Certified Semi-annual Shareholder Report for Management Investment Companies (n-csrs)

Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07456

Name of Fund: BlackRock Senior High Income Fund, Inc. (ARK)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Senior High

            Income Fund, Inc., 55 East 52 nd Street, New York, NY 10055

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

Date of fiscal year end: 02/28/2014

Date of reporting period: 08/31/2013


Table of Contents

Item 1 – Report to Stockholders

 


Table of Contents

AUGUST 31, 2013

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Corporate High Yield Fund, Inc. (COY)

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

BlackRock Debt Strategies Fund, Inc. (DSU)

BlackRock Senior High Income Fund, Inc. (ARK)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents
Table of Contents     

 

      Page  

Dear Shareholder

    3   

Semi-Annual Report:

 

Fund Summaries

    4   

The Benefits and Risks of Leveraging

    12   

Derivative Financial Instruments

    12   
Financial Statements:  

Consolidated Schedules of Investments

    13   

Consolidated Statements of Assets and Liabilities

    73   

Consolidated Statements of Operations

    74   

Consolidated Statements of Changes in Net Assets

    75   

Consolidated Statements of Cash Flows

    76   

Financial Highlights

    77   

Notes to Consolidated Financial Statements

    81   

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

    93   

Officers and Directors

    97   

Additional Information

    98   

 

                
2    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Dear Shareholder

 

Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments. Financial markets rallied last fall after the European Central Bank and the US Federal Reserve announced aggressive monetary stimulus programs, substantially increasing global liquidity. But markets weakened later in the year amid slowing global trade as many European countries fell into recession and growth continued to decelerate in China. In the United States, investors became increasingly concerned about the “fiscal cliff” of tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. High levels of global market volatility persisted through year-end due to fears that bipartisan gridlock would preclude a timely resolution, putting the US economy at risk for recession.

The worst of the fiscal cliff was averted with a last-minute tax deal, allowing markets to get off to a good start in 2013. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaling modest but broad-based improvements in the world’s major economies coupled with the absence of negative headlines from Europe created an aura of comfort for investors. Global equities surged, while rising US Treasury yields pressured high quality fixed income assets. (Bond prices move in the opposite direction of yields.)

February brought a slowdown in global economic momentum and the pace of the rally moderated. In the months that followed, US equities outperformed international markets, as the US economic recovery showed greater stability compared to most other regions. Slow, but positive, growth in the United States was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced investors’ expectations that the US Federal Reserve would keep interest rates low. International markets experienced higher levels of volatility given a resurgence of political instability in Italy and a severe banking crisis in Cyprus, while a poor outlook for European economies also dampened sentiment for overseas investment. Emerging markets significantly lagged the rest of the world as growth in these economies (particularly China and Brazil) fell short of expectations.

After peaking in late May, equity markets broadly sold off due to concerns about the US Federal Reserve reducing monetary stimulus. Volatility picked up considerably as investors abruptly retreated from risk assets and a sharp and dramatic rise in US Treasury yields resulted in tumbling prices for higher-quality fixed income investments. The downswing bottomed out in late June as a more dovish tone from the US central bank served to quell the extreme level of volatility in interest rates. Improving economic data and a positive outlook for corporate earnings helped financial markets regain strength in July, with major US equity indices hitting new record highs. However, markets slumped again in August as investors became more wary amid a number of unknowns. Mixed economic data spurred heightened uncertainty about the future of global growth and investors grew anxious about the timing and extent to which the US Federal Reserve would scale back on its asset-purchase program. Meanwhile, escalating political turmoil in Egypt and Syria renewed concerns about the impact of the broader issue of growing unrest in many countries across the Middle East-North Africa region.

On the whole, developed market equities generated strong returns for the 6- and 12-month periods ended August 31, 2013. Emerging markets, in contrast, suffered the impact of slowing growth and concerns about a shrinking global money supply. Extraordinary levels of interest rate volatility in the latter part of the period resulted in poor performance for most fixed income assets, especially US Treasury bonds and other higher quality sectors such as tax-exempt municipals and investment grade corporate bonds. Conversely, high yield bonds posted gains as the sector continued to benefit from investors’ ongoing search for income in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities near historical lows.

Markets remain volatile, and investors continue to face a number of uncertainties in the current environment. At BlackRock, we believe investors need to think globally and extend their scope across a broader array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

“Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments .

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2013  
    6-month     12-month  

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

    8.95     18.70

US small cap equities
(Russell 2000 ® Index)

    11.73        26.27   

International equities
(MSCI Europe, Australasia,

Far East Index)

    3.71        18.66   

Emerging market equities
(MSCI Emerging Markets Index)

    (10.29     0.54   

3-month Treasury bill
(BofA Merrill Lynch

3-Month US Treasury

Bill Index)

    0.05        0.11   

US Treasury securities
(BofA Merrill Lynch

10-Year US Treasury Index)

    (6.10     (7.51

US investment grade

bonds (Barclays US

Aggregate Bond Index)

    (2.61     (2.47

Tax-exempt municipal

bonds (S&P Municipal

Bond Index)

    (5.99     (3.74

US high yield bonds

(Barclays US Corporate

High Yield 2% Issuer

Capped Index)

    0.84        7.56   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Table of Contents
Fund Summary as of August 31, 2013    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’s”) or Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or are unrated securities considered by BlackRock to be of comparable quality. As a secondary objective, the Fund also seeks to provide shareholders with capital appreciation. The Fund invests, under normal market conditions, at least 80% of its assets in high yield debt instruments, including high yield bonds (commonly referred to as “junk” bonds) and corporate loans, which are below investment grade quality. The Fund may invest directly in such securities or synthetically through the use of derivatives.

On June 5, 2013, the Board of the Fund approved the reorganization of the Fund with BlackRock Corporate High Yield Fund VI, Inc., with BlackRock Corporate High Yield Fund VI, Inc. continuing as the surviving fund after the reorganization. On October 11, 2013, the shareholders of the Fund and BlackRock Corporate High Yield Fund VI, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

 

Portfolio Management Commentary

 

How did the Fund perform?

 

Ÿ  

For the six-month period ended August 31, 2013, the Fund returned (10.76)% based on market price and 2.53% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (6.67)% based on market price and 1.46% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

The Fund benefited from a tactical allocation to equities, which rallied during the period. In fixed income, selection in the automotive, technology and consumer service industries boosted results. Exposure to senior secured floating rate loan interests (bank loans) also aided performance as the asset class outperformed high yield bonds for the six-month period.

 

Ÿ  

Detracting from performance was the Fund’s exposure to issuers in the independent energy, electric and banking industries.

Describe recent portfolio activity.

 

Ÿ  

The Fund actively managed risk throughout the period. The Fund began the period with a riskier stance, but gradually reduced risk in the early months of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). However, the Fund scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.

 

Ÿ  

The Fund’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to its investment selection process. While continuing to find value within credit sectors, during the period, the Fund tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Fund reduced duration (sensitivity to interest rate movements) in its credit allocation. The Fund added to positions in floating rate loan interests as a means of lowering the Fund’s duration profile and hedging against the risk of further interest rate volatility. Over the six-month period, the Fund increased exposure to the technology and building materials industries, while decreasing risk within metals and chemicals.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Fund held 77% of its total portfolio in corporate bonds, 14% in floating rate loan interests and 7% in common stocks, with the remainder invested in preferred securities. The Fund’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. (electric). The Fund held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

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

 

                
4    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
   BlackRock Corporate High Yield Fund, Inc.

 

 

Fund Information

Symbol on New York Stock Exchange (“NYSE”)

  COY

Initial Offering Date

  June 25, 1993

Current Distribution Rate on Closing Market Price as of August 31, 2013 ($6.89) 1

  8.62%

Current Monthly Distribution per Common Share 2

  $0.0495

Current Annualized Distribution per Common Share 2

  $0.5940

Economic Leverage as of August 31, 2013 3

  29%

 

  1    

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2    

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

  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 12.

 

Market Price and Net Asset Value Per Share Summary                                             
           
       8/31/13      2/28/13      Change      High      Low  

Market Price

     $6.89         $8.04         (14.30)%         $8.39         $6.74   

Net Asset Value

     $7.64         $7.76         (1.55)%         $8.07         $7.44   

 

Market Price and Net Asset Value History For the Past Five Years

LOGO

 

Overview of the Fund’s Long-Term Investments

 

 

Portfolio Composition   8/31/13     2/28/13  

Corporate Bonds

    77     75

Floating Rate Loan Interests

    14        17   

Common Stocks

    7        7   

Preferred Securities

    2        1   
Credit Quality Allocation 4   8/31/13     2/28/13  

BBB/Baa

    4     6

BB/Ba

    31        36   

B

    52        46   

CCC/Caa

    11        10   

Not Rated

    2        2   

 

  4  

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

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    5


Table of Contents
Fund Summary as of August 31, 2013    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’s or Baa or lower by Moody’s) or are unrated securities of comparable quality. The Fund’s secondary investment objective is to provide capital appreciation. The Fund may invest directly in such securities or synthetically through the use of derivatives.

On June 5, 2013, the Board of the Fund approved the reorganization of the Fund with BlackRock Corporate High Yield Fund VI, Inc., with BlackRock Corporate High Yield Fund VI, Inc. continuing as the surviving fund after the reorganization. On October 11, 2013, the shareholders of the Fund and BlackRock Corporate High Yield Fund VI, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

 

Portfolio Management Commentary

 

How did the Fund perform?

 

Ÿ  

For the six-month period ended August 31, 2013, the Fund returned (7.95)% based on market price and 2.61% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (6.67)% based on market price and 1.46% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

The Fund benefited from a tactical allocation to equities, which rallied during the period. In fixed income, selection in the automotive, technology and consumer service industries boosted results. Exposure to senior secured floating rate loan interests (bank loans) also aided performance as the asset class outperformed high yield bonds for the six-month period.

 

Ÿ  

Detracting from performance was the Fund’s exposure to issuers in the independent energy, electric and chemicals industries.

Describe recent portfolio activity.

 

Ÿ  

The Fund actively managed risk throughout the period. The Fund began the period with a riskier stance, but gradually reduced risk in the early months of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). However, the Fund scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.

 

Ÿ  

The Fund’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to its investment selection process. While continuing to find value within credit sectors, during the period, the Fund tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Fund reduced duration (sensitivity to interest rate movements) in its credit allocation. The Fund added to positions in floating rate loan interests as a means of lowering the Fund’s duration profile and hedging against the risk of further interest rate volatility. Over the six-month period, the Fund increased exposure to the technology and building materials industries, while decreasing risk within metals and chemicals.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Fund held 76% of its total portfolio in corporate bonds, 14% in floating rate loan interests and 7% in common stocks, with the remainder invested in preferred securities and asset-backed securities. The Fund’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Level 3 Financing, Inc. (wirelines). The Fund held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

 

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

 

                
6    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
   BlackRock Corporate High Yield Fund III, Inc.

 

 

Fund Information

Symbol on NYSE

  CYE

Initial Offering Date

  January 30, 1998

Current Distribution Rate on Closing Market Price as of August 31, 2013 ($6.97) 1

  8.69%

Current Monthly Distribution per Common Share 2

  $0.0505

Current Annualized Distribution per Common Share 2

  $0.6060

Economic Leverage as of August 31, 2013 3

  29%

 

  1    

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2    

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

  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 12.

 

Market Price and Net Asset Value Per Share Summary                                             
           
       8/31/13      2/28/13      Change      High      Low  

Market Price

     $6.97         $7.89         (11.66)%         $8.07         $6.85   

Net Asset Value

     $7.76         $7.88         (1.52)%         $8.20         $7.56   

 

Market Price and Net Asset Value History For the Past Five Years

LOGO

 

Overview of the Fund’s Long-Term Investments

 

Portfolio Composition   8/31/13     2/28/13  

Corporate Bonds

    76     73

Floating Rate Loan Interests

    14        19   

Common Stocks

    7        6   

Preferred Securities

    2        2   

Asset-Backed Securities

    1          
Credit Quality Allocation 4   8/31/13     2/28/13  

A

           1

BBB/Baa

    4     5   

BB/Ba

    31        36   

B

    51        45   

CCC/Caa

    12        10   

Not Rated

    2        3   

 

  4    

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

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    7


Table of Contents
Fund Summary as of August 31, 2013    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’s or Baa or lower by Moody’s) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. The Fund’s secondary objective is to provide capital appreciation. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in such securities or synthetically through the use of derivatives.

On July 19, 2013, the Board of the Fund approved the reorganization of the Fund with each of BlackRock Senior High Income Fund, Inc. and BlackRock Strategic Bond Trust, with the Fund continuing as the surviving fund after the reorganizations. On October 25, 2013, the shareholders of the Fund, BlackRock Senior High Income Fund, Inc. and BlackRock Strategic Bond Trust approved their respective reorganizations, which is expected to be completed in late 2013. In connection with the Funds’ reorganizations, the Board of the Fund also approved an increase in the amount of the Fund’s authorized shares by 200 million shares.

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

 

Portfolio Management Commentary

 

How did the Fund perform?

 

Ÿ  

For the six-month period ended August 31, 2013, the Fund returned (8.31)% based on market price and 2.37% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (6.67)% based on market price and 1.46% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

The Fund benefited from a tactical allocation to equities, which rallied during the period. In fixed income, selection in the chemicals, gaming and consumer service industries boosted results.

 

Ÿ  

Detracting from performance was the Fund’s exposure to issuers in the independent energy, electric and wireless industries. Within floating rate loan interests (bank loans), holding limited exposure to lower-quality assets resulted in an opportunity cost to the Fund as this segment of the market outperformed higher-quality issues.

 

Describe recent portfolio activity.

 

Ÿ  

Fund management continued to maintain a positive view on high yield and bank loan assets overall, while remaining focused on income-oriented credits with strong asset bases and good earnings visibility. Within the bank loan space, the Fund continued to prefer higher-quality, more liquid assets with attractive coupon rates. In high yield bonds, the Fund remained anchored in companies with more stable cash flows, but allowed some risk in companies with positive growth catalysts. Additionally, the Fund continued to find value in select equity and equity-like investments that provide upside potential to enhance total return. Over the six-month period, the Fund increased exposure to the technology and automotive industries, while decreasing risk within independent energy.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Fund held 54% of its total portfolio in floating rate loan interests, 42% in corporate bonds, with the remainder invested in asset-backed securities and common stocks. The Fund’s highest-conviction holdings included HD Supply, Inc. (building materials), Federal-Mogul Corp. (automotive) and Level 3 Financing, Inc. (wirelines).

 

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

 

                
8    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
   BlackRock Debt Strategies Fund, Inc.

 

 

Fund Information

Symbol on NYSE

  DSU

Initial Offering Date

  March 27, 1998

Current Distribution Rate on Closing Market Price as of August 31, 2013 ($3.94) 1

  7.61%

Current Monthly Distribution per Common Share 2

  $0.025

Current Annualized Distribution per Common Share 2

  $0.300

Economic Leverage as of August 31, 2013 3

  28%

 

  1    

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2    

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

  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 12.

 

Market Price and Net Asset Value Per Share Summary                                             
           
       8/31/13      2/28/13      Change      High      Low  

Market Price

     $3.94         $4.46         (11.66)%         $4.65         $3.85   

Net Asset Value

     $4.32         $4.38         (1.37)%         $4.51         $4.27   

 

Market Price and Net Asset Value History For the Past Five Years

LOGO

 

Overview of the Fund’s Long-Term Investments

 

Portfolio Composition   8/31/13     2/28/13  

Floating Rate Loan Interests

    54     53

Corporate Bonds

    42        41   

Asset-Backed Securities

    2        3   

Common Stocks

    2        2   

Other Interests

           1   

 

Credit Quality Allocation 4   8/31/13     2/28/13  

A

    1     1

BBB/Baa

    3        6   

BB/Ba

    29        34   

B

    53        45   

CCC/Caa

    10        10   

Not Rated

    4        4   

 

  4    

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

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    9


Table of Contents
Fund Summary as of August 31, 2013    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.

On July 19, 2013, the Board of the Fund approved the reorganization of the Fund with BlackRock Debt Strategies Fund, Inc., with BlackRock Debt Strategies Fund, Inc. continuing as the surviving fund after the reorganization. On October 25, 2013, the shareholders of the Fund and BlackRock Debt Strategies Fund, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

 

Portfolio Management Commentary

 

How did the Fund perform?

 

Ÿ  

For the six-month period ended August 31, 2013, the Fund returned (6.93)% based on market price and 1.91% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (6.67)% based on market price and 1.46% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

 

Ÿ  

The Fund benefited from a tactical allocation to equities, which rallied during the period. In fixed income, selection in the chemicals, metals and healthcare industries boosted results.

 

Ÿ  

Detracting from performance was the Fund’s exposure to issuers in the media non cable, electric and wireless industries. Within floating rate loan interests (bank loans), holding limited exposure to lower-quality assets resulted in an opportunity cost to the Fund as this segment of the market outperformed higher-quality issues.

Describe recent portfolio activity.

 

Ÿ  

Fund management continued to maintain a positive view on high yield and bank loan assets overall, while remaining focused on income-oriented credits with strong asset bases and good earnings visibility. Within the bank loan space, the Fund continued to prefer higher-quality, more liquid assets with attractive coupon rates. In high yield bonds, the Fund remained anchored in companies with more stable cash flows, but allowed some risk in companies with positive growth catalysts. Additionally, the Fund continued to find value in select equity and equity-like investments that provide upside potential to enhance total return. Over the six-month period, the Fund increased exposure to the consumer services and food & beverage industries, while decreasing risk within independent energy.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Fund held 56% of its total portfolio in floating rate loan interests, 40% in corporate bonds, with the remainder invested in asset-backed securities, common stocks and preferred securities. The Fund’s highest-conviction holdings included HD Supply, Inc. (building materials), Intelsat Jackson Holdings SA (media non cable) and Level 3 Financing, Inc. (wirelines).

 

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

 

                
10    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
     BlackRock Senior High Income Fund, Inc.

 

 

Fund Information

Symbol on NYSE

  ARK

Initial Offering Date

  April 30, 1993

Current Distribution Rate on Closing Market Price as of August 31, 2013 ($3.90) 1

  7.38%

Current Monthly Distribution per Common Share 2

  $0.024

Current Annualized Distribution per Common Share 2

  $0.288

Economic Leverage as of August 31, 2013 3

  26%

 

  1    

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2    

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain.

 

  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 12.

 

Market Price and Net Asset Value Per Share Summary                                             
           
       8/31/13      2/28/13      Change      High      Low  

Market Price

     $3.90         $4.34         (10.14)%         $4.78         $3.84   

Net Asset Value

     $4.28         $4.35         (1.61)%         $4.47         $4.23   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Fund’s Long-Term Investments

 

Portfolio Composition   8/31/13     2/28/13  

Floating Rate Loan Interests

    56     54

Corporate Bonds

    40        42   

Asset-Backed Securities

    2        3   

Common Stocks

    1        1   

Preferred Securities

    1          
Credit Quality Allocation 4   8/31/13     2/28/13  

A

    1     1

BBB/Baa

    3        7   

BB/Ba

    35        37   

B

    56        51   

CCC/Caa

    1        1   

Not Rated

    4        3   

 

  4    

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

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    11


Table of Contents
The Benefits and Risks of Leveraging     

 

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

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

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

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

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

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

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue senior securities representing indebtedness up to 33  1 / 3 % of their total managed assets (each Fund’s net assets plus the proceeds of any outstanding borrowings). In addition, each Fund voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of August 31, 2013, the Funds had aggregate economic leverage from borrowings through a credit facility as a percentage of their total managed assets as follows:

 

       Percent of
Economic
Leverage
 

COY

     29

CYE

     29

DSU

     28

ARK

     26

 

Derivative Financial Instruments

 

The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 4 of the Notes to Consolidated Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Consolidated Financial Statements.

 

                
12    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments  August 31, 2013 (Unaudited)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   Par  
(000)
    Value  

ALM Loan Funding (a)(b)(c):

     

Series 2013-7R2A, Class B, 2.86%, 4/24/24

    USD        375      $ 358,126   

Series 2013-7RA, Class C, 3.71%, 4/24/24

      1,000        943,800   

Series 2013-7RA, Class D, 5.26%, 4/24/24

            450        413,325   
Total Asset-Backed Securities — 0.6%        1,715,251   
     
                         
Common Stocks           Shares          

Auto Components — 0.8%

  

Dana Holding Corp.

  

    5,718        119,849   

Delphi Automotive PLC

  

    8,200        451,164   

The Goodyear Tire & Rubber Co. (d)

  

    77,979        1,568,938   
     

 

 

 
        2,139,951   

Automobiles — 1.5%

     

General Motors Co. (d)

  

    115,397        3,932,730   

Biotechnology — 0.0%

     

Ironwood Pharmaceuticals, Inc. (d)

  

    6,540        76,191   

Capital Markets — 1.9%

     

American Capital Ltd. (d)

  

    341,246        4,258,750   

E*Trade Financial Corp. (d)

  

    44,900        630,396   

Uranium Participation Corp. (d)

  

    33,680        155,402   
     

 

 

 
        5,044,548   

Chemicals — 0.4%

     

Advanced Emissions Solutions, Inc. (d)

  

    6,170        240,938   

Huntsman Corp.

  

    42,200        738,500   
     

 

 

 
        979,438   

Communications Equipment — 0.3%

     

Loral Space & Communications Ltd.

  

    11,463        757,819   

Containers & Packaging — 0.0%

     

Smurfit Kappa Group PLC

  

    3,634        73,910   

Diversified Financial Services — 0.5%

     

Kcad Holdings I Ltd. (d)

  

    269,089,036        1,358,900   

Diversified Telecommunication Services — 0.3%

  

   

Broadview Networks Holdings, Inc. (d)

  

    32,500        204,750   

Level 3 Communications, Inc. (d)

  

    20,920        467,771   
     

 

 

 
        672,521   

Electrical Equipment — 0.0%

     

Medis Technologies Ltd. (d)

  

    67,974        1   

Energy Equipment & Services — 0.8%

     

Laricina Energy Ltd. (d)

  

    35,294        1,185,514   

Osum Oil Sands Corp. (d)

  

    74,000        890,135   
     

 

 

 
        2,075,649   

Hotels, Restaurants & Leisure — 0.8%

     

Caesars Entertainment Corp. (d)

  

    45,393        974,588   
Common Stocks               
Shares
    Value  

Hotels, Restaurants & Leisure (concluded)

     

Pinnacle Entertainment, Inc. (d)

      8,176      $ 193,608   

Travelport LLC (d)(e)

  

    895,979        792,941   
     

 

 

 
        1,961,137   

Insurance — 0.7%

     

American International Group, Inc. (d)

            40,002        1,858,493   

Media — 0.2%

     

Cablevision Systems Corp., Class A

  

    30,253        536,386   

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

  

    8,934        67,541   
     

 

 

 
        603,927   

Metals & Mining — 0.1%

     

African Minerals Ltd. (d)

  

    40,400        119,284   

Peninsula Energy Ltd. (d)

  

    6,975,317        160,145   
     

 

 

 
        279,429   

Oil, Gas & Consumable Fuels — 0.0%

     

African Petroleum Corp. Ltd. (d)

  

    180,300        19,257   

Paper & Forest Products — 0.5%

     

Ainsworth Lumber Co. Ltd. (d)

  

    146,558        403,511   

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

  

    41,686        120,889   

NewPage Corp. (d)

  

    7,740        619,200   

Western Forest Products, Inc. (d)

  

    147,968        199,757   

Western Forest Products, Inc.

  

    41,528        55,986   
     

 

 

 
        1,399,343   

Semiconductors & Semiconductor Equipment — 0.0%

  

 

SunPower Corp. (d)

  

    123        2,643   

Software — 0.2%

     

HMH Holdings/EduMedia (d)

  

    19,102        575,456   

Trading Companies & Distributors — 0.3%

     

HD Supply Holdings, Inc. (d)

  

    39,100        889,134   

Wireless Telecommunication Services — 0.5%

     

Crown Castle International Corp. (d)

  

    9,634        668,792   

SBA Communications Corp., Class A (d)

  

    9,634        722,550   
     

 

 

 
        1,391,342   
Total Common Stocks — 9.8%                     26,091,819   
     
                         
Corporate Bonds           Par  
(000)
         

Aerospace & Defense — 0.7%

  

Bombardier, Inc., 4.25%, 1/15/16 (a)

    USD        450        465,187   

Huntington Ingalls Industries, Inc.:

     

6.88%, 3/15/18

      145        156,238   

7.13%, 3/15/21

      235        253,800   

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

   

    796        859,680   

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)

  

    247        251,607   
     

 

 

 
        1,986,512   

 

Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Consolidated Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:    AUD   Australian Dollar
   CAD   Canadian Dollar
   DIP   Debtor-In-Possession
   EUR   Euro
   GBP   British Pound
   S&P   Standard and Poor’s
   SPDR   Standard and Poor’s Depositary Receipts
   USD   US Dollar

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    13


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par  
(000)
    Value  

Air Freight & Logistics — 0.2%

     

National Air Cargo Group, Inc.:

     

Series 1, 12.38%, 9/02/15

    USD        308      $ 308,330   

Series 2, 12.38%, 8/16/15

      317        316,825   
     

 

 

 
        625,155   

Airlines — 2.3%

     

Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a)

      371        369,739   

Continental Airlines Pass-Through Trust:

     

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

      89        92,395   

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

      298        305,241   

Series 2012-3, Class C, 6.13%, 4/29/18

      850        862,325   

Delta Air Lines Pass-Through Trust:

     

Series 2002-1, Class G-1, 6.72%, 7/02/24

      531        578,509   

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

      161        176,025   

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

      447        463,763   

US Airways Group, Inc., 6.13%, 6/01/18

      305        276,788   

US Airways Pass-Through Trust:

     

Series 2011-1, Class C, 10.88%, 10/22/14

      421        444,422   

Series 2012-1, Class C, 9.13%, 10/01/15

      390        405,292   

Series 2012-2, Class B, 6.75%, 12/03/22

      300        309,750   

Series 2012-2, Class C, 5.45%, 6/03/18

      1,045        974,462   

Series 2013-1, Class B, 5.38%, 5/15/23

      875        831,250   
     

 

 

 
        6,089,961   

Auto Components — 3.0%

     

Affinia Group, Inc., 7.75%, 5/01/21 (a)

  

    621        638,077   

Brighthouse Group PLC, 7.88%, 5/15/18

    GBP        100        156,520   

Continental Rubber of America Corp., 4.50%, 9/15/19 (a)

    USD        150        151,575   

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

  

    410        435,112   

Delphi Corp., 6.13%, 5/15/21

  

    65        71,013   

GKN Holdings PLC, 5.38%, 9/19/22

    GBP        180        283,962   

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18

    USD        2,775        2,920,687   

IDQ Holdings, Inc., 11.50%, 4/01/17 (a)

  

    355        393,162   

Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20

    GBP        439        753,793   

Schaeffler Finance BV, 4.25%, 5/15/18

    EUR        121        159,952   

Schaeffler Holding Finance BV (f):

     

6.88%, 8/15/18 (a)

    USD        450        468,000   

6.88%, 8/15/18

    EUR        310        420,979   

Servus Luxembourg Holdings SCA, 7.75%, 6/15/18

      200        268,348   

Titan International, Inc.:

     

7.88%, 10/01/17

    USD        430        455,800   

7.88%, 10/01/17 (a)

      455        482,300   
     

 

 

 
        8,059,280   

Building Products — 1.5%

     

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a)

      425        412,250   

Builders FirstSource, Inc., 7.63%, 6/01/21 (a)

  

    372        372,000   

Building Materials Corp. of America (a):

     

7.00%, 2/15/20

      500        531,250   

6.75%, 5/01/21

      710        752,600   

Cemex SAB de CV, 5.88%, 3/25/19 (a)

  

    210        198,975   

Momentive Performance Materials, Inc., 8.88%, 10/15/20

      700        726,250   

Texas Industries, Inc., 9.25%, 8/15/20

  

    215        234,888   

USG Corp., 9.75%, 1/15/18

  

    645        743,362   
     

 

 

 
        3,971,575   

Capital Markets — 0.3%

     

E*Trade Financial Corp., 0.00%, 8/31/19 (g)(h)

  

    226        306,795   

Capital Markets (concluded)

     

KCG Holdings, Inc., 8.25%, 6/15/18 (a)

    USD        209      $ 205,342   

Nuveen Investments, Inc., 9.13%, 10/15/17 (a)

  

    194        191,090   
     

 

 

 
        703,227   

Chemicals — 2.0%

     

Axiall Corp., 4.88%, 5/15/23 (a)

      99        91,823   

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

  

    380        480,574   

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

  

    668        684,700   

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

      155        172,825   

INEOS Finance PLC, 7.50%, 5/01/20 (a)

  

    405        433,350   

INEOS Group Holdings SA:

     

6.13%, 8/15/18 (a)

      275        266,062   

6.50%, 8/15/18

    EUR        261        335,327   

Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19

    USD        115        116,725   

LSB Industries, Inc., 7.75%, 8/01/19 (a)

  

    219        226,665   

Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18

      85        84,575   

Nufarm Australia Ltd., 6.38%, 10/15/19 (a)

      205        205,000   

Orion Engineered Carbons Bondco GmbH, 10.00%, 6/15/18

    EUR        315        464,717   

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)

    USD        157        151,897   

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

  

    200        220,500   

Rockwood Specialties Group, Inc., 4.63%, 10/15/20

      858        842,985   

Tronox Finance LLC, 6.38%, 8/15/20 (a)

  

    228        217,740   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV:

     

5.75%, 2/01/21

    EUR        100        130,513   

7.38%, 5/01/21(a)

    USD        328        335,380   
     

 

 

 
        5,461,358   

Commercial Banks — 1.1%

     

CIT Group, Inc.:

     

5.25%, 3/15/18

  

    510        526,575   

6.63%, 4/01/18 (a)

  

    215        232,200   

5.50%, 2/15/19 (a)

  

    1,511        1,548,775   

6.00%, 4/01/36

  

    500        478,618   

Lloyds TSB Bank PLC, 11.88%, 12/16/21 (c)

    EUR        40        65,025   
     

 

 

 
        2,851,193   

Commercial Services & Supplies — 3.6%

     

AA Bond Co. Ltd., 9.50%, 7/31/43

    GBP        160        264,689   

ACCO Brands Corp., 6.75%, 4/30/20

    USD        71        70,113   

ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)

      256        270,080   

ARAMARK Corp., 5.75%, 3/15/20 (a)

      596        607,920   

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

      500        526,506   

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

      24        25,710   

Catalent Pharma Solutions, Inc., 7.88%, 10/15/18

      466        471,825   

Covanta Holding Corp., 6.38%, 10/01/22

  

    585        593,598   

EC Finance PLC, 9.75%, 8/01/17

    EUR        451        649,650   

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

  

    1,235        1,375,543   

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

    USD        335        365,150   

Mustang Merger Corp., 8.50%, 8/15/21 (a)

  

    485        477,725   

TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18

      59        65,638   

UR Merger Sub Corp.:

     

5.75%, 7/15/18

      236        251,930   

7.38%, 5/15/20

      315        339,412   

8.25%, 2/01/21

      429        474,045   

7.63%, 4/15/22

      2,045        2,198,375   

6.13%, 6/15/23

      175        172,375   

 

See Notes to Consolidated Financial Statements.

 

                
14    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par  
(000)
    Value  

Commercial Services & Supplies (concluded)

     

Verisure Holding AB:

     

8.75%, 9/01/18

    EUR        169      $ 244,578   

8.75%, 12/01/18

      100        139,764   

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

    USD        125        135,313   
     

 

 

 
        9,719,939   

Communications Equipment — 1.7%

     

Alcatel-Lucent USA, Inc.:

     

8.88%, 1/01/20 (a)

      805        821,100   

6.50%, 1/15/28

      55        41,800   

6.45%, 3/15/29

      169        130,130   

Avaya, Inc. (a):

     

7.00%, 4/01/19

      250        228,750   

10.50%, 3/01/21

      740        571,650   

CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(f)

      440        435,600   

Zayo Group LLC/Zayo Capital, Inc.:

     

8.13%, 1/01/20

      830        900,550   

10.13%, 7/01/20

      1,355        1,537,925   
     

 

 

 
        4,667,505   

Computers & Peripherals — 0.1%

     

EMC Corp., Series B, 1.75%, 12/01/13 (g)

  

    186        298,646   

Construction & Engineering — 0.4%

     

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

   

    175        141,750   

H&E Equipment Services, Inc., 7.00%, 9/01/22

      408        433,500   

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)

      214        215,070   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a)

      143        138,710   
     

 

 

 
        929,030   

Construction Materials — 3.4%

     

Buzzi Unicem SpA, 6.25%, 9/28/18

    EUR        126        177,349   

HD Supply, Inc.:

     

8.13%, 4/15/19

    USD        3,072        3,417,600   

11.00%, 4/15/20

      1,798        2,148,610   

7.50%, 7/15/20 (a)

      3,170        3,312,650   

HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20

    EUR        51        79,537   
     

 

 

 
        9,135,746   

Consumer Finance — 0.6%

     

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

    USD        435        464,362   

Ford Motor Credit Co. LLC:

     

12.00%, 5/15/15

      670        781,485   

6.63%, 8/15/17

      131        147,927   

IVS F. SpA, 7.13%, 4/01/20

    EUR        195        257,077   
     

 

 

 
        1,650,851   

Containers & Packaging — 1.6%

     

Ardagh Packaging Finance PLC:

     

7.38%, 10/15/17

      100        140,690   

9.13%, 10/15/20 (a)

    USD        409        436,607   

9.13%, 10/15/20 (a)

      365        387,813   

7.00%, 11/15/20 (a)

      230        223,675   

5.00%, 11/15/22

    EUR        200        255,253   

Berry Plastics Corp., 9.75%, 1/15/21

    USD        170        196,775   

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

    EUR        617        815,491   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

    USD        15        15,750   

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

    EUR        244        348,281   

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

    USD        340        369,750   

OI European Group BV, 4.88%, 3/31/21

    EUR        301        401,715   

Pactiv LLC, 7.95%, 12/15/25

    USD        431        381,435   

Tekni-Plex, Inc., 9.75%, 6/01/19 (a)

  

    367        411,040   
     

 

 

 
        4,384,275   

Distributors — 0.5%

     

VWR Funding, Inc., 7.25%, 9/15/17

    USD        1,260      $ 1,310,400   

Diversified Consumer Services — 1.0%

     

APX Group, Inc. (a):

     

6.38%, 12/01/19

      903        851,077   

8.75%, 12/01/20

      547        538,795   

Laureate Education, Inc., 9.25%, 9/01/19 (a)

      1,145        1,236,600   
     

 

 

 
        2,626,472   

Diversified Financial Services — 5.6%

     

Aircastle Ltd.:

     

6.75%, 4/15/17

      345        365,700   

6.25%, 12/01/19

      295        307,537   

Ally Financial, Inc.:

     

7.50%, 12/31/13

      350        356,125   

8.00%, 3/15/20

      276        317,745   

7.50%, 9/15/20

      186        209,250   

8.00%, 11/01/31

      3,165        3,639,750   

8.00%, 11/01/31

      201        227,884   

CNG Holdings, Inc., 9.38%, 5/15/20 (a)

  

    116        108,750   

Co-Operative Group Ltd. (i):

     

6.88%, 7/08/20

    GBP        160        234,935   

7.50%, 7/08/26

      100        144,897   

DPL, Inc.:

     

6.50%, 10/15/16

    USD        298        314,390   

7.25%, 10/15/21

      777        792,540   

Gala Group Finance PLC, 8.88%, 9/01/18

    GBP        600        990,259   

General Motors Financial Co., Inc.:

     

6.75%, 6/01/18

    USD        270        300,713   

4.25%, 5/15/23(a)

      228        205,200   

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)

      465        460,350   

Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a)

      660        648,450   

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

  

    790        880,850   

Reynolds Group Issuer, Inc.:

     

7.13%, 4/15/19

      430        457,412   

9.00%, 4/15/19

      535        552,387   

7.88%, 8/15/19

      100        110,000   

9.88%, 8/15/19

      430        456,875   

5.75%, 10/15/20

      2,075        2,056,844   

WMG Acquisition Corp., 11.50%, 10/01/18

      702        809,055   
     

 

 

 
        14,947,898   

Diversified Telecommunication Services — 3.3%

  

   

Broadview Networks Holdings, Inc., 10.50%, 11/15/17

      500        495,000   

CenturyLink, Inc., Series V, 5.63%, 4/01/20

  

    1,272        1,246,560   

Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a)

      390        358,800   

Consolidated Communications Finance Co., 10.88%, 6/01/20

      320        368,000   

Frontier Communications Corp., 8.50%, 4/15/20

  

    485        529,862   

Level 3 Communications, Inc., 8.88%, 6/01/19

  

    295        314,912   

Level 3 Financing, Inc.:

     

8.13%, 7/01/19

      1,417        1,498,477   

7.00%, 6/01/20

      395        397,962   

8.63%, 7/15/20

      1,604        1,716,280   

Telenet Finance V Luxembourg SCA:

     

6.25%, 8/15/22

    EUR        237        314,171   

6.75%, 8/15/24

      350        468,360   

tw telecom holdings, Inc.:

     

5.38%, 10/01/22

    USD        275        261,938   

5.38%, 10/01/22 (a)

      235        223,838   

Windstream Corp.:

     

7.88%, 11/01/17

      360        399,600   

7.75%, 10/15/20

      144        147,240   

6.38%, 8/01/23

      220        198,825   
     

 

 

 
        8,939,825   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    15


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par   
(000)
    Value  

Electric Utilities — 0.6%

     

Homer City Generation LP (f):

     

8.14%, 10/01/19

    USD        140      $ 140,700   

8.73%, 10/01/26

      205        208,075   

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17

      214        224,536   

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

    EUR        800        1,055,455   
     

 

 

 
        1,628,766   

Electrical Equipment — 0.9%

     

Belden, Inc.:

     

5.50%, 9/01/22 (a)

      340        329,800   

5.50%, 4/15/23

      110        139,566   

General Cable Corp., 5.75%, 10/01/22 (a)

    USD        560        539,000   

International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a)

   

    257        267,280   

Rexel SA, 5.13%, 6/15/20

    EUR        339        454,760   

Techem GmbH, 6.13%, 10/01/19

  

    300        425,891   

Trionista TopCo GmbH, 6.88%, 4/30/21

  

    100        133,492   
     

 

 

 
        2,289,789   

Electronic Equipment, Instruments & Components — 0.1%

  

 

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

    USD        215        253,163   

Energy Equipment & Services — 3.7%

     

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

  

    130        139,100   

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

  

    306        308,295   

CGG:

   

6.50%, 6/01/21

      1,150        1,164,375   

7.75%, 5/15/17

      235        240,875   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)

      612        653,310   

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21

      47        46,295   

Gulfmark Offshore, Inc., 6.38%, 3/15/22

      145        146,813   

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

      290        293,625   

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

      1,309        1,331,907   

Oil States International, Inc.:

     

6.50%, 6/01/19

      611        644,605   

5.13%, 1/15/23 (a)

      315        344,137   

Parker Drilling Co., 7.50%, 8/01/20 (a)

  

    360        353,700   

Peabody Energy Corp.:

     

6.00%, 11/15/18

      619        615,905   

6.25%, 11/15/21

      611        589,615   

7.88%, 11/01/26

      345        344,138   

4.75%, 12/15/41 (g)

      392        303,310   

Precision Drilling Corp.:

     

6.63%, 11/15/20

      70        73,675   

6.50%, 12/15/21

      165        172,425   

Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a)

      214        214,000   

Seadrill Ltd., 5.63%, 9/15/17 (a)

      1,254        1,263,405   

Tervita Corp., 8.00%, 11/15/18 (a)

      252        251,370   

Trionista Holdco GmbH, 5.00%, 4/30/20

    EUR        302        403,130   
     

 

 

 
        9,898,010   

Food & Staples Retailing — 0.6%

     

Bakkavor Finance 2 PLC:

     

8.25%, 2/15/18

    GBP        213        344,115   

8.75%, 6/15/20

      200        323,887   

R&R Ice Cream PLC, 9.25%, 5/15/18 (f)

    EUR        100        135,469   

Rite Aid Corp.:

     

9.25%, 3/15/20

      345        390,281   

6.75%, 6/15/21 (a)

    USD        379        383,738   

Zobele Holding SpA, 7.88%, 2/01/18

    EUR        100        137,452   
     

 

 

 
        1,714,942   

Food Products — 0.9%

     

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

    USD        105      115,500   

Findus Bondco SA:

     

9.13%, 7/01/18

    EUR        153        212,849   

9.50%, 7/01/18

    GBP        100        162,579   

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a)

    USD        360        334,800   

Post Holdings, Inc., 7.38%, 2/15/22

      530        559,150   

Smithfield Foods, Inc., 6.63%, 8/15/22

      431        441,775   

Sun Merger Sub, Inc. (a):

     

5.25%, 8/01/18

      515        516,931   

5.88%, 8/01/21

      161        160,598   
     

 

 

 
        2,504,182   

Health Care Equipment & Supplies — 2.3%

     

Biomet, Inc.:

     

6.50%, 8/01/20

      1,644        1,685,100   

6.50%, 10/01/20

      1,900        1,895,250   

DJO Finance LLC/DJO Finance Corp.:

     

8.75%, 3/15/18

      350        378,875   

7.75%, 4/15/18

      95        93,338   

9.88%, 4/15/18

      540        567,000   

Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a)

      260        265,200   

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

      500        556,875   

IDH Finance PLC, 6.00%, 12/01/18

    GBP        103        159,220   

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19

    USD        212        220,745   

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

      270        283,500   
     

 

 

 
        6,105,103   

Health Care Providers & Services — 5.6%

     

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19

      520        556,400   

CHS/Community Health Systems, Inc.:

     

5.13%, 8/15/18

      785        802,662   

8.00%, 11/15/19

      98        102,900   

7.13%, 7/15/20

      637        643,370   

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

    EUR        300        422,267   

Crown Newco 3 PLC:

     

7.00%, 2/15/18

    GBP        100        158,224   

7.00%, 2/15/18 (a)

      331        523,723   

DaVita HealthCare Partners, Inc., 5.75%, 8/15/22

    USD        819        810,810   

HCA Holdings, Inc., 6.25%, 2/15/21

  

    670        671,675   

HCA, Inc.:

     

8.50%, 4/15/19

      120        129,600   

6.50%, 2/15/20

      1,345        1,444,194   

7.88%, 2/15/20

      255        275,081   

7.25%, 9/15/20

      1,095        1,192,181   

5.88%, 3/15/22

      540        557,550   

4.75%, 5/01/23

      363        338,951   

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

      190        212,325   

Hologic, Inc., 6.25%, 8/01/20

  

    1,125        1,172,812   

IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19

      87        91,133   

inVentiv Health, Inc., 9.00%, 1/15/18 (a)

      580        591,600   

Omnicare, Inc.:

     

7.75%, 6/01/20

      0.00        0.00   

3.75%, 4/01/42 (g)

      268        371,348   

Symbion, Inc., 8.00%, 6/15/16

  

    315        330,750   

 

See Notes to Consolidated Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par   
(000)
    Value  

Health Care Providers & Services (concluded)

     

Tenet Healthcare Corp.:

     

6.25%, 11/01/18

    USD        1,080      $ 1,140,750   

6.75%, 2/01/20

      480        470,400   

4.38%, 10/01/21 (a)

      701        636,158   

Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19

      992        1,061,440   

Voyage Care Bondco PLC, 6.50%, 8/01/18

    GBP        110        169,274   
     

 

 

 
        14,877,578   

Health Care Technology — 1.0%

     

IMS Health, Inc. (a):

     

12.50%, 3/01/18

      2,065        2,436,700   

6.00%, 11/01/20

    USD        132        135,465   
     

 

 

 
        2,572,165   

Hotels, Restaurants & Leisure — 3.2%

     

Carlson Wagonlit BV, 6.88%, 6/15/19 (a)

  

    295        299,425   

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

    EUR        453        607,688   

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

    USD        1,232        1,367,520   

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

    GBP        296        459,858   

Gategroup Finance Luxembourg SA, 6.75%, 3/01/19

    EUR        361        489,044   

Intralot Finance Luxembourg SA, 9.75%, 8/15/18

      400        547,163   

Isle of Capri Casinos, Inc.:

     

7.75%, 3/15/19

    USD        45        46,463   

5.88%, 3/15/21

      201        185,925   

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

      270        264,600   

MCE Finance Ltd., 5.00%, 2/15/21 (a)

      620        568,850   

MTR Gaming Group, Inc., 11.50%, 8/01/19 (f)

      256        269,737   

Playa Resorts Holding BV, 8.00%, 8/15/20 (a)

      150        153,000   

PNK Finance Corp., 6.38%, 8/01/21 (a)

      474        472,815   

Regal Entertainment Group, 5.75%, 2/01/25

      80        73,600   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)

      547        516,915   

Station Casinos LLC, 7.50%, 3/01/21

      1,298        1,336,940   

Travelport LLC/Travelport Holdings, Inc. (a):

     

6.40%, 3/01/16 (c)

