

For CYE and FRB.

3

For DSU and ARK.


 

 

 

 

 

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A dditional Information

 

Dividend Policy

The Funds’ dividend policy is to distribute all or a portion of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

Electronic Delivery

Electronic copies of most financial reports are available on the Funds’ website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call (800) 441-7762.

Availability of Quarterly Schedule of Investments

Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

 

 

 

 

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Additional Information (continued)

 

Section 19(a) Notices

These amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on the tax regulations. The Funds will send you a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2010

 

 

 

 

 

 

 

Total Cumulative Distributions
for the Fiscal Year

 

% Breakdown of the Total Cumulative Distributions
for the Fiscal Year

 

 

 

 

 

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

DSU

 

 

$0.178145

 

 

—

 

 

$0.001855

 

 

$0.180000

 

 

99%

 

 

0%

 

 

1%

 

 

100%

 

FRB

 

 

$0.398825

 

 

—

 

 

$0.051175

 

 

$0.450000

 

 

89%

 

 

0%

 

 

11%

 

 

100%

 

Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with ‘yield’ or ‘income.’

 

 

 

 

 

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Additional Information (concluded)

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

 

 

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This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

(PAPERLESS LOGO)

 

 

 

(BLACKROCK LOGO)        

#CEF1-5-8/10

Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

 

Item 6 –

Investments

 

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.

 

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

 

Item 10 –

Submission of Matters to a Vote of Security Holders – On September 17, 2010, the Board of Directors of the Fund amended and restated in its entirety the bylaws of the Fund (the “Amended and Restated Bylaws”). The Amended and Restated Bylaws were deemed effective as of September 17, 2010 and set forth, among other things, the processes and procedures that shareholders of the Fund must follow, and specifies additional information that shareholders of the Fund must provide, when proposing director nominations at any annual meeting or special meeting in lieu of an annual meeting or other business to be considered at an annual meeting or special meeting.

 

 

Item 11 –

Controls and Procedures

 

 

11(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.

 

 

11(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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 12 –

Exhibits attached hereto

 

 

12(a)(1) –

Code of Ethics – Not Applicable to this semi-annual report

 

 

12(a)(2) –

Certifications – Attached hereto

 

 

12(a)(3) –

Not Applicable

 

 

12(b) –

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 Floating Rate Income Strategies Fund II, Inc.

   
  By: /s/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer of
    BlackRock Floating Rate Income Strategies Fund II, Inc.
   
  Date: November 5, 2010
   
  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/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer (principal executive officer) of
    BlackRock Floating Rate Income Strategies Fund II, Inc.
   
  Date: November 5, 2010
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Floating Rate Income Strategies Fund II, Inc.
     
  Date: November 5, 2010
       

 

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