      82        79,453   

11.88%, 9/01/16

      31        30,155   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(e)

      315          

The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21

    GBP        300        468,397   

Vougeot Bidco PLC, 7.88%, 7/15/20

  

    203        323,240   

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22

    USD        70        69,125   
     

 

 

 
        8,629,913   

Household Durables — 2.6%

     

Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18

    EUR        100        136,460   

Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a)

    USD        210        207,900   

Beazer Homes USA, Inc., 6.63%, 4/15/18

      30        31,613   

Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)

      375        383,437   

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a)

      267        263,663   

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

    EUR        285        397,410   

K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)

    USD        870        917,850   

Libbey Glass, Inc., 6.88%, 5/15/20

      264        282,150   

Pulte Group, Inc., 6.38%, 5/15/33

      175        156,625   

RPG Byty Sro, 6.75%, 5/01/20

    EUR        180        229,571   

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

    USD        315        326,812   

Household Durables (concluded)

     

Spie BondCo 3 SCA, 11.00%, 8/15/19

    EUR        276      406,725   

Standard Pacific Corp.:

     

10.75%, 9/15/16

    USD        1,185        1,407,187   

8.38%, 1/15/21

      880        985,600   

Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a):

     

7.75%, 4/15/20

      275        300,437   

5.25%, 4/15/21

      247        233,415   

William Lyon Homes, Inc., 8.50%, 11/15/20

  

    275        291,500   
     

 

 

 
        6,958,355   

Household Products — 0.7%

     

Ontex IV SA:

     

7.50%, 4/15/18

    EUR        100        138,794   

7.50%, 4/15/18 (a)

      130        180,433   

9.00%, 4/15/19

      313        429,189   

Spectrum Brands Escrow Corp. (a):

     

6.38%, 11/15/20

    USD        351        363,285   

6.63%, 11/15/22

      230        235,750   

Spectrum Brands, Inc.:

     

9.50%, 6/15/18

      330        363,000   

6.75%, 3/15/20

      89        93,895   
     

 

 

 
        1,804,346   

Independent Power Producers & Energy Traders — 4.0%

  

 

Calpine Corp., 7.50%, 2/15/21 (a)

  

    42        44,520   

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:

     

6.88%, 8/15/17 (a)

      378        382,253   

11.25%, 12/01/18 (a)(f)

      657        515,848   

10.00%, 12/01/20

      3,373        3,554,299   

10.00%, 12/01/20 (a)

      1,700        1,787,125   

12.25%, 3/01/22 (a)

      1,140        1,268,250   

GenOn REMA LLC:

     

Series B, 9.24%, 7/02/17

      86        88,283   

Series C, 9.68%, 7/02/26

      384        407,040   

Laredo Petroleum, Inc.:

     

9.50%, 2/15/19

      445        495,062   

7.38%, 5/01/22

      345        363,975   

NRG Energy, Inc., 7.63%, 1/15/18

      1,453        1,609,197   

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

      305        291,275   
     

 

 

 
                      10,807,127   

Industrial Conglomerates — 0.2%

     

Sequa Corp., 7.00%, 12/15/17 (a)

            420        420,000   

Insurance — 0.8%

     

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)

      1,035        1,058,288   

CNO Financial Group, Inc., 6.38%, 10/01/20 (a)

      206        215,270   

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

      605        623,150   

TMF Group Holding BV, 9.88%, 12/01/19

    EUR        100        138,120   
     

 

 

 
                      2,034,828   

Internet Software & Services — 0.3%

     

Bankrate, Inc., 6.13%, 8/15/18 (a)

    USD        269        265,974   

Cerved Technologies SpA:

     

6.38%, 1/15/20

    EUR        100        133,513   

8.00%, 1/15/21

      100        132,495   

VeriSign, Inc., 4.63%, 5/01/23 (a)

    USD        255        238,425   
     

 

 

 
                      770,407   

IT Services — 4.7%

     

Ceridian Corp.:

     

11.25%, 11/15/15

      115        116,438   

8.88%, 7/15/19 (a)

      1,540        1,732,500   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    17


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par   
(000)
    Value  

IT Services (concluded)

     

Ceridian Corp.(concluded):

     

11.00%, 3/15/21 (a)

    USD        2,405      $ 2,777,775   

Epicor Software Corp., 8.63%, 5/01/19

      510        538,050   

First Data Corp. (a):

     

7.38%, 6/15/19

      2,203        2,285,612   

8.88%, 8/15/20

      495        534,600   

6.75%, 11/01/20

      1,242        1,269,945   

10.63%, 6/15/21

      676        671,775   

11.75%, 8/15/21

      327        305,745   

SunGard Data Systems, Inc.:

     

7.38%, 11/15/18

      500        531,250   

6.63%, 11/01/19

      1,371        1,391,565   

WEX, Inc., 4.75%, 2/01/23 (a)

      453        412,230   
     

 

 

 
                      12,567,485   

Machinery — 0.4%

     

Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a)

      300        318,000   

DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a)

      85        87,763   

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

      335        332,906   

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

      160        177,200   

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a)

      168        164,220   
     

 

 

 
                      1,080,089   

Media — 9.7%

     

AMC Networks, Inc.:

     

7.75%, 7/15/21

      205        226,525   

4.75%, 12/15/22

      267        250,313   

Cablevision Systems Corp., 5.88%, 9/15/22

      490        467,950   

CCO Holdings LLC/CCO Holdings Capital Corp.:

     

5.25%, 9/30/22

      540        492,750   

5.13%, 2/15/23

      685        614,788   

Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(e)

      537        393,353   

Checkout Holding Corp., 9.91%, 11/15/15 (a)(h)

      418        337,535   

Cinemark USA, Inc., 5.13%, 12/15/22

      232        216,920   

Clear Channel Communications, Inc.:

     

9.00%, 12/15/19 (b)

      618        594,825   

9.00%, 3/01/21

      1,122        1,065,900   

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      568        563,740   

Series B, 7.63%, 3/15/20

      883        885,207   

Series B, 6.50%, 11/15/22

      1,743        1,743,000   

DISH DBS Corp.:

     

4.25%, 4/01/18

      485        477,725   

5.13%, 5/01/20

      827        800,122   

5.88%, 7/15/22

      600        588,000   

DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a)

      164        168,510   

Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a)

      840        911,400   

Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a)

      757        702,118   

Intelsat Luxembourg SA, 6.75%, 6/01/18 (a)

      1,160        1,200,600   

Live Nation Entertainment, Inc. (a):

     

8.13%, 5/15/18

      675        737,444   

7.00%, 9/01/20

      178        185,120   

Lynx I Corp., 6.00%, 4/15/21

    GBP        930        1,444,824   

The McClatchy Co., 9.00%, 12/15/22

    USD        502        529,610   

Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a)

      861        863,152   

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

      456        493,939   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)

      316        319,950   

Media (concluded)

     

Nara Cable Funding Ltd., 8.88%, 12/01/18

    EUR        200      278,406   

Nielsen Finance LLC/Nielsen Finance Co.:

     

11.63%, 2/01/14

      45        46,859   

7.75%, 10/15/18

      1,111        1,208,212   

Odeon & UCI Finco PLC, 9.00%, 8/01/18 (a)

    GBP        189        301,680   

ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a)

    USD        166        166,830   

ProtoStar I Ltd., 18.00%, 10/15/13 (a)(d)(e)(g)

      812        406   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a)

      240        237,600   

Sirius XM Radio, Inc. (a):

     

4.25%, 5/15/20

      474        433,710   

5.75%, 8/01/21

      326        319,480   

4.63%, 5/15/23

      233        205,623   

Sterling Entertainment Corp.,
10.00%, 12/15/19

      800        800,000   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

7.50%, 3/15/19

    EUR        722        1,032,955   

5.50%, 1/15/23 (a)

    USD        475        432,250   

Unitymedia KabelBW GmbH, 9.50%, 3/15/21

    EUR        385        577,401   

Univision Communications, Inc. (a):

     

8.50%, 5/15/21

    USD        266        287,945   

6.75%, 9/15/22

      112        116,200   

5.13%, 5/15/23

      648        611,550   

UPCB Finance II Ltd.:

     

6.38%, 7/01/20 (a)

    EUR        753        1,043,818   

6.38%, 7/01/20

      100        138,621   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a)

    USD        329        340,515   
     

 

 

 
                      25,855,381   

Metals & Mining — 3.6%

     

ArcelorMittal:

     

9.50%, 2/15/15

      300        329,250   

4.25%, 8/05/15

      268        276,040   

4.25%, 3/01/16

      125        127,500   

5.00%, 2/25/17

      340        347,650   

6.13%, 6/01/18

      305        314,150   

Eco-Bat Finance PLC, 7.75%, 2/15/17

    EUR        435        586,416   

FMG Resources August 2006 Property Ltd. (a):

     

6.38%, 2/01/16

      925        947,715   

6.00%, 4/01/17

    USD        1,251        1,272,892   

Global Brass & Copper, Inc.,
9.50%, 6/01/19 (a)

      275        299,750   

Kaiser Aluminum Corp., 8.25%, 6/01/20

      205        228,575   

New Gold, Inc., 6.25%, 11/15/22 (a)

      275        263,313   

Novelis, Inc., 8.75%, 12/15/20

      2,815        3,061,312   

Peninsula Energy Ltd., 0.00%, 12/14/14

      500        500,000   

Perstorp Holding AB, 8.75%, 5/15/17 (a)

      205        209,613   

Steel Dynamics, Inc., 6.38%, 8/15/22

      225        234,563   

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

      385        379,225   

Vedanta Resources PLC, 8.25%, 6/07/21 (a)

      245        230,300   
     

 

 

 
                      9,608,264   

Multiline Retail — 0.4%

     

Dollar General Corp., 4.13%, 7/15/17

      727        763,429   

Dufry Finance SCA, 5.50%, 10/15/20 (a)

      203        207,172   
     

 

 

 
                      970,601   

Oil, Gas & Consumable Fuels — 9.1%

     

Access Midstream Partners LP/ACMP Finance Corp.:

     

5.88%, 4/15/21

      273        280,507   

6.13%, 7/15/22

      250        256,875   

4.88%, 5/15/23

      411        382,230   

 

See Notes to Consolidated Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par   
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

     

Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (g)

    USD        817      $ 749,087   

Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)

      175        176,750   

Aurora USA Oil & Gas, Inc. (a):

     

9.88%, 2/15/17

      610        643,550   

7.50%, 4/01/20

      305        301,950   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

      78        79,365   

BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22

      235        232,650   

Carrizo Oil & Gas, Inc., 7.50%, 9/15/20

      215        226,825   

Chaparral Energy, Inc., 7.63%, 11/15/22

      205        205,513   

Chesapeake Energy Corp.:

     

7.25%, 12/15/18

      110        124,575   

6.63%, 8/15/20

      77        82,583   

6.88%, 11/15/20

      248        268,460   

6.13%, 2/15/21

      69        71,760   

Concho Resources, Inc.:

     

7.00%, 1/15/21

      75        82,313   

6.50%, 1/15/22

      270        286,200   

5.50%, 10/01/22

      333        325,507   

5.50%, 4/01/23

      67        64,990   

CONSOL Energy, Inc.:

     

8.00%, 4/01/17

      388        409,340   

8.25%, 4/01/20

      285        302,100   

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

      340        372,300   

Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18

      140        148,750   

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

      568        591,110   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)

      314        310,860   

Denbury Resources, Inc., 4.63%, 7/15/23

      708        631,890   

Energy XXI Gulf Coast, Inc.:

     

9.25%, 12/15/17

      430        478,375   

7.75%, 6/15/19

      490        509,600   

EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20

      195        214,500   

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

      315        334,687   

EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19

      140        140,000   

Halcon Resources Corp., 8.88%, 5/15/21

      384        384,960   

Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a)

      243        258,795   

Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20

      145        149,350   

Kodiak Oil & Gas Corp.:

     

8.13%, 12/01/19

      320        350,400   

5.50%, 2/01/22 (a)

      148        142,820   

Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a)

      140        133,000   

Lightstream Resources Ltd., 8.63%, 2/01/20 (a)

      237        225,150   

Linn Energy LLC/Linn Energy Finance Corp.:

     

6.50%, 5/15/19

      41        38,540   

6.25%, 11/01/19 (a)

      649        597,080   

8.63%, 4/15/20

      710        713,550   

7.75%, 2/01/21

      55        53,350   

MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:

     

6.25%, 6/15/22

      147        153,615   

4.50%, 7/15/23

      225        204,750   

Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21

      181        174,665   

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

      715        748,962   

Northern Oil & Gas, Inc., 8.00%, 6/01/20

      285        289,275   

Oil, Gas & Consumable Fuels (concluded)

     

Oasis Petroleum, Inc.:

     

7.25%, 2/01/19

    USD        185      196,100   

6.50%, 11/01/21

      270        283,500   

Offshore Group Investment Ltd., 7.13%, 4/01/23

      388        373,450   

Pacific Drilling SA, 5.38%, 6/01/20 (a)

      373        359,945   

PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20

      89        91,003   

PDC Energy, Inc., 7.75%, 10/15/22

      190        199,500   

Penn Virginia Corp., 8.50%, 5/01/20

      184        184,000   

Petrobras Global Finance BV, 3.00%, 1/15/19

      320        294,339   

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

      730        799,350   

Range Resources Corp.:

     

8.00%, 5/15/19

      345        370,875   

6.75%, 8/01/20

      111        119,603   

5.75%, 6/01/21

      896        938,560   

5.00%, 8/15/22

      296        289,340   

5.00%, 3/15/23

      157        153,468   

Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18

      107        114,758   

RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)

      116        116,000   

Rosetta Resources, Inc., 5.63%, 5/01/21

      245        236,425   

Sabine Pass Liquefaction LLC (a):

     

5.63%, 2/01/21

      1,074        1,025,670   

5.63%, 4/15/23

      309        286,597   

Sabine Pass LNG LP:

     

7.50%, 11/30/16

      1,595        1,756,494   

6.50%, 11/01/20 (a)

      300        301,500   

SandRidge Energy, Inc.:

     

8.75%, 1/15/20

      28        29,260   

7.50%, 2/15/23

      277        267,997   

SESI LLC, 6.38%, 5/01/19

      188        197,870   

Seven Generations Energy Ltd., 8.25%, 5/15/20 (a)

      93        95,325   

SM Energy Co.:

     

6.63%, 2/15/19

      192        200,640   

6.50%, 11/15/21

      240        252,000   

6.50%, 1/01/23

      283        291,490   

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)

      260        263,900   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)

      142        141,645   

Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20

      250        253,125   
     

 

 

 
                      24,387,193   

Paper & Forest Products — 0.6%

     

Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)

      292        308,060   

Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20

      105        112,612   

Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17

      55        57,888   

Clearwater Paper Corp.:

     

7.13%, 11/01/18

      535        575,125   

4.50%, 2/01/23

      40        36,200   

NewPage Corp., 11.38%, 12/31/14 (d)(e)

      1,785          

Sappi Papier Holding GmbH (a):

     

8.38%, 6/15/19

      200        209,000   

6.63%, 4/15/21

      120        111,600   

Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a)

      240        240,600   
     

 

 

 
                      1,651,085   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    19


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par   
(000)
    Value  

Pharmaceuticals — 2.2%

     

Capsugel Finance Co. SCA:

     

9.88%, 8/01/19

    EUR        100      $ 146,042   

9.88%, 8/01/19 (a)

      200        292,085   

Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)

    USD        600        678,000   

Valeant Pharmaceuticals International (a):

     

6.88%, 12/01/18

      841        891,460   

6.38%, 10/15/20

      248        252,030   

6.75%, 8/15/21

      412        424,360   

VPII Escrow Corp. (a):

     

6.75%, 8/15/18

      2,255        2,387,481   

7.50%, 7/15/21

      136        145,520   

Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18

      565        617,263   
     

 

 

 
                      5,834,241   

Professional Services — 0.3%

     

La Financiere Atalian SA, 7.25%, 1/15/20

    EUR        120        154,633   

Truven Health Analytics, Inc., 10.63%, 6/01/20

    USD        470        499,375   
     

 

 

 
                      654,008   

Real Estate Investment Trusts (REITs) — 0.7%

     

Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a)

      261        266,872   

Felcor Lodging LP:

     

6.75%, 6/01/19

      934        978,365   

5.63%, 3/01/23

      235        218,550   

Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(g)

      110        149,875   

iStar Financial, Inc., 4.88%, 7/01/18

      375        363,750   
     

 

 

 
                      1,977,412   

Real Estate Management & Development — 2.4%

  

   

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

      310        329,375   

Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a)

      785        843,875   

Realogy Corp. (a):

     

7.88%, 2/15/19

      2,165        2,354,437   

7.63%, 1/15/20

      465        520,800   

9.00%, 1/15/20

      305        352,275   

Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)

      311        308,668   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

      1,290        1,415,775   

Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a)

      415        412,925   
     

 

 

 
                      6,538,130   

Road & Rail — 0.7%

     

The Hertz Corp.:

     

7.50%, 10/15/18

      505        545,400   

6.75%, 4/15/19

      265        282,556   

5.88%, 10/15/20

      60        61,575   

7.38%, 1/15/21

      400        432,000   

6.25%, 10/15/22

      245        249,287   

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a)

      181        178,738   
     

 

 

 
                      1,749,556   

Semiconductors & Semiconductor Equipment — 0.3%

  

 

NXP BV/NXP Funding LLC (a):

     

3.75%, 6/01/18

      395        381,669   

9.75%, 8/01/18

      100        110,500   

5.75%, 2/15/21

      305        305,000   
     

 

 

 
                      797,169   

Software — 1.9%

     

BMC Software Finance, Inc., 8.13%, 7/15/21 (a)

    USD        665      673,312   

Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(f)

      309        313,635   

IAC/InterActiveCorp, 4.75%, 12/15/22

      386        356,085   

Igloo Holdings Corp., 8.25%, 12/15/17 (a)(f)

      274        280,165   

Infor US, Inc., 9.38%, 4/01/19

      1,890        2,102,625   

Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a)

      139        143,518   

Nuance Communications, Inc., 5.38%, 8/15/20 (a)

      865        823,912   

Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a)

      408        442,680   
     

 

 

 
                      5,135,932   

Specialty Retail — 3.1%

     

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

      335        370,175   

Claire’s Stores, Inc. (a):

     

9.00%, 3/15/19

      797        887,659   

7.75%, 6/01/20

      304        302,480   

CST Brands, Inc., 5.00%, 5/01/23 (a)

      348        330,600   

House of Fraser Funding PLC:

     

8.88%, 8/15/18(a)

    GBP        259        424,833   

8.88%, 8/15/18

      221        362,502   

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

    USD        745        880,031   

Magnolia BC SA, 9.00%, 8/01/20

    EUR        252        337,252   

Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(f)

    USD        541        541,000   

Michaels Stores, Inc., 7.75%, 11/01/18

      215        231,394   

New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(f)

      197        202,418   

Party City Holdings, Inc., 8.88%, 8/01/20 (a)

      929        995,191   

PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(f)

      264        261,030   

Penske Automotive Group, Inc., 5.75%, 10/01/22

      289        286,110   

QVC, Inc. (a):

     

7.50%, 10/01/19

      565        609,114   

7.38%, 10/15/20

      270        293,368   

Sally Holdings LLC/Sally Capital, Inc.:

     

6.88%, 11/15/19

      500        545,000   

5.75%, 6/01/22

      470        470,587   
     

 

 

 
                      8,330,744   

Textiles, Apparel & Luxury Goods — 0.5%

     

Levi Strauss & Co., 6.88%, 5/01/22

      400        425,000   

PVH Corp., 4.50%, 12/15/22

      233        215,816   

Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a)

      110        113,438   

SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a)

      461        455,237   

The William Carter Co., 5.25%, 8/15/21 (a)

      231        232,155   
     

 

 

 
                      1,441,646   

Thrifts & Mortgage Finance — 0.1%

     

MGIC Investment Corp., 2.00%, 4/01/20 (g)

      47        59,102   

Radian Group, Inc. (g):

     

3.00%, 11/15/17

      55        76,141   

2.25%, 3/01/19

      66        94,380   
     

 

 

 
                      229,623   

Trading Companies & Distributors — 0.6%

     

Air Lease Corp., 4.50%, 1/15/16

      540        561,600   

Ashtead Capital, Inc., 6.50%, 7/15/22 (a)

      455        481,162   

 

See Notes to Consolidated Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Corporate Bonds           Par   
(000)
    Value  

Trading Companies & Distributors (concluded)

     

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, Series 2012-1, Class A, 5.13%, 11/30/24 (a)

    USD        533      $ 525,323   
     

 

 

 
                      1,568,085   

Transportation Infrastructure — 0.5%

     

Aguila 3 SA (a):

     

7.88%, 1/31/18

      398        416,905   

Series 144, 7.88%, 1/31/18

      290        303,775   

Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a)

      680        697,000   
     

 

 

 
                      1,417,680   

Wireless Telecommunication Services — 4.6%

     

Crown Castle International Corp., 5.25%, 1/15/23

      1,029        972,405   

Digicel Group Ltd., 8.25%, 9/30/20 (a)

      420        445,200   

Digicel Ltd., 6.00%, 4/15/21 (a)

      1,962        1,893,330   

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

      477        494,888   

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

      324        247,860   

Phones4u Finance PLC:

     

9.50%, 4/01/18

    GBP        100        160,394   

9.50%, 4/01/18 (a)

      370        593,458   

Softbank Corp., 4.50%, 4/15/20 (a)

    USD        720        680,717   

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

      1,034        933,185   

Sprint Communications, Inc. (a):

     

9.00%, 11/15/18

      3,237        3,779,197   

7.00%, 3/01/20

      1,743        1,873,725   

T-Mobile USA, Inc., 5.25%, 9/01/18 (a)

      345        348,450   
     

 

 

 
                      12,422,809   
Total Corporate Bonds – 106.8%                     285,844,655   
     
   
Floating Rate Loan Interests (c)  

Airlines — 1.0%

     

Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18

      391        391,512   

Northwest Airlines, Inc., Term Loan:

     

2.30%, 3/10/17

      588        544,635   

2.30%, 3/10/17

      589        545,457   

1.68%, 9/10/18

      499        441,345   

1.68%, 9/10/18

      495        438,100   

1.68%, 9/10/18

      491        434,854   
     

 

 

 
                      2,795,903   

Auto Components — 1.2%

     

Federal-Mogul Corp.:

     

Term Loan B, 2.12% — 2.13%, 12/29/14

      1,859        1,810,368   

Term Loan C, 2.12% — 2.13%, 12/28/15

      901        877,753   

Schaeffler AG, Term Loan C, 4.25%, 1/27/17

      520        520,806   
     

 

 

 
                      3,208,927   

Building Products — 0.1%

     

Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19

            388        384,736   

Capital Markets — 0.8%

     

American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16

      1,294        1,297,807   

Knight Capital Group, Inc., Term Loan B, 5.75%, 12/05/17

      330        328,558   

Nuveen Investments, Inc.:

     

2nd Lien Term Loan, 6.50%, 2/28/19

      315        313,164   

Term Loan, 4.18%, 5/15/17

      102        101,756   
     

 

 

 
                      2,041,285   

Chemicals — 0.2%

     

MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20

    USD        130      131,300   

OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20

      280        279,213   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, Term Loan, 4.75%, 2/03/20

      50        50,199   
     

 

 

 
                      460,712   

Commercial Services & Supplies — 0.3%

     

Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17

      240        240,751   

Interactive Data Corp., Term Loan B, 3.75%, 2/11/18

      379        378,016   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

      235        235,221   
     

 

 

 
                      853,988   

Communications Equipment — 1.3%

     

Alcatel-Lucent USA, Inc.:

     

Term Loan C, 5.75%, 1/30/19

      1,284        1,288,774   

Term Loan D, 6.25%, 1/30/19

    EUR        502        665,590   

Avaya, Inc., Term Loan B5, 8.00%, 3/30/18

    USD        113        106,763   

Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19

      1,349        1,353,042   
     

 

 

 
                      3,414,169   

Construction Materials — 0.3%

     

HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17

            795        796,968   

Containers & Packaging — 0.1%

     

Tekni-Plex, Inc., Term Loan B, 5.50% — 6.50%, 8/25/19

            245        243,775   

Diversified Consumer Services — 0.2%

     

Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18

      133        132,464   

ServiceMaster Co.:

     

Extended Term Loan, 4.44%, 1/31/17

      155        150,566   

Term Loan, 4.25%, 1/31/17

      423        409,977   
     

 

 

 
                      693,007   

Diversified Telecommunication Services — 0.4%

  

   

Level 3 Financing, Inc.:

     

2016 Term Loan, 4.00%, 1/15/20

      360        359,701   

2019 Term Loan B, 4.00%, 8/01/19

      530        529,009   

Term Loan, 4.75%, 8/01/19

      245        244,743   
     

 

 

 
                      1,133,453   

Energy Equipment & Services — 0.1%

     

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

            170        168,866   

Food & Staples Retailing — 0.0%

     

Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20

            100        102,469   

Food Products — 0.1%

     

AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17

            194        195,663   

Health Care Equipment & Supplies — 0.1%

     

LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18

            257        254,826   

Health Care Providers & Services — 0.2%

     

Genesis HealthCare Corp., Term Loan B, 10.00% — 10.75%, 9/25/17

      213        219,084   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    21


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)           Par   
(000)
    Value  

Health Care Providers & Services (concluded)

     

inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16

    USD        376      $ 366,805   
     

 

 

 
                      585,889   

Hotels, Restaurants & Leisure — 4.3%

     

Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20

      425        424,205   

Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20

      405        405,502   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20

      1,105        1,102,238   

Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14

      6,579        6,259,918   

MGM Resorts International, Term Loan B, 3.50%, 12/20/19

      496        494,040   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

      515        516,282   

Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19

      600        601,752   

Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20

      843        848,510   

Travelport LLC:

     

2nd Lien PIK Term Loan 2, 8.38%, 12/01/16

      405        404,672   

2nd Lien Term Loan 1, 9.50%, 1/29/16

      97        100,513   

Refinancing Term Loan, 6.25%, 6/26/19

      275        277,613   
     

 

 

 
                      11,435,245   

Industrial Conglomerates — 0.2%

     

Sequa Corp., Term Loan B, 5.25%, 6/19/17

            529        531,044   

Insurance — 0.1%

     

Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19

            308        309,415   

IT Services — 0.4%

     

Ceridian Corp., Term Loan B, 4.43%, 5/09/17

      285        284,703   

First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18

      720        712,397   
     

 

 

 
                      997,100   

Life Sciences Tools & Services — 0.1%

     

Patheon, Inc., Term Loan, 7.25%, 12/06/18

            189        189,989   

Machinery — 1.3%

     

Gardner Denver, Inc., Term Loan:

     

4.25%, 7/30/20

      1,137        1,130,947   

4.75%, 7/30/20

    EUR        1,245        1,640,829   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20

    USD        656        648,645   
     

 

 

 
                      3,420,421   

Media — 1.6%

     

Cengage Learning Acquisitions, Inc.:

     

Non-Extended Term Loan, 4.75%, 7/03/14

      290        207,258   

Tranche 1 Incremental, 6.00%, 7/03/14

      1,370        967,766   

Clear Channel Communications, Inc.:

     

Term Loan B, 3.83%, 1/29/16

      123        114,834   

Term Loan C, 3.83%, 1/29/16

      92        83,939   

Term Loan D, 6.93%, 1/30/19

      1,365        1,251,607   

EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18

      397        398,293   

Getty Images, Inc., Term Loan B, 4.75%, 10/18/19

      41        39,203   

Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20

      545        545,452   

TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20

      205        210,125   

Media (concluded)

     

Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20

    USD        227      226,566   

Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20

      110        109,447   
     

 

 

 
                      4,154,490   

Metals & Mining — 0.8%

     

Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20

      823        841,454   

FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17

      1,311        1,315,729   
     

 

 

 
                      2,157,183   

Multiline Retail — 0.5%

     

HEMA Holding BV, Mezzanine, 8.63%, 7/05/17

    EUR        1,214        1,444,198   

Oil, Gas & Consumable Fuels — 1.5%

     

Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17

    USD        2,015        2,051,935   

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

      628        628,002   

Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18

      215        215,942   

Vantage Drilling Co.:

     

Term Loan, 6.25%, 10/26/17

      788        793,007   

Term Loan B, 5.75%, 3/22/19

      344        346,718   
     

 

 

 
                      4,035,604   

Pharmaceuticals — 0.3%

     

Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19

      655        651,580   

Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18

      285        285,073   
     

 

 

 
                      936,653   

Real Estate Investment Trusts (REITs) — 0.3%

  

   

iStar Financial, Inc., Term Loan, 4.50%, 10/16/17

            889        889,076   

Real Estate Management & Development — 0.2%

  

   

Realogy Corp.:

     

Extended Letter of Credit, 4.45%, 10/10/16

      86        86,529   

Extended Term Loan, 4.50%, 3/05/20

      409        411,225   
     

 

 

 
                      497,754   

Road & Rail — 0.1%

     

Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17

            249        248,270   

Software — 0.4%

     

BMC Software, Inc., Term Loan, 5.00%, 8/07/20

      130        129,730   

GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20

      55        55,825   

Infor US, Inc., Term Loan B2, 5.25%, 4/05/18

      459        461,771   

Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20

      470        485,862   
     

 

 

 
                      1,133,188   

Specialty Retail — 0.3%

     

David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19

      493        495,106   

Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19

      240        239,354   
     

 

 

 
                      734,460   

Textiles, Apparel & Luxury Goods — 0.4%

     

Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18

            1,037        992,808   

 

See Notes to Consolidated Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)         Par   
(000)
    Value  

Thrifts & Mortgage Finance — 0.2%

     

Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18

  USD     559      $ 563,907   
Total Floating Rate Loan Interests — 19.4%        52,005,441   
     
   
Other Interests (d)(j)        
 
 

Beneficial
Interest  
(000)   

  
 
  

       

Chemicals — 0.0%

     

Wellman Holdings, Inc., Litigation Trust Certificate

        2,650        27   

Media — 0.0%

     

Adelphia Preferred Escrow

      700        7   

Adelphia Recovery Trust

      878        8,779   
     

 

 

 
                  8,786   
Total Other Interests — 0.0%        8,813   
     
   
Preferred Securities                      
Capital Trusts        
 
Par  
(000)
 
  
       

Media — 0.0%

     

NBCUniversal Enterprise, Inc., 5.25% (a)(k)

        100        97,921   
     
   
Preferred Stocks         Shares          

Auto Components — 1.5%

     

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

        23,460        4,121,629   
     
   
Trust Preferreds                      

Diversified Financial Services — 1.4%

     

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

        139,710        3,689,522   
Total Preferred Securities — 2.9%        7,909,072   
     
   
Warrants (l)                      

Health Care Providers & Services — 0.0%

     

HealthSouth Corp., (Expires 1/16/14)

        29,930          

Media — 0.0%

     

New Vision Holdings LLC:

     

(Expires 9/30/14)

      2,283      4,196   

(Expires 9/30/14)

      12,682        19,391   
     

 

 

 
                  23,587   

Metals & Mining — 0.0%

     

Peninsula Energy Ltd., (Expires 12/31/15)

      2,142,553        14,684   

Peninsula Minerals Ltd., (Expires 12/31/15) 

      3,627,165        35,512   
     

 

 

 
                  50,196   

Software — 0.0%

     

HMH Holdings/EduMedia, (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

        1,070          
Total Warrants — 0.0%        73,783   
Total Long-Term Investments
(Cost — $373,669,516) — 139.5%
        373,648,834   
     
   
Short-Term Securities                      

BlackRock Liquidity Funds, TempCash, Institutional Class, 0.06% (m)(n)

        1,579,905        1,579,905   
Total Short-Term Securities
(Cost — $1,579,905) — 0.6%
        1,579,905   
     
   
Options Purchased                      
(Cost — $1,065,207) — 0.5%                 1,213,665   
Total Investments Before Options Written
(Cost — $376,314,628) — 140.6%
                376,442,404   
     
   
Options Written                      

(Premiums Received — $265,802) — (0.1)%

  

    (280,700
Total Investments, Net of Options Written — 140.5%        376,161,704   
Liabilities in Excess of Other Assets — (40.5)%        (108,463,512
     

 

 

 
Net Assets — 100.0%       $ 267,698,192   
     

 

 

 

 

Notes to Consolidated Schedule of Investments

 

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

 

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

 

Counterparty      Value       

Unrealized

Appreciation

 

J.P. Morgan Securities LLC

     $ 1,715,250             

Bank of America N.A.

     $ 594,825         $ 24,628   

 

(c)   Variable rate security. Rate shown is as of report date.

 

(d)   Non-income producing security.

 

(e)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

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

 

(g)   Convertible security.

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    23


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

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

 

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

 

(j)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(k)   Security is perpetual in nature and has no stated maturity date.

 

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

 

(m)   Investments in issuers considered to be an affiliate of the Fund during the six months ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate     

Net

Activity

    

Shares Held

at August 31,

2013

       Income  

BlackRock Liquidity Funds, TempCash, Institutional Class

     1,579,905        1,579,905         $ 704   

 

(n)   Represents the current yield as of report date.

 

Ÿ  

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

 

Ÿ  

Financial futures contracts as of August 31, 2013 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
  Unrealized
Appreciation
(Depreciation)
 
  (20   10-Year US Treasury Note   Chicago Board of Trade   December 2013   $2,485,625   $ (1,281
  (11   2-Year US Treasury Note   Chicago Board of Trade   December 2013   $2,417,250     (157
  (30   5-Year US Treasury Note   Chicago Board of Trade   December 2013   $3,590,391     4,414   
  Total              $ 2,976   
         

 

 

 

 

Ÿ  

Foreign currency exchange contracts as of August 31, 2013 were as follows:

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
USD        269,543         EUR        204,000      Credit Suisse International     9/03/13      $ (74
USD        332,923         GBP        215,000      Bank of America N.A.     9/03/13        (262
EUR        204,000         USD        269,562      Credit Suisse International     9/25/13        73   
USD        1,653,867         EUR        1,239,000      Barclays PLC     9/25/13        16,230   
USD        20,774,374         EUR        15,461,000      UBS AG     9/25/13        338,937   
GBP        215,000         USD        332,799      Bank of America N.A.     10/22/13        263   
USD        421,777         AUD        463,000      UBS AG     10/22/13        10,995   
USD        3,045,332         CAD        3,169,000      JPMorgan Chase Bank N.A.     10/22/13        40,273   
USD        150,763         GBP        100,000      Bank of America N.A.     10/22/13        (4,150
USD        158,155         GBP        102,000      Bank of America N.A.     10/22/13        144   
USD        131,600         GBP        85,000      Barclays PLC     10/22/13        (76
USD        8,607,693         GBP        5,708,000      Deutsche Bank AG     10/22/13        (234,716
USD        156,630         GBP        103,000      Deutsche Bank AG     10/22/13        (2,930
USD        89,306         GBP        57,423      Deutsche Bank AG     10/22/13        351   
USD        70,618         GBP        45,171      Deutsche Bank AG     10/22/13        642   
Total                      $ 165,700   
                    

 

 

 

 

Ÿ  

Exchange-traded options purchased as of August 31, 2013 were as follows:

 

Description      Put/Call        Strike
Price
     Expiration
Date
     Contracts     Market
Value
 

SPDR S&P 500 ETF Trust

       Put           USD        165.00         9/21/13         280      $ 94,080   

SPDR S&P 500 ETF Trust

       Put           USD        164.00         9/21/13         950        269,325   

SPDR S&P 500 ETF Trust

       Put           USD        161.00         10/19/13         1,087        326,100   

SPDR S&P 500 ETF Trust

       Put           USD        164.00         10/19/13         1,260        524,160   
Total                     $ 1,213,665   
                   

 

 

 

 

Ÿ  

Over-the-counter options purchased as of August 31, 2013 were as follows:

 

Description      Counterparty   Put/Call        Strike
Price
     Expiration
Date
    Contracts     Market
Value
 

Marsico Parent Superholdco LLC

     Goldman Sachs & Co.     Call           USD        942.86         12/14/19        17          

 

See Notes to Consolidated Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

Ÿ  

Exchange-traded options written as of August 31, 2013 were as follows:

 

Description   Put/Call        Strike
Price
     Expiration
Date
     Contracts     Market
Value
 

SPDR S&P 500 ETF Trust

    Put           USD        156.00         9/21/13         (950   $ (66,500

SPDR S&P 500 ETF Trust

    Put           USD        156.00         10/19/13         (1,260     (214,200
Total      $ (280,700
                

 

 

 

 

Ÿ  

Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

 

Issuer    Pay
Fixed Rate
     Counterparty    Expiration
Date
     Notional
Amount
(000)
    Market
Value
     Premiums
Paid
     Unrealized
Depreciation
 

Radioshack Corp.

     5.00    Deutsche Bank AG      9/20/18         USD        61      $ 15,330       $ 18,980       $ (3,651

Radioshack Corp.

     5.00    Deutsche Bank AG      9/20/18         USD        61        15,329         18,689         (3,360

Radioshack Corp.

     5.00    Deutsche Bank AG      9/20/18         USD        61        15,329         16,935         (1,605
Total                 $ 45,988       $ 54,604       $ (8,616
               

 

 

    

 

 

    

 

 

 

 

Ÿ  

Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

 

Issuer/Index   Receive
Fixed Rate
    Counterparty   Expiration
Date
    Credit
Rating 1
   Notional
Amount
(000) 2
    Market
Value
    Premiums
Received
    Unrealized
Appreciation
(Depreciation)
 

Radioshack Corp.

    5.00   Deutsche Bank AG     9/20/15      CCC      USD        61      $ (6,506   $ (9,486   $ 2,980   

Radioshack Corp.

    5.00   Deutsche Bank AG     9/20/15      CCC      USD        61        (6,505     (9,498     2,992   

Radioshack Corp.

    5.00   Deutsche Bank AG     9/20/15      CCC      USD        61        (6,505     (7,777     1,272   

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.     12/20/15      CCC-      USD        143        (27,215     (36,705     9,490   

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.     12/20/15      CCC-      USD        70        (13,330     (16,111     2,781   

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Chase Bank N.A.     12/20/15      CCC-      USD        58        (11,042     (14,467     3,425   

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Chase Bank N.A.     12/20/15      CCC-      USD        250        (47,654     (72,022     24,369   

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.     3/20/16      CCC-      USD        48        (10,906     (9,361     (1,545

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/16      CCC-      USD        71        (15,946     (15,379     (567

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/16      CCC-      USD        301        (67,721     (52,739     (14,983

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/16      CCC-      USD        101        (22,718     (24,171     1,454   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/16      CCC-      USD        101        (22,718     (24,171     1,454   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/16      CCC-      USD        302        (67,922     (68,881     959   

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Chase Bank N.A.     3/20/16      CCC-      USD        41        (9,215     (8,392     (823

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     6/20/16      CCC-      USD        114        (29,570     (23,210     (6,360

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     6/20/16      CCC-      USD        204        (53,132     (51,128     (2,005

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     6/20/16      CCC-      USD        390        (101,607     (94,691     (6,916

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     6/20/16      CCC-      USD        708        (184,360     (174,199     (10,161

Caesars Entertainment Operating Co., Inc.

    5.00   Citibank N.A.     9/20/16      CCC-      USD        335        (99,317     (115,201     15,883   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/17      CCC-      USD        187        (66,140     (51,643     (14,497

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/17      CCC-      USD        222        (78,630     (68,997     (9,633

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International     3/20/17      CCC-      USD        129        (45,861     (38,083     (7,777

Crown Castle International Corp.

    7.25   Deutsche Bank AG     3/20/17      B      USD        430        69,958               69,958   

CCO Holdings LLC

    8.00   Deutsche Bank AG     9/20/17      BB-      USD        1,500        306,475               306,475   

Level 3 Communications, Inc.

    5.00   Goldman Sachs International     6/20/19      CCC+      USD        900        18,691        (80,132     98,823   

Markit CMBX North America AAA Index Series 3

    0.50   Citibank N.A.     12/13/49      BBB-      USD        70        (7,962     (6,583     (1,379

Markit CMBX North America AAA Index Series 3

    0.50   Citibank N.A.     12/13/49      BBB-      USD        140        (15,924     (13,254     (2,670

Total

               $ (623,282   $ (1,086,281   $ 462,999   
              

 

 

 

 

1    

Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

 

2    

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

 

 

Ÿ  

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

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

Ÿ  

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)

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    25


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Consolidated Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

                      $ 1,715,251         $ 1,715,251   

Common Stocks

  $ 19,990,694         $ 1,842,625           4,258,500           26,091,819   

Corporate Bonds

              283,063,384           2,781,271           285,844,655   

Floating Rate Loan Interests

              44,211,823           7,793,618           52,005,441   

Other Interests

    8,779                     34           8,813   

Preferred Securities

    3,689,522           4,219,550                     7,909,072   

Warrants

    35,512                     38,271           73,783   

Short-Term Securities

    1,579,905                               1,579,905   

Options Purchased:

                

Equity Contracts

    1,213,665                               1,213,665   

Unfunded Loan Commitments

              7,406                     7,406   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 26,518,077         $ 333,344,788         $ 16,586,945         $ 376,449,810   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
      Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1                 
Investments: 1                 

Assets:

                

Credit contracts

            $ 165,882         $ 376,433         $ 542,315   

Interest rate contracts

  $ 4,414                               4,414   

Foreign currency exchange contracts

              407,908                     407,908   

Liabilities:

                

Credit contracts

              (87,932                  (87,932

Equity contracts

    (280,700                            (280,700

Interest rate contracts

    (1,438                            (1,438

Foreign currency exchange contracts

    (336        (241,872                  (242,208
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (278,060      $ 243,986         $ 376,433         $ 342,359   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

1    

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

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $       53,290                        $ 53,290   

Foreign currency at value

    95,193                          95,193   

Cash pledged for financial futures contracts

    75,000                          75,000   

Cash pledged as collateral for over-the counter swaps

    600,000                          600,000   

Liabilities:

                

Loan payable

            $ (108,000,000             (108,000,000

Cash received as collateral for over-the counter swaps

              (600,000             (600,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 823,483         $ (108,600,000           $ (107,776,517
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended August 31, 2013.

 

See Notes to Consolidated Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

 

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Warrants     Total  

Assets:

 

Opening balance, as of February 28, 2013

         $ 4,867,942      $ 3,974,553      $ 9,296,536      $ 33      $ 58,758      $ 18,197,822   

Transfers into Level 3

                         264,521                      264,521   

Transfers out of Level 3

           (707     (488,750     (1,547,037                   (2,036,494

Accrued discounts/premiums

                  2,150        20,483                      22,633   

Net realized gain (loss)

           (5,496     15,489        160,958               1,021        171,972   

Net change in unrealized appreciation/depreciation 1

           (603,237     (3,768     (75,995     1        (21,508     (704,507

Purchases

  $ 1,715,251               11,246        3,501,682                      5,228,179   

Sales

           (2     (729,649     (3,827,530                   (4,557,181
 

 

 

 

Closing balance, as of August 31, 2013

  $ 1,715,251      $ 4,258,500      $ 2,781,271      $ 7,793,618      $ 34      $ 38,271      $ 16,586,945   
 

 

 

 

 

1    

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(696,482).

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

 

      Credit
Contracts
 

Assets:

 

Opening Balance, as of February 28, 2013

      

Transfers into Level 3

  $ 437,105   

Transfers out of Level 3

      

Accrued discounts/premiums

      

Net realized gain (loss)

      

Net change in unrealized appreciation/depreciation 2

    (60,672

Purchases

      

Issues 3

      

Sales

      

Settlements 4

      
 

 

 

 

Closing Balance, as of August 31, 2013

  $   376,433   
 

 

 

 

 

2  

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $(60,672).

 

3  

Issues represent upfront cash received on certain derivative financial instruments.

 

4  

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

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2013. The table does not include Level 3 investments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $10,392,704. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value     Valuation Techniques   Unobservable  Inputs 5  

Range of

Unobservable
Inputs Utilized

Assets:

       

Common Stocks 6

  $ 204,750      Market Comparable Companies   Forecasted EBITDA Multiple   3.50x
    2,075,649      Market Comparable Companies  

2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple

  CAD 7  0.35x — 0.53x 
      PV-10 Multiple 8   0.13x — 0.21x
    1,358,900      Market Comparable Companies   Offshore EBITDA Multiple   8.25x
      Onshore EBITDA Multiple   4.75x
      Implied Last 12 Months EBITDA Multiple   6.95x
Corporate Bonds 9     625,155      Market Comparable Companies   Yield   12.10%
    406      Estimated Recovery Value   Recovery Rate   0.05%
    591,110      Discounted Cash Flow   Yield   12.00%
    800,000      Market Comparable Companies   Last 12 Months EBITDA Multiple   10.00x
    500,000      Cost 10   N/A  
Warrants 11     23,587      Estimated Recovery Value   Distribution Rate   $1.36 — $1.63
    14,684      Black-Scholes   Implied Volatility   67.605%
 

 

 

   

 

 

 

 

 

Total

  $ 6,194,241         
 

 

 

       

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    27


Table of Contents

Consolidated Schedule of Investments (concluded)

  

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

5  

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

Unobservable Input  

Impact to

Value if Input Increases

 

Impact to

Value if Input Decreases

Forecasted EBITDA Multiple

  Increase   Decrease

2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple

  Increase   Decrease

PV-10 Multiple

  Increase   Decrease

Offshore EBITDA Multiple

  Increase   Decrease

Onshore EBITDA Multiple

  Increase   Decrease

Implied Last 12 Months EBITDA Multiple

  Increase   Decrease

Yield

  Decrease   Increase

Recovery Rate

  Increase   Decrease

Last 12 Months EBITDA Multiple

  Increase   Decrease

Distribution Rate

  Increase   Decrease

Implied Volatility

  Increase   Decrease

 

6    

For the six months ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued utilizing the company’s financial restructuring plan. Market information became available for this investment, which is considered to be a more relevant measure of fair value for this investment.

 

7    

Canadian Dollar.

 

8    

Present value of estimated future oil and gas revenues, net of estimated direct expenses, discounted at an annual rate of 10%.

 

9    

For the six months ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued utilizing acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.

 

10    

The Fund fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund.

 

11    

For the six months ended August 31, 2013, the valuation technique for certain investments classified as warrants changed to an as estimated recovery value approach. The investments were previously valued utilizing a discounted vendor price. The estimated recovery value is considered to be a more relevant measure of fair value for these investments.

 

See Notes to Consolidated Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments  August 31, 2013 (Unaudited)

  

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

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities  

Par  
(000)

    Value  

ALM Loan Funding (a)(b)(c):

     

Series 2013-7R2A, Class B, 2.86%, 4/24/24

    USD        385      $ 367,673   

Series 2013-7RA, Class C, 3.71%, 4/24/24

      1,095        1,033,461   

Series 2013-7RA, Class D, 5.26%, 4/24/24

            475        436,287   
Total Asset-Backed Securities — 0.6%        1,837,421   
     
                         
Common Stocks  

Shares

         

Auto Components — 0.8%

  

Dana Holding Corp.

      6,229        130,560   

Delphi Automotive PLC

      8,900        489,678   

The Goodyear Tire & Rubber Co. (d)

      84,967        1,709,536   

Lear Corp.

      379        26,056   
     

 

 

 
                      2,355,830   

Automobiles — 1.5%

  

General Motors Co. (d)

            125,954        4,292,512   

Biotechnology — 0.0%

     

Ironwood Pharmaceuticals, Inc. (d)

            7,130        83,065   

Capital Markets — 1.9%

     

American Capital Ltd. (d)

      367,401        4,585,164   

E*Trade Financial Corp. (d)

      49,200        690,768   

Uranium Participation Corp. (d)

      35,440        163,523   
     

 

 

 
                      5,439,455   

Chemicals — 0.4%

     

Advanced Emissions Solutions, Inc. (d)

      6,720        262,416   

Huntsman Corp.

      46,100        806,750   
     

 

 

 
                      1,069,166   

Communications Equipment — 0.3%

     

Loral Space & Communications Ltd.

            12,778        844,754   

Diversified Financial Services — 0.5%

     

Kcad Holdings I Ltd. (d)

            281,902,800        1,423,609   

Diversified Telecommunication Services — 0.3%

  

   

Broadview Networks Holdings, Inc. (d)

      33,638        211,916   

Level 3 Communications, Inc. (d)

      22,280        498,181   
     

 

 

 
                      710,097   

Electrical Equipment — 0.0%

     

Medis Technologies Ltd. (d)

            70,784        1   

Energy Equipment & Services — 0.8%

     

Laricina Energy Ltd. (d)

      35,294        1,185,514   

Osum Oil Sands Corp. (d)

      82,000        986,367   
     

 

 

 
                      2,171,881   

Hotels, Restaurants & Leisure — 0.7%

     

Caesars Entertainment Corp. (d)

      46,168        991,227   

Pinnacle Entertainment, Inc. (d)

      9,073        214,848   

Travelport LLC (d)(e)

      975,272        863,116   
     

 

 

 
                      2,069,191   

Insurance — 0.6%

     

American International Group, Inc. (d)

            38,945        1,809,385   

Media — 0.2%

     

Cablevision Systems Corp., Class A

      33,005        585,178   

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

      9,964        75,328   
     

 

 

 
                      660,506   

Metals & Mining — 0.1%

     

African Minerals Ltd. (d)

      47,050        138,918   

Peninsula Energy Ltd. (d)

      7,628,138        175,133   
     

 

 

 
                      314,051   
Common Stocks  

    
Shares

    Value  

Oil, Gas & Consumable Fuels — 0.0%

     

African Petroleum Corp. Ltd. (d)

            196,300      $ 20,966   

Paper & Forest Products — 0.9%

     

Ainsworth Lumber Co. Ltd. (d)

      489,913        1,348,854   

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

      140,415        407,203   

NewPage Corp. (d)

      8,280        662,400   

Western Forest Products, Inc. (d)

      158,023        213,331   

Western Forest Products, Inc.

      45,762        61,694   
     

 

 

 
                      2,693,482   

Semiconductors & Semiconductor Equipment — 0.0%

  

SunPower Corp. (d)

            271        5,824   

Software — 0.2%

     

HMH Holdings/EduMedia (d)

            20,718        624,126   

Trading Companies & Distributors — 0.3%

     

HD Supply Holdings, Inc. (d)

            42,660        970,088   

Wireless Telecommunication Services — 0.5%

     

Crown Castle International Corp. (d)

      10,597        735,644   

SBA Communications Corp., Class A (d)

      10,597        794,775   
     

 

 

 
                      1,530,419   
Total Common Stocks — 10.0%                     29,088,408   
     
                         
Corporate Bonds  

Par  
(000)

         

Aerospace & Defense — 0.8%

     

Bombardier, Inc., 4.25%, 1/15/16 (b)

    USD        490        506,537   

Huntington Ingalls Industries, Inc.:

     

6.88%, 3/15/18

      160        172,400   

7.13%, 3/15/21

      260        280,800   

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

      846        913,680   

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)

      324        330,043   
     

 

 

 
                      2,203,460   

Air Freight & Logistics — 0.2%

     

National Air Cargo Group, Inc.:

     

Series 1, 12.38%, 9/02/15

      342        341,869   

Series 2, 12.38%, 8/16/15

      346        346,483   
     

 

 

 
                      688,352   

Airlines — 2.2%

     

Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)

      404        402,626   

Continental Airlines Pass-Through Trust:

     

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

      93        95,817   

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

      372        381,552   

Series 2012-3, Class C, 6.13%, 4/29/18

      930        943,485   

Delta Air Lines Pass-Through Trust:

     

Series 2002-1, Class G-1, 6.72%, 7/02/24

      585        637,264   

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

      178        194,982   

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

      500        518,750   

US Airways Group, Inc., 6.13%, 6/01/18

      330        299,475   

US Airways Pass-Through Trust:

     

Series 2011-1, Class C, 10.88%, 10/22/14

      461        486,748   

Series 2012-1, Class C, 9.13%, 10/01/15

      418        434,390   

Series 2012-2, Class B, 6.75%, 12/03/22

      300        309,750   

Series 2012-2, Class C, 5.45%, 6/03/18

      970        904,525   

Series 2013-1, Class B, 5.38%, 5/15/23

      955        907,250   
     

 

 

 
                      6,516,614   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    29


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Auto Components — 2.9%

     

Affinia Group, Inc., 7.75%, 5/01/21 (b)

    USD        681      $ 699,727   

Brighthouse Group PLC, 7.88%, 5/15/18

    GBP        100        156,520   

Continental Rubber of America Corp., 4.50%, 9/15/19 (b)

    USD        150        151,575   

Dana Holding Corp., 6.75%, 2/15/21

      450        477,562   

Delphi Corp., 6.13%, 5/15/21

      75        81,938   

GKN Holdings PLC, 5.38%, 9/19/22

    GBP        200        315,513   

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18

    USD        2,805        2,952,262   

IDQ Holdings, Inc., 11.50%, 4/01/17 (b)

      380        420,850   

Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20

    GBP        482        827,627   

Schaeffler Finance BV, 4.25%, 5/15/18

    EUR        133        175,815   

Schaeffler Holding Finance BV (g):

     

6.88%, 8/15/18 (b)

    USD        485        504,400   

6.88%, 8/15/18

    EUR        335        454,928   

Servus Luxembourg Holdings SCA, 7.75%, 6/15/18

      220        295,183   

Titan International, Inc.:

     

7.88%, 10/01/17

    USD        465        492,900   

7.88%, 10/01/17 (b)

      495        524,700   
     

 

 

 
                      8,531,500   

Building Products — 1.5%

     

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)

      470        455,900   

Builders FirstSource, Inc., 7.63%, 6/01/21 (b)

      403        403,000   

Building Materials Corp. of America (b):

     

7.00%, 2/15/20

      530        563,125   

6.75%, 5/01/21

      790        837,400   

Cemex SAB de CV, 5.88%, 3/25/19 (b)

      230        217,925   

Momentive Performance Materials, Inc., 8.88%, 10/15/20

      760        788,500   

Texas Industries, Inc., 9.25%, 8/15/20

      236        257,830   

USG Corp., 9.75%, 1/15/18

      715        824,037   
     

 

 

 
                      4,347,717   

Capital Markets — 0.3%

     

E*Trade Financial Corp. (h):

     

0.00%, 8/31/19 (b)(i)

      244        331,230   

Series A 0.01%, 8/31/19

      7        9,503   

KCG Holdings, Inc., 8.25%, 6/15/18 (b)

      228        224,010   

Nuveen Investments, Inc., 9.13%, 10/15/17 (b)

      212        208,820   
     

 

 

 
                      773,563   

Chemicals — 2.1%

     

Axiall Corp., 4.88%, 5/15/23 (b)

      109        101,098   

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

      420        531,161   

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

      727        745,175   

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

      170        189,550   

INEOS Finance PLC, 7.50%, 5/01/20 (b)

      370        395,900   

INEOS Group Holdings SA:

     

6.13%, 8/15/18 (b)

      300        290,250   

6.50%, 8/15/18

    EUR        298        382,863   

Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19

    USD        125        126,875   

LSB Industries, Inc., 7.75%, 8/01/19 (b)

      238        246,330   

Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18

      90        89,550   

Nufarm Australia Ltd., 6.38%, 10/15/19 (b)

      225        225,000   

Orion Engineered Carbons Bondco GmbH, 10.00%, 6/15/18

    EUR        342        504,550   

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b)

    USD        172        166,410   

PolyOne Corp., 7.38%, 9/15/20

      215        237,038   
Corporate Bonds  

Par   
(000)

    Value  

Chemicals (concluded)

     

Rockwood Specialties Group, Inc., 4.63%, 10/15/20

    USD        933      $ 916,672   

Tronox Finance LLC, 6.38%, 8/15/20 (b)

      249        237,795   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV:

     

5.75%, 2/01/21

    EUR        200        261,026   

7.38%, 5/01/21 (b)

    USD        357        365,032   
     

 

 

 
                      6,012,275   

Commercial Banks — 1.1%

     

CIT Group, Inc.:

     

5.25%, 3/15/18

      550        567,875   

6.63%, 4/01/18 (b)

      235        253,800   

5.50%, 2/15/19 (b)

      1,648        1,689,200   

6.00%, 4/01/36

      550        526,480   

Lloyds TSB Bank PLC, 11.88%, 12/16/21 (a)

    EUR        40        65,025   
     

 

 

 
                      3,102,380   

Commercial Services & Supplies — 3.7%

     

AA Bond Co. Ltd., 9.50%, 7/31/43

    GBP        180        297,775   

ACCO Brands Corp., 6.75%, 4/30/20

    USD        76        75,050   

ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b)

      279        294,345   

ARAMARK Corp., 5.75%, 3/15/20 (b)

      655        668,100   

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

      540        568,627   

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)

      96        99,112   

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

      25        26,781   

Catalent Pharma Solutions, Inc., 7.88%, 10/15/18

      507        513,337   

Covanta Holding Corp., 6.38%, 10/01/22

      635        644,333   

EC Finance PLC, 9.75%, 8/01/17

    EUR        503        724,555   

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

    USD        1,345        1,498,061   

Mobile Mini, Inc., 7.88%, 12/01/20

      365        397,850   

Mustang Merger Corp., 8.50%, 8/15/21 (b)

      529        521,065   

TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18

      65        72,313   

UR Merger Sub Corp.:

     

5.75%, 7/15/18

      257        274,347   

7.38%, 5/15/20

      340        366,350   

8.25%, 2/01/21

      468        517,140   

7.63%, 4/15/22

      2,277        2,447,775   

6.13%, 6/15/23

      190        187,150   

Verisure Holding AB:

     

8.75%, 9/01/18

    EUR        184        266,286   

8.75%, 12/01/18

      100        139,764   

West Corp., 8.63%, 10/01/18

    USD        135        146,137   
     

 

 

 
                      10,746,253   

Communications Equipment — 1.8%

     

Alcatel-Lucent USA, Inc.:

     

8.88%, 1/01/20 (b)

      855        872,100   

6.50%, 1/15/28

      60        45,600   

6.45%, 3/15/29

      185        142,450   

Avaya, Inc. (b):

     

7.00%, 4/01/19

      275        251,625   

10.50%, 3/01/21

      864        667,440   

CommScope Holding Co., Inc., 6.63%, 6/01/20 (b)(g)

      480        475,200   

Zayo Group LLC/Zayo Capital, Inc.:

     

8.13%, 1/01/20

      900        976,500   

10.13%, 7/01/20

      1,480        1,679,800   
     

 

 

 
                      5,110,715   

 

See Notes to Consolidated Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Computers & Peripherals — 0.1%

     

EMC Corp., Series B, 1.75%, 12/01/13 (h)

    USD        201      $ 322,731   

Construction & Engineering — 0.3%

     

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

      200        162,000   

H&E Equipment Services, Inc., 7.00%, 9/01/22

      441        468,563   

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)

      234        235,170   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (b)

      156        151,320   
     

 

 

 
                      1,017,053   

Construction Materials — 3.4%

     

Buzzi Unicem SpA, 6.25%, 9/28/18

    EUR        138        194,239   

HD Supply, Inc.:

     

8.13%, 4/15/19

    USD        3,333        3,707,962   

11.00%, 4/15/20

      1,963        2,345,785   

7.50%, 7/15/20 (b)

      3,457        3,612,565   

HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20

    EUR        54        84,216   
     

 

 

 
                      9,944,767   

Consumer Finance — 0.3%

     

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

    USD        445        475,038   

IVS F. SpA, 7.13%, 4/01/20

    EUR        215        283,444   
     

 

 

 
                      758,482   

Containers & Packaging — 1.6%

     

Ardagh Packaging Finance PLC:

     

7.38%, 10/15/17

      100        140,690   

9.13%, 10/15/20 (b)

    USD        395        419,687   

9.13%, 10/15/20 (b)

      409        436,607   

7.00%, 11/15/20 (b)

      252        245,070   

5.00%, 11/15/22

    EUR        220        280,778   

Berry Plastics Corp., 9.75%, 1/15/21

    USD        185        214,138   

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

    EUR        706        933,122   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

    USD        17        17,850   

GCL Holdings SCA, 9.38%, 4/15/18 (b)

    EUR        267        381,111   

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

    USD        375        407,813   

OI European Group BV, 4.88%, 3/31/21

    EUR        205        273,593   

Pactiv LLC, 7.95%, 12/15/25

    USD        471        416,835   

Tekni-Plex, Inc., 9.75%, 6/01/19 (b)

      401        449,120   
     

 

 

 
                      4,616,414   

Distributors — 0.5%

     

VWR Funding, Inc., 7.25%, 9/15/17

            1,374        1,428,960   

Diversified Consumer Services — 1.0%

     

APX Group, Inc. (b):

     

6.38%, 12/01/19

      987        930,248   

8.75%, 12/01/20

      597        588,045   

Laureate Education, Inc., 9.25%, 9/01/19 (b)

      1,250        1,350,000   
     

 

 

 
                      2,868,293   

Diversified Financial Services — 5.8%

     

Aircastle Ltd.:

     

6.75%, 4/15/17

      375        397,500   

6.25%, 12/01/19

      326        339,855   

Ally Financial, Inc.:

     

7.50%, 12/31/13

      280        284,900   

8.00%, 3/15/20

      299        344,224   

7.50%, 9/15/20

      201        226,125   

8.00%, 11/01/31 (f)

      3,420        3,933,000   

8.00%, 11/01/31

      230        260,762   

CNG Holdings, Inc., 9.38%, 5/15/20 (b)

      125        117,188   
Corporate Bonds  

Par  
(000)

    Value  

Diversified Financial Services (concluded)

     

Co-Operative Group Ltd. (j):

     

6.88%, 7/08/20

    GBP        170      $ 249,618   

7.50%, 7/08/26

      100        144,897   

DPL, Inc.:

     

6.50%, 10/15/16

    USD        324        341,820   

7.25%, 10/15/21

      851        868,020   

Gala Group Finance PLC, 8.88%, 9/01/18

    GBP        600        990,259   

General Motors Financial Co., Inc.:

     

6.75%, 6/01/18

    USD        300        334,125   

4.25%, 5/15/23 (b)

      249        224,100   

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)

      510        504,900   

Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (b)

      684        672,030   

Lehman Brothers Holdings, Inc. (d)(e):

     

5.38%, 10/17/13

    EUR        150        52,536   

4.75%, 1/16/14

      760        266,180   

1.00%, 2/05/14

      1,600        549,806   

1.00%, 9/22/18

    USD        175        44,625   

1.00%, 12/31/49

      620        158,100   

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

      825        919,875   

Reynolds Group Issuer, Inc.:

     

7.13%, 4/15/19

      445        473,369   

9.00%, 4/15/19

      580        598,850   

7.88%, 8/15/19

      100        110,000   

9.88%, 8/15/19

      430        456,875   

5.75%, 10/15/20

      2,265        2,245,181   

WMG Acquisition Corp., 11.50%, 10/01/18

      761        877,052   
     

 

 

 
                      16,985,772   

Diversified Telecommunication Services — 3.4%

  

 

Broadview Networks Holdings, Inc., 10.50%, 11/15/17

      518        512,325   

CenturyLink, Inc., Series V, 5.63%, 4/01/20

      1,383        1,355,340   

Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (b)

      425        391,000   

Consolidated Communications Finance Co., 10.88%, 6/01/20

      345        396,750   

Frontier Communications Corp., 8.50%, 4/15/20

      525        573,562   

Level 3 Communications, Inc., 8.88%, 6/01/19

      315        336,262   

Level 3 Financing, Inc.:

     

8.13%, 7/01/19

      1,543        1,631,722   

7.00%, 6/01/20

      434        437,255   

8.63%, 7/15/20

      1,738        1,859,660   

Telenet Finance V Luxembourg SCA:

     

6.25%, 8/15/22

    EUR        250        331,404   

6.75%, 8/15/24

      467        624,926   

tw telecom holdings, Inc.:

     

5.38%, 10/01/22

    USD        300        285,750   

5.38%, 10/01/22 (b)

      260        247,650   

Windstream Corp.:

     

7.88%, 11/01/17

      393        436,230   

7.75%, 10/15/20

      161        164,623   

6.38%, 8/01/23

      246        222,323   
     

 

 

 
                      9,806,782   

Electric Utilities — 0.6%

     

Homer City Generation LP (g):

     

8.14%, 10/01/19

      155        155,775   

8.73%, 10/01/26

      225        228,375   

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17

      231        242,078   

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

    EUR        850        1,121,421   
     

 

 

 
                      1,747,649   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    31


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par   
(000)

    Value  

Electrical Equipment — 0.8%

     

Belden, Inc.:

     

5.50%, 9/01/22 (b)

    EUR        370      $ 358,900   

5.50%, 4/15/23

      120        152,254   

General Cable Corp., 5.75%, 10/01/22 (b)

    USD        610        587,125   

International Wire Group Holdings, Inc., 8.50%, 10/15/17 (b)

      279        290,160   

Rexel SA, 5.13%, 6/15/20

    EUR        259        347,442   

Techem GmbH, 6.13%, 10/01/19

      300        425,891   

Trionista TopCo GmbH, 6.88%, 4/30/21

      100        133,492   
     

 

 

 
                      2,295,264   

Electronic Equipment, Instruments & Components — 0.1%

     

Jabil Circuit, Inc., 8.25%, 3/15/18

    USD        235        276,713   

Energy Equipment & Services — 3.7%

     

Atwood Oceanics, Inc., 6.50%, 2/01/20

      140        149,800   

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

      335        337,512   

CGG:

     

7.75%, 5/15/17

      250        256,250   

6.50%, 6/01/21

      1,255        1,270,687   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)

      655        699,212   

Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21

      51        50,235   

Gulfmark Offshore, Inc., 6.38%, 3/15/22

      155        156,938   

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

      315        318,938   

MEG Energy Corp., 6.50%, 3/15/21 (b)

      1,430        1,455,025   

Oil States International, Inc.:

     

6.50%, 6/01/19

      670        706,850   

5.13%, 1/15/23 (b)

      344        375,820   

Parker Drilling Co., 7.50%, 8/01/20 (b)

      395        388,087   

Peabody Energy Corp.:

     

6.00%, 11/15/18

      674        670,630   

6.25%, 11/15/21

      671        647,515   

7.88%, 11/01/26

      375        374,062   

4.75%, 12/15/41 (h)

      426        329,618   

Precision Drilling Corp.:

     

6.63%, 11/15/20

      75        78,938   

6.50%, 12/15/21

      180        188,100   

Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b)

      234        234,000   

Seadrill Ltd., 5.63%, 9/15/17 (b)

      1,360        1,370,200   

Tervita Corp., 8.00%, 11/15/18 (b)

      277        276,308   

Trionista Holdco GmbH, 5.00%, 4/30/20

    EUR        306        408,469   
     

 

 

 
                      10,743,194   

Food & Staples Retailing — 0.7%

     

Bakkavor Finance 2 PLC:

     

8.25%, 2/15/18

    GBP        319        515,365   

8.75%, 6/15/20

      200        323,887   

R&R Ice Cream PLC, 9.25%, 5/15/18 (g)

    EUR        100        135,469   

Rite Aid Corp.:

     

9.25%, 3/15/20

      375        424,219   

6.75%, 6/15/21 (b)

    USD        415        420,187   

Zobele Holding SpA, 7.88%, 2/01/18

    EUR        100        137,452   
     

 

 

 
                      1,956,579   

Food Products — 0.9%

     

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

    USD        115        126,500   

Findus Bondco SA:

     

9.13%, 7/01/18

    EUR        168        233,716   

9.50%, 7/01/18

    GBP        100        162,579   

Pinnacle Foods Finance LLC, 4.88%, 5/01/21 (b)

    USD        392        364,560   

Post Holdings, Inc., 7.38%, 2/15/22

      520        548,600   
Corporate Bonds  

Par   
(000)

    Value  

Food Products (concluded)

     

Smithfield Foods, Inc., 6.63%, 8/15/22

    USD        477      $ 488,925   

Sun Merger Sub, Inc. (b):

     

5.25%, 8/01/18

      558        560,092   

5.88%, 8/01/21

      175        174,563   
     

 

 

 
                      2,659,535   

Health Care Equipment & Supplies — 2.3%

     

Biomet, Inc.:

     

6.50%, 8/01/20

      1,799        1,843,975   

6.50%, 10/01/20

      2,081        2,075,797   

DJO Finance LLC/DJO Finance Corp.:

     

8.75%, 3/15/18

      379        410,268   

7.75%, 4/15/18

      100        98,250   

9.88%, 4/15/18

      602        632,100   

Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b)

      290        295,800   

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

      540        601,425   

IDH Finance PLC, 6.00%, 12/01/18

    GBP        103        159,220   

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19

    USD        229        238,446   

Teleflex, Inc., 6.88%, 6/01/19

      295        309,750   
     

 

 

 
                      6,665,031   

Health Care Providers & Services — 5.7%

     

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19

      570        609,900   

CHS/Community Health Systems, Inc.:

     

5.13%, 8/15/18

      785        802,663   

8.00%, 11/15/19

      108        113,400   

7.13%, 7/15/20

      693        699,930   

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

    EUR        368        517,981   

Crown Newco 3 PLC, 7.00%, 2/15/18 (b)

    GBP        364        575,937   

DaVita HealthCare Partners, Inc., 5.75%, 8/15/22

    USD        893        884,070   

HCA Holdings, Inc., 6.25%, 2/15/21

      736        737,840   

HCA, Inc.:

     

8.50%, 4/15/19

      135        145,800   

6.50%, 2/15/20

      1,452        1,559,085   

7.88%, 2/15/20

      275        296,656   

7.25%, 9/15/20

      1,250        1,360,937   

5.88%, 3/15/22

      580        598,850   

4.75%, 5/01/23

      392        366,030   

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

      210        234,675   

Hologic, Inc., 6.25%, 8/01/20

      1,468        1,530,390   

IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19

      94        98,465   

inVentiv Health, Inc., 9.00%, 1/15/18 (b)

      630        642,600   

Omnicare, Inc., 3.75%, 4/01/42 (h)

      291        403,217   

Symbion, Inc., 8.00%, 6/15/16

      345        362,250   

Tenet Healthcare Corp.:

     

6.25%, 11/01/18

      1,184        1,250,600   

6.75%, 2/01/20

      525        514,500   

4.38%, 10/01/21 (b)

      760        689,700   

Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19

      1,081        1,156,670   

Voyage Care Bondco PLC, 6.50%, 8/01/18

    GBP        230        353,936   
     

 

 

 
                      16,506,082   

Health Care Technology — 0.9%

     

IMS Health, Inc. (b):

     

12.50%, 3/01/18

      2,225        2,625,500   

6.00%, 11/01/20

    USD        143        146,754   
     

 

 

 
                      2,772,254   

 

See Notes to Consolidated Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Hotels, Restaurants & Leisure — 3.2%

     

Carlson Wagonlit BV, 6.88%, 6/15/19 (b)

    USD        325      $ 329,875   

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

    EUR        480        643,908   

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

    USD        1,334        1,480,740   

Enterprise Inns PLC, 6.50%, 12/06/18

    GBP        324        503,358   

Gategroup Finance Luxembourg SA, 6.75%, 3/01/19

    EUR        476        644,833   

Intralot Finance Luxembourg SA, 9.75%, 8/15/18

      435        595,040   

Isle of Capri Casinos, Inc.:

     

7.75%, 3/15/19

    USD        50        51,625   

5.88%, 3/15/21

      219        202,575   

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

      300        294,000   

MCE Finance Ltd., 5.00%, 2/15/21 (b)

      677        621,147   

MTR Gaming Group, Inc., 11.50%, 8/01/19 (g)

      281        296,191   

Playa Resorts Holding BV, 8.00%, 8/15/20 (b)

      150        153,000   

PNK Finance Corp., 6.38%, 8/01/21 (b)

      516        514,710   

Regal Entertainment Group, 5.75%, 2/01/25

      90        82,800   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)

      600        567,000   

Station Casinos LLC, 7.50%, 3/01/21

      1,416        1,458,480   

Travelport LLC/Travelport Holdings, Inc. (b):

     

6.40%, 3/01/16 (a)

      89        86,727   

11.88%, 9/01/16

      34        32,824   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(e)

      305          

The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21

    GBP        300        468,397   

Vougeot Bidco PLC, 7.88%, 7/15/20

      204        324,833   

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22

    USD        76        75,050   
     

 

 

 
                      9,427,113   

Household Durables — 2.6%

     

Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18

    EUR        100        136,460   

Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (b)

    USD        228        225,720   

Beazer Homes USA, Inc., 6.63%, 4/15/18

      50        52,688   

Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)

      410        419,225   

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)

    USD        291        287,362   

Jarden Corp., 7.50%, 1/15/20

    EUR        305        425,298   

K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)

    USD        950        1,002,250   

Libbey Glass, Inc., 6.88%, 5/15/20

      288        307,800   

Pulte Group, Inc., 6.38%, 5/15/33

      190        170,050   

RPG Byty Sro, 6.75%, 5/01/20

    EUR        190        242,325   

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

    USD        340        352,750   

Spie BondCo 3 SCA, 11.00%, 8/15/19

    EUR        303        446,513   

Standard Pacific Corp.:

     

10.75%, 9/15/16

    USD        1,290        1,531,875   

8.38%, 1/15/21

      970        1,086,400   

Taylor Morrison Communities, Inc./Monarch Communities, Inc. (b):

     

7.75%, 4/15/20

      300        327,750   

5.25%, 4/15/21

      270        255,150   

William Lyon Homes, Inc., 8.50%, 11/15/20

      300        318,000   
     

 

 

 
                      7,587,616   

Household Products — 0.8%

     

Ontex IV SA:

     

7.50%, 4/15/18

      100        138,794   

7.50%, 4/15/18 (b)

    EUR        150        208,192   

9.00%, 4/15/19

      213        292,068   
Corporate Bonds  

Par  
(000)

    Value  

Household Products (concluded)

     

Spectrum Brands Escrow Corp. (b):

     

6.38%, 11/15/20

    USD        384      $ 397,440   

6.63%, 11/15/22

      250        256,250   

Spectrum Brands, Inc.:

     

9.50%, 6/15/18

      950        1,045,000   

6.75%, 3/15/20

      96        101,280   
     

 

 

 
                      2,439,024   

Independent Power Producers & Energy Traders — 3.9%

  

 

Calpine Corp., 7.50%, 2/15/21 (b)

      44        46,640   

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:

     

6.88%, 8/15/17 (b)

      414        418,658   

11.25%, 12/01/18 (b)(g)

      715        561,609   

10.00%, 12/01/20

      3,352        3,532,170   

10.00%, 12/01/20 (b)

      1,830        1,923,787   

12.25%, 3/01/22 (b)

      1,246        1,386,175   

GenOn REMA LLC:

     

Series B, 9.24%, 7/02/17

      88        90,302   

Series C, 9.68%, 7/02/26

      409        433,540   

Laredo Petroleum, Inc.:

     

9.50%, 2/15/19

      485        539,563   

7.38%, 5/01/22

      370        390,350   

NRG Energy, Inc., 7.63%, 1/15/18

      1,591        1,762,032   

QEP Resources, Inc., 5.38%, 10/01/22

      333        318,015   
     

 

 

 
                      11,402,841   

Industrial Conglomerates — 0.2%

     

Sequa Corp., 7.00%, 12/15/17 (b)

            465        465,000   

Insurance — 0.8%

     

A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)

      1,120        1,145,200   

CNO Financial Group, Inc., 6.38%, 10/01/20 (b)

      225        235,125   

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

      664        683,920   

TMF Group Holding BV, 9.88%, 12/01/19

    EUR        100        138,120   
     

 

 

 
                      2,202,365   

Internet Software & Services — 0.4%

     

Bankrate, Inc., 6.13%, 8/15/18 (b)

    USD        293        289,704   

Cerved Technologies SpA:

     

6.38%, 1/15/20

    EUR        100        133,513   

8.00%, 1/15/21

      100        132,495   

InterActiveCorp, 4.75%, 12/15/22

    USD        421        388,373   

VeriSign, Inc., 4.63%, 5/01/23 (b)

      290        271,150   
     

 

 

 
                      1,215,235   

IT Services — 4.7%

     

Ceridian Corp.:

     

11.25%, 11/15/15

      125        126,563   

8.88%, 7/15/19 (b)

      1,685        1,895,625   

11.00%, 3/15/21 (b)

      2,616        3,021,480   

Epicor Software Corp., 8.63%, 5/01/19

      570        601,350   

First Data Corp. (b):

     

7.38%, 6/15/19

      2,406        2,496,225   

8.88%, 8/15/20

      535        577,800   

6.75%, 11/01/20

      1,350        1,380,375   

10.63%, 6/15/21

      738        733,387   

11.75%, 8/15/21

      360        336,600   

SunGard Data Systems, Inc.:

     

7.38%, 11/15/18

      550        584,375   

6.63%, 11/01/19

      1,498        1,520,470   

WEX, Inc., 4.75%, 2/01/23 (b)

      495        450,450   
     

 

 

 
                      13,724,700   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    33


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Machinery — 0.4%

     

Cleaver-Brooks, Inc., 8.75%, 12/15/19 (b)

    USD        330      $ 349,800   

DH Services Luxembourg Sarl, 7.75%, 12/15/20 (b)

      93        96,023   

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

      367        364,706   

SPX Corp., 6.88%, 9/01/17

      175        193,812   

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b)

      183        178,883   
     

 

 

 
                      1,183,224   

Media — 9.8%

     

AMC Networks, Inc.:

     

7.75%, 7/15/21

      225        248,625   

4.75%, 12/15/22

      292        273,750   

Cablevision Systems Corp., 5.88%, 9/15/22

      560        534,800   

CCO Holdings LLC/CCO Holdings Capital Corp.:

     

5.25%, 9/30/22

      600        547,500   

5.13%, 2/15/23

      745        668,637   

Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b)(d)(e)

      542        397,015   

Checkout Holding Corp., 9.91%, 11/15/15 (b)(i)

      453        365,798   

Cinemark USA, Inc., 5.13%, 12/15/22

      254        237,490   

Clear Channel Communications, Inc.:

     

9.00%, 12/15/19

      676        650,650   

9.00%, 3/01/21

      1,223        1,161,850   

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      621        616,342   

Series B, 7.63%, 3/15/20

      958        960,395   

Series B, 6.50%, 11/15/22

      1,919        1,919,000   

DISH DBS Corp.:

     

4.25%, 4/01/18

      530        522,050   

5.13%, 5/01/20

      899        869,782   

5.88%, 7/15/22

      1,010        989,800   

DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)

      176        180,840   

Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (b)

      910        987,350   

Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (b)

      821        761,477   

Intelsat Luxembourg SA, 6.75%, 6/01/18 (b)

      1,265        1,309,275   

Live Nation Entertainment, Inc. (b):

     

8.13%, 5/15/18

      735        802,995   

7.00%, 9/01/20

      194        201,760   

Lynx I Corp., 6.00%, 4/15/21

    GBP        1,020        1,584,646   

The McClatchy Co., 9.00%, 12/15/22

    USD        552        582,360   

Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (b)

      937        939,342   

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

      496        537,267   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)

      324        328,050   

Nara Cable Funding Ltd., 8.88%, 12/01/18

    EUR        200        278,406   

Nielsen Finance LLC/Nielsen Finance Co.:

     

11.63%, 2/01/14

      117        121,832   

7.75%, 10/15/18

      1,143        1,243,012   

Odeon & UCI Finco PLC, 9.00%, 8/01/18 (b)

    GBP        207        330,412   

ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b)

    USD        181        181,905   

ProtoStar I Ltd., 18.00%, 10/15/13 (b)(d)(e)(h)

      850        425   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)

      265        262,350   

Sirius XM Radio, Inc. (b):

     

4.25%, 5/15/20

      517        473,055   

5.75%, 8/01/21

      355        347,900   

4.63%, 5/15/23

      253        223,273   
Corporate Bonds  

Par  
(000)

    Value  

Media (concluded)

     

Sterling Entertainment Corp., 10.00%, 12/15/19

    USD        875      $ 875,000   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

7.50%, 3/15/19

    EUR        794        1,135,965   

5.50%, 1/15/23 (b)

    USD        520        473,200   

Unitymedia KabelBW GmbH, 9.50%, 3/15/21

    EUR        320        479,918   

Univision Communications, Inc. (b):

     

8.50%, 5/15/21

    USD        289        312,843   

6.75%, 9/15/22

      118        122,425   

5.13%, 5/15/23

      704        664,400   

UPCB Finance II Ltd.:

     

6.38%, 7/01/20

    EUR        100        138,621   

6.38%, 7/01/20 (b)

      822        1,139,467   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)

    USD        358        370,530   
     

 

 

 
                      28,353,785   

Metals & Mining — 3.6%

     

ArcelorMittal:

     

9.50%, 2/15/15

      315        345,713   

4.25%, 8/05/15

      294        302,820   

4.25%, 3/01/16

      125        127,500   

5.00%, 2/25/17

      369        377,302   

6.13%, 6/01/18

      328        337,840   

Eco-Bat Finance PLC, 7.75%, 2/15/17

    EUR        460        620,118   

FMG Resources August 2006 Property Ltd. (b):

     

6.38%, 2/01/16

    USD        1,003        1,027,972   

6.00%, 4/01/17

      1,362        1,385,835   

Global Brass & Copper, Inc., 9.50%, 6/01/19 (b)

      300        327,000   

Kaiser Aluminum Corp., 8.25%, 6/01/20

      225        250,875   

New Gold, Inc., 6.25%, 11/15/22 (b)

      300        287,250   

Novelis, Inc., 8.75%, 12/15/20

      3,065        3,333,187   

Peninsula Energy Ltd., 0.00%, 12/14/14

      600        600,000   

Perstorp Holding AB, 8.75%, 5/15/17 (b)

      205        209,613   

Steel Dynamics, Inc., 6.38%, 8/15/22

      245        255,413   

Taseko Mines Ltd., 7.75%, 4/15/19

      420        413,700   

Vedanta Resources PLC, 8.25%, 6/07/21 (b)

      270        253,800   
     

 

 

 
                      10,455,938   

Multiline Retail — 0.4%

     

Dollar General Corp., 4.13%, 7/15/17

      792        831,686   

Dufry Finance SCA, 5.50%, 10/15/20 (b)

      403        411,282   
     

 

 

 
                      1,242,968   

Oil, Gas & Consumable Fuels — 9.1%

     

Access Midstream Partners LP/ACMP Finance Corp.:

     

5.88%, 4/15/21

      296        304,140   

6.13%, 7/15/22

      275        282,563   

4.88%, 5/15/23

      445        413,850   

Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (h)

      880        806,850   

Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)

      191        192,910   

Aurora USA Oil & Gas, Inc. (b):

     

9.88%, 2/15/17

      680        717,400   

7.50%, 4/01/20

      330        326,700   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

      86        87,505   

BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22

      255        252,450   

Carrizo Oil & Gas, Inc., 7.50%, 9/15/20

      240        253,200   

Chaparral Energy, Inc., 7.63%, 11/15/22

      220        220,550   

Chesapeake Energy Corp.:

     

7.25%, 12/15/18

      120        135,900   

6.63%, 8/15/20

      84        90,090   

 

See Notes to Consolidated Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

     

Chesapeake Energy Corp.(concluded):

     

6.88%, 11/15/20

    USD        271      $ 293,358   

6.13%, 2/15/21

      78        81,120   

Concho Resources, Inc.:

     

7.00%, 1/15/21

      80        87,800   

6.50%, 1/15/22

      297        314,820   

5.50%, 10/01/22

      365        356,787   

5.50%, 4/01/23

      74        71,780   

CONSOL Energy, Inc.:

     

8.00%, 4/01/17

      422        445,210   

8.25%, 4/01/20

      315        333,900   

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

      370        405,150   

Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18

      150        159,375   

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

      621        646,526   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)

      342        338,580   

Denbury Resources, Inc., 4.63%, 7/15/23

      771        688,117   

Energy XXI Gulf Coast, Inc.:

     

9.25%, 12/15/17

      465        517,312   

7.75%, 6/15/19

      540        561,600   

EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20

      215        236,500   

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

      345        366,562   

EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19

      150        150,000   

Halcon Resources Corp., 8.88%, 5/15/21

      415        416,037   

Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (b)

      260        276,900   

Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20

      155        159,650   

Kodiak Oil & Gas Corp.:

     

8.13%, 12/01/19

      350        383,250   

5.50%, 2/01/22 (b)

      162        156,330   

Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (b)

      153        145,350   

Lightstream Resources Ltd., 8.63%, 2/01/20 (b)

      256        243,200   

Linn Energy LLC/Linn Energy Finance Corp.:

     

6.50%, 5/15/19

      43        40,420   

6.25%, 11/01/19 (b)

      717        659,640   

8.63%, 4/15/20

      777        780,885   

7.75%, 2/01/21

      60        58,200   

MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:

     

6.25%, 6/15/22

      164        171,380   

4.50%, 7/15/23

      250        227,500   

Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21

      199        192,035   

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

      780        817,050   

Northern Oil & Gas, Inc., 8.00%, 6/01/20

      310        314,650   

Oasis Petroleum, Inc.:

     

7.25%, 2/01/19

      205        217,300   

6.50%, 11/01/21

      290        304,500   

Offshore Group Investment Ltd., 7.13%, 4/01/23

      422        406,175   

Pacific Drilling SA, 5.38%, 6/01/20 (b)

      406        391,790   

PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20

      95        97,138   

PDC Energy, Inc., 7.75%, 10/15/22

      210        220,500   

Penn Virginia Corp., 8.50%, 5/01/20

      201        201,000   

Petrobras Global Finance BV, 3.00%, 1/15/19

      349        321,014   

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

      775        848,625   
Corporate Bonds  

Par  
(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

     

Range Resources Corp.:

     

8.00%, 5/15/19

    USD        345      $ 370,875   

6.75%, 8/01/20

      120        129,300   

5.75%, 6/01/21

      981        1,027,597   

5.00%, 8/15/22

      319        311,823   

5.00%, 3/15/23

      157        153,468   

Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18

      113        121,193   

RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b)

      126        126,000   

Rosetta Resources, Inc., 5.63%, 5/01/21

      266        256,690   

Sabine Pass Liquefaction LLC (b):

     

5.63%, 2/01/21

      1,169        1,116,395   

5.63%, 4/15/23

      337        312,567   

Sabine Pass LNG LP:

     

7.50%, 11/30/16

      1,730        1,905,162   

6.50%, 11/01/20 (b)

      325        326,625   

SandRidge Energy, Inc.:

     

8.75%, 1/15/20

      30        31,350   

7.50%, 2/15/23

      291        281,543   

SESI LLC, 6.38%, 5/01/19

      205        215,763   

Seven Generations Energy Ltd., 8.25%, 5/15/20 (b)

      100        102,500   

SM Energy Co.:

     

6.63%, 2/15/19

      210        219,450   

6.50%, 11/15/21

      265        278,250   

6.50%, 1/01/23

      310        319,300   

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b)

      285        289,275   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b)

      155        154,613   

Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20

      270        273,375   
     

 

 

 
                      26,512,238   

Paper & Forest Products — 0.6%

     

Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b)

      320        337,600   

Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20

      125        134,063   

Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17

      60        63,150   

Clearwater Paper Corp.:

     

7.13%, 11/01/18

      585        628,875   

4.50%, 2/01/23

      45        40,725   

NewPage Corp., 11.38%, 12/31/14 (d)(e)

      1,909          

Sappi Papier Holding GmbH (b):

     

8.38%, 6/15/19

      200        209,000   

6.63%, 4/15/21

      140        130,200   

Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (b)

      260        260,650   
     

 

 

 
                      1,804,263   

Pharmaceuticals — 2.2%

     

Capsugel Finance Co. SCA:

     

9.88%, 8/01/19 (b)

    EUR        200        292,085   

9.88%, 8/01/19

      100        146,042   

Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)

    USD        664        750,320   

Valeant Pharmaceuticals International (b):

     

6.88%, 12/01/18

      908        962,480   

6.38%, 10/15/20

      271        275,404   

6.75%, 8/15/21

      455        468,650   

VPII Escrow Corp. (b):

     

6.75%, 8/15/18

      2,458        2,602,407   

7.50%, 7/15/21

      149        159,430   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    35


Table of Contents

Consolidated 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 (concluded)

     

Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18

    USD        615      $ 671,888   
     

 

 

 
                      6,328,706   

Professional Services — 0.2%

     

La Financiere Atalian SA, 7.25%, 1/15/20

    EUR        120        154,633   

Truven Health Analytics, Inc., 10.63%, 6/01/20

    USD        510        541,875   
     

 

 

 
                      696,508   

Real Estate Investment Trusts (REITs) — 0.7%

     

Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (b)

      283        289,368   

Felcor Lodging LP:

     

6.75%, 6/01/19

      1,023        1,071,592   

5.63%, 3/01/23

      258        239,940   

Host Hotels & Resorts LP, 2.50%, 10/15/29 (b)(h)

      120        163,500   

iStar Financial, Inc., 4.88%, 7/01/18

      409        396,730   
     

 

 

 
                      2,161,130   

Real Estate Management & Development — 2.6%

  

 

CBRE Services, Inc., 6.63%, 10/15/20

      335        355,938   

Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b)

      860        924,500   

IVG Finance BV, 1.75%, 3/29/17 (h)

    EUR        400        343,629   

Realogy Corp. (b):

     

7.88%, 2/15/19

    USD        2,355        2,561,062   

7.63%, 1/15/20

      505        565,600   

9.00%, 1/15/20

      335        386,925   

Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)

      339        336,458   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

      1,405        1,541,987   

Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (b)

      455        452,725   
     

 

 

 
                      7,468,824   

Road & Rail — 0.7%

     

The Hertz Corp.:

     

7.50%, 10/15/18

      550        594,000   

6.75%, 4/15/19

      290        309,212   

5.88%, 10/15/20

      65        66,706   

7.38%, 1/15/21

      440        475,200   

6.25%, 10/15/22

      265        269,638   

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)

      198        195,525   
     

 

 

 
                      1,910,281   

Semiconductors & Semiconductor Equipment — 0.3%

  

 

NXP BV/NXP Funding LLC (b):

     

3.75%, 6/01/18

      430        415,488   

9.75%, 8/01/18

      100        110,500   

5.75%, 2/15/21

      335        335,000   
     

 

 

 
                      860,988   

Software — 1.8%

     

BMC Software Finance, Inc., 8.13%, 7/15/21 (b)

      720        729,000   

Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (b)(g)

      337        342,055   

Igloo Holdings Corp., 8.25%, 12/15/17 (b)(g)

      295        301,637   

Infor US, Inc., 9.38%, 4/01/19

      2,055        2,286,187   

Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (b)

      149        153,843   

Nuance Communications, Inc., 5.38%, 8/15/20 (b)

      940        895,350   
Corporate Bonds  

Par  
(000)

    Value  

Software (concluded)

     

Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (b)

    USD        442      $ 479,570   
     

 

 

 
                      5,187,642   

Specialty Retail — 3.1%

     

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

      365        403,325   

Claire’s Stores, Inc. (b):

     

9.00%, 3/15/19

      869        967,849   

7.75%, 6/01/20

      332        330,340   

CST Brands, Inc., 5.00%, 5/01/23 (b)

      378        359,100   

House of Fraser Funding PLC:

     

8.88%, 8/15/18

    GBP        321        526,530   

8.88%, 8/15/18 (b)

      285        467,480   

Limited Brands, Inc., 8.50%, 6/15/19

    USD        785        927,281   

Magnolia BC SA, 9.00%, 8/01/20

    EUR        260        347,959   

Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (b)(g)

    USD        589        589,000   

Michaels Stores, Inc., 7.75%, 11/01/18

      234        251,842   

New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(g)

      216        221,940   

Party City Holdings, Inc., 8.88%, 8/01/20 (b)

      1,013        1,085,176   

PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (b)(g)

      285        281,794   

Penske Automotive Group, Inc., 5.75%, 10/01/22

      317        313,830   

QVC, Inc. (b):

     

7.50%, 10/01/19

      625        673,799   

7.38%, 10/15/20

      290        315,099   

Sally Holdings LLC/Sally Capital, Inc.:

     

6.88%, 11/15/19

      545        594,050   

5.75%, 6/01/22

      512        512,640   
     

 

 

 
                      9,169,034   

Textiles, Apparel & Luxury Goods — 0.5%

     

Levi Strauss & Co., 6.88%, 5/01/22

      440        467,500   

PVH Corp., 4.50%, 12/15/22

      253        234,341   

Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (b)

      120        123,750   

SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (b)

      502        495,725   

The William Carter Co., 5.25%, 8/15/21 (b)

      253        254,265   
     

 

 

 
                      1,575,581   

Thrifts & Mortgage Finance — 0.1%

     

MGIC Investment Corp., 2.00%, 4/01/20 (h)

      51        64,133   

Radian Group, Inc. (h):

     

3.00%, 11/15/17

      60        83,062   

2.25%, 3/01/19

      142        203,060   
     

 

 

 
                      350,255   

Trading Companies & Distributors — 0.6%

     

Air Lease Corp., 4.50%, 1/15/16

      590        613,600   

Ashtead Capital, Inc., 6.50%, 7/15/22 (b)

      490        518,175   

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, Series 2012-1, Class A, 5.13%, 11/30/24 (b)

      616        606,509   
     

 

 

 
                      1,738,284   

Transportation Infrastructure — 0.5%

     

Aguila 3 SA (b):

     

Series 144, 7.88%, 1/31/18

      320        335,200   

7.88%, 1/31/18

      431        451,473   

Jack Cooper Holdings Corp., 9.25%, 6/01/20 (b)

      740        758,500   
     

 

 

 
                      1,545,173   

 

See Notes to Consolidated Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Wireless Telecommunication Services — 4.6%

     

Crown Castle International Corp., 5.25%, 1/15/23

    USD        1,126      $ 1,064,070   

Digicel Group Ltd., 8.25%, 9/30/20 (b)

      425        450,500   

Digicel Ltd., 6.00%, 4/15/21 (b)

      2,075        2,002,375   

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

      508        527,050   

NII Capital Corp., 7.63%, 4/01/21

      341        260,865   

Phones4u Finance PLC:

     

9.50%, 4/01/18

    GBP        100        160,394   

9.50%, 4/01/18 (b)

      400        641,576   

Softbank Corp., 4.50%, 4/15/20 (b)

    USD        785        742,170   

Sprint Capital Corp., 6.88%, 11/15/28

      1,014        915,135   

Sprint Communications, Inc. (b):

     

9.00%, 11/15/18

      3,598        4,200,665   

7.00%, 3/01/20

      1,883        2,024,225   

T-Mobile USA, Inc., 5.25%, 9/01/18 (b)

      375        378,750   
     

 

 

 
                      13,367,775   
Total Corporate Bonds — 107.1%                     311,780,875   
     
   
Floating Rate Loan Interests (a)  

Airlines — 1.0%

  

Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18

      392        392,683   

Northwest Airlines, Inc., Term Loan:

     

2.30%, 3/10/17

      642        593,997   

2.30%, 3/10/17

      643        594,820   

1.68%, 9/10/18

      544        481,099   

1.68%, 9/10/18

      539        477,042   

1.68%, 9/10/18

      535        473,797   
     

 

 

 
                      3,013,438   

Auto Components — 1.2%

     

Federal-Mogul Corp.:

     

Term Loan B, 2.12% — 2.13%, 12/29/14

      2,006        1,953,006   

Term Loan C, 2.12% — 2.13%, 12/28/15

      980        954,580   

Schaeffler AG, Term Loan C, 4.25%, 1/27/17

      580        580,899   
     

 

 

 
                      3,488,485   

Building Products — 0.1%

     

Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19

            423        419,264   

Capital Markets — 0.8%

     

American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16

      1,416        1,420,464   

Knight Capital Group, Inc., Term Loan B, 5.75%, 12/05/17

      360        358,427   

Nuveen Investments, Inc.:

     

2nd Lien Term Loan, 6.50%, 2/28/19

      340        338,018   

Term Loan, 4.18%, 5/15/17

      120        119,447   
     

 

 

 
                      2,236,356   

Chemicals — 0.2%

     

MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20

      135        136,350   

OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20

      300        299,157   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, Term Loan, 4.75%, 2/03/20

      55        55,219   
     

 

 

 
                      490,726   

Commercial Services & Supplies — 0.4%

     

AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16

      409        408,838   
Floating Rate Loan Interests (a)  

Par  
(000)

    Value  

Commercial Services & Supplies (concluded)

     

Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17

    USD        260      $ 260,814   

Interactive Data Corp., Term Loan B, 3.75%, 2/11/18

      409        407,859   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

      260        260,244   
     

 

 

 
                      1,337,755   

Communications Equipment — 1.3%

     

Alcatel-Lucent USA, Inc.:

     

Term Loan C, 5.75%, 1/30/19

      1,403        1,408,660   

Term Loan D, 6.25%, 1/30/19

    EUR        547        724,900   

Avaya, Inc., Term Loan B5, 8.00%, 3/30/18

    USD        125        118,367   

Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19

      1,471        1,474,894   
     

 

 

 
                      3,726,821   

Construction Materials — 0.3%

     

HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17

            859        861,427   

Containers & Packaging — 0.1%

     

Tekni-Plex, Inc., Term Loan B, 5.50% — 6.50%, 8/25/19

            265        263,675   

Diversified Consumer Services — 0.3%

     

Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18

      143        142,277   

ServiceMaster Co.:

     

Extended Term Loan, 4.44%, 1/31/17

      165        160,279   

Term Loan, 4.25%, 1/31/17

      463        448,563   
     

 

 

 
                      751,119   

Diversified Telecommunication Services — 0.4%

  

 

Level 3 Financing, Inc.:

     

2016 Term Loan, 4.00%, 1/15/20

      405        404,664   

2019 Term Loan B, 4.00%, 8/01/19

      270        269,495   

Term Loan, 4.75%, 8/01/19

      480        479,496   
     

 

 

 
                      1,153,655   

Energy Equipment & Services — 0.1%

     

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

            185        183,766   

Food & Staples Retailing — 0.0%

     

Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20

            110        112,716   

Food Products — 0.1%

     

AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17

            214        215,730   

Health Care Equipment & Supplies — 0.3%

     

Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19

      755        752,633   

LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18

      282        279,329   
     

 

 

 
                      1,031,962   

Health Care Providers & Services — 0.2%

     

Genesis HealthCare Corp., Term Loan B, 10.00% —10.75%, 9/25/17

      234        240,582   

inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16

      368        358,948   
     

 

 

 
                      599,530   

Hotels, Restaurants & Leisure — 4.3%

     

Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20

      465        464,130   

Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20

      440        440,546   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    37


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)  

Par  
(000)

    Value  

Hotels, Restaurants & Leisure (concluded)

     

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20

    USD        1,205      $ 1,201,988   

Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14

      7,233        6,882,580   

MGM Resorts International, Term Loan B, 3.50%, 12/20/19

      541        538,496   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

      560        561,394   

Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19

      655        656,913   

Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20

      928        933,863   

Travelport LLC:

     

2nd Lien PIK Term Loan 2, 8.38%, 12/01/16

      441        440,486   

2nd Lien Term Loan 1, 9.50%, 1/29/16

      106        109,715   

Refinancing Term Loan, 6.25%, 6/26/19

      300        302,850   
     

 

 

 
                      12,532,961   

Industrial Conglomerates — 0.2%

     

Sequa Corp., Term Loan B, 5.25%, 6/19/17

            579        580,675   

Insurance — 0.1%

     

Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19

            338        339,359   

IT Services — 0.4%

     

Ceridian Corp., Term Loan B, 4.43%, 5/09/17

      305        304,683   

First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18

      785        776,710   
     

 

 

 
                      1,081,393   

Life Sciences Tools & Services — 0.1%

     

Patheon, Inc., Term Loan,
7.25%, 12/06/18

            203        204,988   

Machinery — 1.3%

     

Gardner Denver, Inc.:

     

Term Loan, 4.25%, 7/30/20

      1,236        1,229,649   

Term Loan, 4.75%, 7/30/20

    EUR        1,358        1,789,284   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20

    USD        717        709,333   
     

 

 

 
                      3,728,266   

Media — 1.6%

     

Cengage Learning Acquisitions, Inc.:

     

Non-Extended Term Loan, 4.75%, 7/03/14

      320        228,335   

Tranche 1 Incremental, 6.00%, 7/03/14

      1,598        1,128,475   

Clear Channel Communications, Inc.:

     

Term Loan B, 3.83%, 1/29/16

      136        126,704   

Term Loan C, 3.83%, 1/29/16

      100        91,997   

Term Loan D, 6.93%, 1/30/19

      1,487        1,364,220   

EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18

      432        433,144   

Getty Images, Inc., Term Loan B, 4.75%, 10/18/19

      50        47,819   

Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20

      590        590,490   

TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20

      225        230,625   

Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20

      247        246,441   

Virgin Media Investment Holdings Ltd.,
Term Loan B, 3.50%, 6/08/20

      120        119,396   
     

 

 

 
                      4,607,646   
Floating Rate Loan Interests (a)  

Par   
(000)

    Value  

Metals & Mining — 0.8%

     

Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20

    USD        888      $ 907,750   

FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17

      1,430        1,434,831   
     

 

 

 
                      2,342,581   

Oil, Gas & Consumable Fuels — 1.5%

     

Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17

      2,225        2,265,784   

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

      680        680,126   

Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18

      235        236,030   

Vantage Drilling Co.:

     

Term Loan, 6.25%, 10/26/17

      864        870,412   

Term Loan B, 5.75%, 3/22/19

      369        371,843   
     

 

 

 
                      4,424,195   

Pharmaceuticals — 0.7%

     

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

      975        976,833   

Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19

      725        720,687   

Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18

      310        309,644   
     

 

 

 
                      2,007,164   

Real Estate Investment Trusts (REITs) — 0.2%

     

iStar Financial, Inc., Term Loan, 4.50%, 10/16/17

            693        692,772   

Real Estate Management & Development — 0.2%

  

 

Realogy Corp.:

     

Extended Letter of Credit, 4.45%, 10/10/16

      93        93,137   

Extended Term Loan, 4.50%, 3/05/20

      459        461,374   
     

 

 

 
                      554,511   

Road & Rail — 0.1%

     

Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17

            272        270,839   

Software — 0.4%

     

BMC Software, Inc., Term Loan, 5.00%, 8/07/20

      145        144,698   

GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20

      60        60,900   

Infor US, Inc., Term Loan B2, 5.25%, 4/05/18

      504        506,719   

Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20

      515        532,381   
     

 

 

 
                      1,244,698   

Specialty Retail — 0.3%

     

David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19

      542        545,117   

Party City Holdings, Inc., Refinancing
Term Loan B, 4.25%, 7/29/19

      265        264,287   
     

 

 

 
                      809,404   

Textiles, Apparel & Luxury Goods — 0.4%

     

Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18

            1,126        1,077,906   

Thrifts & Mortgage Finance — 0.2%

     

Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18

            608        614,255   
Total Floating Rate Loan Interests — 19.6%                     57,000,038   

 

See Notes to Consolidated Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

 

Investment Companies  

  
Shares

    Value  

Exchange-Traded Fund — 0.2%

     

iShares MSCI EAFE Index Fund (n)

        12,240      $ 724,241   
Total Investment Companies — 0.2%        724,241   
     
                     
Other Interests (k)  

Beneficial

Interest  
(000)   

         

Auto Components — 0.0%

     

Lear Corp. Escrow

  USD     460        2,300   

Chemicals — 0.0%

     

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

        2,830        28   

Hotels, Restaurants & Leisure — 0.0%

     

Buffets, Inc. (d)

        575        6   

Media — 0.0%

     

Adelphia Preferred Escrow (d)

      750        8   

Adelphia Recovery Trust (d)

      941        9,406   
     

 

 

 
                  9,414   
Total Other Interests — 0.0%        11,748   
     
                     
Preferred Securities                
Capital Trusts         Par  
(000)
         

Media — 0.0%

     

NBCUniversal Enterprise, Inc., 5.25% (b)(l)

        100        97,921   
     
                     
Preferred Stocks         Shares          

Auto Components — 1.7%

     

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

        28,800        5,059,800   
     
                     
Trust Preferreds                      

Diversified Financial Services — 1.4%

     

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

        152,140        4,017,780   
Total Preferred Securities — 3.1%                 9,175,501   
     
   
Warrants (m)                      

Containers & Packaging — 0.1%

     

MDP Acquisitions PLC, (Issued/exercisable 12/31/02, 3 Shares for 1 Warrant, Expires 10/01/13, Strike Price EUR 0.001)

        700        73,826   

Health Care Providers & Services — 0.0%

     

HealthSouth Corp., (Expires 1/16/14)

        32,042          

Media — 0.0%

     

New Vision Holdings LLC:

     

(Expires 9/30/14)

      19,023      $ 29,086   

(Expires 9/30/14)

      3,424        6,293   
     

 

 

 
                  35,379   

Metals & Mining — 0.0%

     

Peninsula Energy Ltd., (Expires 12/31/15)

      2,343,076        16,058   

Peninsula Minerals Ltd., (Expires 12/31/15)

      3,966,632        38,836   
     

 

 

 
                  54,894   

Software — 0.0%

     

HMH Holdings/EduMedia, (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

        1,164          
Total Warrants — 0.1%        164,099   
Total Long-Term Investments
(Cost — $408,530,445) — 140.7%
                409,782,331   
     
   
Short-Term Securities  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (n)(o)

        1,962,371        1,962,371   
Total Short-Term Securities
(Cost — $1,962,371) — 0.7%
                1,962,371   
     
   
Options Purchased  
(Cost — $1,161,168) — 0.4%                 1,322,693   
Total Investments Before Options Written
(Cost — $411,653,984) — 141.8%
                413,067,395   
     
   
Options Written  
(Premiums Received — $289,600) — (0.1)%                 (305,850
Total Investments, Net of Options Written — 141.7%        412,761,545   
Liabilities in Excess of Other Assets — (41.7)%        (121,490,754
     

 

 

 
Net Assets — 100.0%      $ 291,270,791   
     

 

 

 

 

Notes to Consolidated Schedule of investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

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

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    39


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

 

 

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

 

Counterparty      Value       

Unrealized
Appreciation

(Depreciation)

 
J.P. Morgan Securities LLC      $ 1,837,421             

 

(d)   Non-income producing security.

 

(e)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

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

 

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

 

(h)   Convertible security.

 

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

 

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

 

(k)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(l)   Security is perpetual in nature and has no stated maturity date.

 

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

 

(n)   Investments in issuers considered to be an affiliate of the Fund during the six months ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate   Shares Held
at February 28,
2013
    Shares
Purchased
    Shares
Sold
    Shares Held
at August 31,
2013
    Value at
August 31,
2013
    Income     Realized
Loss
 
BlackRock Liquidity Funds, TempFund, Institutional Class     2,103,451        (141,080 ) 1              1,962,371      $ 1,962,371      $ 295          
iShares iBoxx $ High Yield Corporate Bond ETF 2            26,548        (26,548                 $ 12,719      $ (35,468
iShares MSCI EAFE Index Fund            12,240               12,240      $ 724,241      $ 2,251          

 

1    

Represents net shares purchased.

 

2    

No longer held by the Trust as of report date.

 

(o)   Represents the current yield as of report date.

 

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

 

Ÿ  

Financial futures contracts as of August 31, 2013 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
  Unrealized
Appreciation
(Depreciation)
 
  (22   10-Year US Treasury Note   Chicago Board of Trade   December 2013   $2,734,188   $ (1,409
  (12   2-Year US Treasury Note   Chicago Board of Trade   December 2013   $2,637,000     (171
  (32   5-Year US Treasury Note   Chicago Board of Trade   December 2013   $3,829,750     4,708   
  Total              $ 3,128   
         

 

 

 

 

Ÿ  

Foreign currency exchange contracts as of August 31, 2013 were as follows:

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
                            Unrealized
Appreciation
(Depreciation)
 
USD        336,929         EUR        255,000      Credit Suisse International     9/03/13              $ (92
USD        284,920         GBP        184,000      Bank of America N.A.     9/03/13                (225
EUR        255,000         USD        336,953      Credit Suisse International     9/25/13                91   
USD        1,795,360         EUR        1,345,000      Barclays PLC     9/25/13                17,618   
USD        21,315,870         EUR        15,864,000      UBS AG     9/25/13                347,771   
GBP        184,000         USD        284,814      Bank of America N.A.     10/22/13                226   
GBP        26,000         USD        39,913      Citibank N.A.     10/22/13                364   
USD        461,860         AUD        507,000      UBS AG     10/22/13                12,040   
USD        4,358,025         CAD        4,535,000      JPMorgan Chase Bank N.A.     10/22/13                57,633   
USD        150,763         GBP        100,000      Bank of America N.A.     10/22/13                (4,150
USD        158,155         GBP        102,000      Bank of America N.A.     10/22/13                144   
USD        162,564         GBP        105,000      Barclays PLC     10/22/13                (94
USD        9,355,663         GBP        6,204,000      Deutsche Bank AG     10/22/13                (255,112
USD        158,151         GBP        104,000      Deutsche Bank AG     10/22/13                (2,958
USD        77,498         GBP        49,830      Deutsche Bank AG     10/22/13                        305   
Total                              $ 173,561   
                            

 

 

 

 

See Notes to Consolidated Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

 

 

Ÿ  

Exchange-traded options purchased as of August 31, 2013 were as follows:

 

Description   Put/Call     Strike
Price
    Expiration
Date
    Contracts     Market
Value
 

SPDR S&P 500 ETF Trust

    Put        USD        165.00        9/21/13        308      $ 103,488   

SPDR S&P 500 ETF Trust

    Put        USD        164.00        9/21/13        1,030        292,005   

SPDR S&P 500 ETF Trust

    Put        USD        161.00        10/19/13        1,184        355,200   

SPDR S&P 500 ETF Trust

    Put        USD        164.00        10/19/13        1,375        572,000   

Total

            $ 1,322,693   
           

 

 

 
Ÿ  

Over-the-counter options purchased as of August 31, 2013 were as follows:

 

Description   Counterparty     Put/Call     Strike
Price
    Expiration
Date
    Contracts     Market
Value

Marsico Parent Superholdco LLC

    Goldman Sachs & Co.        Call        USD        942.86        12/14/19        19     

 

Ÿ  

Exchange-traded options written as of August 31, 2013 were as follows:

 

Description   Put/Call     Strike
Price
    Expiration
Date
    Contracts     Market
Value
 

SPDR S&P 500 ETF Trust

    Put        USD        156.00        9/21/13        (1,030   $ (72,100

SPDR S&P 500 ETF Trust

    Put        USD        156.00        10/19/13        (1,375     (233,750

Total

            $ (305,850
           

 

 

 
Ÿ  

Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

 

Issuer  

Pay

Fixed Rate

    Counterparty   Expiration
Date
 

Notional
Amount
(000)

    Market
Value
    Premiums
Paid
    Unrealized
Depreciation
 

Radioshack Corp.

    5.00   Deutsche Bank AG   9/20/18     USD        67      $ 16,845      $ 20,858      $ (4,012

Radioshack Corp.

    5.00   Deutsche Bank AG   9/20/18     USD        67        16,845        20,537        (3,692

Radioshack Corp.

    5.00   Deutsche Bank AG   9/20/18     USD        67        16,846        18,609        (1,764

Total

            $ 50,536      $ 60,004      $ (9,468
           

 

 

   

 

 

   

 

 

 
Ÿ  

Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

 

Issuer/Index  

Receive

Fixed Rate

    Counterparty   Expiration
Date
  Credit 
Rating 1
   

Notional
Amount
(000) 2

    Market
Value
    Premiums
Received
    Unrealized
Appreciation
(Depreciation)
 

Radioshack Corp.

    5.00   Deutsche Bank AG   9/20/15     CCC        USD        67      $ (7,149   $ (10,424   $ 3,275   

Radioshack Corp.

    5.00   Deutsche Bank AG   9/20/15     CCC        USD        67        (7,149     (10,437     3,289   

Radioshack Corp.

    5.00   Deutsche Bank AG   9/20/15     CCC        USD        67        (7,149     (8,546     1,398   

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Chase Bank N.A.   12/20/15     CCC-        USD        274        (52,121     (78,774     26,653   

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Chase Bank N.A.   12/20/15     CCC-        USD        76        (14,452     (18,934     4,482   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/16     CCC-        USD        110        (24,651     (26,228     1,577   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/16     CCC-        USD        110        (24,651     (26,228     1,577   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/16     CCC-        USD        324        (73,017     (74,047     1,031   

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/16     CCC-        USD        76        (17,009     (16,404     (605

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/16     CCC-        USD        367        (82,624     (64,344     (18,279

Caesars Entertainment Operating Co., Inc.

    5.00   JPMorgan Chase Bank N.A.   3/20/16     CCC-        USD        44        (9,830     (8,952     (878

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   6/20/16     CCC-        USD        225        (58,628     (56,417     (2,212

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   6/20/16     CCC-        USD        430        (112,028     (104,403     (7,625

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   6/20/16     CCC-        USD        767        (199,885     (188,868     (11,017

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   6/20/16     CCC-        USD        124        (32,201     (25,276     (6,926

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/17     CCC-        USD        202        (71,576     (55,887     (15,689

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/17     CCC-        USD        242        (85,610     (75,123     (10,488

Caesars Entertainment Operating Co., Inc.

    5.00   Goldman Sachs International   3/20/17     CCC-        USD        141        (49,920     (41,455     (8,466

Crown Castle International Corp.

    7.25   Deutsche Bank AG   3/20/17     B        USD        470        76,466               76,466   

CCO Holdings LLC

    8.00   Deutsche Bank AG   9/20/17     BB-        USD        1,600        326,907               326,907   

Level 3 Communications, Inc.

    5.00   Goldman Sachs International   6/20/19     CCC+        USD        1,000        20,768        (89,035     109,803   

Markit CMBX North America AAA Index Series 3

    0.50   Citibank N.A.   12/13/49     BBB-        USD        75        (8,531     (7,054     (1,477

Markit CMBX North America AAA Index Series 3

    0.50   Citibank N.A.   12/13/49     BBB-        USD        155        (17,630     (14,674     (2,956

Total

              $ (531,670   $ (1,001,510   $ 469,840   
             

 

 

   

 

 

   

 

 

 

 

1    

Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

 

2    

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

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    41


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

 

 

Ÿ  

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

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

Ÿ  

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)

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Consolidated Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

                      $ 1,837,421         $ 1,837,421   

Common Stocks

  $ 22,410,105         $ 2,208,496           4,469,807           29,088,408   

Corporate Bonds

              308,676,572           3,104,303           311,780,875   

Floating Rate Loan Interests

              48,517,130           8,482,908           57,000,038   

Investment Companies

    724,241                               724,241   

Other Interests

    9,406                     2,342           11,748   

Preferred Securities

    4,017,780           5,157,721                     9,175,501   

Warrants

    112,662                     51,437           164,099   

Short-Term Securities

    1,962,371                               1,962,371   

Options Purchased:

                

Equity Contracts

    1,322,693                               1,322,693   

Unfunded Loan Commitments

              8,058                     8,058   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 30,559,258         $ 364,567,977         $ 17,948,218         $  413,075,453   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
      Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1                 

Assets:

                

Credit contracts

            $ 153,085         $ 403,373         $ 556,458   

Interest rate contracts

  $ 4,708                               4,708   

Foreign currency exchange contracts

              436,192                     436,192   

Liabilities:

                

Credit contracts

              (96,086                  (96,086

Equity contracts

    (305,850                            (305,850

Interest rate contracts

    (1,580                            (1,580

Foreign currency exchange contracts

    (317        (262,314                  (262,631
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (303,039      $ 230,877         $ 403,373         $ 331,211   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

1    

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

 

See Notes to Consolidated Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

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

 

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 1,565                        $ 1,565   

Foreign currency at value

    11,461                          11,461   

Cash pledged for financial futures contracts

    80,000                          80,000   

Liabilities:

                

Loan payable

            $ (121,000,000             (121,000,000

Cash received as collateral for over-the-counter swaps

              (500,000             (500,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $        93,026         $ (121,500,000           $ (121,406,974
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended August 31, 2013.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Warrants     Total  

Assets/Liabilities:

 

Opening Balance, as of February 28, 2013

         $ 5,113,705      $ 4,368,858      $ 14,775,855      $ 11,542      $ 75,505      $ 24,345,465   

Transfers into Level 3

                         289,955                      289,955   

Transfers out of Level 3 1

           (769     (505,856     (2,885,615                   (3,392,240

Accrued discounts/premiums

                  2,832        23,261                      26,093   

Net realized gain (loss)

           (5,626     26,279        209,033               1,117        230,803   

Net change in unrealized appreciation/depreciation 2

           (637,500     (4,558     (164,744     (9,200     (25,185     (841,187

Purchases

  $ 1,837,421               12,300        3,819,824                      5,669,545   

Sales

           (3     (795,552     (7,584,661                   (8,380,216
 

 

 

 

Closing Balance, as of August 31, 2013

  $ 1,837,421      $ 4,469,807      $ 3,104,303      $ 8,482,908      $ 2,342      $ 51,437      $ 17,948,218   
 

 

 

 

 

1    

As of February 28, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2013, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $3,392,240 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

2    

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(651,814).

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

 

      Credit
Contracts
 

Assets:

 

Opening Balance, as of February 28, 2013

      

Transfers into Level 3

  $ 468,208   

Transfers out of Level 3

      

Accrued discounts/premiums

      

Net realized gain (loss)

      

Net change in unrealized appreciation/depreciation 3

    (64,835

Purchases

      

Issues 4

      

Sales

      

Settlements 5

      
 

 

 

 

Closing Balance, as of August 31, 2013

  $   403,373   
 

 

 

 

 

3    

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $(64,835).

 

4    

Issues represent upfront cash received on certain derivative financial instruments.

 

5    

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

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    43


Table of Contents

Consolidated Schedule of Investments (concluded)

  

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

 

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2013. The table does not include Level 3 investments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $11,279,072. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value      Valuation Techniques   Unobservable  Inputs 1  

Range of

Unobservable
Inputs Utilized

Assets:

        

Common Stocks 2

  $ 211,916       Market Comparable Companies   Forecasted EBITDA Multiple   3.50x
    2,171,881       Market Comparable Companies   2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple   CAD 3  0.35x — 0.53x
       PV-10 Multiple 4   0.13x — 0.21x
    1,423,609       Market Comparable Companies   Offshore EBITDA Multiple   8.25x
       Onshore EBITDA Multiple   4.75x
       Implied Last 12 Months EBITDA Multiple   6.95x

Corporate Bonds 5

    688,352       Market Comparable Companies   Yield   12.10%
    425       Estimated Recovery Value   Recovery Rate   0.05%
    646,526       Discounted Cash Flow   Yield   12.00%
    875,000       Market Comparable Companies   Last 12 Months EBITDA Multiple   10.00x
    600,000       Cost 6   N/A  

Warrants 7

    35,379       Estimated Recovery Value   Distribution Rate   $1.36 —$1.63
    16,058       Black-Scholes   Implied Volatility   67.605%
 

 

 

    

 

 

 

 

 

Total

  $ 6,669,146          
 

 

 

        

 

1    

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

Unobservable Input   

Impact to

Value if Input Increases

  

Impact to

Value if Input Decreases

Forecasted EBITDA Multiple

   Increase    Decrease

2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple

   Increase    Decrease

PV-10 Multiple

   Increase    Decrease

Offshore EBITDA Multiple

   Increase    Decrease

Onshore EBITDA Multiple

   Increase    Decrease

Implied Last 12 Months EBITDA Multiple

   Increase    Decrease

Yield

   Decrease    Increase

Recovery Rate

   Increase    Decrease

Last 12 Months EBITDA Multiple

   Increase    Decrease

Distribution Rate

   Increase    Decrease

Implied Volatility

   Increase    Decrease

 

2  

For the six months ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued utilizing the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.

 

3    

Canadian Dollar.

 

4    

Present value of estimated future oil and gas revenues, net of estimated direct expenses, discounted at an annual rate of 10%.

 

5  

For the six months ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued utilizing acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.

 

6  

The Fund fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund.

 

7  

For the six months ended August 31, 2013, the valuation technique for certain investments classified as warrants changed to an as estimated recovery value approach. The investments were previously valued utilizing a discounted vendor price. The estimated recovery value is considered to be a more relevant measure of fair value for these investments.

 

See Notes to Consolidated Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments August 31, 2013 (Unaudited)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities  

Par  
(000)

    Value  

ACAS CLO Ltd., Series 2013-1A, Class D, 4.09%, 4/20/25 (a)(b)

    USD        500      $ 471,250   

ALM Loan Funding (a)(b)(c):

     

Series 2013-7R2A, Class B, 2.86%, 4/24/24

      625        596,875   

Series 2013-7RA, Class C, 3.71%, 4/24/24

      1,750        1,651,650   

Series 2013-7RA, Class D, 5.26%, 4/24/24

      750        688,875   

Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b)

      550        546,425   

Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (a)(b)

      1,050        998,025   

Carlyle Global Market Strategies CLO Ltd. (a)(b):

     

Series 2012-4A, Class D, 4.77%, 1/20/25

      600        602,124   

Series 2013-1A, Class C, 4.26%, 2/14/25

      250        245,975   

Cavalry CLO Ltd., Series 2A, Class D, 4.27%, 1/17/24 (a)(b)

      500        486,250   

CFIP CLO Ltd., Series 2013-1A, Class D, 4.02%, 4/20/24 (a)(b)

      1,000        930,000   

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.27%, 4/20/23 (a)(b)

      765        754,596   

Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.27%, 9/20/22 (a)(b)

      1,200        1,204,800   

LCM IX LP, Series 9A, Class E, 4.47%, 7/14/22 (a)(b)

      1,000        910,400   

LCM XI LP, Series 11A, Class D2, 4.22%, 4/19/22 (a)(b)

      1,300        1,274,000   

Madison Park Funding I Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (a)(b)(c)

      305        290,360   

OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25 (a)(b)

      500        488,750   

OZLM Funding Ltd., Series 2012-2A, Class C, 4.62%, 10/30/23 (a)(b)

      500        498,400   

West CLO Ltd., Series 2012-1A, Class C, 5.02%, 10/30/23 (a)(b)

            1,145        1,151,985   
Total Asset-Backed Securities — 3.0%                     13,790,740   
     
   
Common Stocks           Shares          

Chemicals — 0.1%

     

GEO Specialty Chemicals, Inc. (a)(d)

            339,340        271,472   

Containers & Packaging — 0.2%

     

Smurfit Kappa Group PLC

            36,342        739,145   

Diversified Financial Services — 0.8%

     

Kcad Holdings I Ltd.(d)

            756,012,055        3,817,861   

Electrical Equipment — 0.0%

     

Medis Technologies Ltd. (d)

            286,757        3   

Hotels, Restaurants & Leisure — 0.0%

     

HRP PIK Corp., Class B (d)

            5,000          

Metals & Mining — 0.1%

     

Euramax International (d)

            2,337        467,460   

Paper & Forest Products — 0.9%

     

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

      1,256,924        3,460,628   

NewPage Corp. (d)

      9,120        729,600   

Western Forest Products, Inc.

      211,149        284,659   
     

 

 

 
                      4,474,887   

Semiconductors & Semiconductor Equipment — 0.0%

  

SunPower Corp. (d)

            1,707        36,683   

Software — 0.3%

  

HMH Holdings/EduMedia (d)

            52,041        1,567,744   
Common Stocks  

Shares

   

Value

 

Specialty Retail — 0.0%

     

Movie Gallery, Inc. (d)

            503,737      $ 5   
Total Common Stocks — 2.4%                     11,375,260   
     
                         
Corporate Bonds   Par  
(000)
         

Aerospace & Defense — 0.9%

     

Bombardier, Inc., 4.25%, 1/15/16 (a)

    USD        980        1,013,075   

DigitalGlobe, Inc., 5.25%, 2/01/21 (a)

      666        624,375   

Huntington Ingalls Industries, Inc., 7.13%, 3/15/21

      715        772,200   

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

      1,364        1,473,120   

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)

      247        251,607   
     

 

 

 
                      4,134,377   

Airlines — 0.8%

     

Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a)

      469        467,405   

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18

      1,485        1,506,533   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

      163        178,733   

US Airways Group, Inc., 6.13%, 6/01/18

      280        254,100   

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23

      1,530        1,453,500   
     

 

 

 
                      3,860,271   

Auto Components — 2.2%

     

Affinia Group, Inc., 7.75%, 5/01/21 (a)

      790        811,725   

Brighthouse Group PLC, 7.88%, 5/15/18

    GBP        100        156,520   

Continental Rubber of America Corp., 4.50%, 9/15/19 (a)

    USD        150        151,575   

Delphi Corp., 6.13%, 5/15/21

      250        273,125   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

7.75%, 1/15/16

      220        227,975   

8.00%, 1/15/18

      4,035        4,246,837   

Jaguar Land Rover Automotive PLC:

     

8.25%, 3/15/20

    GBP        392        673,091   

5.63%, 2/01/23 (a)

    USD        425        409,063   

Schaeffler Finance BV, 4.25%, 5/15/18

    EUR        106        140,123   

Schaeffler Holding Finance BV (e):

     

6.88%, 8/15/18 (a)

    USD        785        816,400   

6.88%, 8/15/18

    EUR        270        366,659   

Servus Luxembourg Holdings SCA, 7.75%, 6/15/18

      175        234,804   

Titan International, Inc.:

     

7.88%, 10/01/17

    USD        940        996,400   

7.88%, 10/01/17 (a)

      530        561,800   

Venture Holdings Co. LLC (d)(f):

     

12.00%, 7/01/49

      4,450          

Series B, 9.50%, 7/01/05

      1,800          
     

 

 

 
                      10,066,097   

Automobiles — 0.1%

     

Ford Motor Co., 4.25%, 11/15/16 (g)

            314        599,740   

Beverages — 0.0%

     

Constellation Brands, Inc., 7.25%, 5/15/17

            57        65,123   

Building Products — 1.0%

     

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a)

      300        291,000   

Builders FirstSource, Inc., 7.63%, 6/01/21 (a)

      639        639,000   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    45


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Building Products (concluded)

     

Building Materials Corp. of America (a):

     

7.00%, 2/15/20

    USD        1,000      $ 1,062,500   

6.75%, 5/01/21

      590        625,400   

Cemex SAB de CV, 5.88%, 3/25/19 (a)

      260        246,350   

Momentive Performance Materials, Inc., 8.88%, 10/15/20

      375        389,062   

Texas Industries, Inc., 9.25%, 8/15/20

      378        412,965   

USG Corp., 9.75%, 1/15/18

      980        1,129,450   
     

 

 

 
                      4,795,727   

Capital Markets — 0.2%

     

E*Trade Financial Corp., 0.00%, 8/31/19 (a)(g)(h)

      593        804,997   

KCG Holdings, Inc., 8.25%, 6/15/18 (a)

      173        169,973   

Nuveen Investments, Inc., 9.13%, 10/15/17 (a)

      135        132,975   
     

 

 

 
                      1,107,945   

Chemicals — 3.0%

     

Ashland, Inc., 3.88%, 4/15/18 (a)

      475        467,875   

Chemtura Corp., 5.75%, 7/15/21

      145        143,188   

Ciech Group Financing AB, 9.50%, 11/30/19

    EUR        130        186,633   

GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (a)

    USD        4,171        8,716,945   

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

      735        819,525   

INEOS Finance PLC, 7.50%, 5/01/20 (a)

      295        315,650   

INEOS Group Holdings SA:

     

6.13%, 8/15/18 (a)

      485        469,237   

6.50%, 8/15/18

    EUR        224        287,790   

LSB Industries, Inc., 7.75%, 8/01/19 (a)

    USD        218        225,630   

Nufarm Australia Ltd., 6.38%, 10/15/19 (a)

      225        225,000   

Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (a)

      800        884,000   

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)

      188        181,890   

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., 6.50%, 4/15/21 (a)

      706        691,880   

Tronox Finance LLC, 6.38%, 8/15/20 (a)

      288        275,040   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, 2/01/21

    EUR        100        130,513   
     

 

 

 
                      14,020,796   

Commercial Banks — 0.6%

     

CIT Group, Inc.:

     

5.00%, 5/15/17

    USD        620        643,250   

6.63%, 4/01/18 (a)

      120        129,600   

5.50%, 2/15/19 (a)

      1,886        1,933,150   

Lloyds TSB Bank PLC, 11.88%, 12/16/21 (b)

    EUR        32        52,020   
     

 

 

 
                      2,758,020   

Commercial Services & Supplies — 2.4%

     

ACCO Brands Corp., 6.75%, 4/30/20

    USD        212        209,350   

ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)

      206        217,330   

ARAMARK Corp., 5.75%, 3/15/20 (a)

      1,052        1,073,040   

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

      672        695,354   

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

      55        58,919   

Catalent Pharma Solutions, Inc., 7.88%, 10/15/18

      216        218,700   

Covanta Holding Corp., 6.38%, 10/01/22

      800        811,758   

EC Finance PLC, 9.75%, 8/01/17

    EUR        60        86,428   

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

    USD        850        884,000   

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

      1,545        1,720,821   

Mobile Mini, Inc., 7.88%, 12/01/20

      640        697,600   

UR Merger Sub Corp.:

     

5.75%, 7/15/18

      877        936,197   

7.38%, 5/15/20

      435        468,712   

7.63%, 4/15/22

      2,328        2,502,600   
Corporate Bonds  

Par  
(000)

    Value  

Commercial Services & Supplies (concluded)

     

Verisure Holding AB:

     

8.75%, 9/01/18

    EUR        178      $ 257,603   

8.75%, 12/01/18

      149        208,249   

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

    USD        315        340,988   
     

 

 

 
                      11,387,649   

Communications Equipment — 1.1%

     

Alcatel-Lucent USA, Inc., 8.88%, 1/01/20 (a)

      1,526        1,556,520   

Avaya, Inc. (a):

     

7.00%, 4/01/19

      485        443,775   

10.50%, 3/01/21

      754        582,465   

CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(e)

      435        430,650   

Zayo Group LLC/Zayo Capital, Inc.:

     

8.13%, 1/01/20

      1,000        1,085,000   

10.13%, 7/01/20

      1,020        1,157,700   
     

 

 

 
                      5,256,110   

Construction & Engineering — 0.1%

     

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)

      200        201,000   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a)

      230        223,100   
     

 

 

 
                      424,100   

Construction Materials — 1.4%

     

Buzzi Unicem SpA, 6.25%, 9/28/18

    EUR        106        149,198   

HD Supply, Inc.:

     

8.13%, 4/15/19

    USD        2,938        3,268,525   

11.00%, 4/15/20

      556        664,420   

7.50%, 7/15/20 (a)(i)

      2,092        2,186,140   

HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20

    EUR        46        71,739   
     

 

 

 
                      6,340,022   

Consumer Finance — 0.1%

     

Ford Motor Credit Co. LLC:

     

7.00%, 4/15/15

    USD        280        302,885   

6.63%, 8/15/17

      148        167,124   

IVS F. SpA, 7.13%, 4/01/20

    EUR        170        224,119   
     

 

 

 
                      694,128   

Containers & Packaging — 0.6%

     

Ardagh Packaging Finance PLC:

     

7.38%, 10/15/17

      100        140,690   

9.13%, 10/15/20 (a)

    USD        300        318,750   

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

      310        334,800   

Berry Plastics Corp., 9.75%, 1/15/21

      210        243,075   

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

    EUR        1,243        1,642,876   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

    USD        103        108,150   
     

 

 

 
                      2,788,341   

Distributors — 0.1%

     

VWR Funding, Inc., 7.25%, 9/15/17

            615        639,600   

Diversified Consumer Services — 0.7%

     

APX Group, Inc. (a):

     

6.38%, 12/01/19

      613        577,753   

8.75%, 12/01/20

      979        964,315   

Laureate Education, Inc., 9.25%, 9/01/19 (a)

      1,025        1,107,000   

Rent-A-Center, Inc., 4.75%, 5/01/21 (a)

      494        456,950   
     

 

 

 
                      3,106,018   

 

See Notes to Consolidated Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Diversified Financial Services — 3.7%

     

Aircastle Ltd., 6.25%, 12/01/19

    USD        261      $ 272,093   

Ally Financial, Inc.:

     

7.50%, 12/31/13

      90        91,575   

8.30%, 2/12/15

      1,330        1,436,400   

7.50%, 9/15/20

      1,990        2,238,750   

8.00%, 11/01/31

      2,235        2,570,250   

8.00%, 11/01/31

      399        452,366   

CNG Holdings, Inc., 9.38%, 5/15/20 (a)

      128        120,000   

Co-Operative Group Ltd., 6.88%, 7/08/20 (j)

    GBP        240        352,402   

DPL, Inc.:

     

6.50%, 10/15/16

    USD        50        52,750   

7.25%, 10/15/21

      130        132,600   

Gala Group Finance PLC, 8.88%, 9/01/18

    GBP        400        660,172   

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)

    USD        415        410,850   

Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a)

      462        453,915   

Reynolds Group Issuer, Inc.:

     

7.13%, 4/15/19

      1,943        2,066,866   

9.00%, 4/15/19

      195        201,338   

9.88%, 8/15/19

      1,015        1,078,437   

5.75%, 10/15/20

      3,640        3,608,150   

6.88%, 2/15/21

      515        543,325   

WMG Acquisition Corp., 11.50%, 10/01/18

      544        626,960   
     

 

 

 
                      17,369,199   

Diversified Telecommunication Services — 1.1%

  

 

CenturyLink, Inc., Series V, 5.63%, 4/01/20

      653        639,940   

Level 3 Communications, Inc., 8.88%, 6/01/19

      520        555,100   

Level 3 Financing, Inc.:

     

8.13%, 7/01/19

      2,902        3,068,865   

7.00%, 6/01/20

      340        342,550   

Telenet Finance V Luxembourg SCA:

     

6.25%, 8/15/22

    EUR        119        157,748   

6.75%, 8/15/24

      222        297,074   

Windstream Corp., 7.75%, 10/15/20

    USD        29        29,653   
     

 

 

 
                      5,090,930   

Electric Utilities — 0.2%

  

 

Homer City Generation LP (e):

     

8.14%, 10/01/19

      250        251,250   

8.73%, 10/01/26

      360        365,400   

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17

      378        396,447   
     

 

 

 
                      1,013,097   

Electrical Equipment — 0.3%

  

 

Belden, Inc., 5.50%, 9/01/22 (a)

    USD        360        349,200   

General Cable Corp., 5.75%, 10/01/22 (a)

      670        644,875   

Techem GmbH, 6.13%, 10/01/19

    EUR        200        283,927   

Trionista TopCo GmbH, 6.88%, 4/30/21

      100        133,492   
     

 

 

 
                      1,411,494   

Energy Equipment & Services — 2.5%

  

 

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

    USD        1,680        1,692,600   

CGG, 6.50%, 6/01/21

      1,000        1,012,500   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)

      469        500,657   

Gulfmark Offshore, Inc., 6.38%, 3/15/22

      130        131,625   

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

      265        268,313   

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

      1,518        1,544,565   

Oil States International, Inc.:

     

6.50%, 6/01/19

      1,319        1,391,545   

5.13%, 1/15/23 (a)

      653        713,402   

Energy Equipment & Services (concluded)

  

 

Peabody Energy Corp.:

     

6.00%, 11/15/18

    USD        985      $ 980,075   

6.25%, 11/15/21

      975        940,875   

Precision Drilling Corp.:

     

6.63%, 11/15/20

      125        131,563   

6.50%, 12/15/21

      505        527,725   

Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a)

      377        377,000   

Seadrill Ltd., 5.63%, 9/15/17 (a)

      783        788,872   

Tervita Corp., 8.00%, 11/15/18 (a)

      442        440,895   

Trionista Holdco GmbH, 5.00%, 4/30/20

    EUR        302        403,130   
     

 

 

 
                      11,845,342   

Food & Staples Retailing — 0.2%

  

 

Bakkavor Finance 2 PLC:

     

8.25%, 2/15/18

    GBP        192        310,188   

8.75%, 6/15/20

      100        161,944   

R&R Ice Cream PLC, 9.25%, 5/15/18 (e)

    EUR        100        135,469   

Rite Aid Corp., 9.25%, 3/15/20

      435        492,094   
     

 

 

 
                      1,099,695   

Food Products — 0.4%

  

 

Findus Bondco SA:

     

9.13%, 7/01/18

      133        185,025   

9.50%, 7/01/18

    GBP        100        162,579   

Post Holdings, Inc., 7.38%, 2/15/22

    USD        545        574,975   

Smithfield Foods, Inc., 6.63%, 8/15/22

      554        567,850   

Sun Merger Sub, Inc. (a):

     

5.25%, 8/01/18

      150        150,563   

5.88%, 8/01/21

      140        139,650   
     

 

 

 
                      1,780,642   

Gas Utilities — 0.3%

  

 

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18

            1,095        1,185,338   

Health Care Equipment & Supplies — 1.3%

  

 

Biomet, Inc.:

     

6.50%, 8/01/20

      1,211        1,241,275   

6.50%, 10/01/20

      2,593        2,586,517   

DJO Finance LLC/DJO Finance Corp.:

     

8.75%, 3/15/18

      295        319,338   

7.75%, 4/15/18

      770        756,525   

9.88%, 4/15/18

      350        367,500   

IDH Finance PLC, 6.00%, 12/01/18

    GBP        103        159,220   

Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19

    USD        232        241,570   

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

      475        498,750   
     

 

 

 
                      6,170,695   

Health Care Providers & Services — 2.0%

  

 

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19

      700        749,000   

CHS/Community Health Systems, Inc.:

     

5.13%, 8/15/18

      345        352,763   

8.00%, 11/15/19

      399        418,950   

7.13%, 7/15/20

      254        256,540   

Crown Newco 3 PLC:

     

7.00%, 2/15/18 (a)

    GBP        108        170,882   

7.00%, 2/15/18

      194        306,955   

HCA, Inc.:

     

7.88%, 2/15/20

    USD        1,245        1,343,044   

7.25%, 9/15/20

      270        293,963   

Hologic, Inc., 6.25%, 8/01/20

      977        1,018,522   

IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19

      68        71,230   

inVentiv Health, Inc., 9.00%, 1/15/18 (a)

      255        260,100   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    47


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Health Care Providers & Services (concluded)

  

 

Tenet Healthcare Corp.:

     

6.25%, 11/01/18

    USD        814      $ 859,787   

6.75%, 2/01/20

      340        333,200   

8.00%, 8/01/20

      382        396,803   

4.38%, 10/01/21 (a)

      617        559,927   

Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19

      1,680        1,797,600   
     

 

 

 
                      9,189,266   

Health Care Technology — 0.8%

  

 

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

            3,205        3,781,900   

Hotels, Restaurants & Leisure — 2.3%

  

 

Caesars Entertainment Operating Co., Inc., 8.50%, 2/15/20

      882        842,310   

Carlson Wagonlit BV, 6.88%, 6/15/19 (a)

      260        263,900   

Cirsa Funding Luxembourg SA, 8.75%, 5/15/18

    EUR        1,744        2,339,532   

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

    USD        1,040        1,154,400   

Gategroup Finance Luxembourg SA, 6.75%, 3/01/19

    EUR        235        318,352   

HRP Myrtle Beach Holdings LLC, 14.50%, 4/01/14 (d)(f)

    USD        6,892        1   

HRP Myrtle Beach Operations LLC (a)(d)(f):

     

12.50%, 4/01/13

      5,000        1   

12.50%, 4/01/14

      5,000        1   

Intralot Finance Luxembourg SA, 9.75%, 8/15/18

    EUR        345        471,928   

Isle of Capri Casinos, Inc.:

     

7.75%, 3/15/19

    USD        50        51,625   

5.88%, 3/15/21

      211        195,175   

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

      609        596,820   

Playa Resorts Holding BV, 8.00%, 8/15/20 (a)

      150        153,000   

PNK Finance Corp., 6.38%, 8/01/21 (a)

      375        374,062   

Sabre, Inc., 8.50%, 5/15/19 (a)

      577        621,717   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)

      412        389,340   

Station Casinos LLC, 7.50%, 3/01/21

      1,618        1,666,540   

Travelport LLC/Travelport Holdings, Inc., 6.40%, 3/01/16 (a)(b)

      877        851,047   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(f)

      530          

The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21

    GBP        200        312,264   

Vougeot Bidco PLC, 7.88%, 7/15/20

      103        164,009   
     

 

 

 
                      10,766,024   

Household Durables — 1.6%

  

 

Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18

    EUR        280        382,089   

Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a)

    USD        366        362,340   

Beazer Homes USA, Inc., 6.63%, 4/15/18

      640        674,400   

Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)

      655        669,737   

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a)

      188        185,650   

K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)

      1,505        1,587,775   

KB Home, 7.25%, 6/15/18

      635        673,100   

Libbey Glass, Inc., 6.88%, 5/15/20

      145        154,969   

RPG Byty Sro, 6.75%, 5/01/20

    EUR        160        204,063   

Spie BondCo 3 SCA, 11.00%, 8/15/19

      244        359,568   

Standard Pacific Corp., 8.38%, 1/15/21

    USD        1,685        1,887,200   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)

      431        407,295   
     

 

 

 
                      7,548,186   

Household Products — 0.4%

  

 

Ontex IV SA:

     

7.50%, 4/15/18

    EUR        100      $ 138,794   

9.00%, 4/15/19

      217        297,553   

Spectrum Brands Escrow Corp. (a):

     

6.38%, 11/15/20

    USD        175        181,125   

6.63%, 11/15/22

      200        205,000   

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

      840        924,000   
     

 

 

 
                      1,746,472   

Independent Power Producers & Energy Traders — 3.1%

  

 

Calpine Corp., 7.50%, 2/15/21 (a)

      157        166,420   

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:

     

6.88%, 8/15/17 (a)

      441        445,961   

10.00%, 12/01/20 (a)

      1,875        1,971,094   

10.00%, 12/01/20

      6,759        7,122,296   

12.25%, 3/01/22 (a)

      821        913,363   

GenOn REMA LLC:

     

Series B, 9.24%, 7/02/17

      173        177,719   

Series C, 9.68%, 7/02/26

      709        751,540   

Laredo Petroleum, Inc.:

     

9.50%, 2/15/19

      1,210        1,346,125   

7.38%, 5/01/22

      360        379,800   

NRG Energy, Inc., 7.63%, 1/15/18

      1,297        1,436,428   
     

 

 

 
                      14,710,746   

Industrial Conglomerates — 0.2%

  

 

Sequa Corp., 7.00%, 12/15/17 (a)

            735        735,000   

Insurance — 0.2%

  

 

CNO Financial Group, Inc., 6.38%, 10/01/20 (a)

      215        224,675   

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

    USD        415        427,450   

TMF Group Holding BV, 9.88%, 12/01/19

    EUR        100        138,120   
     

 

 

 
                      790,245   

IT Services — 1.9%

  

 

Ceridian Corp. (a):

     

8.88%, 7/15/19

    USD        1,885        2,120,625   

11.00%, 3/15/21

      723        835,065   

Epicor Software Corp., 8.63%, 5/01/19

      720        759,600   

First Data Corp. (a):

     

7.38%, 6/15/19

      1,335        1,385,062   

6.75%, 11/01/20

      960        981,600   

11.75%, 8/15/21

      627        586,245   

SunGard Data Systems, Inc., 6.63%, 11/01/19

      1,640        1,664,600   

WEX, Inc., 4.75%, 2/01/23 (a)

      395        359,450   
     

 

 

 
                      8,692,247   

Machinery — 0.2%

  

 

Gardner Denver, Inc., 6.88%, 8/15/21 (a)

      440        430,100   

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

      372        369,675   

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a)

      183        178,883   
     

 

 

 
                      978,658   

Media — 3.8%

  

 

AMC Networks, Inc., 7.75%, 7/15/21

      605        668,525   

Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(f)

      415        303,987   

Checkout Holding Corp., 9.91%, 11/15/15 (a)(h)

      740        597,550   

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

      950        902,500   

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      684        678,870   

Series B, 7.63%, 3/15/20

      935        937,337   

Series B, 6.50%, 11/15/22

      1,846        1,846,000   

 

See Notes to Consolidated Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Media (concluded)

  

 

DISH DBS Corp.:

     

4.25%, 4/01/18

    USD        960      $ 945,600   

5.88%, 7/15/22

      1,265        1,239,700   

DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a)

      219        225,023   

Intelsat Jackson Holdings SA:

     

7.25%, 10/15/20

      1,160        1,238,300   

5.50%, 8/01/23 (a)

      737        683,567   

Intelsat Luxembourg SA, 6.75%, 6/01/18 (a)

      655        677,925   

Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a)

      134        139,360   

The McClatchy Co., 9.00%, 12/15/22

      230        242,650   

MDC Partners, Inc., 6.75%, 4/01/20 (a)

      255        258,187   

Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a)

      175        175,438   

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

      856        927,219   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)

      308        311,850   

Nara Cable Funding Ltd., 8.88%, 12/01/18

    EUR        200        278,406   

Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18

    USD        658        715,575   

ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a)

      139        139,695   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a)

      420        415,800   

Sirius XM Radio, Inc. (a):

     

5.75%, 8/01/21

      306        299,880   

4.63%, 5/15/23

      225        198,563   

Sterling Entertainment Corp., 10.00%, 12/15/19

      850        850,000   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

     

7.50%, 3/15/19

      1,040        1,123,200   

5.50%, 1/15/23 (a)

      830        755,300   

Univision Communications, Inc., 6.75%, 9/15/22 (a)

      206        213,725   
     

 

 

 
                      17,989,732   

Metals & Mining — 2.4%

  

 

ArcelorMittal:

     

9.50%, 2/15/15

      1,345        1,476,137   

4.25%, 8/05/15

      521        536,630   

5.00%, 2/25/17

      243        248,468   

6.13%, 6/01/18

      357        367,710   

Commercial Metals Co., 4.88%, 5/15/23

      650        588,250   

Eco-Bat Finance PLC, 7.75%, 2/15/17

    EUR        305        411,165   

FMG Resources August 2006 Property Ltd. (a):

     

7.00%, 11/01/15

    USD        225        231,750   

6.38%, 2/01/16

      900        922,500   

6.00%, 4/01/17

      465        473,138   

Global Brass & Copper, Inc., 9.50%, 6/01/19 (a)

      485        528,650   

Kaiser Aluminum Corp., 8.25%, 6/01/20

      360        401,400   

New Gold, Inc., 6.25%, 11/15/22 (a)

      485        464,388   

Novelis, Inc., 8.75%, 12/15/20

      3,625        3,942,187   

Perstorp Holding AB, 8.75%, 5/15/17 (a)

      205        209,613   

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

      4,440          

Steel Dynamics, Inc., 6.38%, 8/15/22

      390        406,575   
     

 

 

 
                      11,208,561   

Multiline Retail — 0.2%

  

 

Dollar General Corp., 4.13%, 7/15/17

      241        253,076   

Dufry Finance SCA, 5.50%, 10/15/20 (a)

      443        452,104   
     

 

 

 
                      705,180   

Oil, Gas & Consumable Fuels — 5.8%

  

 

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

    USD        302      $ 252,925   

Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)

      184        185,840   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

      69        70,208   

Chaparral Energy, Inc., 7.63%, 11/15/22

      215        215,538   

Chesapeake Energy Corp.:

     

7.25%, 12/15/18

      45        50,963   

6.63%, 8/15/20

      500        536,250   

6.88%, 11/15/20

      285        308,513   

Concho Resources, Inc., 6.50%, 1/15/22

      414        438,840   

CONSOL Energy, Inc.:

     

8.00%, 4/01/17

      55        58,025   

8.25%, 4/01/20

      1,885        1,998,100   

6.38%, 3/01/21

      190        191,900   

Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18

      370        393,125   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)

      275        272,250   

Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19

      1,300        1,352,000   

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

      440        467,500   

Halcon Resources Corp., 8.88%, 5/15/21

      666        667,665   

Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a)

      734        781,710   

Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20

      150        154,500   

Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (a)

      925        1,003,028   

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

      1,040        1,138,800   

Lightstream Resources Ltd., 8.63%, 2/01/20 (a)

      266        252,700   

Linn Energy LLC/Linn Energy Finance Corp.:

     

6.25%, 11/01/19 (a)

      984        905,280   

8.63%, 4/15/20

      1,171        1,176,855   

7.75%, 2/01/21

      290        281,300   

Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21

      251        242,215   

Northern Oil & Gas, Inc., 8.00%, 6/01/20

      505        512,575   

Oasis Petroleum, Inc.:

     

7.25%, 2/01/19

      270        286,200   

6.50%, 11/01/21

      290        304,500   

Offshore Group Investment Ltd., 7.13%, 4/01/23

      473        455,262   

Pacific Drilling SA, 5.38%, 6/01/20 (a)

      431        415,915   

PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20

      144        147,240   

PDC Energy, Inc., 7.75%, 10/15/22

      335        351,750   

Petrobras Global Finance BV, 3.00%, 1/15/19

      555        510,495   

Range Resources Corp.:

     

6.75%, 8/01/20

      571        615,252   

5.75%, 6/01/21

      1,225        1,283,187   

RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)

      148        148,000   

Rosetta Resources, Inc., 5.63%, 5/01/21

      275        265,375   

Sabine Pass Liquefaction LLC (a):

     

5.63%, 2/01/21

      1,865        1,781,075   

5.63%, 4/15/23

      540        500,850   

Sabine Pass LNG LP:

     

7.50%, 11/30/16

      2,905        3,199,131   

6.50%, 11/01/20 (a)

      525        527,625   

SandRidge Energy, Inc.:

     

8.75%, 1/15/20

      68        71,060   

7.50%, 2/15/23

      773        747,877   

SESI LLC, 6.38%, 5/01/19

      336        353,640   

SM Energy Co.:

     

6.63%, 2/15/19

      42        43,890   

6.50%, 11/15/21

      425        446,250   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    49


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Corporate Bonds  

Par  
(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

  

 

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)

    USD        458      $ 464,870   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)

      125        124,688   
     

 

 

 
                      26,952,737   

Paper & Forest Products — 0.2%

  

 

Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)

      527        555,985   

NewPage Corp., 11.38%, 12/31/14 (d)(f)

      2,103          

Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a)

      200        209,000   
     

 

 

 
                      764,985   

Pharmaceuticals — 0.4%

  

 

Valeant Pharmaceuticals International (a):

     

6.38%, 10/15/20

      435        442,069   

7.25%, 7/15/22

      660        699,600   

VPII Escrow Corp., 6.75%, 8/15/18 (a)

      643        680,776   
     

 

 

 
                      1,822,445   

Professional Services — 0.1%

  

 

Truven Health Analytics, Inc., 10.63%, 6/01/20

            380        403,750   

Real Estate Investment Trusts (REITs) — 0.4%

  

 

Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a)

      455        465,238   

Felcor Lodging LP:

     

6.75%, 6/01/19

      929        973,127   

5.63%, 3/01/23

      206        191,580   

iStar Financial, Inc., 4.88%, 7/01/18

      324        314,280   
     

 

 

 
                      1,944,225   

Real Estate Management & Development — 1.2%

  

 

Realogy Corp. (a):

     

7.88%, 2/15/19

      1,760        1,914,000   

7.63%, 1/15/20

      1,190        1,332,800   

9.00%, 1/15/20

      310        358,050   

Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)

      546        541,905   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

      1,495        1,640,762   
     

 

 

 
                      5,787,517   

Road & Rail — 0.8%

  

 

The Hertz Corp.:

     

7.50%, 10/15/18

      1,490        1,609,200   

6.75%, 4/15/19

      285        303,881   

5.88%, 10/15/20

      305        313,007   

7.38%, 1/15/21

      1,385        1,495,800   

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a)

      230        227,125   
     

 

 

 
                      3,949,013   

Semiconductors & Semiconductor Equipment — 0.3%

  

 

NXP BV/NXP Funding LLC (a):

     

3.75%, 6/01/18

      685        661,881   

5.75%, 2/15/21

      545        545,000   
     

 

 

 
                      1,206,881   

Software — 0.9%

  

 

Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(e)

      216        219,240   

Infor US, Inc., 9.38%, 4/01/19

      2,420        2,692,250   

Nuance Communications, Inc., 5.38%, 8/15/20 (a)

      1,305        1,243,013   
     

 

 

 
                      4,154,503   

Specialty Retail — 0.8%

  

 

Claire’s Stores, Inc. (a):

     

9.00%, 3/15/19

    USD        944      $ 1,051,380   

7.75%, 6/01/20

      158        157,210   

Magnolia BC SA, 9.00%, 8/01/20

    EUR        120        160,596   

Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(e)

    USD        450        450,000   

Michaels Stores, Inc., 7.75%, 11/01/18

      223        240,004   

New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(e)

      155        159,263   

Party City Holdings, Inc., 8.88%, 8/01/20 (a)

      422        452,067   

PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(e)

      184        181,930   

Sally Holdings LLC/Sally Capital, Inc., 6.88%, 11/15/19

      650        708,500   

Sonic Automotive, Inc., 5.00%, 5/15/23

      96        88,800   
     

 

 

 
                      3,649,750   

Textiles, Apparel & Luxury Goods — 0.1%

  

 

Levi Strauss & Co., 6.88%, 5/01/22

      265        281,563   

The William Carter Co., 5.25%, 8/15/21 (a)

      249        250,245   
     

 

 

 
                      531,808   

Trading Companies & Distributors — 0.3%

  

 

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, Series 2012-1 (a):

     

Class A, 5.13%, 11/30/24

      955        940,805   

Class B, 6.50%, 5/30/21

      335        337,307   
     

 

 

 
                      1,278,112   

Transportation Infrastructure — 0.1%

  

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

            603        631,643   

Wireless Telecommunication Services — 2.7%

  

 

Digicel Group Ltd., 8.25%, 9/30/20 (a)

      995        1,054,700   

Digicel Ltd., 6.00%, 4/15/21 (a)

      816        787,440   

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

      461        478,288   

Softbank Corp., 4.50%, 4/15/20 (a)

      1,260        1,191,254   

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

      1,342        1,211,155   

Sprint Communications, Inc. (a):

     

9.00%, 11/15/18

      4,260        4,973,550   

7.00%, 3/01/20

      2,111        2,269,325   

T-Mobile USA, Inc., 5.25%, 9/01/18 (a)

      600        606,000   

Wind Acquisition Finance SA, 6.50%, 4/30/20 (a)

      202        202,000   
     

 

 

 
                      12,773,712   
Total Corporate Bonds — 58.5%                     273,703,794   
     
                         
Floating Rate Loan Interests (b)                        

Aerospace & Defense — 0.9%

     

DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20

      928        933,760   

Transdigm, Inc., Term Loan C, 3.75%, 2/28/20

      473        471,968   

TransUnion LLC, Term Loan, 4.25%, 2/10/19

      2,748        2,763,596   
     

 

 

 
                      4,169,324   

Airlines — 0.8%

  

 

Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18

      1,843        1,846,485   

Northwest Airlines, Inc., Term Loan:

     

2.30%, 3/10/17

      216        199,919   

2.30%, 3/10/17

      216        199,919   

1.68%, 9/10/18

      181        159,825   

1.68%, 9/10/18

      182        161,448   

1.68%, 9/10/18

      182        160,637   

US Airways Group, Inc., Term Loan B1, 4.25%, 5/23/19

      850        837,785   
     

 

 

 
                      3,566,018   

 

See Notes to Consolidated Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)

 

Par  
(000)

    Value  

Auto Components — 2.7%

  

 

Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20

    USD        660      $ 660,000   

Autoparts Holdings Ltd.:

     

1st Term Loan, 6.50%, 7/28/17

      1,350        1,296,265   

2nd Lien Term Loan, 10.50%, 1/29/18

      1,800        1,733,994   

Federal-Mogul Corp.:

     

Term Loan B, 2.12% — 2.13%, 12/29/14

      2,857        2,782,113   

Term Loan C, 2.12% — 2.13%, 12/28/15

      2,289        2,229,122   

FleetPride Corp., 1st Lien Term Loan, 5.25%, 11/19/19

      647        624,114   

The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19

      2,170        2,181,219   

Schaeffler AG, Term Loan C, 4.25%, 1/27/17

      225        225,349   

Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18

      903        907,691   
     

 

 

 
                      12,639,867   

Biotechnology — 0.2%

  

 

Grifols, Inc., Term Loan B, 4.25%, 6/01/17

            1,018        1,023,812   

Building Products — 0.9%

  

 

Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20

      474        472,154   

Continental Building Products LLC, 1st Lien Term Loan, 4.50%, 8/14/20

      665        663,889   

CPG International, Inc., Term Loan, 5.75%, 9/18/19

      1,434        1,444,919   

Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19

      1,423        1,410,699   
     

 

 

 
                      3,991,661   

Capital Markets — 0.9%

  

 

American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16

      1,544        1,548,891   

HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17

      586        588,741   

KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17

      795        791,526   

Nuveen Investments, Inc.:

     

2nd Lien Term Loan, 6.50%, 2/28/19

      1,021        1,015,047   

Term Loan, 4.18%, 5/15/17

      313        311,049   
     

 

 

 
                      4,255,254   

Chemicals — 2.6%

  

 

Allnex (Luxembourg) & Cy SCA, 2nd Lien Term Loan, 8.25%, 4/03/20

      450        461,250   

American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17

      379        377,969   

Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16

      984        989,224   

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

      797        801,164   

General Chemical Corp., Term Loan,
5.00% — 5.75%, 10/06/15

      590        591,921   

INEOS US Finance LLC, 6 Year Term Loan, 4.00%, 5/04/18

      728        721,402   

MacDermid, Inc.:

     

1st Lien Term Loan, 4.00%, 6/08/20

      645        645,406   

2nd Lien Term Loan, 7.75%, 12/07/20

      195        196,950   

Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17

      1,678        1,662,143   

OXEA Finance LLC:

     

2nd Lien Term Loan, 8.25%, 7/15/20

      695        693,047   

Term Loan B2, 4.25%, 1/15/20

      985        983,355   

Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.00%, 7/31/18

      580        585,800   

Chemicals (concluded)

  

 

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/15/20

    USD        485      $ 484,394   

Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20

      1,018        1,027,727   

Univar, Inc., Term Loan B, 5.00%, 6/30/17

      547        532,556   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, Term Loan, 4.75%, 2/03/20

      1,621        1,631,474   
     

 

 

 
                      12,385,782   

Commercial Services & Supplies — 2.4%

  

 

ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19

      1,750        1,751,311   

AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18

      418        419,800   

AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16

      722        722,425   

Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17

      415        416,299   

Garda World Security Corp., Term Loan B, 4.50%, 11/13/19

      581        584,967   

Interactive Data Corp., Term Loan B, 3.75%, 2/11/18

      1,683        1,678,439   

KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17

      1,028        1,030,333   

Learning Care Group (US) No. 2, Inc., Term Loan B, 6.00%, 5/08/19

      385        383,718   

Livingston International, Inc.:

     

1st Lien Term Loan, 5.00%, 4/16/19

      570        567,150   

2nd Lien Term Loan, 9.00%, 4/16/20

      260        261,084   

Protection One, Inc., Term Loan, 4.25%, 3/21/19

      948        955,115   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

      1,325        1,326,245   

West Corp., Term Loan B8, 3.75%, 6/29/18

      1,249        1,249,263   
     

 

 

 
                      11,346,149   

Communications Equipment — 2.8%

  

 

Alcatel-Lucent USA, Inc.:

     

Term Loan C, 5.75%, 1/30/19

      2,706        2,717,415   

Term Loan D, 6.25%, 1/30/19

    EUR        871        1,153,251   

Avaya, Inc.:

     

Extended Term Loan B3, 4.76%, 10/26/17

    USD        2,244        1,994,024   

Term Loan B5, 8.00%, 3/30/18

      377        356,098   

CommScope, Inc., Term Loan, 3.75%, 1/12/18

      1,466        1,473,581   

Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19

      653        657,500   

Telesat Canada, Term Loan A, 4.38%, 3/24/17

    CAD        2,564        2,428,405   

Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19

    USD        2,373        2,379,645   
     

 

 

 
                      13,159,919   

Construction & Engineering — 0.7%

  

 

BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20

      1,177        1,172,181   

Centaur LLC:

     

1st Lien Term Loan, 5.25%, 2/15/19

      1,037        1,043,448   

2nd Lien Term Loan, 8.75%, 2/15/20

      510        513,825   

United States Infrastructure Corp., 1st Lien Term Loan, 4.75%, 7/31/20

      480        480,240   
     

 

 

 
                      3,209,694   

Construction Materials — 0.8%

  

 

HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17

            3,915        3,923,513   

Consumer Finance — 0.2%

  

 

Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17

            785        784,604   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    51


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)

 

Par  
(000)

    Value  

Containers & Packaging — 0.9%

  

 

Pact Group Pty Ltd., Term Loan B, 3.75%, 5/29/20

    USD        1,720      $ 1,700,650   

Polarpak, Inc., 1st Lien Canadian Borrower, 4.50%, 6/05/20

      323        323,998   

Sealed Air Corp., Term Loan, 4.00%, 10/03/18

      678        683,152   

Tekni-Plex, Inc., Term Loan B,
5.50% — 6.50%, 8/25/19

      1,435        1,427,825   

WNA Holdings Inc., 1st Lien US Borrower, 4.50%, 6/05/20

      176        175,999   
     

 

 

 
                      4,311,624   

Distributors — 0.7%

  

 

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

      2,165        2,150,928   

Crossmark Holdings, Inc., Term Loan, 4.50%, 12/20/19

      423        420,498   

VWR Funding, Inc., Extended Add-on Term Loan, 4.18%, 4/03/17

      498        497,500   
     

 

 

 
                      3,068,926   

Diversified Consumer Services — 1.3%

  

 

Bright Horizons Family Solutions, Inc., Term Loan B, 4.00% — 5.25%, 1/30/20

      1,025        1,025,362   

Doncaster US Finance LLC, Term Loan, 5.50%, 4/09/20

      397        399,976   

Education Management LLC, Term Loan C3, 8.25%, 3/29/18

      195        185,820   

Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18

      1,134        1,130,104   

ROC Finance LLC, Term Loan, 5.00%, 5/15/19

      450        450,563   

ServiceMaster Co., Term Loan, 4.25%, 1/31/17

      1,432        1,388,421   

Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20

      1,322        1,298,769   
     

 

 

 
                      5,879,015   

Diversified Financial Services — 1.2%

  

 

ION Trading Technologies Sarl:

     

1st Lien Term Loan, 4.50%, 5/22/20

      730        729,547   

2nd Lien Term Loan, 8.25%, 5/21/21

      305        304,811   

Kasima LLC, Term Loan B, 3.25%, 5/17/21

      815        813,476   

Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18

      2,187        2,199,931   

RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18

      318        319,291   

WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20

      1,455        1,450,751   
     

 

 

 
                      5,817,807   

Diversified Telecommunication Services — 2.7%

  

 

Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18

      1,557        1,571,579   

Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19

      2,006        2,008,013   

Integra Telecom, Inc.:

     

1st Lien Term Loan, 5.25%, 2/22/19

      838        845,232   

2nd Lien Term Loan, 9.75%, 2/21/20

      420        431,025   

Level 3 Financing, Inc.:

     

2016 Term Loan, 4.00%, 1/15/20

      1,060        1,059,120   

Term Loan, 4.75%, 8/01/19

      3,380        3,376,451   

Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19

      830        833,635   

US Telepacific Corp., Term Loan B, 5.75%, 2/23/17

      2,392        2,384,193   
     

 

 

 
                      12,509,248   

Electronic Equipment, Instruments & Components — 0.2%

  

 

CDW LLC, Term Loan, 3.50%, 4/29/20

            948        936,566   

Energy Equipment & Services — 0.5%

  

 

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

    USD        800      $ 794,664   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

      660        660,435   

Tervita Corp., Term Loan, 6.25%, 5/15/18

      521        515,762   

Unifrax Corp., Term Loan, 4.25%, 11/28/18

      398        398,597   
     

 

 

 
                      2,369,458   

Food & Staples Retailing — 1.4%

  

 

Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15

    GBP        3,000        4,594,242   

Rite Aid Corp.:

     

2nd Lien Term Loan, 5.75%, 8/21/20

    USD        430        440,617   

Term Loan 6, 4.00%, 2/21/20

      404        404,492   

Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19

      937        939,156   

US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19

      350        350,290   
     

 

 

 
                      6,728,797   

Food Products — 2.1%

  

 

AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17

      965        973,296   

CTI Foods Holding Co, LLC, 1st Lien Term Loan, 4.50%, 6/29/20

      475        470,250   

Del Monte Foods Co., Term Loan, 4.00%, 3/08/18

      1,018        1,017,628   

Dole Food Co., Inc., Term Loan,
3.75% — 5.00%, 4/01/20

      1,257        1,254,600   

GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20

      405        405,170   

Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19

      1,485        1,466,438   

Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20

      1,297        1,282,706   

Reddy Ice Group, Inc.:

     

1st Lien Term Loan,
6.75% — 7.75%, 3/28/19

      1,980        1,975,087   

2nd Lien Term Loan, 10.75%, 11/01/19

      995        980,075   
     

 

 

 
                      9,825,250   

Health Care Equipment & Supplies — 2.9%

  

 

Arysta LifeScience Corp.:

     

1st Lien Term Loan, 4.50%, 5/29/20

      1,630        1,628,647   

2nd Lien Term Loan, 8.25%, 11/30/20

      700        697,669   

Biomet, Inc., Extended Term Loan B,
3.93% — 4.02%, 7/25/17

      769        770,229   

Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19

      1,249        1,244,550   

DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17

      2,603        2,617,020   

Faenza Acquisition Gmbh, Term Loan B, 4.25%, 8/14/20

      695        695,292   

Hologic Inc., Term Loan B, 3.75%, 8/01/19

      1,697        1,701,403   

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

      1,494        1,499,153   

Kinetic Concepts, Inc., Term Loan D1, 4.50%, 5/04/18

      260        260,325   

LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18

      747        739,976   

Onex Carestream Finance LP:

     

1st Lien Term Loan, 5.00%, 6/07/19

      760        765,700   

2nd Lien Term Loan, 9.50%, 6/07/19

      890        882,212   
     

 

 

 
                      13,502,176   

Health Care Providers & Services — 2.8%

  

 

American Renal Holdings, Inc.:

     

1st Lien Term Loan, 4.50%, 9/20/19

      1,072        1,062,930   

2nd Lien Term Loan, 8.50%, 2/14/20

      850        839,375   

 

See Notes to Consolidated Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)

 

Par  
(000)

    Value  

Health Care Providers & Services (concluded)

  

 

Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18

    USD        507      $ 506,181   

CHG Buyer Corp., 1st Lien Term Loan, 5.00%, 11/19/19

      705        709,344   

ConvaTec, Inc., Term Loan, 5.00%, 12/22/16

      1,712        1,718,738   

DaVita, Inc.:

     

Term Loan B, 4.50%, 10/20/16

      1,950        1,962,168   

Term Loan B2, 4.00%, 11/01/19

      1,109        1,113,386   

Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18

      554        555,168   

Genesis HealthCare Corp., Term Loan B,
10.00% — 10.75%, 9/25/17

      964        990,077   

Ikaria Acquisition, Inc.:

     

1st Lien Term Loan, 7.25%, 7/03/18

      515        515,968   

2nd Lien Term Loan, 11.00%, 7/03/19

      330        330,000   

inVentiv Health, Inc.:

     

Combined Term Loan, 7.50%, 8/04/16

      621        605,279   

Incremental Term Loan B3, 7.75%, 5/15/18

      545        534,583   

Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18

      785        785,000   

US Renal Care, Inc., Incremental 1st Lien Term Loan, 5.25%, 7/03/19

      1,045        1,044,461   
     

 

 

 
                      13,272,658   

Health Care Technology — 0.7%

  

 

IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17

      2,624        2,625,469   

MedAssets, Inc., Term Loan B, 4.00%, 12/13/19

      418        418,531   
     

 

 

 
                      3,044,000   

Hotels, Restaurants & Leisure — 4.6%

  

 

Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20

      1,330        1,327,513   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20

      1,350        1,346,625   

Caesars Entertainment Operating Co., Inc., Extended Term Loan B6, 5.43%, 1/26/18

      235        211,044   

Drumm Investors LLC, Term Loan, 5.00%, 5/04/18

      1,006        958,995   

Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20

      590        598,850   

Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14

      6,077        5,781,885   

MGM Resorts International, Term Loan B, 3.50%, 12/20/19

      1,084        1,079,687   

OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19

      655        653,363   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

      945        947,353   

Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19

      735        737,146   

Sabre, Inc., Term Loan B, 5.25%, 2/19/19

      582        587,273   

Six Flags Theme Parks, Inc., Term Loan B,
4.00% — 5.25%, 12/20/18

      387        390,421   

Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20

      2,988        3,007,439   

Travelport LLC:

     

2nd Lien Term Loan 1, 9.50%, 1/29/16

      1,040        1,076,627   

Refinancing Term Loan, 6.25%, 6/26/19

      1,145        1,155,877   

Twin River Worldwide Holdings, Inc., Term Loan B, 5.25%, 11/09/18

      1,032        1,039,536   

Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19

      751        748,242   
     

 

 

 
                      21,647,876   

Household Products — 0.8%

  

 

Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19

    USD        1,024      $ 1,030,037   

Spectrum Brands, Inc.:

     

Term Loan, 4.50% — 5.50%, 12/17/19

      1,485        1,493,480   

Term Loan A, 3.00%, 9/07/17

      855        854,136   

Term Loan C, 3.50%, 9/04/19

      170        169,963   

Waddington North America Holdings, Inc., 2nd Lien Term Loan, 8.50%, 12/07/20

      345        346,725   
     

 

 

 
                      3,894,341   

Independent Power Producers & Energy Traders — 1.1%

  

 

The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18

      1,376        1,382,531   

Calpine Construction Finance Co. LP, Term Loan B1, 3.00%, 5/04/20

      275        271,414   

Calpine Corp., Term Loan B1, 4.00%, 4/02/18

      752        753,605   

La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20

      1,985        1,986,251   

Star West Generation LLC, Term Loan B, 4.25%, 3/13/20

      743        748,711   
     

 

 

 
                      5,142,512   

Industrial Conglomerates — 0.4%

  

 

Sequa Corp., Term Loan B, 5.25%, 6/19/17

            1,888        1,894,397   

Insurance — 1.2%

  

 

Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19

      756        758,567   

Asurion LLC, Term Loan B1, 4.50%, 5/24/19

      1,085        1,070,538   

CNO Financial Group, Inc.:

     

Term Loan B1, 3.00%, 9/28/16

      629        630,126   

Term Loan B2, 3.75%, 9/20/18

      927        928,589   

Cooper Gay Swett & Crawford Ltd.:

     

1st Lien Term Loan, 5.00%, 4/16/20

      770        773,850   

2nd Lien Term Loan, 8.25%, 10/16/20

      360        364,500   

Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19

      657        648,491   

National Financial Partners Corp., Term Loan, 5.25%, 7/01/20

      315        316,773   
     

 

 

 
                      5,491,434   

Internet Software & Services — 0.2%

  

 

Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17

            701        702,878   

IT Services — 2.6%

  

 

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

      383        381,639   

Ceridian Corp., Term Loan B, 4.43%, 5/09/17

      1,694        1,692,452   

First Data Corp.:

     

2018 Term Loan, 4.18%, 9/24/18

      1,840        1,817,000   

Extended 2018 Term Loan B,
4.18%, 3/23/18

      5,793        5,731,924   

Genpact International, Inc., Term Loan B, 3.50%, 8/30/19

      486        486,532   

InfoGroup, Inc., Term Loan, 8.00%, 5/25/18

      606        544,069   

Moneygram International, Inc., Term Loan B, 4.25%, 3/27/20

      608        609,996   

SunGard Data Systems, Inc.:

     

Term Loan D, 4.50%, 1/31/20

      478        481,473   

Term Loan E, 4.00%, 3/09/20

      309        311,062   
     

 

 

 
                      12,056,147   

Leisure Equipment & Products — 0.1%

  

 

FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19

            539        540,541   

Life Sciences Tools & Services — 0.1%

  

 

Patheon, Inc., Term Loan, 7.25%, 12/06/18

            496        499,972   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    53


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)

 

Par  
(000)

    Value  

Machinery — 2.3%

  

 

Alliance Laundry Systems LLC:

     

2nd Lien Term Loan, 9.50%, 12/10/19

    USD        442      $ 444,580   

Refinancing Term Loan, 4.25%, 12/07/18

      393        393,583   

Gardner Denver, Inc.:

     

Term Loan, 4.25%, 7/30/20

      1,365        1,357,137   

Term Loan, 4.75%, 7/30/20

    EUR        508        669,452   

Generac Power Systems, Inc., Term Loan B, 3.50%, 5/29/20

    USD        1,445        1,436,417   

Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18

      794        794,992   

Mirror Bidco Corp., Term Loan, 5.25%, 12/27/19

      1,015        1,019,974   

Navistar International Corp., Term Loan B, 5.75%, 8/17/17

      1,176        1,191,888   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20

      854        844,369   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

      702        695,707   

Terex Corp., Refinancing Term Loan B, 5.00%, 4/28/17

    EUR        125        166,208   

Wabash National Corp., Term Loan B, 4.50%, 5/02/19

    USD        1,791        1,795,872   
     

 

 

 
                      10,810,179   

Marine — 0.2%

  

 

HGIM Corp., Term Loan B, 5.50%, 6/18/20

            800        802,000   

Media — 6.5%

  

 

Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20

      470        468,825   

Capsugel Holdings US, Inc., Term Loan B, 4.25%, 8/01/18

      1,051        1,058,560   

Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 6.00%, 7/03/14

      1,234        871,400   

Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20

      1,330        1,315,596   

Clear Channel Communications, Inc.:

     

Term Loan B, 3.83%, 1/29/16

      256        238,797   

Term Loan C, 3.83%, 1/29/16

      149        136,534   

Term Loan D, 6.93%, 1/30/19

      3,252        2,982,595   

Cumulus Media Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/17/18

      1,417        1,423,397   

EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18

      888        891,182   

Fender Musical Instrument Corp., 2019 Term Loan B, 5.75%, 4/03/19

      195        195,160   

Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17

      1,236        1,239,509   

Getty Images, Inc., Term Loan B, 4.75%, 10/18/19

      616        592,837   

Gray Television, Inc., Term Loan B, 4.75%, 10/15/19

      832        837,530   

Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20

      905        905,000   

Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 5.50%, 6/01/18

      1,506        1,505,937   

Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19

      887        889,711   

Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18

      2,580        2,597,140   

Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/01/19

      380        379,384   

Lavena Holding 3 GmbH:

     

Term Loan E2, 4.09%, 3/06/17

    EUR        298        388,883   

Term Loan E3, 4.09%, 3/06/17

      597        777,765   

Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20

    USD        400        400,332   

Live Nation Entertainment, Inc., 2020 Term Loan B, 3.50%, 8/16/20

      410        410,640   

Media (concluded)

  

 

NEP Supershooters LP:

     

2nd Lien Term Loan, 9.50%, 8/18/20

    USD        246      $ 250,783   

Term Loan, 4.75%, 1/22/20

      1,194        1,196,388   

Nielsen Finance LLC, Term Loan E, 2.94%, 5/02/16

      342        342,847   

Rentpath, Inc., Term Loan B, 6.25%, 5/29/20

      990        970,616   

Salem Communications Corp., Term Loan B, 4.50%, 3/16/20

      735        738,433   

Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20

      389        388,052   

Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 7/31/20

      1,395        1,381,929   

TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20

      845        866,125   

Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20

      1,959        1,953,031   

UPC Financing Partnership:

     

Term Loan AG, 3.88%, 3/26/21

    EUR        396        523,092   

Term Loan AH, 3.25%, 6/30/21

    USD        255        253,771   

WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18

      497        497,634   

WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19

      648        652,295   
     

 

 

 
                      30,521,710   

Metals & Mining — 2.4%

     

Ameriforge Group, Inc.:

     

1st Lien Term Loan, 5.00%, 12/19/19

      677        676,181   

2nd Lien Term Loan, 8.75%, 12/18/20

      335        337,931   

API Heat Transfer Inc., Term Loan, 5.25%, 5/03/19

      695        686,313   

Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20

      1,501        1,535,015   

FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17

      2,320        2,327,804   

Murray Energy Corp., Term Loan B, 4.75%, 5/24/19

      370        369,260   

Novelis, Inc., Term Loan, 3.75%, 3/10/17

      2,175        2,172,281   

SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18

      485        481,704   

Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18

      1,579        1,504,450   

Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17

      1,126        1,152,396   
     

 

 

 
                      11,243,335   

Multiline Retail — 2.0%

     

99¢ Only Stores, Term Loan,
5.25% — 6.25%, 1/11/19

      1,295        1,303,129   

Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20

      873        874,837   

BJ’s Wholesale Club, Inc.:

     

2nd Lien Term Loan, 9.75%, 3/26/20

      510        519,884   

Replacement Term Loan, 4.25%, 9/26/19

      734        734,371   

HEMA Holding BV:

     

Extended 2nd Lien Term Loan, 5.88%, 1/05/18

    EUR        2,900        3,602,818   

Extended Term Loan B, 4.50%, 12/06/17

      346        455,954   

Extended Term Loan C, 4.50%, 12/06/17

      317        417,562   

JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/21/18

    USD        595        579,875   

The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18

      1,064        1,063,554   
     

 

 

 
                      9,551,984   

Oil, Gas & Consumable Fuels — 3.4%

     

Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17

      1,920        1,955,194   

 

See Notes to Consolidated Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)

 

Par  
(000)

    Value  

Oil, Gas & Consumable Fuels (concluded)

     

Drillships Financing Holding Inc., Term Loan B2, 5.50%, 7/15/16

    USD        1,510      $ 1,521,325   

EP Energy LLC, Term Loan B3, 3.50%, 5/24/18

      793        789,700   

GIM Channelview Cogeneration LLC, Term Loan B, 4.25%, 5/08/20

      485        485,810   

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

      1,311        1,310,895   

Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18

      1,015        1,018,806   

Panda Temple II Power LCC, Term Loan B, 7.25%, 4/03/19

      650        658,125   

Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18

      682        655,032   

Power Team Services LLC:

     

1st Lien Term Loan, 4.25%, 5/06/20

      360        355,950   

2nd Lien Term Loan, 8.25%, 11/06/20

      200        196,000   

Quicksilver Resources, Inc., 2nd Lien Term Loan, 7.00%, 6/21/19

      400        380,000   

Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20

      525        522,857   

Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18

      525        527,300   

State Class Tankers II LLC, Term Loan B, 6.75%, 6/22/20

      1,090        1,095,450   

Tesoro Corp., Term Loan B, 2.51%, 1/29/16

      983        983,353   

Total Safety US, Inc.:

     

1st Lien Term Loan, 5.75%, 3/13/20

      743        747,782   

2nd Lien Term Loan, 9.25%, 9/11/20

      289        294,337   

Vantage Drilling Co.:

     

Term Loan, 6.25%, 10/26/17

      1,717        1,729,271   

Term Loan B, 5.75%, 3/22/19

      688        693,437   
     

 

 

 
                      15,920,624   

Paper & Forest Products — 0.2%

     

NewPage Corp., Exit Term Loan, 7.75%, 12/21/18

            848        859,791   

Pharmaceuticals — 2.3%

     

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

      1,755        1,758,299   

Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19

      3,047        3,030,834   

Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18

      2,025        2,022,813   

Quintiles Transnational Corp., Term Loan B, 4.00%, 6/08/18

      756        758,313   

Valeant Pharmaceuticals International, Inc.:

     

Series C1 Term Loan B, 4.38%, 12/11/19

      584        585,268   

Series D1 Term Loan B, 4.38%, 2/13/19

      1,117        1,120,165   

Term Loan E, 4.50%, 8/05/20

      652        656,919   

Warner Chilcott Corp.:

     

Incremental Term Loan B1, 4.25%, 3/15/18

      275        274,908   

Term Loan B1, 4.25%, 3/15/18

      631        631,501   
     

 

 

 
                      10,839,020   

Professional Services — 1.1%

     

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

      2,334        2,338,498   

ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20

      449        446,925   

SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19

      768        766,155   

TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20

      585        579,150   

Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19

      1,049        1,052,484   
     

 

 

 
                      5,183,212   

Real Estate Investment Trusts (REITs) — 0.5%

     

iStar Financial, Inc., Term Loan, 4.50%, 10/16/17

    USD        2,303      $ 2,302,748   

Real Estate Management & Development — 0.7%

  

 

Realogy Corp.:

     

Extended Letter of Credit, 4.45%, 10/10/16

      347        348,540   

Extended Term Loan, 4.50%, 3/05/20

      2,873        2,888,601   
     

 

 

 
                      3,237,141   

Road & Rail — 0.2%

     

Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18

      804        808,192   

Semiconductors & Semiconductor Equipment — 0.5%

  

       

Freescale Semiconductor, Inc.:

     

Term Loan B3, 4.25%, 12/01/16

      284        286,420   

Term Loan B4, 5.00%, 2/28/20

      1,536        1,541,081   

NXP BV, Term Loan C, 4.75%, 1/11/20

      687        695,777   
     

 

 

 
                      2,523,278   

Software — 2.8%

     

Blackboard, Inc., Term Loan B2, 6.25%, 10/04/18

      271        271,841   

BMC Software, Inc., Term Loan, 5.00%, 8/07/20

      1,010        1,007,899   

CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20

      315        311,850   

Evertec, Inc., Term Loan B, 3.50%, 4/15/20

      450        446,850   

GCA Services Group, Inc.:

     

2nd Lien Term Loan, 9.25%, 10/22/20

      780        791,700   

Term Loan B, 5.25%, 11/01/19

      786        787,337   

Infor US, Inc., Term Loan B2, 5.25%, 4/05/18

      2,111        2,121,709   

Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20

      1,245        1,287,019   

RP Crown Parent LLC, 1st Lien Term Loan, 6.75%, 12/21/18

      866        873,225   

Sophia LP, Term Loan B, 4.50%, 7/19/18

      1,157        1,160,749   

SS&C Technologies, Inc.:

     

Term Loan B1, 3.50%, 6/07/19

      1,272        1,270,083   

Term Loan B2, 3.50%, 6/07/19

      132        131,388   

StoneRiver Holdings, Inc.:

     

1st Lien Term Loan, 4.50%, 11/20/19

      1,160        1,154,200   

2nd Lien Term Loan, 8.50%, 11/20/20

      410        413,321   

Websence, Inc.:

     

2nd Lien Term Loan, 8.25%, 11/24/20

      605        602,731   

Term Loan B, 4.50%, 6/25/20

      400        399,500   
     

 

 

 
                      13,031,402   

Specialty Retail — 4.2%

     

Academy Ltd., Term Loan, 4.50%, 8/03/18

      2,060        2,067,619   

Atlantic Aviation FBO, Inc., Term Loan B, 3.25%, 6/01/20

      490        485,712   

Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19

      1,085        1,085,341   

Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17

      479        482,577   

David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19

      1,627        1,635,350   

Equinox Holdings, Inc., Repriced Term Loan B, 4.50% — 5.50%, 1/31/20

      803        805,999   

The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18

      128        123,039   

Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/16/19

      1,279        1,290,435   

Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18

      766        765,436   

Leslie’s Poolmart, Inc., Term Loan B, 5.25%, 10/16/19

      1,259        1,267,090   

Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20

      1,387        1,390,421   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    55


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (b)

 

Par  
(000)

    Value  

Specialty Retail (concluded)

     

Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19

    USD        2,706      $ 2,698,374   

Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17

      1,779        1,784,895   

Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20

      370        370,593   

SRAM LLC, Term Loan B, 4.00% — 5.25%, 4/10/20

      414        410,729   

The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19

      866        871,452   

Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18

      1,470        1,462,500   

Toys ‘R’ Us-Delaware, Inc.:

     

Incremental Term Loan B2, 5.25%, 5/25/18

      655        632,323   

Term Loan B3, 5.25%, 5/25/18

      94        90,414   
     

 

 

 
                      19,720,299   

Textiles, Apparel & Luxury Goods — 0.8%

     

Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18

      1,640        1,570,115   

PVH Corp., Term Loan B, 3.25%, 2/13/20

      954        956,607   

True Religion Apparel, Inc., 1st Lien Term Loan, 5.88%, 7/30/19

      275        259,361   

Wolverine Worldwide, Inc., Term Loan B,
4.00% — 5.25%, 7/31/19

      787        791,014   
     

 

 

 
                      3,577,097   

Thrifts & Mortgage Finance — 0.3%

     

Insight Global Holdings, Inc., 1st Lien Term Loan, 6.00%, 10/31/19

      806        814,009   

Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18

      683        689,779   
     

 

 

 
                      1,503,788   

Trading Companies & Distributors — 0.2%

     

WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19

            888        891,700   

Wireless Telecommunication Services — 0.4%

  

 

Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19

      626        627,465   

Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 4/13/20

      1,130        1,135,650   

Time Warner Telecom Holdings Inc., Term Loan B, 2.69%, 4/17/20

      205        204,897   
     

 

 

 
                      1,968,012   
Total Floating Rate Loan Interests — 75.4%                     352,886,732   
Other Interests (k)           Beneficial
Interest  
(000)   
    Value  

Auto Components — 0.0%

     

Intermet Liquidating Trust, Class A (d)

    USD        833      $ 8   

Chemicals — 0.0%

     

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

            10,000        100   

Diversified Financial Services — 0.1%

     

J.G.Wentworth LLC Preferred Equity Interests (d)

            1        484,905   

Hotels, Restaurants & Leisure — 0.0%

     

Buffets, Inc. (d)

            1,440        15   

Household Durables — 0.6%

     

Stanley Martin, Class B Membership Units

            2        2,713,500   

Media — 0.0%

     

Adelphia Escrow (d)

      7,500        75   

Adelphia Preferred Escrow (d)

      5          

Adelphia Recovery Trust (d)

      9,406        94,060   

Adelphia Recovery Trust,
Series ACC-6B INT (d)

      500        15,000   
     

 

 

 
                      109,135   
Total Other Interests — 0.7%                     3,307,663   
     
                         
Warrants (l)           Shares          

Chemicals — 0.1%

     

GEO Specialty Chemicals, Inc., (Expires 3/31/15)

            385,026        304,172   

Health Care Providers & Services — 0.0%

     

HealthSouth Corp., (Expires 1/16/14)

            126,761        1   

Media — 0.2%

     

Charter Communications, Inc., (Issued/exercisable 11/30/09, 1 Share for 1 Warrant, Expires 11/30/14, Strike Price $51.28)

            12,661        905,260   

Software — 0.0%

     

HMH Holdings/EduMedia, (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

            2,067          
Total Warrants — 0.3%                     1,209,433   
Total Long-Term Investments
(Cost — $693,523,454) — 140.3%
                    656,273,622   
     
                         
Short-Term Securities           Beneficial
Interest  
(000)   
         

Bank of New York Cash Reserves, 0.00% (m) USD

            3,353        3,352,859   
Total Short-Term Securities
(Cost — $3,352,859) — 0.7%
                    3,352,859   

Total Investments (Cost — $696,876,313) — 141.0%

  

    659,626,481   

Liabilities in Excess of Other Assets — (41.0)%

        (191,676,324
     

 

 

 
Net Assets — 100.0%       $ 467,950,157   
     

 

 

 

 

Notes to Consolidated Schedule of Investments
(a)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(b)   Variable rate security. Rate shown is as of report date.

 

See Notes to Consolidated Financial Statements.

 

                
56    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

 

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

 

Counterparty      Value        Unrealized
Appreciation
(Depreciation)
 

J.P. Morgan Securities LLC

     $ 2,937,400             

Bank of America N.A.

     $ 290,360             

 

(d)   Non-income producing security.

 

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

 

(f)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(g)   Convertible security.

 

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

 

(i)   All or portion of security has been pledged as collateral in connection with swaps.

 

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

 

(k)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(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 of the warrants, if any.

 

(m)   Represents the current yield as of report date.

 

Ÿ  

Investments in issuers considered to be an affiliate of the Fund during the six months ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at February 28,
2013
       Net
Activity
     Shares Held
at August 31,
2013
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       157,333           (157,333              $ 1,322   

 

Ÿ  

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

 

Ÿ  

Foreign currency exchange contracts as of August 31, 2013 were as follows:

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
USD        139,363         GBP        90,000      Bank of America N.A.     9/03/13      $ (110
USD        982,442         EUR        736,000      Barclays Bank PLC     9/25/13        9,641   
USD        18,946,992         EUR        14,101,000      UBS AG     9/25/13        309,123   
GBP        90,000         USD        139,311      Bank of America N.A.     10/22/13        110   
USD        2,524,483         CAD        2,627,000      JPMorgan Chase Bank N.A.     10/22/13        33,385   
USD        149,255         GBP        99,000      Bank of America N.A.     10/22/13        (4,108
USD        144,200         GBP        93,000      Bank of America N.A.     10/22/13        131   
USD        6,841,819         GBP        4,537,000      Deutsche Bank AG     10/22/13        (186,564
USD        153,589         GBP        101,000      Deutsche Bank AG     10/22/13        (2,873
Total                      $ 158,735   
                    

 

 

 

 

Ÿ  

Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

 

Index

     Pay
Fixed Rate
     Clearinghouse      Expiration
Date
     Notional
Amount
(000)
       Market
Value
     Unrealized
Appreciation
 

Markit CDX North American High Yield Index, Series 20, Version 1

       5.00    Chicago Mercantile      6/20/18      $ 5,500         $ (216,840    $ 62,676   

 

Ÿ  

Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

 

Issuer   Receive
Fixed Rate
    Counterparty     Expiration
Date
    Credit
Rating 1
    Notional
Amount
(000) 2
    Market
Value
    Premiums
Received
    Unrealized
Appreciation
(Depreciation)
 

Caesars Entertainment Operating Co., Inc.

    5.00     JPMorgan Chase Bank N.A.        12/20/15        CCC-      $ 442      $ (84,245   $ (127,325   $ 43,080   

Caesars Entertainment Operating Co., Inc.

    5.00     JPMorgan Chase Bank N.A.        12/20/15        CCC-      $ 123        (23,358     (30,603     7,245   

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/16        CCC-      $ 528        (118,864     (120,542     1,678   

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/16        CCC-      $ 118        (26,576     (25,631     (945

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/16        CCC-      $ 270        (60,838     (47,378     (13,460

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/16        CCC-      $ 176        (39,635     (42,171     2,536   

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/16        CCC-      $ 176        (39,635     (42,171     2,536   

Caesars Entertainment Operating Co., Inc.

    5.00     JPMorgan Chase Bank N.A.        3/20/16        CCC-      $ 68        (15,359     (13,987     (1,372

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    57


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows (concluded):

 

Issuer   Receive
Fixed Rate
    Counterparty     Expiration
Date
    Credit
Rating 1
    Notional
Amount
(000) 2
    Market
Value
    Premiums
Received
    Unrealized
Appreciation
(Depreciation)
 

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        6/20/16        CCC-      $ 359      $ (93,439   $ (89,914   $ (3,525

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        6/20/16        CCC-      $ 690        (179,766     (167,531     (12,235

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/17        CCC-      $ 325        (115,065     (89,844     (25,221

Caesars Entertainment Operating Co., Inc.

    5.00     Goldman Sachs International        3/20/17        CCC-      $ 226        (80,066     (66,488     (13,578

Caesars Entertainment Operating Co., Inc.

    5.00     Deutsche Bank AG        6/20/17        CCC-      $ 423        (162,718     (124,757     (37,961

Total

            $ (1,039,564   $ (988,342   $ (51,222
           

 

 

   

 

 

   

 

 

 

 

1    

Using S&P’s rating of the issuer.

 

2    

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

 

Ÿ  

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

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

Ÿ  

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)

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Consolidated Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 

      Level 1      Level 2      Level 3      Total  

Assets:

          
Investments:           

Long-Term Investments:

          

Asset-Backed Securities

                  $ 13,790,740       $ 13,790,740   

Common Stocks

  $ 3,781,970       $ 2,774,349         4,818,941         11,375,260   

Corporate Bonds

             263,540,026         10,163,768         273,703,794   

Floating Rate Loan Interests

            309,768,936         43,117,796          352,886,732   

Other Interests

    109,060                 3,198,603         3,307,663   

Warrants

    905,261                 304,172         1,209,433   

Short-Term Securities

    3,352,859                         3,352,859   

Unfunded Loan Commitments

            8,974                 8,974   

Liabilities:

          

Unfunded Loan Commitments

            (288              (288
 

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 8,149,150       $ 576,091,997       $ 75,394,020       $ 659,635,167   
 

 

 

    

 

 

    

 

 

    

 

 

 
          
      Level 1      Level 2      Level 3      Total  
Derivative Financial Instruments 3           

Assets:

          

Credit contracts

          $ 119,751               $ 119,751   

Foreign currency exchange contracts

            352,390                 352,390   

Liabilities:

          

Credit contracts

            (108,297              (108,297

Foreign currency exchange contracts

  $ (110      (193,545              (193,655
 

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ (110    $ 170,299               $ 170,189   
 

 

 

    

 

 

    

 

 

    

 

 

 

 

3    

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.

 

See Notes to Consolidated Financial Statements.

 

                
58    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2        Level 3    Total  

Assets:

            

Cash

  $ 68,914                    $ 68,914   

Cash pledged for centrally cleared swaps

       310,000                      310,000   

Foreign currency at value

    39,211                      39,211   

Liabilities:

            

Loan payable

          $ (183,000,000           (183,000,000
 

 

 

    

 

 

      

 

  

 

 

 

Total

  $ 418,125       $ (183,000,000         $ (182,581,875
 

 

 

    

 

 

      

 

  

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended August 31, 2013.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Warrants     Total  

Assets:

 

Opening balance, as of February 28, 2013

  $ 19,075,856      $ 6,100,576      $ 8,566,689      $ 37,135,002      $ 3,916,514      $ 24,836      $ 74,819,473   

Transfers into Level 3 1

    477,500                      10,065,665                      10,543,165   

Transfers out of Level 3 2

                         (10,607,662                   (10,607,662

Accrued discounts/premiums

    34,926               96,182        52,364                      183,472   

Net realized gain (loss)

    607,190        (22,563     (2,674,829     253,856               (15     (1,836,361

Net change in unrealized appreciation/depreciation 3

    (601,900     (1,259,062     4,179,590        (423,400     (381,779     279,351        1,792,800   

Purchases

    3,513,510                      26,823,455        751               30,337,716   

Sales

    (9,316,342     (10     (3,864     (20,181,484     (336,883            (29,838,583
 

 

 

 

Closing balance, as of August 31, 2013

  $ 13,790,740      $ 4,818,941      $ 10,163,768      $ 43,117,796      $ 3,198,603      $ 304,172      $ 75,394,020   
 

 

 

 

 

1    

As of February 28, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $10,543,165 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

2    

As of February 28, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2013, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $10,607,622 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

3    

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $301,108.

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    59


Table of Contents

Consolidated Schedule of Investments (concluded)

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

The following table summarizes the valuation techniques used and unobservable inputs utilized by the Global Valuation Committee to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2013. The table does not include Level 3 investments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $57,257,571. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value      Valuation Techniques   Unobservable  Inputs 1   Range of
Unobservable
Inputs Utilized

Assets:

        

Common Stocks

  $ 3,817,861       Market Comparable Companies   Offshore EBITDA Multiple   8.25x
       Onshore EBITDA Multiple   4.75x
       Implied Last 12 Months EBITDA Multiple   6.95x
    271,472       Market Comparable Companies   Last 12 Months EBITDA Multiple   6.50x
       Illiquidity Discount   17.50%

Corporate Bonds 2

    9,566,945       Market Comparable Companies   Last 12 Months EBITDA Multiple   6.50x — 10.00x
       Illiquidity Discount   17.50%

Floating Rate Loan Interests

    1,462,500       Market Comparable Yield Analysis   Yield   8.13%

Other Interests

    2,713,500       Discounted Cash Flow   Perpetuity Growth Rate   3.50%
       Free Cash Flow   $8.40 — $35.20 3
       Weighted Cost of Capital   11.90%

Warrants

    304,171       Market Comparable Companies   Last 12 Months EBITDA Multiple   6.50x
       Illiquidity Discount   17.50%
 

 

 

    

 

 

 

 

 

Total

  $ 18,136,449          
 

 

 

        

 

1    

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

Unobservable Input    Impact to
Value if Input Increases
  Impact to
Value if Input Decreases

Offshore EBITDA Multiple

   Increase   Decrease

Onshore EBITDA Multiple

   Increase   Decrease

Implied Last 12 Months EBITDA Multiple

   Increase   Decrease

Last 12 Months EBITDA Multiple

   Increase   Decrease

Illiquidity Discount

   Decrease   Increase

Yield

   Decrease   Increase

Perpetuity Growth Rate

   Increase   Decrease

Free Cash Flow

   Increase   Decrease

Weighted Cost of Capital

   Decrease   Increase

 

2    

For the six months ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued utilizing acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.

 

3    

Amount is stated in millions.

 

See Notes to Consolidated Financial Statements.

 

                
60    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments August 31, 2013 (Unaudited)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities    Par  
(000)
    Value  

ACAS CLO Ltd., Series 2013-1A, Class D, 4.09%, 4/20/25 (a)(b)

   $ 250      $ 235,625   

ALM Loan Funding (a)(b)(c):

    

Series 2013-7R2A, Class B, 2.86%, 4/24/24

     325        310,375   

Series 2013-7RA, Class C, 3.71%, 4/24/24

     910        858,858   

Series 2013-7RA, Class D, 5.26%, 4/24/24

     400        367,400   

Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b)

     525        521,587   

Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (a)(b)

     250        237,625   

Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.77%, 1/20/25 (a)(b)

     300        301,062   

CFIP CLO Ltd., Series 2013-1A, Class D, 4.02%, 4/20/24 (a)(b)

     500        465,000   

Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.27%, 4/20/23 (a)(b)

     405        399,492   

Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.27%, 9/20/22 (a)(b)

     650        652,600   

LCM IX LP, Series 9A, Class E, 4.47%, 7/14/22 (a)(b)

     500        455,200   

LCM XI LP, Series 11A, Class D2, 4.22%, 4/19/22 (a)(b)

     700        686,000   

Madison Park Funding I Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (a)(b)(c)

     250        238,000   

Mountain View CLO Ltd., Series 2013-1A, Class D, 3.57%, 4/12/24 (a)(b)

     500        467,500   

OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25 (a)(b)

     250        244,375   

Regatta Funding LP, Series 2013-2A, Class C, 4.27%, 1/15/25 (a)(b)

     750        738,150   

Symphony CLO X Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (a)(b)

     650        654,875   

West CLO Ltd., Series 2012-1A, Class C, 5.02%, 10/30/23 (a)(b)

     590        593,599   
Total Asset-Backed Securities — 3.5%              8,427,323   
    
                  
Common Stocks    Shares          

Chemicals — 0.0%

  

 

GEO Specialty Chemicals, Inc. (b)(d)

     142,466        113,973   

Containers & Packaging — 0.1%

    

Smurfit Kappa Group PLC

     18,171        369,572   

Metals & Mining — 0.1%

    

Euramax International (d)

     935        186,980   

Paper & Forest Products — 0.6%

    

Ainsworth Lumber Co. Ltd. (d)

     492,260        1,355,316   

Software — 0.4%

    

HMH Holdings/EduMedia (d)

     30,022        904,404   
Total Common Stocks — 1.2%              2,930,245   
    
                  
Corporate Bonds    Par  
(000)
         

Aerospace & Defense — 0.8%

    

Bombardier, Inc., 4.25%, 1/15/16 (b)

   $ 515        532,381   

DigitalGlobe, Inc., 5.25%, 2/01/21 (b)

     351        329,063   

Huntington Ingalls Industries, Inc., 7.13%, 3/15/21

     375        405,000   

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

     692        747,360   
    

 

 

 
               2,013,804   

Airlines — 0.8%

    

Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)

   $ 243      $ 242,174   

Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18

     780        791,310   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

     79        86,658   

US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23

     795        755,250   
    

 

 

 
               1,875,392   

Auto Components — 1.7%

    

Affinia Group, Inc., 7.75%, 5/01/21 (b)

     410        421,275   

Delphi Corp., 6.13%, 5/15/21

     130        142,025   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

    

7.75%, 1/15/16

     110        113,988   

8.00%, 1/15/18

     2,065        2,173,412   

Schaeffler Holding Finance BV, 6.88%, 8/15/18 (b)(e)

     410        426,400   

Titan International, Inc.:

    

7.88%, 10/01/17

     490        519,400   

7.88%, 10/01/17 (b)

     275        291,500   

Venture Holdings Co. LLC (d)(f):

    

12.00%, 7/01/49

     700          

Series B, 9.50%, 7/01/05

     3,325          
    

 

 

 
               4,088,000   

Automobiles — 0.1%

    

Ford Motor Co., 4.25%, 11/15/16 (g)

     164        313,240   

Beverages — 0.0%

    

Constellation Brands, Inc., 7.25%, 5/15/17

     30        34,275   

Building Products — 0.6%

    

American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)

     155        150,350   

Building Materials Corp. of America (b):

    

7.00%, 2/15/20

     485        515,312   

6.75%, 5/01/21

     410        434,600   

Momentive Performance Materials, Inc., 8.88%, 10/15/20

     195        202,313   

Texas Industries, Inc., 9.25%, 8/15/20

     196        214,130   
    

 

 

 
               1,516,705   

Capital Markets — 0.0%

    

KCG Holdings, Inc., 8.25%, 6/15/18 (b)

     90        88,425   

Chemicals — 2.7%

    

Ashland, Inc., 3.88%, 4/15/18 (b)

     255        251,175   

Chemtura Corp., 5.75%, 7/15/21

     76        75,050   

GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 (b)

     1,869        3,905,422   

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

     395        440,425   

INEOS Finance PLC, 7.50%, 5/01/20 (b)

     125        133,750   

INEOS Group Holdings SA, 6.13%, 8/15/18 (b)

     255        246,712   

LSB Industries, Inc., 7.75%, 8/01/19 (b)

     113        116,955   

NOVA Chemicals Corp., 8.63%, 11/01/19

     188        208,210   

Nufarm Australia Ltd., 6.38%, 10/15/19 (b)

     120        120,000   

Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (b)

     400        442,000   

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b)

     98        94,815   

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., 6.50%, 4/15/21 (b)

     359        351,820   

Tronox Finance LLC, 6.38%, 8/15/20 (b)

     153        146,115   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 7.38%, 5/01/21 (b)

     151        154,398   
    

 

 

 
               6,686,847   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    61


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

   Par  
(000)
    Value  

Commercial Banks — 0.6%

    

CIT Group, Inc.:

    

5.00%, 5/15/17

   $ 330      $ 342,375   

6.63%, 4/01/18 (b)

     65        70,200   

5.50%, 2/15/19 (b)

     994        1,018,850   
    

 

 

 
               1,431,425   

Commercial Services & Supplies — 2.6%

    

ACCO Brands Corp., 6.75%, 4/30/20

     113        111,588   

ARAMARK Corp., 5.75%, 3/15/20 (b)

     547        557,940   

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)

     444        459,374   

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

     25        26,781   

Catalent Pharma Solutions, Inc., 7.88%, 10/15/18

     114        115,425   

Covanta Holding Corp., 6.38%, 10/01/22

     420        426,173   

The Geo Group, Inc., 7.75%, 10/15/17

     450        468,000   

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

     810        902,178   

Mobile Mini, Inc., 7.88%, 12/01/20

     335        365,150   

UR Merger Sub Corp.:

    

5.75%, 7/15/18

     462        493,185   

7.38%, 5/15/20

     230        247,825   

7.63%, 4/15/22

     1,656        1,780,200   

West Corp., 8.63%, 10/01/18

     165        178,612   
    

 

 

 
               6,132,431   

Communications Equipment — 0.6%

    

Avaya, Inc., 7.00%, 4/01/19 (b)

     264        241,560   

Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20

     1,110        1,204,350   
    

 

 

 
               1,445,910   

Construction & Engineering — 0.1%

    

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)

     200        201,000   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (b)

     120        116,400   
    

 

 

 
               317,400   

Construction Materials — 1.0%

    

HD Supply, Inc., 8.13%, 4/15/19

     2,080        2,314,000   

Consumer Finance — 0.2%

    

Ford Motor Credit Co. LLC:

    

7.00%, 4/15/15

     140        151,443   

6.63%, 8/15/17

     300        338,764   
    

 

 

 
               490,207   

Containers & Packaging — 0.5%

    

Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (b)

     300        318,750   

Ball Corp., 6.75%, 9/15/20

     325        351,000   

Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21

     589        618,450   
    

 

 

 
               1,288,200   

Distributors — 0.1%

    

VWR Funding, Inc., 7.25%, 9/15/17

     323        335,920   

Diversified Consumer Services — 0.2%

    

APX Group, Inc., 6.38%, 12/01/19 (b)

     321        302,543   

Rent-A-Center, Inc., 4.75%, 5/01/21 (b)

     256        236,800   
    

 

 

 
               539,343   

Diversified Financial Services — 3.9%

    

Aircastle Ltd., 6.25%, 12/01/19

     136        141,780   

Ally Financial, Inc.:

    

8.30%, 2/12/15

     2,420        2,613,600   

8.00%, 11/01/31

     1,180        1,357,000   

8.00%, 11/01/31

     203        230,151   

CNG Holdings, Inc., 9.38%, 5/15/20 (b)

     68        63,750   

DPL, Inc.:

    

6.50%, 10/15/16

     26        27,430   

7.25%, 10/15/21

     69        70,380   

Diversified Financial Services (concluded)

    

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)

   210      207,900   

Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (b)

     200        196,500   

Reynolds Group Issuer, Inc.:

    

7.13%, 4/15/19

     1,347        1,432,871   

9.88%, 8/15/19

     510        541,875   

5.75%, 10/15/20

     1,810        1,794,163   

6.88%, 2/15/21

     400        422,000   

WMG Acquisition Corp., 11.50%, 10/01/18

     281        323,853   
    

 

 

 
               9,423,253   

Diversified Telecommunication Services — 1.4%

    

CenturyLink, Inc., Series V, 5.63%, 4/01/20

     342        335,160   

Level 3 Financing, Inc.:

    

8.13%, 7/01/19

     2,768        2,927,160   

7.00%, 6/01/20

     184        185,380   

Windstream Corp., 7.75%, 10/15/20

     18        18,405   
    

 

 

 
               3,466,105   

Electric Utilities — 0.1%

    

Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17

     197        206,994   

Electrical Equipment — 0.2%

    

Belden, Inc., 5.50%, 9/01/22 (b)

     190        184,300   

General Cable Corp., 5.75%, 10/01/22 (b)

     350        336,875   
    

 

 

 
               521,175   

Energy Equipment & Services — 3.1%

    

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

     920        926,900   

CGG, 6.50%, 6/01/21

     1,105        1,118,812   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)

     379        404,582   

Gulfmark Offshore, Inc., 6.38%, 3/15/22

     70        70,875   

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

     140        141,750   

MEG Energy Corp., 6.50%, 3/15/21 (b)

     890        905,575   

Oil States International, Inc.:

    

6.50%, 6/01/19

     711        750,105   

5.13%, 1/15/23 (b)

     339        370,358   

Peabody Energy Corp.:

    

6.00%, 11/15/18

     523        520,385   

6.25%, 11/15/21

     522        503,730   

Precision Drilling Corp.:

    

6.63%, 11/15/20

     65        68,413   

6.50%, 12/15/21

     270        282,150   

Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (b)

     200        200,000   

Seadrill Ltd., 5.63%, 9/15/17 (b)

     963        970,222   

Tervita Corp., 8.00%, 11/15/18 (b)

     231        230,423   
    

 

 

 
               7,464,280   

Food Products — 0.3%

    

Post Holdings, Inc., 7.38%, 2/15/22

     295        311,225   

Smithfield Foods, Inc., 6.63%, 8/15/22

     295        302,375   

Sun Merger Sub, Inc. (b):

    

5.25%, 8/01/18

     78        78,292   

5.88%, 8/01/21

     73        72,818   
    

 

 

 
               764,710   

Gas Utilities — 0.3%

    

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.88%, 10/15/18

     570        617,025   

Health Care Equipment & Supplies — 1.0%

    

Biomet, Inc.:

    

6.50%, 8/01/20

     640        656,000   

6.50%, 10/01/20

     1,362        1,358,595   

 

See Notes to Consolidated Financial Statements.

 

                
62    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

   Par  
(000)
    Value  

Health Care Equipment & Supplies (concluded)

    

DJO Finance LLC/DJO Finance Corp.:

    

8.75%, 3/15/18

   $ 185      $ 200,263   

7.75%, 4/15/18

     30        29,475   

Teleflex, Inc., 6.88%, 6/01/19

     250        262,500   
    

 

 

 
               2,506,833   

Health Care Providers & Services — 2.1%

    

Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19

     365        390,550   

CHS/Community Health Systems, Inc.:

    

5.13%, 8/15/18

     185        189,163   

8.00%, 11/15/19

     208        218,400   

7.13%, 7/15/20

     134        135,340   

HCA, Inc.:

    

8.50%, 4/15/19

     25        27,000   

7.88%, 2/15/20

     1,349        1,455,234   

Hologic, Inc., 6.25%, 8/01/20

     716        746,430   

inVentiv Health, Inc., 9.00%, 1/15/18 (b)

     135        137,700   

Tenet Healthcare Corp.:

    

6.25%, 11/01/18

     425        448,906   

8.00%, 8/01/20

     199        206,711   

4.38%, 10/01/21 (b)

     323        293,122   

Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19

     879        940,530   
    

 

 

 
               5,189,086   

Health Care Technology — 0.8%

    

IMS Health, Inc., 12.50%, 3/01/18 (b)

     1,730        2,041,400   

Hotels, Restaurants & Leisure — 1.2%

    

Caesars Entertainment Operating Co., Inc., 8.50%, 2/15/20

     675        644,625   

Carlson Wagonlit BV, 6.88%, 6/15/19 (b)

     200        203,000   

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

     540        599,400   

Isle of Capri Casinos, Inc.:

    

7.75%, 3/15/19

     25        25,813   

5.88%, 3/15/21

     110        101,750   

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

     282        276,360   

MCE Finance Ltd., 5.00%, 2/15/21 (b)

     352        322,960   

PNK Finance Corp., 6.38%, 8/01/21 (b)

     195        194,512   

Sabre, Inc., 8.50%, 5/15/19 (b)

     300        323,250   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)

     218        206,010   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(f)

     220          
    

 

 

 
               2,897,680   

Household Durables — 1.5%

    

Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (b)

     190        188,100   

Beazer Homes USA, Inc., 6.63%, 4/15/18

     340        358,275   

Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)

     345        352,762   

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)

     97        95,788   

K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)

     795        838,725   

KB Home, 7.25%, 6/15/18

     330        349,800   

Libbey Glass, Inc., 6.88%, 5/15/20

     80        85,500   

Standard Pacific Corp., 8.38%, 1/15/21

     1,120        1,254,400   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)

     223        210,735   
    

 

 

 
               3,734,085   

Household Products — 0.3%

    

Spectrum Brands Escrow Corp. (b):

    

6.38%, 11/15/20

     90        93,150   

6.63%, 11/15/22

     105        107,625   

Spectrum Brands, Inc., 9.50%, 6/15/18

     435        478,500   
    

 

 

 
               679,275   

Independent Power Producers & Energy Traders — 3.3%

  

 

Calpine Corp., 7.50%, 2/15/21 (b)

   84      89,040   

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:

    

6.88%, 8/15/17 (b)

     282        285,173   

10.00%, 12/01/20

     4,258        4,486,867   

10.00%, 12/01/20 (b)

     630        662,287   

12.25%, 3/01/22 (b)

     427        475,038   

GenOn REMA LLC:

    

Series B, 9.24%, 7/02/17

     88        90,879   

Series C, 9.68%, 7/02/26

     448        474,880   

Laredo Petroleum, Inc.:

    

9.50%, 2/15/19

     495        550,688   

7.38%, 5/01/22

     185        195,175   

NRG Energy, Inc., 7.63%, 1/15/18

     681        754,207   
    

 

 

 
               8,064,234   

Insurance — 0.1%

    

CNO Financial Group, Inc., 6.38%, 10/01/20 (b)

     114        119,130   

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

     220        226,600   
    

 

 

 
               345,730   

IT Services — 1.2%

    

Ceridian Corp., 8.88%, 7/15/19 (b)

     1,155        1,299,375   

First Data Corp. (b):

    

7.38%, 6/15/19

     845        876,687   

6.75%, 11/01/20

     565        577,713   

WEX, Inc., 4.75%, 2/01/23 (b)

     206        187,460   
    

 

 

 
               2,941,235   

Machinery — 0.2%

    

Gardner Denver, Inc., 6.88%, 8/15/21 (b)

     230        224,825   

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

     195        193,781   

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b)

     96        93,840   
    

 

 

 
               512,446   

Media — 4.2%

    

AMC Networks, Inc., 7.75%, 7/15/21

     320        353,600   

Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (b)(d)(f)

     254        186,055   

Checkout Holding Corp., 9.91%, 11/15/15 (b)(h)

     296        239,020   

Clear Channel Worldwide Holdings, Inc.:

    

6.50%, 11/15/22

     360        357,300   

6.50%, 11/15/22

     972        972,000   

Series B, 7.63%, 3/15/20

     540        541,350   

DISH DBS Corp.:

    

4.25%, 4/01/18

     500        492,500   

5.88%, 7/15/22

     700        686,000   

DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (b)

     114        117,135   

Intelsat Jackson Holdings SA:

    

7.25%, 10/15/20

     1,230        1,313,025   

5.50%, 8/01/23 (b)

     384        356,160   

Live Nation Entertainment, Inc., 7.00%, 9/01/20 (b)

     69        71,760   

The McClatchy Co., 9.00%, 12/15/22

     120        126,600   

MDC Partners, Inc., 6.75%, 4/01/20 (b)

     135        136,688   

Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (b)

     90        90,225   

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

     422        457,110   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)

     155        156,937   

Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18

     341        370,837   

ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b)

     75        75,375   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    63


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

   Par  
(000)
    Value  

Media (concluded)

    

Sirius XM Radio, Inc. (b):

    

5.75%, 8/01/21

   $ 158      $ 154,840   

4.63%, 5/15/23

     117        103,253   

Sterling Entertainment Corp., 10.00%, 12/15/19

     450        450,000   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

    

7.50%, 3/15/19

     540        583,200   

5.50%, 1/15/23 (b)

     440        400,400   

Univision Communications, Inc., 6.75%, 9/15/22 (b)

     107        111,013   

Virgin Media Secured Finance PLC, 6.50%, 1/15/18

     1,250        1,303,125   
    

 

 

 
               10,205,508   

Metals & Mining — 2.5%

    

ArcelorMittal:

    

9.50%, 2/15/15

     715        784,712   

4.25%, 8/05/15

     275        283,250   

5.00%, 2/25/17

     130        132,925   

6.13%, 6/01/18

     186        191,580   

Commercial Metals Co., 4.88%, 5/15/23

     347        314,035   

FMG Resources August 2006 Property Ltd. (b):

    

7.00%, 11/01/15

     120        123,600   

6.38%, 2/01/16

     470        481,750   

Global Brass & Copper, Inc., 9.50%, 6/01/19 (b)

     255        277,950   

Kaiser Aluminum Corp., 8.25%, 6/01/20

     190        211,850   

New Gold, Inc., 6.25%, 11/15/22 (b)

     255        244,162   

Novelis, Inc., 8.75%, 12/15/20

     2,328        2,531,700   

Perstorp Holding AB, 8.75%, 5/15/17 (b)

     205        209,613   

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

     2,175          

Steel Dynamics, Inc., 6.38%, 8/15/22

     205        213,713   
    

 

 

 
               6,000,840   

Multiline Retail — 0.2%

    

Dollar General Corp., 4.13%, 7/15/17

     127        133,364   

Dufry Finance SCA, 5.50%, 10/15/20 (b)

     228        232,685   
    

 

 

 
               366,049   

Oil, Gas & Consumable Fuels — 5.8%

    

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

     157        131,488   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

     36        36,630   

Chaparral Energy, Inc., 7.63%, 11/15/22

     115        115,288   

Chesapeake Energy Corp.:

    

7.25%, 12/15/18

     25        28,313   

6.63%, 8/15/20

     265        284,213   

6.88%, 11/15/20

     150        162,375   

Concho Resources, Inc., 6.50%, 1/15/22

     219        232,140   

CONSOL Energy, Inc.:

    

8.00%, 4/01/17

     29        30,595   

8.25%, 4/01/20

     975        1,033,500   

6.38%, 3/01/21

     99        99,990   

Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18

     195        207,188   

Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19

     665        691,600   

EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19

     235        249,688   

Halcon Resources Corp., 8.88%, 5/15/21

     351        351,877   

Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (b)

     470        500,550   

Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20

     80        82,400   

Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (b)

     480        520,490   

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

     550        602,250   

Linn Energy LLC/Linn Energy Finance Corp.:

    

6.25%, 11/01/19 (b)

     683        628,360   

8.63%, 4/15/20

     732        735,660   

7.75%, 2/01/21

     150        145,500   

Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21

     127        122,555   

Oil, Gas & Consumable Fuels (concluded)

    

Northern Oil & Gas, Inc., 8.00%, 6/01/20

   265      268,975   

Oasis Petroleum, Inc.:

    

7.25%, 2/01/19

     135        143,100   

6.50%, 11/01/21

     155        162,750   

Offshore Group Investment Ltd., 7.13%, 4/01/23

     246        236,775   

Pacific Drilling SA, 5.38%, 6/01/20 (b)

     223        215,195   

PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20

     76        77,710   

PDC Energy, Inc., 7.75%, 10/15/22

     180        189,000   

Petrobras Global Finance BV, 3.00%, 1/15/19

     288        264,905   

Range Resources Corp.:

    

6.75%, 8/01/20

     303        326,482   

5.75%, 6/01/21

     645        675,637   

RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b)

     77        77,000   

Rosetta Resources, Inc., 5.63%, 5/01/21

     143        137,995   

Sabine Pass Liquefaction LLC (b):

    

5.63%, 2/01/21

     977        933,035   

5.63%, 4/15/23

     281        260,628   

Sabine Pass LNG LP:

    

7.50%, 11/30/16

     1,490        1,640,862   

6.50%, 11/01/20 (b)

     275        276,375   

SandRidge Energy, Inc.:

    

8.75%, 1/15/20

     35        36,575   

7.50%, 2/15/23

     411        397,642   

SESI LLC, 6.38%, 5/01/19

     174        183,135   

SM Energy Co.:

    

6.63%, 2/15/19

     22        22,990   

6.50%, 11/15/21

     225        236,250   

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b)

     240        243,600   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b)

     66        65,835   
    

 

 

 
               14,065,101   

Paper & Forest Products — 0.2%

    

Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b)

     256        270,080   

Sappi Papier Holding GmbH, 8.38%, 6/15/19 (b)

     200        209,000   
    

 

 

 
               479,080   

Pharmaceuticals — 0.4%

    

Valeant Pharmaceuticals International (b):

    

6.38%, 10/15/20

     228        231,705   

7.25%, 7/15/22

     350        371,000   

VPII Escrow Corp., 6.75%, 8/15/18 (b)

     334        353,623   
    

 

 

 
               956,328   

Real Estate Investment Trusts (REITs) — 0.4%

    

Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (b)

     236        241,310   

Felcor Lodging LP:

    

6.75%, 6/01/19

     484        506,990   

5.63%, 3/01/23

     109        101,370   

iStar Financial, Inc., 4.88%, 7/01/18

     169        163,930   
    

 

 

 
               1,013,600   

Real Estate Management & Development — 1.0%

    

Realogy Corp., 7.63%, 1/15/20 (b)

     1,130        1,265,600   

Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)

     284        281,870   

Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19

     790        867,025   
    

 

 

 
               2,414,495   

 

See Notes to Consolidated Financial Statements.

 

                
64    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Corporate Bonds

   Par  
(000)
    Value  

Road & Rail — 1.3%

    

The Hertz Corp.:

    

7.50%, 10/15/18

   $ 780      $ 842,400   

6.75%, 4/15/19

     150        159,937   

5.88%, 10/15/20

     235        241,169   

7.38%, 1/15/21

     1,742        1,881,360   

Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)

     120        118,500   
    

 

 

 
               3,243,366   

Semiconductors & Semiconductor Equipment — 0.3%

  

 

NXP BV/NXP Funding LLC (b):

    

3.75%, 6/01/18

     355        343,019   

5.75%, 2/15/21

     275        275,000   
    

 

 

 
               618,019   

Software — 0.9%

    

Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (b)(e)

     112        113,680   

Infor US, Inc., 9.38%, 4/01/19

     1,295        1,440,688   

Nuance Communications, Inc., 5.38%, 8/15/20 (b)

     700        666,750   
    

 

 

 
               2,221,118   

Specialty Retail — 0.4%

    

Claire’s Stores, Inc., 9.00%, 3/15/19 (b)

     496        552,420   

Sally Holdings LLC/Sally Capital, Inc., 6.88%, 11/15/19

     350        381,500   

Sonic Automotive, Inc., 5.00%, 5/15/23

     50        46,250   
    

 

 

 
               980,170   

Textiles, Apparel & Luxury Goods — 0.1%

    

Levi Strauss & Co., 6.88%, 5/01/22

     140        148,750   

The William Carter Co., 5.25%, 8/15/21 (b)

     132        132,660   
    

 

 

 
               281,410   

Trading Companies & Distributors — 0.2%

    

Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust, Series 2012-1, Class A, 5.13%, 11/30/24 (b)

     427        420,258   

Transportation Infrastructure — 0.1%

    

Aguila 3 SA, 7.88%, 1/31/18 (b)

     176        184,360   

Wireless Telecommunication Services — 3.4%

    

Digicel Ltd., 6.00%, 4/15/21 (b)

     1,082        1,044,130   

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

     310        321,625   

Softbank Corp., 4.50%, 4/15/20 (b)

     660        623,990   

Sprint Capital Corp., 6.88%, 11/15/28

     1,285        1,159,713   

Sprint Communications, Inc. (b):

    

9.00%, 11/15/18

     2,081        2,429,567   

7.00%, 3/01/20

     1,931        2,075,825   

T-Mobile USA, Inc., 5.25%, 9/01/18 (b)

     310        313,100   

Wind Acquisition Finance SA, 6.50%, 4/30/20 (b)

     200        200,000   
    

 

 

 
               8,167,950   
Total Corporate Bonds — 55.0%              133,904,722   
    
                  
Floating Rate Loan Interests (a)                 

Aerospace & Defense — 0.9%

    

DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20

     484        486,961   

Transdigm, Inc., Term Loan C, 3.75%, 2/28/20

     244        243,436   

TransUnion LLC, Term Loan, 4.25%, 2/10/19

     1,446        1,453,679   
    

 

 

 
               2,184,076   

Airlines — 0.8%

    

Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18

     994        995,498   

Airlines (concluded)

    

Northwest Airlines, Inc., Term Loan:

    

2.30%, 3/10/17

   113      104,484   

2.30%, 3/10/17

     113        104,484   

1.68%, 9/10/18

     94        83,564   

1.68%, 9/10/18

     95        84,375   

1.68%, 9/10/18

     95        84,375   

US Airways Group, Inc., Term Loan B1, 4.25%, 5/23/19

     440        433,677   
    

 

 

 
               1,890,457   

Auto Components — 2.7%

    

Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20

     340        340,000   

Autoparts Holdings Ltd.:

    

1st Term Loan, 6.50%, 7/28/17

     834        800,907   

2nd Lien Term Loan, 10.50%, 1/29/18

     900        866,997   

Federal-Mogul Corp.:

    

Term Loan B, 2.12% - 2.13%, 12/29/14

     1,703        1,658,119   

Term Loan C, 2.12% - 2.13%, 12/28/15

     1,040        1,012,473   

FleetPride Corp., 1st Lien Term Loan, 5.25%, 11/19/19

     338        326,459   

The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19

     1,110        1,115,739   

Schaeffler AG, Term Loan C, 4.25%, 1/27/17

     50        50,078   

Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18

     476        478,782   
    

 

 

 
               6,649,554   

Biotechnology — 0.2%

  

 

Grifols, Inc., Term Loan B, 4.25%, 6/01/17

     561        563,563   

Building Products — 0.9%

    

Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20

     249        248,502   

Continental Building Products LLC, 1st Lien Term Loan, 4.50%, 8/14/20

     345        344,424   

CPG International, Inc., Term Loan, 5.75%, 9/18/19

     759        764,957   

Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19

     746        739,877   
    

 

 

 
               2,097,760   

Capital Markets — 0.8%

  

 

American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16

     816        818,466   

HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17

     312        313,709   

KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17

     415        413,186   

Nuveen Investments, Inc., Term Loan, 4.18%, 5/15/17

     403        400,640   
    

 

 

 
               1,946,001   

Chemicals — 3.1%

  

 

Allnex (Luxembourg) & Cy SCA:

    

2nd Lien Term Loan, 8.25%, 4/03/20

     235        240,875   

Term Loan B1, 4.50%, 10/03/19

     244        243,605   

Term Loan B2, 4.50%, 10/03/19

     126        126,395   

American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17

     195        194,449   

Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16

     605        608,753   

Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19

     421        422,968   

General Chemical Corp., Term Loan, 5.00% - 5.75%, 10/06/15

     311        312,037   

INEOS US Finance LLC, 6 Year Term Loan, 4.00%, 5/04/18

     390        386,919   

MacDermid, Inc.:

    

1st Lien Term Loan, 4.00%, 6/08/20

     335        335,211   

2nd Lien Term Loan, 7.75%, 12/07/20

     125        126,250   

Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17

     915        906,317   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    65


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)

   Par  
(000)
    Value  

Chemicals (concluded)

  

 

OXEA Finance LLC:

    

2nd Lien Term Loan, 8.25%, 7/15/20

   $ 370      $ 368,960   

Term Loan B2, 4.25%, 1/15/20

     510        509,148   

Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18

     300        303,000   

Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/15/20

     250        249,687   

Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20

     520        524,821   

Univar, Inc., Term Loan B, 5.00%, 6/30/17

     294        286,679   

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, Term Loan,
4.75%, 2/03/20

     1,476        1,485,896   
    

 

 

 
               7,631,970   

Commercial Services & Supplies — 2.8%

  

 

ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19

     910        910,482   

AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18

     152        152,654   

AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16

     494        494,110   

Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17

     215        215,673   

Garda World Security Corp., Term Loan B, 4.50%, 11/13/19

     303        304,983   

Interactive Data Corp., Term Loan B, 3.75%, 2/11/18

     891        888,585   

KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17

     1,198        1,201,343   

Learning Care Group (US) No. 2, Inc., Term Loan B, 6.00%, 5/08/19

     200        199,334   

Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/16/19

     290        288,550   

Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19

     294        294,259   

Protection One, Inc., Term Loan, 4.25%, 3/21/19

     504        507,405   

Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19

     685        685,644   

West Corp., Term Loan B8, 3.75%, 6/29/18

     650        649,617   
    

 

 

 
               6,792,639   

Communications Equipment — 2.3%

  

 

Alcatel-Lucent USA, Inc., Term Loan C, 5.75%, 1/30/19

     2,035        2,043,057   

Avaya, Inc.:

    

Extended Term Loan B3, 4.76%, 10/26/17

     1,167        1,036,661   

Term Loan B5, 8.00%, 3/30/18

     197        186,167   

CommScope, Inc., Term Loan, 3.75%, 1/12/18

     817        820,713   

Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19

     365        367,832   

Zayo Group LLC, Term Loan B, 4.50%, 7/02/19

     1,231        1,233,928   
    

 

 

 
               5,688,358   

Construction & Engineering — 0.6%

  

 

BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20

     672        669,155   

Centaur LLC, 1st Lien Term Loan, 5.25%, 2/15/19

     539        541,791   

United States Infrastructure Corp., 1st Lien Term Loan, 4.75%, 7/31/20

     250        250,125   
    

 

 

 
               1,461,071   

Construction Materials — 1.0%

    

HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17

     2,487        2,492,983   

Consumer Finance — 0.2%

    

Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17

     590        590,252   

Containers & Packaging — 0.9%

    

Pact Group Pty Ltd., Term Loan B, 3.75%, 5/29/20

     895        884,931   

Containers & Packaging (concluded)

    

Polarpak, Inc., 1st Lien Canadian Borrower, 4.50%, 6/05/20

   168      168,479   

Sealed Air Corp., Term Loan, 4.00%, 10/03/18

     359        361,377   

Tekni-Plex, Inc., Term Loan B, 5.50% —6.50%, 8/25/19

     745        741,275   

WNA Holdings Inc., 1st Lien US Borrower, 4.50%, 6/05/20

     91        91,520   
    

 

 

 
               2,247,582   

Distributors — 0.7%

  

 

ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20

     1,125        1,117,687   

Crossmark Holdings, Inc., Term Loan, 4.50%, 12/20/19

     224        222,617   

VWR Funding, Inc., Extended Add-on Term Loan, 4.18%, 4/03/17

     264        263,675   
    

 

 

 
               1,603,979   

Diversified Consumer Services — 1.3%

  

 

Bright Horizons Family Solutions, Inc., Term Loan B, 4.00% - 5.25%, 1/30/20

     537        537,569   

Doncaster US Finance LLC, Term Loan, 5.50%, 4/09/20

     209        211,308   

Education Management LLC, Term Loan C3, 8.25%, 3/29/18

     100        95,067   

Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18

     634        631,505   

ROC Finance LLC, Term Loan, 5.00%, 5/15/19

     230        230,287   

ServiceMaster Co., Term Loan, 4.25%, 1/31/17

     786        761,809   

Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20

     703        691,043   
    

 

 

 
               3,158,588   

Diversified Financial Services — 1.2%

  

 

ION Trading Technologies Sarl, 1st Lien Term Loan, 4.50%, 5/22/20

     380        379,764   

Kasima LLC, Term Loan B, 3.25%, 5/17/21

     425        424,205   

Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18

     1,130        1,137,258   

RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18

     166        167,014   

WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20

     750        747,810   
    

 

 

 
               2,856,051   

Diversified Telecommunication Services — 2.8%

  

 

Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18

     876        883,699   

Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19

     862        862,702   

Integra Telecom, Inc., 1st Lien Term Loan, 5.25%, 2/22/19

     439        442,740   

Level 3 Financing, Inc.:

    

2016 Term Loan, 4.00%, 1/15/20

     225        224,813   

Term Loan, 4.75%, 8/01/19

     2,725        2,722,139   

Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19

     435        436,905   

US Telepacific Corp., Term Loan B, 5.75%, 2/23/17

     1,353        1,348,429   
    

 

 

 
               6,921,427   

Electronic Equipment, Instruments & Components — 0.2%

  

 

CDW LLC, Term Loan, 3.50%, 4/29/20

     499        492,930   

Energy Equipment & Services — 0.9%

    

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

     520        516,532   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

     1,224        1,225,037   

Tervita Corp., Term Loan, 6.25%, 5/15/18

     272        269,435   

Unifrax Corp., Term Loan, 4.25%, 11/28/18

     209        209,263   
    

 

 

 
               2,220,267   

 

See Notes to Consolidated Financial Statements.

 

                
66    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)

   Par  
(000)
    Value  

Food & Staples Retailing — 0.5%

  

 

Rite Aid Corp.:

    

2nd Lien Term Loan, 5.75%, 8/21/20

   $ 225      $ 230,555   

Term Loan 6, 4.00%, 2/21/20

     209        209,737   

Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19

     488        489,560   

US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19

     205        205,170   
    

 

 

 
               1,135,022   

Food Products — 2.0%

  

 

AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17

     507        511,733   

CTI Foods Holding Co, LLC, 1st Lien Term Loan, 4.50%, 6/29/20

     345        341,550   

Del Monte Foods Co., Term Loan, 4.00%, 3/08/18

     626        625,599   

Dole Food Co., Inc., Term Loan,
3.75% —5.00%, 4/01/20

     653        652,193   

GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20

     210        210,088   

Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19

     845        834,437   

Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20

     673        666,021   

Reddy Ice Group, Inc., 1st Lien Term Loan, 6.75% — 7.75%, 3/28/19

     1,072        1,069,632   
    

 

 

 
               4,911,253   

Health Care Equipment & Supplies — 2.8%

  

 

Arysta LifeScience Corp., 1st Lien Term Loan, 4.50%, 5/29/20

     845        844,299   

Biomet, Inc., Extended Term Loan B,
3.93% — 4.02%, 7/25/17

     496        496,745   

Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19

     667        664,088   

DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17

     1,337        1,344,040   

Faenza Acquisition Gmbh, Term Loan B, 4.25%, 8/14/20

     360        360,151   

Hologic Inc., Term Loan B, 3.75%, 8/01/19

     1,057        1,060,119   

IASIS Healthcare LLC, Term Loan B2, 4.50%, 5/03/18

     98        98,822   

Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18

     963        966,559   

Kinetic Concepts, Inc., Term Loan D1, 4.50%, 5/04/18

     135        135,169   

LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18

     396        392,040   

Onex Carestream Finance LP:

    

1st Lien Term Loan, 5.00%, 6/07/19

     395        397,962   

2nd Lien Term Loan, 9.50%, 6/07/19

     100        99,125   
    

 

 

 
               6,859,119   

Health Care Providers & Services — 2.7%

  

 

American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19

     559        553,712   

Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18

     269        267,978   

CHG Buyer Corp., 1st Lien Term Loan, 5.00%, 11/19/19

     375        377,027   

ConvaTec, Inc., Term Loan, 5.00%, 12/22/16

     1,035        1,039,408   

DaVita, Inc.:

    

Term Loan B, 4.50%, 10/20/16

     1,073        1,079,193   

Term Loan B2, 4.00%, 11/01/19

     587        589,146   

Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18

     339        339,455   

Genesis HealthCare Corp., Term Loan B,
10.00% — 10.75%, 9/25/17

     463        476,202   

Ikaria Acquisition, Inc., 1st Lien Term Loan, 7.25%, 7/03/18

     270        270,508   

Health Care Providers & Services (concluded)

  

 

inVentiv Health, Inc.:

    

Combined Term Loan, 7.50%, 8/04/16

   260      253,354   

Incremental Term Loan B3, 7.75%, 5/15/18

     333        326,486   

Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18

     405        405,000   

US Renal Care, Inc., Incremental 1st Lien Term Loan, 5.25%, 7/03/19

     548        547,970   
    

 

 

 
               6,525,439   

Health Care Technology — 0.7%

  

 

IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17

     1,372        1,372,938   

MedAssets, Inc., Term Loan B, 4.00%, 12/13/19

     219        219,424   
    

 

 

 
               1,592,362   

Hotels, Restaurants & Leisure — 4.5%

  

 

Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20

     695        693,700   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20

     700        698,250   

Caesars Entertainment Operating Co., Inc., Extended Term Loan B6, 5.43%, 1/26/18

     125        112,258   

Drumm Investors LLC, Term Loan, 5.00%, 5/04/18

     542        517,058   

Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20

     305        309,575   

Harrah's Property Co., Mezzanine Term Loan, 3.68%, 2/13/14

     2,965        2,821,197   

MGM Resorts International:

    

Term Loan A, 2.93%, 12/20/17

     249        248,956   

Term Loan B, 3.50%, 12/20/19

     662        658,989   

OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19

     340        339,150   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

     490        491,220   

Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19

     380        381,110   

Sabre, Inc., Term Loan B, 5.25%, 2/19/19

     303        306,185   

Six Flags Theme Parks, Inc., Term Loan B,
4.00% — 5.25%, 12/20/18

     205        207,093   

Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20

     1,581        1,591,583   

Travelport LLC, Refinancing Term Loan, 6.25%, 6/26/19

     595        600,653   

Twin River Worldwide Holdings, Inc., Term Loan B, 5.25%, 11/09/18

     536        540,231   

Wendy's International, Inc., Term Loan B, 3.25%, 5/15/19

     426        424,310   
    

 

 

 
               10,941,518   

Household Products — 0.5%

  

 

Spectrum Brands, Inc.:

    

Term Loan, 4.50% — 5.50%, 12/17/19

     784        788,347   

Term Loan A, 3.00%, 9/07/17

     445        444,551   

Term Loan C, 3.50%, 9/04/19

     90        89,980   
    

 

 

 
               1,322,878   

Independent Power Producers & Energy Traders — 1.2%

  

 

The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18

     726        729,669   

Calpine Construction Finance Co. LP, Term Loan B1, 3.00%, 5/04/20

     280        276,349   

Calpine Corp., Term Loan B1, 4.00%, 4/02/18

     401        401,592   

La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20

     1,030        1,030,649   

Star West Generation LLC, Term Loan B, 4.25%, 3/13/20

     389        391,943   
    

 

 

 
               2,830,202   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    67


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)

   Par  
(000)
    Value  

Industrial Conglomerates — 0.5%

    

Sequa Corp., Term Loan B, 5.25%, 6/19/17

   $ 1,126      $ 1,129,273   

Insurance — 1.1%

    

Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19

     398        399,246   

Asurion LLC, Term Loan B1, 4.50%, 5/24/19

     572        564,733   

CNO Financial Group, Inc.:

    

Term Loan B1, 3.00%, 9/28/16

     332        332,094   

Term Loan B2, 3.75%, 9/20/18

     491        492,152   

Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.00%, 4/16/20

     400        402,000   

Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19

     343        338,984   

National Financial Partners Corp., Term Loan, 5.25%, 7/01/20

     165        165,929   
    

 

 

 
               2,695,138   

Internet Software & Services — 0.2%

    

Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17

     371        372,287   

IT Services — 2.8%

    

CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19

     204        203,210   

Ceridian Corp., Term Loan B, 4.43%, 5/09/17

     926        925,375   

First Data Corp.:

    

2018 Term Loan, 4.18%, 9/24/18

     835        824,563   

Extended 2018 Term Loan B, 4.18%, 3/23/18

     3,219        3,184,575   

Genpact International, Inc., Term Loan B, 3.50%, 8/30/19

     517        517,617   

InfoGroup, Inc., Term Loan, 8.00%, 5/25/18

     336        301,634   

Moneygram International, Inc., Term Loan B, 4.25%, 3/27/20

     319        319,998   

SunGard Data Systems, Inc.:

    

Term Loan D, 4.50%, 1/31/20

     254        255,783   

Term Loan E, 4.00%, 3/09/20

     165        165,565   
    

 

 

 
               6,698,320   

Leisure Equipment & Products — 0.1%

    

FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19

     282        282,648   

Life Sciences Tools & Services — 0.1%

    

Patheon, Inc., Term Loan, 7.25%, 12/06/18

     263        264,985   

Machinery — 2.2%

    

Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/07/18

     206        206,162   

Gardner Denver, Inc., Term Loan, 4.25%, 7/30/20

     711        707,357   

Generac Power Systems, Inc., Term Loan B, 3.50%, 5/29/20

     750        745,545   

Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18

     397        397,496   

Mirror Bidco Corp., Term Loan, 5.25%, 12/27/19

     537        539,986   

Navistar International Corp., Term Loan B, 5.75%, 8/17/17

     609        617,595   

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20

     452        446,753   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

     836        827,919   

Wabash National Corp., Term Loan B, 4.50%, 5/02/19

     944        946,411   
    

 

 

 
               5,435,224   

Marine — 0.2%

    

HGIM Corp., Term Loan B, 5.50%, 6/18/20

     415        416,037   

Media — 8.1%

    

Capsugel Holdings US, Inc., Term Loan B, 4.25%, 8/01/18

     562        565,884   

Cengage Learning Acquisitions, Inc.:

    

Non-Extended Term Loan, 4.75%, 7/03/14

     191        136,046   

Tranche 1 Incremental, 6.00%, 7/03/14

     657        464,277   

Media (concluded)

    

Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20

   $ 690      $ 682,527   

Cumulus Media Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/17/18

     1,091        1,096,015   

EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18

     367        368,422   

Fender Musical Instrument Corp., 2019 Term Loan B, 5.75%, 4/03/19

     100        100,082   

Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17

     655        657,089   

Getty Images, Inc., Term Loan B, 4.75%, 10/18/19

     463        445,147   

Gray Television, Inc., Term Loan B, 4.75%, 10/15/19

     492        495,617   

Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20

     475        475,000   

Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 5.50%, 6/01/18

     800        799,875   

Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19

     484        485,297   

Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18

     5,306        5,340,194   

Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/01/19

     990        988,396   

Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20

     210        210,174   

Live Nation Entertainment, Inc., 2020 Term Loan B, 3.50%, 8/16/20

     215        215,335   

NEP Supershooters LP, Term Loan, 4.75%, 1/22/20

     627        628,104   

Nielsen Finance LLC, Term Loan E, 2.94%, 5/02/16

     220        221,114   

Rentpath, Inc., Term Loan B, 6.25%, 5/29/20

     515        504,916   

Salem Communications Corp., Term Loan B, 4.50%, 3/16/20

     380        381,607   

Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20

     200        199,001   

Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 7/31/20

     725        718,207   

TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20

     440        451,000   

Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20

     1,026        1,022,790   

UPC Financing Partnership, Term Loan AH, 3.25%, 6/30/21

     425        422,904   

Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20

     980        975,071   

WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18

     262        261,913   

WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19

     342        343,575   
    

 

 

 
               19,655,579   

Metals & Mining — 3.0%

    

Ameriforge Group, Inc., 1st Lien Term Loan, 5.00%, 12/19/19

     353        353,006   

API Heat Transfer Inc., Term Loan, 5.25%, 5/03/19

     360        355,500   

Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20

     788        805,756   

FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17

     1,747        1,752,704   

Murray Energy Corp., Term Loan B, 4.75%, 5/24/19

     195        194,610   

Novelis, Inc., Term Loan, 3.75%, 3/10/17

     1,970        1,968,357   

SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18

     258        255,905   

Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18

     1,130        1,076,258   

Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17

     592        606,001   
    

 

 

 
               7,368,097   

Multiline Retail — 1.0%

    

99¢ Only Stores, Term Loan,
5.25% — 6.25%, 1/11/19

     684        688,420   

Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20

     459        459,915   

 

See Notes to Consolidated Financial Statements.

 

                
68    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)

   Par  
(000)
    Value  

Multiline Retail (concluded)

    

BJ’s Wholesale Club, Inc., Replacement Term Loan, 4.25%, 9/26/19

   $ 387      $ 387,033   

JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/21/18

     355        345,976   

The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18

     585        584,005   
    

 

 

 
               2,465,349   

Oil, Gas & Consumable Fuels — 3.3%

    

Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17

     1,230        1,252,546   

Drillships Financing Holding Inc., Term Loan B2, 5.50%, 7/15/16

     785        790,887   

EP Energy LLC, Term Loan B3, 3.50%, 5/24/18

     430        428,031   

GIM Channelview Cogeneration LLC, Term Loan B, 4.25%, 5/08/20

     435        435,726   

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

     646        646,032   

Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18

     530        531,987   

Panda Temple II Power LCC, Term Loan B, 7.25%, 4/03/19

     330        334,125   

Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18

     354        339,456   

Power Team Services LLC, 1st Lien Term Loan, 4.25%, 5/06/20

     187        184,567   

Quicksilver Resources, Inc., 2nd Lien Term Loan, 7.00%, 6/21/19

     210        199,500   

Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20

     409        406,667   

Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18

     275        276,205   

Tesoro Corp., Term Loan B, 2.51%, 1/29/16

     514        514,139   

Total Safety US, Inc., 1st Lien Term Loan, 5.75%, 3/13/20

     384        386,438   

Vantage Drilling Co.:

    

Term Loan, 6.25%, 10/26/17

     990        997,206   

Term Loan B, 5.75%, 3/22/19

     379        381,893   
    

 

 

 
               8,105,405   

Paper & Forest Products — 0.2%

    

NewPage Corp., Exit Term Loan, 7.75%, 12/21/18

     439        445,068   

Pharmaceuticals — 2.9%

    

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

     1,174        1,176,549   

Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19

     1,737        1,727,674   

Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18

     1,342        1,340,732   

Quintiles Transnational Corp., Term Loan B, 4.00%, 6/08/18

     683        685,399   

Valeant Pharmaceuticals International, Inc.:

    

Series C1 Term Loan B, 4.38%, 12/11/19

     619        619,988   

Series D1 Term Loan B, 4.38%, 2/13/19

     649        650,897   

Term Loan E, 4.50%, 8/05/20

     338        340,996   

Warner Chilcott Corp.:

    

Incremental Term Loan B1, 4.25%, 3/15/18

     145        144,688   

Term Loan B1, 4.25%, 3/15/18

     332        332,369   
    

 

 

 
               7,019,292   

Professional Services — 1.1%

    

Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18

     1,190        1,192,154   

ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20

     229        228,217   

SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19

     399        398,003   

TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20

     300        297,000   

Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19

     554        556,029   
    

 

 

 
               2,671,403   

Real Estate Investment Trusts (REITs) — 0.5%

    

iStar Financial, Inc., Term Loan, 4.50%, 10/16/17

   $ 1,301      $ 1,300,503   

Real Estate Management & Development — 1.2%

    

Realogy Corp.:

    

Extended Letter of Credit, 4.45%, 10/10/16

     976        981,365   

Extended Term Loan, 4.50%, 3/05/20

     1,935        1,945,793   
    

 

 

 
               2,927,158   

Road & Rail — 0.2%

    

Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18

     429        431,036   

Semiconductors & Semiconductor Equipment — 0.5%

  

 

Freescale Semiconductor, Inc.:

    

Term Loan B3, 4.25%, 12/01/16

     150        150,747   

Term Loan B4, 5.00%, 2/28/20

     798        800,562   

NXP BV, Term Loan C, 4.75%, 1/11/20

     363        368,056   
    

 

 

 
               1,319,365   

Software — 2.2%

    

Blackboard, Inc., Term Loan B2, 6.25%, 10/04/18

     147        147,247   

BMC Software, Inc., Term Loan, 5.00%, 8/07/20

     525        523,908   

CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20

     160        158,400   

Evertec, Inc., Term Loan B, 3.50%, 4/15/20

     230        228,390   

GCA Services Group, Inc., Term Loan B, 5.25%, 11/01/19

     413        413,601   

Infor US, Inc., Term Loan B2, 5.25%, 4/05/18

     1,350        1,357,497   

RP Crown Parent LLC, 1st Lien Term Loan, 6.75%, 12/21/18

     453        456,686   

Sophia LP, Term Loan B, 4.50%, 7/19/18

     627        628,739   

SS&C Technologies, Inc.:

    

Term Loan B1, 3.50%, 6/07/19

     673        672,608   

Term Loan B2, 3.50%, 6/07/19

     70        69,580   

StoneRiver Holdings, Inc., 1st Lien Term Loan, 4.50%, 11/20/19

     430        427,850   

Websence, Inc., Term Loan B, 4.50%, 6/25/20

     210        209,738   
    

 

 

 
               5,294,244   

Specialty Retail — 4.3%

    

Academy Ltd., Term Loan, 4.50%, 8/03/18

     1,084        1,088,221   

Atlantic Aviation FBO, Inc., Term Loan B, 3.25%, 6/01/20

     255        252,769   

Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19

     567        567,115   

Burlington Coat Factory Warehouse Corp.,
Term Loan B2, 4.25%, 2/23/17

     329        331,473   

David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19

     861        865,185   

Equinox Holdings, Inc., Repriced Term Loan B, 4.50% — 5.50%, 1/31/20

     424        425,527   

The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18

     67        63,764   

Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/16/19

     667        672,814   

Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18

     383        382,718   

Leslie’s Poolmart, Inc., Term Loan B, 5.25%, 10/16/19

     689        693,106   

Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20

     728        730,221   

Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19

     1,457        1,453,356   

Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17

     1,063        1,066,128   

Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20

     193        193,017   

SRAM LLC, Term Loan B, 4.00% — 5.25%, 4/10/20

     214        212,613   

The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19

     451        453,641   

Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18

     745        741,076   

Toys ‘R’ Us-Delaware, Inc.:

    

Incremental Term Loan B2, 5.25%, 5/25/18

     153        148,163   

Term Loan B3, 5.25%, 5/25/18

     47        45,155   
    

 

 

 
               10,386,062   

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    69


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (a)

   Par  
(000)
    Value  

Textiles, Apparel & Luxury Goods — 0.8%

    

Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18

   $ 864      $ 827,624   

PVH Corp., Term Loan B, 3.25%, 2/13/20

     499        500,447   

True Religion Apparel, Inc., 1st Lien Term Loan, 5.88%, 7/30/19

     145        136,754   

Wolverine Worldwide, Inc., Term Loan B,
4.00% — 5.25%, 7/31/19

     417        419,003   
    

 

 

 
               1,883,828   

Thrifts & Mortgage Finance — 0.3%

    

Insight Global Holdings, Inc., 1st Lien Term Loan, 6.00%, 10/31/19

     423        427,104   

Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18

     354        357,476   
    

 

 

 
               784,580   

Trading Companies & Distributors — 0.2%

    

WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19

     471        472,946   

Wireless Telecommunication Services — 0.5%

    

Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19

     333        333,657   

Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 4/13/20

     580        582,900   

Time Warner Telecom Holdings Inc., Term Loan B, 2.69%, 4/17/20

     320        319,840   
    

 

 

 
               1,236,397   
Total Floating Rate Loan Interests — 76.7%              186,667,525   
    
                  
Other Interests (d)(i)   

Beneficial

Interest  

(000)    

         

Auto Components — 0.0%

    

Intermet Liquidating Trust, Class A

     320        3   

Diversified Financial Services — 0.2%

    

J.G.Wentworth LLC Preferred Equity Interests

     (j)      387,385   

Media — 0.0%

    

Adelphia Preferred Escrow

     3          

Adelphia Recovery Trust, Series ACC-6B INT

     250        7,500   
    

 

 

 
               7,500   
Total Other Interests — 0.2%              394,888   

Trust Preferreds

       
Shares
    Value  

Diversified Financial Services — 0.8%

    

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

     71,810      $ 1,896,390   
Total Trust Preferreds — 0.8%              1,896,390   
    
                  
Warrants (k)                 

Chemicals — 0.1%

    

GEO Specialty Chemicals, Inc., (Expires 3/31/15)

     172,462        136,245   

Media — 0.1%

    

Charter Communications, Inc., (Issued/exercisable 11/30/09, 1 Share for 1 Warrant, Expires 11/30/14, Strike Price $51.28)

     6,862        490,633   

Software — 0.0%

    

HMH Holdings/EduMedia, (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)

     982          
Total Warrants — 0.2%              626,878   
Total Long-Term Investments
(Cost — $338,065,604) — 137.6%
             334,847,971   
    
                  
Short-Term Securities   

Beneficial

Interest  

(000)    

         

Bank of New York Cash Reserves, 0.00% (l)

   $ 2,058        2,057,965   
Total Short-Term Securities
(Cost — $2,057,965) — 0.8%
             2,057,965   
Total Investments (Cost — $340,123,569) — 138.4%      $ 336,905,936   
Liabilities in Excess of Other Assets — (38.4)%        (93,428,139
    

 

 

 
Net Assets — 100.0%      $ 243,477,797   
    

 

 

 

 

Notes to Consolidated Schedule of Investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

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

 

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

 

Counterparty      Value     Unrealized
Appreciation
(Depreciation)
 

J.P. Morgan Securities LLC

     $ 1,536,633          

Bank of America N.A.

     $ 238,000          

 

(d)   Non-income producing security.

 

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

 

(f)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(g)   Convertible security.

 

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

 

 

See Notes to Consolidated Financial Statements.

 

                
70    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

Consolidated Schedule of Investments (continued)

  

BlackRock Senior High Income Fund, Inc. (ARK)

 

(i)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(j)   Amount is less than $500.

 

(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 of the warrants, if any.

 

(l)   Represents the current yield as of report date.

 

Ÿ  

Investments in issuers considered to be an affiliate of the Fund during the six months ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at February 28,
2013
      

Net

Activity

       Shares Held
at August 31,
2013
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       2,447,698           (2,447,698                $ 731   

 

Ÿ  

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

 

Ÿ  

Foreign currency exchange contracts as of August 31, 2013 were as follows:

 

Currency
Purchased

      

Currency
Sold

    Counterparty   Settlement
Date
       Unrealized
Appreciation
 
USD        55,753         CAD        58,000      Citibank N.A.     10/22/13         $ 753   

 

Ÿ  

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

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

Ÿ  

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)

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Consolidated Financial Statements.

The following tables summarize the Fund's investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

                      $ 8,427,323         $ 8,427,323   

Common Stocks

  $ 1,355,316         $ 1,460,956           113,973           2,930,245   

Corporate Bonds

              129,272,940           4,631,782           133,904,722   

Floating Rate Loan Interests

              166,747,948           19,919,577           186,667,525   

Other Interests

    7,500                     387,388           394,888   

Preferred Securities

    1,896,390                               1,896,390   

Warrants

    490,633                     136,245           626,878   

Short-Term Securities

    2,057,965                               2,057,965   

Unfunded Loan Commitments

              4,723                     4,723   

Liabilities:

                

Unfunded Loan Commitments

              (149                  (149
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

    $5,807,804         $ 297,486,418           $33,616,288         $ 336,910,510   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
      Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1                 

Assets:

                

Foreign currency exchange contracts

            $ 753                   $ 753   
 

 

 

      

 

 

      

 

 

      

 

 

 

1    Derivative financial instruments are foreign currency exchange contracts. Foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

       

 

See Notes to Consolidated Financial Statements.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    71


Table of Contents

Consolidated Schedule of Investments (concluded)

  

BlackRock Senior High Income Fund, Inc. (ARK)

 

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

   

      Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 41,987                   $ 41,987   

Foreign currency at value

    563                          563   

Liabilities:

                

Loan payable

            $ (87,000,000             (87,000,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 42,550         $ (87,000,000           $ (86,957,450
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between Level 1 and Level 2 during the six months ended August 31, 2013.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Asset-Backed
Securities
     Common
Stocks
     Corporate
Bonds
     Floating
Rate Loan
Interests
     Other
Interests
     Warrants      Total  

Assets:

                   

Opening balance, as of February 28, 2013

  $ 10,426,035       $ 93,315       $ 3,916,065       $ 16,996,955       $ 645,641       $ 11,124       $ 32,089,135   

Transfers into Level 3 1

    238,750                         5,432,442                         5,671,192   

Transfers out of Level 3 2

                            (4,231,877                      (4,231,877

Accrued discounts/premiums

    21,465                 43,151         21,563                         86,179   

Net realized gain

    272,514                         99,634                         372,148   

Net change in unrealized appreciation/depreciation 3

    (256,869      20,658         672,566         (182,617      (84,037      125,121         294,822   

Purchases

    2,243,383                         11,164,487                         13,407,870   

Sales

    (4,517,955                      (9,381,010      (174,216              (14,073,181
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing balance, as of August 31, 2013

  $ 8,427,323       $ 113,973       $ 4,631,782       $ 19,919,577       $ 387,388       $ 136,245       $ 33,616,288   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

1    

As of February 28, 2013, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,671,192 transferred from Level 2 to Level 3 in the disclosure hierarchy.

 

2    

As of February 28, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2013, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,231,877 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

3    

Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $635,614.

The following table summarizes the valuation techniques used and unobservable inputs utilized by the Global Valuation Committee to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2013. The table does not include Level 3 investments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $28,269,572. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

      Value      Valuation Techniques   Unobservable Inputs 4   Range of
Unobservable
Inputs Utilized

Assets:

        

Common Stocks

  $ 113,973       Market Comparable Companies   Last 12 Months EBITDA Multiple   6.50x
       Illiquidity Discount   17.50%
Corporate Bonds 5     4,355,422       Market Comparable Companies   Last 12 Months EBITDA Multiple   6.50x —10.00x
       Illiquidity Discount   17.50%
Floating Rate Loan Interests     741,076       Market Comparable Yield Analysis   Yield   8.13%
Warrants     136,245       Market Comparable Companies   Last 12 Months EBITDA Multiple   6.50x
       Illiquidity Discount   17.50%
 

 

 

    

 

 

 

 

 

Total

  $ 5,346,716          
 

 

 

        

 

4    

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

Unobservable Input    Impact to
Value if Input Increases
  Impact to
Value if Input Decreases

Last 12 Months EBITDA Multiple

   Increase   Decrease

Illiquidity Discount

   Decrease   Increase

Yield

   Decrease   Increase

 

5    

For the six months ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued utilizing acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.

 

See Notes to Consolidated Financial Statements.

 

                
72    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Consolidated Statements of Assets and Liabilities     

 

August 31, 2013 (Unaudited)   BlackRock
Corporate
High Yield
Fund, Inc.
(COY)
    BlackRock
Corporate
High Yield
Fund III, Inc.
(CYE)
    BlackRock
Debt Strategies
Fund, Inc.
(DSU)
    BlackRock
Senior High
Income
Fund, Inc.
(ARK)
 
       
Assets                                

Investments at value — unaffiliated 1

  $ 374,862,499      $ 411,105,024      $ 659,626,481      $ 336,905,936   

Investments at value — affiliated 2

    1,579,905        1,962,371                 

Cash

    53,290        1,565        68,914        41,987   

Cash pledged for financial futures contracts

    75,000        80,000                 

Cash pledged as collateral for over-the-counter swaps

    600,000                        

Cash pledged for centrally cleared swaps

                  310,000          

Interest receivable

    5,770,971        6,262,742        7,051,440        3,386,993   

Investments sold receivable

    2,329,974        1,104,816        4,442,692        3,180,345   

Unrealized appreciation on swaps

    542,315        556,458        57,075          

Unrealized appreciation on foreign currency exchange contracts

    407,908        436,192        352,390        753   

Swaps receivable

    82,110        82,861        40,884          

Foreign currency at value 3

    95,193        11,461        39,211        563   

Swap premiums paid

    54,604        60,004                 

Unrealized appreciation on unfunded loan commitments

    7,406        8,058        8,974        4,723   

Dividends receivable

    8,966        11,362                 

Variation margin receivable on financial futures contracts

    1,250        1,375                 

Variation margin receivable on centrally cleared swaps

                  3,062          

Income tax refund receivable

                  111,451          

Prepaid expenses

    3,117        3,094        5,868        2,779   

Other assets

                  217,628          
 

 

 

 

Total assets

    386,474,508        421,687,383        672,336,070        343,524,079   
 

 

 

 
       
Liabilities                                

Loan payable

    108,000,000        121,000,000        183,000,000        87,000,000   

Investments purchased payable

    7,987,007        6,718,975        18,942,944        12,623,177   

Swap premiums received

    1,086,281        1,001,510        988,342          

Cash received as collateral for over-the-counter swaps

    600,000        500,000                 

Investment advisory fees payable

    156,901        207,062        331,836        141,282   

Unrealized depreciation on foreign currency exchange contracts

    242,208        262,631        193,655          

Options written at value 4

    280,700        305,850                 

Interest expense payable

    80,045        90,141        143,142        69,570   

Income dividends payable

    89,208        79,687        122,530        63,588   

Unrealized depreciation on swaps

    87,932        96,086        108,297          

Officer’s and Directors’ fees payable

    1,812        1,978        147,170        1,693   

Swaps payable

    1,904        2,093        3,056          

Unrealized depreciation on unfunded loan commitments

                  288        149   

Reorganization costs payable

                  175,714          

Other accrued expenses payable

    162,318        150,579        228,939        146,823   
 

 

 

 

Total liabilities

    118,776,316        130,416,592        204,385,913        100,046,282   
 

 

 

 

Net Assets

  $ 267,698,192      $ 291,270,791      $ 467,950,157      $ 243,477,797   
 

 

 

 
       
Net Assets Consist of                                

Paid-in capital 5

  $ 306,628,572      $ 326,380,162      $  760,579,309      $  350,311,348   

Undistributed net investment income

    4,091,709        1,306,795        695,638        3,122,933   

Accumulated net realized loss

    (43,765,856     (38,459,389     (256,470,003     (106,744,171

Net unrealized appreciation/depreciation

    743,767        2,043,223        (36,854,787     (3,212,313
 

 

 

 

Net Assets

  $ 267,698,192      $ 291,270,791      $ 467,950,157      $ 243,477,797   
 

 

 

 

Net asset value, offering and redemption price per share

  $ 7.64      $ 7.76      $ 4.32      $ 4.28   
 

 

 

 

1 Investments at cost — unaffiliated

  $ 374,734,723      $ 409,691,613      $ 696,876,313      $ 340,123,569   

2 Investments at cost — affiliated

  $ 1,579,905      $ 1,962,371                 

3 Foreign currency at cost

  $ 96,126      $ 11,379      $ 39,722      $ 570   

4 Premiums received

  $ 265,802      $ 289,600                 

5 Shares outstanding, 200 million shares authorized, par value $0.10 per share

    35,027,459        37,552,995        108,422,139        56,886,649   

 

See Notes to Consolidated Financial Statements.      
                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    73


Table of Contents
Consolidated Statements of Operations     

 

Six Months Ended August 31, 2013 (Unaudited)   BlackRock
Corporate
High Yield
Fund, Inc.
(COY)
    BlackRock
Corporate
High Yield
Fund III, Inc.
(CYE)
    BlackRock
Debt Strategies
Fund, Inc.
(DSU)
    BlackRock
Senior High
Income
Fund, Inc.
(ARK)
 
       
Investment Income                                

Interest

  $ 12,084,073      $ 13,364,993      $ 20,282,461      $ 9,979,365   

Dividends — unaffiliated

    84,007        103,050        9,748        4,874   

Dividends — affiliated

    704        15,265        1,322        731   
 

 

 

 

Total income

    12,168,784        13,483,308        20,293,531        9,984,970   
 

 

 

 
       
Expenses                                

Investment advisory

    941,989        1,252,233        2,035,915        870,741   

Reorganization

    375,000        355,000        175,714        470,000   

Professional

    59,318        60,541        96,060        65,904   

Accounting services

    29,189        31,802        47,736        26,633   

Transfer agent

    24,111        21,835        46,397        28,388   

Officer and Directors

    16,337        17,803        22,561        14,935   

Custodian

    14,731        41,683        27,906        18,518   

Printing

    10,443        10,908        13,694        9,969   

Registration

    3,175        3,438        9,646        5,135   

Miscellaneous

    26,404        38,287        45,157        26,754   
 

 

 

 

Total expenses excluding interest expense and income tax

    1,500,697        1,833,530        2,520,786        1,536,977   

Interest expense

    443,126        562,858        951,775        471,195   

Income tax

                  12,975          
 

 

 

 

Total expenses

    1,943,823        2,396,388        3,485,536        2,008,172   

Less fees waived by Manager

    (666     (338     (1,545     (776

Less reorganization costs reimbursed by Manager

    (375,000     (355,000            (470,000
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1,568,157        2,041,050        3,483,991        1,537,396   
 

 

 

 

Net investment income

    10,600,627        11,442,258        16,809,540        8,447,574   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments — unaffiliated

    6,231,527        6,969,417        5,892,588        2,520,076   

Investments — affiliated

           (35,468              

Financial futures contracts

    (615,941     (664,756              

Foreign currency transactions

    456,064        543,798        409,810        18,289   

Options written

    70,875        77,000                 

Swaps

    452,343        455,583        307,831        5,065   
 

 

 

 
    6,594,868        7,345,574        6,610,229        2,543,430   
 

 

 

 
Net change in unrealized appreciation/depreciation on:        

Investments

    (9,566,227     (10,717,010     (12,552,873     (6,357,554

Financial futures contracts

    62,446        66,687                 

Foreign currency translations

    (769,726     (838,812     (758,462     (16,390

Options written

    (62,758     (68,246              

Swaps

    (356,389     (385,674     (259,170     1,286   

Unfunded loan commitments

    7,406        8,058        8,449        4,450   
 

 

 

 
    (10,685,248     (11,934,997     (13,562,056     (6,368,208
 

 

 

 

Total realized and unrealized loss

    (4,090,380     (4,589,423     (6,951,827     (3,824,778
 

 

 

 

Net Increase in Net Assets Resulting from Operations

  $ 6,510,247      $ 6,852,835      $ 9,857,713      $  4,622,796   
 

 

 

 

 

 

See Notes to Consolidated Financial Statements.      
                
74    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Consolidated Statements 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,
2013

(Unaudited)

   

Year Ended

February 28,
2013

       

Six Months Ended
August 31,
2013

(Unaudited)

   

Year Ended

February 28,
2013

 
         
Operations                                    

Net investment income

  $ 10,600,627      $ 21,931,349        $ 11,442,258      $ 24,108,997   

Net realized gain

    6,594,868        10,149,192          7,345,574        11,438,011   

Net change in unrealized appreciation/depreciation

    (10,685,248     5,628,801          (11,934,997     7,439,438   
 

 

 

     

 

 

 

Net increase in net assets resulting from operations

    6,510,247        37,709,342          6,852,835        42,986,446   
 

 

 

     

 

 

 
         
Dividends to Shareholders From                                    

Net investment income

    (10,611,570     (21,373,512 ) 1         (11,678,434     (25,164,743 ) 1  
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of dividends

    182,526        1,105,397          88,680        999,385   
 

 

 

     

 

 

 
         
Net Assets                                    

Total increase (decrease) in net assets

    (3,918,797     17,441,227          (4,736,919     18,821,088   

Beginning of period

    271,616,989        254,175,762          296,007,710        277,186,622   
 

 

 

     

 

 

 

End of period

  $ 267,698,192      $ 271,616,989        $ 291,270,791      $ 296,007,710   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 4,091,709      $ 4,102,652        $ 1,306,795      $ 1,542,971   
 

 

 

     

 

 

 

 

    BlackRock Debt
Strategies Fund, Inc. (DSU)
        BlackRock Senior High
Income Fund, Inc. (ARK)
 
Increase (Decrease) in Net Assets:   Six Months Ended
August 31,
2013
(Unaudited)
   

Year Ended

February 28,
2013

        Six Months Ended
August 31,
2013
(Unaudited)
   

Year Ended

February 28,
2013

 
         
Operations                                    

Net investment income

  $ 16,809,540      $ 35,839,559        $ 8,447,574      $ 18,181,261   

Net realized gain (loss)

    6,610,229        (4,693,091       2,543,430        2,997,643   

Net change in unrealized appreciation/depreciation

    (13,562,056     32,461,382          (6,368,208     8,092,166   
 

 

 

     

 

 

 

Net increase in net assets resulting from operations

    9,857,713        63,607,850          4,622,796        29,271,070   
 

 

 

     

 

 

 
         
Dividends to Shareholders From                                    

Net investment income

    (17,128,251     (36,132,115 ) 1         (8,417,922     (18,272,730 ) 1  
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of dividends

    267,690        1,653,035          149,049        809,036   
 

 

 

     

 

 

 
         
Net Assets                                    

Total increase (decrease) in net assets

    (7,002,848     29,128,770          (3,646,077     11,807,376   

Beginning of period

    474,953,005        445,824,235          247,123,874        235,316,498   
 

 

 

     

 

 

 

End of period

  $ 467,950,157      $ 474,953,005        $ 243,477,797      $ 247,123,874   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 695,638      $ 1,014,349        $ 3,122,933      $ 3,093,281   
 

 

 

     

 

 

 

 

1    

Dividends are determined in accordance with federal income tax regulations.

 

See Notes to Consolidated Financial Statements.      
                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    75


Table of Contents
Consolidated Statements of Cash Flows (Unaudited)     

 

Six Months Ended August 31, 2013  

BlackRock

Corporate
High Yield
Fund, Inc.

(COY)

   

BlackRock

Corporate
High Yield
Fund III, Inc.

(CYE)

   

BlackRock

Debt Strategies
Fund, Inc.

(DSU)

   

BlackRock

Senior High

Income
Fund, Inc.

(ARK)

 
       
Cash Used for Operating Activities                                

Net increase in net assets resulting from operations

  $ 6,510,247      $ 6,852,835      $ 9,857,713      $ 4,622,796   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Increase in interest receivable

    (659,668     (595,332     (616,116     (207,461

Decrease in swaps receivable

    66,909        84,099        52,586        1,664   

Decrease in dividends receivable

    (5,014     (8,518              

Increase in income tax refund receivable

                  (257       

Decrease in cash pledged for financial futures contracts

    156,000        172,000                 

Increase in cash pledged for centrally cleared swaps

                  (310,000       

Decrease in cash pledged as collateral for over-the-counter swaps

           100,000                 

Decrease in other assets

                  15,083          

Decrease in variation margin receivable on financial futures contracts

    4,500        4,875                 

Increase in variation margin receivable on centrally cleared swaps

                  (3,062       

Increase in investment advisory fees payable

    17,355        20,189        25,538        9,517   

Decrease in deferred capital gains tax payable

                  (53,428       

Increase (decrease) in interest expense payable

    (32,840     7,975        5,685        (2,345

Increase (decrease) in other accrued expenses payable

    (56,139     (59,072     (42,510     (54,182

Increase (decrease) in prepaid expenses

    863        6,141        (3,847     5,022   

Increase in reorganization costs payable

                  175,714          

Increase in swaps payable

    (433     (422     3,056          

Increase (decrease) in Officer’s and Directors’ fees payable

    1,812        1,978        9,232        1,693   

Net periodic and termination payment of swaps

    402,249        269,843        125,762        (48,271

Net realized and unrealized loss on investments

    4,231,484        5,245,743        7,981,357        4,033,368   

Amortization of premium and accretion of discount on investments and swaps

    (166,452     (308,458     (539,547     36,437   

Premiums received from options written

    265,802        289,600                 

Premiums paid on closing options written

    (27,540     (29,920              

Proceeds from sales of long-term investments

    136,198,518        156,744,923        249,906,960        121,767,226   

Purchases of long-term investments

    (148,535,536     (163,141,276     (250,364,239     (117,458,780

Net proceeds (payments) on short-term securities

    (1,579,905     141,080        7,225,550        6,355,393   
 

 

 

 

Cash provided by (used for) operating activities

    (3,207,788     5,798,283        23,451,230        19,062,077   
 

 

 

 
       
Cash Provided by Financing Activities                                

Cash receipts from borrowings

    75,000,000        70,000,000        149,000,000        72,000,000   

Cash payments on borrowings

    (65,000,000     (66,000,000     (156,000,000     (83,000,000

Cash dividends paid to shareholders

    (10,339,836     (11,510,067     (16,738,031     (8,205,285
 

 

 

 

Cash provided by financing activities

    (339,836     (7,510,067     (23,738,031     (19,205,285
 

 

 

 
       
Cash Impact from Foreign Exchange Fluctuations                                

Cash impact from foreign exchange fluctuations

    (754     137        5,609        3,055   
 

 

 

 
       
Cash and Foreign Currency                                

Net increase (decrease) in cash and foreign currency

    (3,548,378     (1,711,647     (281,192     (140,153

Cash and foreign currency at beginning of period

    3,696,861        1,724,673        389,317        182,703   
 

 

 

 

Cash and foreign currency at end of period

  $ 148,483      $ 13,026      $ 108,125      $ 42,550   
 

 

 

 
       
Cash Flow Information                                

Cash paid during the period for interest

  $ 475,966      $ 554,883      $ 946,090      $ 473,540   
 

 

 

 
       
Non-cash Financing Activities                                

Capital shares issued in reinvestment of dividends

  $ 182,526      $ 88,680      $ 267,690      $ 149,049   
 

 

 

 

 

 

See Notes to Consolidated Financial Statements.      
                
76    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Financial Highlights    BlackRock Corporate High Yield Fund, Inc. (COY)

 

   

Six Months Ended
August 31,

2013
(Unaudited) 1

    Year Ended
February 28,
2013 1
    Year Ended
February 29,
2012 1
    Year Ended February 28,    

Period

June 1, 2008

to February 28,
2009

   

Year Ended

May 31,

2008

 
          2011     2010      
             

Per Share Operating Performance

  

                                               

Net asset value, beginning of period

  $ 7.76      $ 7.29      $ 7.42      $ 6.64      $ 4.19      $ 7.74      $ 9.07   
 

 

 

 

Net investment income 2

    0.30        0.63        0.62        0.65        0.65        0.50        0.75   

Net realized and unrealized gain (loss)

    (0.12     0.45        (0.14     0.74        2.53        (3.50     (1.32
 

 

 

 

Net increase (decrease) from investment operations

    0.18        1.08        0.48        1.39        3.18        (3.00     (0.57
 

 

 

 

Dividends from net investment income

    (0.30     (0.61 ) 3       (0.61 ) 3       (0.61 ) 3       (0.73 ) 3       (0.55 ) 3       (0.76 ) 3  
 

 

 

 

Net asset value, end of period

  $ 7.64      $ 7.76      $ 7.29      $ 7.42      $ 6.64      $ 4.19      $ 7.74   
 

 

 

 

Market price, end of period

  $ 6.89      $ 8.04      $ 7.76      $ 7.03      $ 6.88      $ 3.91      $ 7.28   
 

 

 

 
             

Total Investment Return 4

  

                                               

Based on net asset value

    2.53% 5       15.53%        7.15%        22.11%        79.91%        (38.98)% 5       (5.49)%   
 

 

 

 

Based on market price

    (10.76)% 5       12.44%        20.39%        11.66%        99.76%        (39.46)% 5       (4.81)%   
 

 

 

 
             

Ratios to Average Net Assets

  

                                       

Total expenses

    1.41% 6,7       1.25%        1.15%        1.18%        1.18%        2.29% 6       2.33%   
 

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    1.14% 6,7       1.25%        1.15%        1.18%        1.18%        2.29% 6       2.33%   
 

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and income tax

    0.82% 6,7       0.92% 8       0.90%        0.89%        0.92%        1.17% 6       0.83%   
 

 

 

 

Net investment income

    7.71% 6       8.48%        8.67%        9.28%        11.36%        11.45% 6       9.15%   
 

 

 

 
             

Supplemental Data

  

                                       

Net assets, end of period (000)

  $ 267,698      $ 271,617      $ 254,176      $ 257,909      $ 230,593      $ 144,800      $ 267,698   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 108,000      $ 98,000      $ 67,000      $ 63,000      $ 72,000      $ 38,700      $ 64,700   
 

 

 

 

Average borrowings outstanding, during the period (000)

  $ 101,310      $ 91,655      $ 63,281      $ 55,304      $ 42,184      $ 59,553      $ 81,598   
 

 

 

 

Portfolio turnover

    36%        74%        71%        83%        85%        37%        38%   
 

 

 

 

Asset coverage, end of period per $1,000

  $ 3,479      $ 3,772      $ 4,794      $ 5,094      $ 4,203      $ 4,742      $ 5,138   
 

 

 

 

 

1    

Consolidated Financial Highlights.

 

2    

Based on average shares outstanding.

 

3    

Dividends are determined in accordance with federal income tax regulations.

 

4    

Total investment returns based on market price, 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 assume the reinvestment of dividends and distributions.

 

5    

Aggregate total investment return.

 

6    

Annualized.

 

7    

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and paid indirectly, and total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and income tax would have been 1.14%, 1.14% and 0.82%, respectively.

 

8    

For the year ended February 28, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 0.86%.

 

See Notes to Consolidated Financial Statements.      
                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    77


Table of Contents
Financial Highlights    BlackRock Corporate High Yield Fund III, Inc.  (CYE)

 

   

Six Months Ended
August 31,

2013
(Unaudited) 1

    Year Ended
February 28,
2013 1
    Year Ended
February 29,
2012 1
    Year Ended February 28,    

Period

June 1, 2008

to February 28,
2009

   

Year Ended

May 31,

2008

 
          2011     2010      
             
Per Share Operating Performance                                                        

Net asset value, beginning of period

  $ 7.88      $ 7.41      $ 7.56      $ 6.69      $ 4.05      $ 7.62      $ 8.99   
 

 

 

 

Net investment income 2

    0.31        0.64        0.63        0.65        0.64        0.50        0.73   

Net realized and unrealized gain (loss)

    (0.12     0.50        (0.15     0.83        2.68        (3.51     (1.33
 

 

 

 

Net increase (decrease) from investment operations

    0.19        1.14        0.48        1.48        3.32        (3.01     (0.60
 

 

 

 

Dividends from net investment income

    (0.31     (0.67 ) 3       (0.63 ) 3       (0.61 ) 3       (0.68 ) 3       (0.56 ) 3       (0.77 ) 3  
 

 

 

 

Net asset value, end of period

  $ 7.76      $ 7.88      $ 7.41      $ 7.56      $ 6.69      $ 4.05      $ 7.62   
 

 

 

 

Market price, end of period

  $ 6.97      $ 7.89      $ 7.75      $ 7.14      $ 6.67      $ 3.57      $ 7.03   
 

 

 

 
             
Total Investment Return 4                                                    

Based on net asset value

    2.61% 5       16.16%        7.11%        23.50%        86.65%        (39.69)% 5       (5.69)%   
 

 

 

 

Based on market price

    (7.95)% 5       11.20%        18.62%        16.99%        111.12%        (42.38)% 5       (8.30)%   
 

 

 

 
             
Ratios to Average Net Assets                                           

Total expenses

    1.60% 6,7       1.42%        1.38%        1.37%        1.34%        2.45% 6       2.47%   
 

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    1.36% 6,7       1.42%        1.38%        1.37%        1.33%        2.45% 6       2.47%   
 

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and income tax

    0.99% 6,7       1.06% 8       1.08%        1.03%        1.04%        1.29% 6       0.96%   
 

 

 

 

Net investment income

    7.64% 6       8.54%        8.76%        9.15%        11.35%        11.80% 6       9.01%   
 

 

 

 
             
Supplemental Data                                           

Net assets, end of period (000)

  $ 291,271      $ 296,008      $ 277,187      $ 282,259      $ 249,721      $ 151,261      $ 284,361   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 121,000      $ 117,000      $ 86,000      $ 91,000      $ 76,000      $ 44,200      $ 71,700   
 

 

 

 

Average borrowings outstanding, during the period (000)

  $ 117,011      $      $ 83,997      $ 69,937      $ 49,196      $ 65,500      $ 88,466   
 

 

 

 

Portfolio turnover

    36%        74%        70%        89%        89%        37%        38%   
 

 

 

 

Asset coverage, end of period per $1,000

  $ 3,407      $ 3,530      $ 4,223      $ 4,102      $ 4,286      $ 4,422      $ 4,966   
 

 

 

 

 

1    

Consolidated Financial Highlights.

 

2    

Based on average shares outstanding.

 

3    

Dividends are determined in accordance with federal income tax regulations.

 

4    

Total investment returns based on market price, 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 assume the reinvestment of dividends and distributions.

 

5    

Aggregate total investment return.

 

6    

Annualized.

 

7    

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and paid indirectly, and total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and income tax would have been 1.36%, 1.36% and 0.99%, respectively.

 

8    

For the year ended February 28, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.00%.

 

 

See Notes to Consolidated Financial Statements.      
                
78    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Financial Highlights    BlackRock Debt Strategies Fund, Inc. (DSU)

 

   

Six Months Ended
August 31,
2013
(Unaudited) 1

   

Year Ended
February 28,
2013 1

   

Year Ended
February 29,
2012 1

    Year Ended February 28,  
          2011     2010     2009  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 4.38      $ 4.13      $ 4.28      $ 3.89      $ 2.35      $ 5.57   
 

 

 

 

Net investment income 2

    0.16        0.33        0.33        0.33        0.39        0.52   

Net realized and unrealized gain (loss)

    (0.06     0.25        (0.16     0.40        1.55        (3.12
 

 

 

 

Net increase (decrease) from investment operations

    0.10        0.58        0.17        0.73        1.94        (2.60
 

 

 

 

Dividends and distributions from:

           

Net investment income

    (0.16 ) 3       (0.33 ) 4       (0.32 ) 4       (0.33 ) 4       (0.39 ) 4       (0.62 ) 4  

Tax return of capital

                         (0.01 ) 4       (0.01 ) 4         
 

 

 

 

Total dividends and distributions

    (0.16     (0.33     (0.32     (0.34     (0.40     (0.62
 

 

 

 

Net asset value, end of period

  $ 4.32      $ 4.38      $ 4.13      $ 4.28      $ 3.89      $ 2.35   
 

 

 

 

Market price, end of period

  $ 3.94      $ 4.46      $ 4.13      $ 4.05      $ 3.91      $ 2.07   
 

 

 

 
           
Total Investment Return 5                                    

Based on net asset value

    2.37% 6       14.78%        4.53%        19.92%        87.82%        (50.19)%   
 

 

 

 

Based on market price

    (8.31)% 6        16.87%        10.47%        12.90%        114.32%        (54.99)%   
 

 

 

 
           
Ratios to Average Net Assets                                   

Total expenses

    1.45% 7,8       1.41%        1.44% 10       1.27%        1.23%        2.42%   
 

 

 

 

Total expenses after fees waived

    1.45% 7,8       1.41%        1.44% 10       1.27%        1.23%        2.42%   
 

 

 

 

Total expenses after fees waived and excluding interest expense and income tax

    1.05% 7,8       1.04% 9       1.06% 9       1.02%        1.02%        1.20%   
 

 

 

 

Net investment income

    7.00% 7       7.89%        7.99% 10       8.22%        12.16%        11.79%   
 

 

 

 
           
Supplemental Data                                   

Net assets, end of period (000)

  $ 467,950      $ 474,953      $ 445,824      $ 461,247      $ 419,222      $ 252,080   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 183,000      $ 19,000      $ 145,000      $ 117,000      $ 67,000      $ 90,000   
 

 

 

 

Average borrowings outstanding, during the period (000)

  $ 197,125      $ 177,975      $ 142,596      $ 89,362      $ 58,574      $ 163,286   
 

 

 

 

Portfolio turnover

    31%        72%        59%        81%        86%        44%   
 

 

 

 

Asset coverage, end of period per $1,000

  $ 3,557      $ 3,500      $ 4,075      $ 4,942      $ 7,257      $ 3,801   
 

 

 

 

 

1    

Consolidated Financial Highlights.

 

2    

Based on average shares outstanding.

 

3    

A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

 

4    

Dividends and distributions are determined in accordance with federal income tax regulations.

 

5    

Total investment returns based on market price, 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 assume the reinvestment of dividends and distributions.

 

6    

Aggregate total investment return.

 

7    

Annualized.

 

8    

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived, and total expenses after fees waived and excluding interest expense and income tax would have been 1.38%, 1.38% and 0.97%, respectively.

 

9    

For the years ended February 28, 2013 and February 29, 2012 the total expense ratio after fees waived and excluding interest expense, borrowing costs and income tax were 0.98% and 0.95%, respectively.

 

10    

Restated to include income taxes for the consolidated entity.

 

See Notes to Consolidated Financial Statements.      
                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    79


Table of Contents
Financial Highlights    BlackRock Senior High Income Fund, Inc. (ARK)

 

   

Six Months Ended
August 31,
2013
(Unaudited) 1

   

Year Ended
February 28,
2013 1

   

Year Ended
February 29,
2012 1

    Year Ended February 28,  
          2011     2010     2009  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 4.35      $ 4.15      $ 4.22      $ 3.91      $ 2.54      $ 5.04   
 

 

 

 

Net investment income 2

    0.15        0.32        0.32        0.32        0.36        0.41   

Net realized and unrealized gain (loss)

    (0.07     0.20        (0.06     0.32        1.31        (2.43
 

 

 

 

Net increase (decrease) from investment operations

    0.08        0.52        0.26        0.64        1.67        (2.02
 

 

 

 

Dividends and distributions from:

           

Net investment income

    (0.15 ) 3       (0.32 ) 4       (0.33 ) 4       (0.33 ) 4       (0.30 ) 4       (0.43 ) 4  

Tax return of capital

                                       (0.05 ) 4  
 

 

 

 

Total dividends and distributions

    (0.15     (0.32     (0.33     (0.33     (0.30     (0.48
 

 

 

 

Net asset value, end of period

  $ 4.28      $ 4.35      $ 4.15      $ 4.22      $ 3.91      $ 2.54   
 

 

 

 

Market price, end of period

  $ 3.90      $ 4.34      $ 4.06      $ 4.18      $ 3.94      $ 2.21   
 

 

 

 
           
Total Investment Return 5                                    

Based on net asset value

    1.91% 6       13.08%        6.86%        17.13%        68.90%        (42.15)%   
 

 

 

 

Based on market price

    (6.93)% 6        15.32%        5.54%        15.13%        95.61%        (48.33)%   
 

 

 

 
           
Ratios to Average Net Assets                                   

Total expenses

    1.61% 7,8       1.27%        1.25% 10       1.13%        1.13%        2.24%   
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.23% 7,8       1.27%        1.25% 10       1.13%        1.13%        2.24%   
 

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense and income tax

    0.85% 7,8       0.94% 9       0.94% 9       0.90%        0.93%        1.05%   
 

 

 

 

Net investment income

    6.77% 7       7.60%        7.80% 10       7.83%        10.70%        9.96%   
 

 

 

 
           
Supplemental Data                                   

Net assets, end of period (000)

  $ 243,478      $ 247,124      $ 235,316      $ 238,760      $ 221,173      $ 143,643   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 87,000      $ 98,000      $ 69,000      $ 50,000      $ 43,000      $ 47,000   
 

 

 

 

Average borrowings outstanding, during the period (000)

  $ 97,989      $ 85,071      $ 66,806      $ 41,405      $ 29,978      $ 79,422   
 

 

 

 

Portfolio turnover

    28%        68%        60%        83%        80%        49%   
 

 

 

 

Asset coverage, end of period per $1,000

  $ 3,799      $ 3,522      $ 4,410      $ 5,775      $ 6,144      $ 4,056   
 

 

 

 

 

1    

Consolidated Financial Highlights.

 

2    

Based on average shares outstanding.

 

3    

A portion of the dividends from net investment income may be deemed a tax return of capital or net realized gain at fiscal year end.

 

4    

Dividends and distributions are determined in accordance with federal income tax regulations.

 

5    

Total investment returns based on market price, 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 assume the reinvestment of dividends and distributions.

 

6    

Aggregate total investment return.

 

7    

Annualized.

 

8    

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed, and total expenses after fees waived and/or reimbursed and excluding interest expense and income tax would have been 1.23%, 1.23% and 0.85%, respectively.

 

9    

For the years ended February 28, 2013 and February 29, 2012, the total expense ratio after fees waived and excluding interest expense, borrowing costs and income tax were 0.87% and 0.83%, respectively.

 

10    

Restated to include income taxes for the consolidated entity.

 

 

See Notes to Consolidated Financial Statements.      
                
80    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Notes to Consolidated Financial Statements     

 

1. Organization:

BlackRock Corporate High Yield Fund, Inc. (“COY”), BlackRock Corporate High Yield Fund III, Inc. (“CYE”) and BlackRock Debt Strategies Fund, Inc. (“DSU”) are registered under 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. COY, CYE, DSU and ARK are referred to collectively as the “Funds” or individually as a “Fund”. The Funds are organized as Maryland corporations. The Boards of Directors of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board”, and the directors thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the NAVs of their Common Shares on a daily basis.

Reorganizations: On June 5, 2013, the Board of COY and CYE approved the reorganization of COY and CYE with BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), with HYT continuing as the surviving fund after the reorganizations. It is currently expected that the reorganizations will be completed in late 2013. Reorganization costs incurred by COY, CYE and HYT in connection with the reorganization were expensed. BlackRock Advisors, LLC (the “Manager”) reimbursed COY and CYE $375,000 and $355,000, respectively, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.

On July 19, 2013, the Board of DSU and the Boards of ARK and BlackRock Strategic Bond Trust (“BHD”) approved the reorganization of DSU with ARK and BHD separately, with DSU continuing as the surviving fund after the reorganizations. It is currently expected that the reorganizations will be completed in late 2013. Reorganization costs incurred by DSU and ARK in connection with the reorganization were expensed. The Manager reimbursed ARK $470,000, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.

Basis of Consolidation: The accompanying consolidated financial statements include the accounts of BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (the “Luxembourg Subsidiaries”) and DSU Subsidiary, LLC and ARK Subsidiary, LLC (the “US Subsidiaries”), all of which are wholly owned subsidiaries of each respective Fund (the “Subsidiaries”). The US Subsidiaries enable the Funds to hold investments in operating companies and satisfy regulated investment company (“RIC”) tax requirements. Income earned and gains realized on the investments held by the US Subsidiaries are taxable to such subsidiaries. The Luxembourg Subsidiaries hold shares of private Canadian companies. These shares are held in the Luxembourg Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Subsidiaries may be taxable to such subsidiaries in Luxembourg. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations. A tax provision for realized and unrealized gains, if any, is included as reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations. Each Fund may invest up to 25% of its total assets in the US Subsidiary/Subsidiaries. Intercompany accounts and transactions have been eliminated. Both the US and Luxembourg Subsidiaries are subject to the same investment policies and restrictions that apply to the Funds.

2. Significant Accounting Policies:

The Funds’ consolidated 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 of assets and liabilities in the consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds:

Valuation: US GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Funds for all financial instruments.

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. 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, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV 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 Stock Market (“NASDAQ”) are valued at the last reported sale

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    81


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

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.

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 and swaptions 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 that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, 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 Global Valuation Committee, or its delegate, 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 Global Valuation Committee, or its delegate, deem relevant consistent with the principles of fair value measurement which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence each Fund’s pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

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 affect the value of such instruments materially, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using, or its delegate, using a pricing service and/or policies approved by the Board.

Foreign Currency: The Funds’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that each Fund either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts, foreign currency exchange contracts, options written or swaps), or certain borrowings (e.g., loan payable), each Fund 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 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, a fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer 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 and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in

 

                
82    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

excess of a Fund’s earnings and profits , will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. Capital losses carried forward from years beginning before 2011 do not reduce earnings and profits, even if such carried forward losses offset current year realized gains. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is the Funds’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to RICs and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Subsidiaries.

The Funds file US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s US federal tax returns remains open for each of the four years ended February 28, 2013. The statutes of limitations on the Funds’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the independent 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 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 Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Deferred compensation liabilities are included in officer’s and directors’ fees payable in the Consolidated Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

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 Consolidated 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.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: The Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Funds may have to subsequently reinvest the proceeds at lower interest rates. If the Funds have purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

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.

Capital Trusts: The Funds may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: The Funds may invest in preferred stock. 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.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    83


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

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 leveraged. 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 the London Interbank Offered Rate (“LIBOR”), 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 the Fund purchases 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. 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”) or assignments (“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 general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). 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 included in interest income in the Consolidated Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations. As of August 31, 2013, the Funds had the following unfunded floating rate loan interests:

 

      Borrower   Unfunded
Floating Rate
Loan Interest
    Value of
Underlying
Floating Rate
Loan Interest
    Unrealized
Appreciation
(Depreciation)
 

COY

  Media General, Inc.   $ 625,000      $ 626,156      $ 7,406   

CYE

  Media General, Inc.   $ 680,000      $ 681,258      $ 8,058   

DSU

  Media General, Inc.   $ 760,000      $ 761,406      $ 8,974   
  Power Team Services LLC   $ 45,000      $ 44,494      $ (288

ARK

  Media General, Inc.   $ 400,000      $ 400,740      $ 4,723   
    Power Team Services LLC   $ 23,333      $ 23,071      $ (149

4. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge their exposure to certain risks such as credit risk, equity risk, interest rate risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Funds purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk). Financial futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Upon entering into a financial futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Consolidated Schedules of Investments and cash deposited is recorded on the Consolidated Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 variation margin. Variation margin is recorded by the Funds as unrealized appreciation or depreciation, and if applicable, as a receivable or payable for variation margin in the Consolidated Statements of Assets and Liabilities. 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

 

                
84    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates 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, or hedge exposure away from, 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 Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. 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.

Options: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments including equity risk and/or credit risk and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike 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 or strike 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 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. 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 written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: The Funds enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Consolidated Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Funds for OTC swaps are recorded in the Consolidated Statements of Operations as realized gains or losses, respectively. When an OTC 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.

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Consolidated Schedules of Investments and cash deposited is recorded on the Consolidated Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Consolidated Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Consolidated Statements of Operations.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty 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.

 

Ÿ  

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 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 protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    85


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

 

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 occur. As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) 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 the 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 the 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 the index.

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure:

 

Fair Values of Derivative Financial Instruments as of August 31, 2013  
    Derivative Assets  
   

 

  COY      CYE      DSU      ARK  
      Consolidated Statements of Assets and
Liabilities Location
  Value  

Interest rate contracts

  Net unrealized appreciation/depreciation 1   $ 4,414       $ 4,708                   

Foreign currency exchange contracts

  Unrealized appreciation on foreign currency exchange contracts     407,908         436,192       $ 352,390       $ 753   

Credit contracts

  Net unrealized appreciation/depreciation 1 ; Unrealized appreciation on swaps; Swap premiums paid     596,919         616,462         119,751           

Equity contracts

  Investments at value — unaffiliated 2     1,213,665         1,322,693                   

Total

    $ 2,222,906       $ 2,380,055       $ 472,141       $ 753   
   

 

 

 
            
      Derivative Liabilities  
   

 

  COY      CYE      DSU      ARK  
      Consolidated Statements of Assets and
Liabilities Location
  Value  

Interest rate contracts

  Net unrealized appreciation/depreciation 1   $ (1,438    $ (1,580                

Foreign currency exchange contracts

  Unrealized depreciation on foreign currency exchange contracts     (242,208      (262,631    $ (193,655        

Credit contracts

  Unrealized depreciation on swaps 1 ; Swap premiums received     (1,174,213      (1,097,596      (1,096,639        

Equity contracts

  Options written at value     (280,700      (305,850                

Total

    $ (1,698,559    $ (1,667,657    $ (1,290,294        
   

 

 

 

 

  1  

Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedules of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities.

 

  2  

Includes options purchased at value as reported in the Consolidated Schedules of Investments.

 

                
86    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

The Effect of Derivative Financial Instruments in the Consolidated Statements of Operations
Six Months Ended August 31, 2013
 
    Net Realized Gain (Loss) From  
      COY      CYE      DSU      ARK  
Interest rate contracts:           

Financial futures contracts

  $ (7,099    $ (8,550                
Foreign currency exchange contracts:           

Foreign currency transactions

    515,444         608,121       $ 434,677       $ 22,163   
Credit contracts:           

Options 1

    70,875         77,000                   

Swaps

    452,343         455,583         307,831         5,065   
Equity contracts:           

Financial futures contracts

    (608,842      (656,206                

Options 1

    128,740         140,297                   

Total

  $ 551,461       $ 616,245       $ 742,508       $ 27,228   
 

 

 

 
             
             Net Change in Unrealized Appreciation/Depreciation on  
             COY      CYE      DSU      ARK  
Interest rate contracts:           

Financial futures contracts

  $ 2,976       $ 3,128                   
Foreign currency exchange contracts:           

Foreign currency translations

    (778,463      (848,450    $ (769,388    $ (19,451
Credit contracts:           

Options 1

    (47,860      (51,996                

Swaps

    (356,389      (385,674      (259,170      1,286   
Equity contracts:           

Financial futures contracts

    59,470         63,559                   

Options 1

    157,465         171,792                   

Total

  $ (962,801    $ (1,047,641    $ (1,028,558    $ (18,165
 

 

 

    

 

 

    

 

 

    

 

 

 

1    Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

 

For the six months ended August 31, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

      

  

             COY      CYE      DSU      ARK  
Financial futures contracts:           

Average number of contracts sold

    31         33                   

Average notional value of contracts sold

  $ 4,246,633       $ 4,600,469                   
Foreign currency exchange contracts:           

Average number of contracts — US dollars purchased

    13         12         10         1   

Average number of contracts — US dollars sold

    2         2         1         2 2  

Average US dollar amounts purchased

  $ 34,707,149       $ 37,178,767       $ 30,330,813       $ 97,972   

Average US dollar amounts sold

  $ 426,589       $ 735,803       $ 695,499       $ 372,666 2  
Options:           

Average number of option contracts purchased

    1,806         1,968                   

Average number of option contracts written

    1,105         1,203                   

Average notional value of option contracts purchased

  $ 30,785,212       $ 33,584,634                   

Average notional value of option contracts written

  $ 17,238,000       $ 18,759,000                   

Average number of swaption contracts written

    1         1                   

Average notional value of swaption contracts written

  $ 4,050,000       $ 4,400,000                   
Credit default swaps:           

Average number of contracts — buy protection

    2         2         1           

Average number of contracts — sell protection

    27         23         13           

Average notional value — buy protection

  $ 91,403       $ 100,442       $ 2,750,000           

Average notional value — sell protection

  $ 7,867,963       $ 7,507,772       $ 3,924,909           

 

  2    

Actual contract amount shown due to limited activity.

 

Counterparty Credit Risk: A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform.

With exchange traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments,

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    87


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, 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 Fund fails 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.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Consolidated Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Consolidated Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer is required which is determined at the close of business of the Funds and any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. Each Fund attempts to mitigate 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.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting agreements in the Consolidated Statements of Assets and Liabilities. At August 31, 2013, the Funds’ derivative assets and liabilities (by type) are as follows:

 

COY   Assets     Liabilities  
Derivative Financial Instruments:    

Financial futures contracts

  $ 1,250          

Foreign currency exchange contracts

    407,908      $ 242,208   

Swaps

    596,919        1,174,213   

Options

    1,213,665        280,700   
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

    2,219,742        1,697,121   
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    (1,564,847     (281,036
 

 

 

 

Total assets and liabilities subject to a MNA

  $ 654,895      $ 1,416,085   
 

 

 

 
   
CYE   Assets     Liabilities  
Derivative Financial Instruments:    

Financial futures contracts

  $ 1,375          

Foreign currency exchange contracts

    436,192      $ 262,631   

Swaps

    616,462        1,097,596   

Options

    1,322,693        305,850   
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

    2,376,722        1,666,077   
 

 

 

 

Derivatives not subject to a MNA

    (1,683,879     (306,167
 

 

 

 

Total assets and liabilities subject to a MNA

  $ 692,843      $ 1,359,910   
 

 

 

 

 

                
88    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

DSU   Assets     Liabilities  

Derivative Financial Instruments:

   

Foreign currency exchange contracts

  $ 352,390      $ 193,655   

Swaps

    60,137        1,096,639   
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

    412,527        1,290,294   
 

 

 

 

Derivatives not subject to a MNA

    (322,067     (4,218
 

 

 

 

Total assets and liabilities subject to a MNA

  $ 90,460      $ 1,286,076   
 

 

 

 
   
ARK   Assets     Liabilities  

Derivative Financial Instruments:

   

Foreign currency exchange contracts

  $ 753          
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities

    753          
 

 

 

 

Derivatives not subject to a MNA

    (753       
 

 

 

 

Total assets and liabilities subject to a MNA

            
 

 

 

 

The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received and pledged by each Fund as of August 31, 2013:

 

COY  
Counterparty   Derivative Assets
Subject to  a

MNA by
Counterparty
    Derivatives
Available for Offset
    Non-cash Collateral
Received
  Cash  Collateral
Received 1
    Net Amount of
Derivative Assets 2
 

Bank of America N.A.

  $        407      $ (407                

Barclays Bank PLC

    16,230        (76            $ 16,154   

Citibank N.A.

    28,154        (28,154                

Credit Suisse International

    73                        73   

Deutsche Bank AG

    439,274        (273,023     $ (166,251       

Goldman Sachs International

    102,690        (102,690                

JPMorgan Chase Bank N.A.

    68,067        (68,067                
 

 

 

 
  $ 654,895      $ (472,417     $ (166,251   $ 16,227   
 

 

 

   

 

 

   

 

 

 

 

   

 

 

 
         
COY  
Counterparty   Derivative Liabilities
Subject to a
MNA by
Counterparty
    Derivatives
Available for Offset
    Non-cash Collateral
Pledged
  Cash  Collateral
Pledged 3
    Net Amount of
Derivative Liabilities 4
 

Bank of America N.A.

  $ 4,150      $ (407            $ 3,743   

Barclays Bank PLC

    76        (76                

Citibank N.A.

    202,809        (28,154              174,655   

Deutsche Bank AG

    273,023        (273,023                

Goldman Sachs International

    840,323        (102,690       $(600,000)        137,633   

JPMorgan Chase Bank N.A.

    95,704        (68,067              27,637   
 

 

 

 
  $ 1,416,085      $ (472,417       $(600,000)      $ 343,668   
 

 

 

   

 

 

   

 

 

 

 

   

 

 

 
         
CYE  
Counterparty   Derivative Assets
Subject to  a

MNA by
Counterparty
    Derivatives
Available for Offset
    Non-cash Collateral
Received
  Cash  Collateral
Received 1
    Net Amount of
Derivative Assets 2
 

Bank of America N.A.

  $ 370      $ (370                

Barclays Bank PLC

    17,618        (94            $ 17,524   

Citibank N.A.

    364        (364                

Credit Suisse International

    91                        91   

Deutsche Bank AG

    471,644        (296,945     $ (174,699       

Goldman Sachs International

    113,988        (113,988                

JPMorgan Chase Bank N.A.

    88,768        (88,768                
 

 

 

 
  $ 692,843      $ (500,529     $ (174,699   $ 17,615   
 

 

 

   

 

 

   

 

 

 

 

   

 

 

 

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    89


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

CYE  
Counterparty   Derivative Liabilities
Subject to a
MNA by
Counterparty
    Derivatives
Available for Offset
    Non-cash  Collateral
Pledged 3
    Cash Collateral
Pledged
  Net Amount of
Derivative Liabilities 4
 

Bank of America N.A.

  $ 4,150      $ (370            $ 3,780   

Barclays Bank PLC

    94        (94                

Citibank N.A.

    26,161        (364              25,797   

Deutsche Bank AG

    296,945        (296,945                

Goldman Sachs International

    925,022        (113,988   $ (755,283       55,751   

JPMorgan Chase Bank N.A.

    107,538        (88,768              18,770   
 

 

 

 
  $ 1,359,910      $ (500,529   $ (755,283     $ 104,098   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 
         
DSU  
Counterparty   Derivative Assets
Subject to  a

MNA by
Counterparty
    Derivatives
Available for Offset
    Non-cash Collateral
Received
    Cash Collateral
Received
  Net Amount of
Derivative Assets
 

Goldman Sachs International

  $ 6,750      $ (6,750                

JPMorgan Chase Bank N.A.

    83,710        (83,710                
 

 

 

 
  $ 90,460      $ (90,460                
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 
         
DSU  
Counterparty   Derivative Liabilities
Subject to a
MNA by
Counterparty
    Derivatives
Available for Offset
    Non-cash Collateral
Pledged 3
    Cash Collateral
Pledged
  Net Amount of
Derivative Liabilities 4
 

Deutsche Bank AG

  $ 352,155                      $ 352,155   

Goldman Sachs International

    760,634      $ (6,750   $ (753,884         

JPMorgan Chase Bank N.A.

    173,287        (83,710              89,577   
 

 

 

 
  $ 1,286,076      $ (90,460   $ (753,884     $ 441,732   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

  1  

Excess of collateral received from the individual counterparty may not be shown for financial reporting purposes.

 

  2  

Net amount represents the net amount receivable from the counterparty in the event of default.

 

  3    

Excess of collateral pledged to the individual counterparty may not be shown for financial reporting purposes.

 

  4    

Net amount represents the net amount payable due to the counterparty in the event of default.

 

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes of BlackRock, Inc. (“BlackRock”).

Each Fund entered into an Investment Advisory Agreement with 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 paid the Manager a monthly fee based on a percentage of each Fund’s average daily net assets, plus the proceeds of any outstanding borrowings used for leverage, at the following annual rates:

 

COY

    0.50%   

CYE

    0.60%   

DSU

    0.60%   

ARK

    0.50%   

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investment in other affiliated investment companies, if any. This amount is shown as fees waived by Manager in the Consolidated Statements of Operations.

The Manager provides investment management and other services to the Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, each Fund pays the Manager based on the Fund’s net assets, which includes the assets of the Subsidiary.

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.

Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of compensation paid to the Funds’ Chief Compliance Officer, which is included in officer and directors in the Consolidated Statements of Operations.

The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the six months ended

 

                
90    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Notes to Consolidated Financial Statements (continued)     

 

August 31, 2013, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

      Purchases     Sales  

COY

  $ 1,984,305          

CYE

  $ 453,872          

DSU

  $ 3,135,843          

ARK

  $ 2,798,488          

6. Purchases and Sales:

Purchases and sales of investments including paydowns and excluding short-term securities for the six months ended August 31, 2013 were as follows:

 

      Purchases     Sales  

COY

  $ 137,619,395      $ 134,337,568   

CYE

  $ 149,465,668      $ 153,262,781   

DSU

  $ 211,598,965      $ 244,810,494   

ARK

  $ 100,616,917      $ 120,168,517   

 

Transactions in options written for the six months ended August 31, 2013 were as follows:

 

      Calls  
          COY                   CYE  
             

Notional

Amount

(000)

   

Premiums

Received

                 

Notional

Amount

(000)

   

Premiums

Received

 

Outstanding options, beginning of period

  

  $ 4,050      $ 27,540          $ 4,400      $ 29,920   

Options written

  

                     

Options closed

  

    (4,050     (27,540         (4,400     (29,920

Options expired

  

                               
   

 

 

       

 

 

 

Outstanding options, end of period

  

                               
   

 

 

       

 

 

 
             
      Puts  
    COY           CYE  
      Contracts     Notional
Amount
(000)
    Premiums
Received
          Contracts    

Notional

Amount

(000)

   

Premiums

Received

 

Outstanding options, beginning of period

         $ 4,050      $ 70,875               $ 4,400      $ 77,000   

Options written

    2,210               265,802          2,405               289,600   

Options closed

                                           

Options expired

           (4,050     (70,875              (4,400     (77,000
 

 

 

     

 

 

 

Outstanding options, end of period

    2,210             $ 265,802          2,405             $ 289,600   
 

 

 

     

 

 

 

7. Income Tax Information:

As of February 28, 2013, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires February 28,   COY     CYE     DSU     ARK  

2014

                $ 20,233,987      $ 4,906,362   

2015

                  3,578,574        1,585,622   

2017

  $ 14,106,195      $ 12,258,925        56,690,782        27,675,242   

2018

    36,323,237        33,834,777        148,062,952        60,685,648   

2019

                  16,301,990        9,564,345   

No expiration date 1

                  15,790,485        4,915,470   
 

 

 

 

Total

  $ 50,429,432      $ 46,093,702      $ 260,658,770      $ 109,332,689   
 

 

 

 

 

1 Must  be utilized prior to losses subject to expiration.

 

As of August 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

    

  

      COY     CYE     DSU     ARK  

Tax cost

  $ 377,909,483      $ 413,153,797      $ 693,944,974      $ 338,364,521   
 

 

 

 

Gross unrealized appreciation

  $ 14,917,228      $ 16,846,754      $ 25,472,194      $ 11,300,954   

Gross unrealized depreciation

    (16,384,307     (16,933,156     (59,790,687     (12,759,539
 

 

 

 

Net unrealized depreciation

  $ (1,467,079   $ (86,402   $ (34,318,493   $ (1,458,585
 

 

 

 

 

8. Bank Borrowings:

Effective March 1, 2013, the Funds were party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds at any time after February 24, 2014. The Funds have granted a security interest in substantially all of their assets to SSB.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    91


Table of Contents
Notes to Consolidated Financial Statements (concluded)     

 

The SSB Agreement allows for the following maximum commitment amounts:

 

      Commitment
Amounts
 

COY

  $ 132,000,000   

CYE

  $ 144,000,000   

DSU

  $ 231,000,000   

ARK

  $ 122,000,000   

Advances will be made by SSB to the Funds, at the Funds’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Funds pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Funds meet certain conditions. The fees associated with each of the agreements are included in the Consolidated Statements of Operations as borrowing costs. Advances to the Funds as of August 31, 2013 are shown in the Consolidated Statements of Assets and Liabilities as loan payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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, 2013, the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:

 

COY

    0.86%   

CYE

    0.95%   

DSU

    0.95%   

ARK

    0.95%   

9. 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 Consolidated Statements of Assets and Liabilities, less any collateral held by the Funds.

10. Capital Share Transactions:

Each Fund is authorized to issue 200 million shares, all of which were initially classified as Common Shares. Each Board is authorized, however,

to reclassify any unissued shares without approval of Common Shareholders.

For the six months ended August 31, 2013 and the year ended February 28, 2013, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     

Six Months Ended
August 31,

2013

   

Year Ended

February 28,

2013

 

COY

    23,093        148,225   

CYE

    10,434        132,113   

DSU

    60,013        394,680   

ARK

    33,748        191,128   

11. 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, 2013 to Common Shareholders of record on September 16, 2013 as follows:

 

      Common
Dividend
Per Share
 

COY

  $ 0.0495   

CYE

  $ 0.0505   

DSU

  $ 0.0250   

ARK

  $ 0.0240   

Additionally, the Funds declared a net investment income dividend on October 1, 2013 payable to Common Shareholders of record on October 16, 2013 for the same amounts noted above.

On October 11, 2013, the shareholders of COY and CYE approved their respective reorganization. On October 18, 2013, the Manager announced special distributions in connection with the reorganizations. COY and CYE will pay an income distribution on November 1, 2013 to shareholders of record as of October 29, 2013 as follows:

 

      Distribution
Per Share
 

COY

  $ 0.210   

CYE

  $ 0.135   

On October 25, 2013, the shareholders of DSU, ARK and BHD approved their respective reorganizations.

 

                
92    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

The Board of Directors (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Corporate High Yield Fund, Inc. (“COY”), BlackRock Corporate High Yield Fund III, Inc. (“CYE”), BlackRock Debt Strategies Fund, Inc. (“DSU”) and BlackRock Senior High Income Fund, Inc. (“ARK” and together with COY, CYE and DSU, each a “Fund,” and, collectively, the “Funds”) met in person on April 18, 2013 (the “April Meeting”) and June 4-5, 2013 (the “June Meeting”) 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. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) among the Manager, BlackRock Financial Management, Inc. (the “Sub-Advisor”), and 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

Each Board consists of eleven individuals, nine 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 the Funds 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 each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception 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 their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objectives, policies and restrictions; (e) the Funds’ compliance with their Code of Ethics and other 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 and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Boards requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Boards further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Funds by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with its independent legal counsel and BlackRock to 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 as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper 1 and, with respect to DSU and ARK, a customized peer group selected by BlackRock; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning

1    

Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    93


Table of Contents
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

investment management fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund, each for a one-year term ending June 30, 2014. 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 the Funds 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 the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds 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 determinative, 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 the Funds. Throughout the year, the Boards compared Fund performance to the performance of a comparable group of closed-end funds and/or 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. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to their Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable) 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 the Funds; (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; (viii) furnishing analytical and other support to assist the Boards in their consideration of strategic issues such as the merger or consolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, 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: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Funds. In preparation for the April Meeting, the Boards worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and 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, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in its applicable Lipper category, and with respect to DSU and ARK, a customized peer group selected by BlackRock. The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review their methodology. Each Board and its Performance Oversight Committee regularly review, and

 

                
94    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

meet with Fund management to discuss, the performance of its Fund throughout the year.

The Board of CYE noted that CYE ranked in the first quartile against its Lipper Performance Universe for each of the one-, three- and five-year periods reported.

The Board of COY noted that COY ranked in the second quartile against its Lipper Performance Universe for each of the one-, three- and five-year periods reported.

The Board of DSU noted that DSU ranked in the third, second and fourth quartiles against its Customized Lipper Peer Group for the one-, three- and five-year periods reported, respectively. BlackRock believes that the Customized Lipper Peer Group is an appropriate performance metric for DSU. The Board of DSU and BlackRock reviewed and discussed the reasons for DSU’s underperformance during the one- and five-year periods compared to its Customized Lipper Peer Group. The Board of DSU was informed that, among other things, one-year underperformance was mostly driven by DSU’s bank loan allocation, which tends to pursue a higher quality bias. Underperformance for the five-year period is generally a result of less use of leverage relative to peers during 2009 and a difficult 2008. The high yield and bank loan markets produced record gains in 2009, boosting funds employing higher leverage at the expense of those with less.

The Board of ARK noted that ARK ranked in the third quartile against its Customized Lipper Peer Group for each of the one-, three- and five-year periods reported. BlackRock believes that the Customized Lipper Peer Group is an appropriate performance metric for ARK. The Board of ARK and BlackRock reviewed and discussed the reasons for ARK’s underperformance during these periods compared to its Customized Lipper Peer Group. The Board of ARK was informed that, among other things, relative to peers underperformance during the one- and three-year periods was mostly driven by ARK’s bank loan allocation, which tends to pursue a higher quality bias. In a year where lower-rated riskier credits outperformed higher rated assets, this investment approach caused ARK to lag the broader market. Underperformance during the five-year period can be attributed to 2008; both high yield and bank loans markets were down substantially and a strategy that pursued a lower-quality credit bias hampered performance, which was amplified by an already challenging financial market with minimal to no liquidity.

The Boards of DSU and ARK and BlackRock also discussed BlackRock’s strategy for improving the performance of DSU and ARK and BlackRock’s commitment to providing the resources necessary to assist the Funds’ portfolio managers and to improve the Funds’ performance.

The Boards noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Fund’s total net operating expense ratio, as well as actual management fee rate, to those of other funds in its Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2012 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain 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, precision of expense allocations and business mix. As a result, comparing profitability is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. 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 of CYE, COY, DSU and ARK noted that its respective Fund’s contractual management fee rate ranked in the first quartile relative to the Fund’s Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    95


Table of Contents
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

 

order to enable the 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 the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Boards noted that only one closed-end fund in the Fund Complex has breakpoints in its advisory fee 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 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 and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management 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 registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that they had considered the investment by BlackRock’s funds in exchange traded funds (i.e., 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 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.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included completion of the refinancing of auction rate preferred securities; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2014, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund for a one-year term ending June 30, 2014. 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 the Funds and their shareholders. In arriving at their 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 these determinations. The contractual fee arrangements for the Funds 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. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
96    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Officers and Directors     

 

Richard E. Cavanagh, Chairman of the Board and Director

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Director

Paul L. Audet, Director

Michael J. Castellano, Director and Member of the Audit Committee

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

John M. Perlowski, President and Chief Executive Officer

Anne Ackerley, Vice President 1

Brendan Kyne, Vice President

Robert W. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Janey Ahn, Secretary

 

1    

Effective September 13, 2013, Ms. Ackerley resigned as Vice President of the Funds.

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisor

BlackRock Financial Management, Inc.

New York, NY 10055

Custodians

JPMorgan Chase Bank, N.A. 2

New York, NY 10017

State Street Bank and Trust Company 3

Boston, MA 02110

The Bank of New York Mellon 4

New York, NY 10286

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

2    

For COY.

 

3    

For CYE.

 

4    

For DSU and ARK.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    97


Table of Contents
Additional Information     

 

 

Proxy Results

The Annual Meeting of Shareholders was held on July 30, 2013 for shareholders of record on June 3, 2013 to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

 

      

Paul L. Audet

  

Michael J. Castellano

  

Richard E. Cavanagh

       Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

COY

  

24,508,590

  

1,044,735

  

0

  

24,497,059

  

1,056,266

  

0

  

24,729,088

  

   824,237

  

0

CYE

  

25,843,143

  

   834,716

  

0

  

25,787,855

  

   890,004

  

0

  

25,787,738

  

   890,121

  

0

DSU

  

80,066,780

  

2,555,571

  

0

  

79,985,127

  

2,637,224

  

0

  

79,934,819

  

2,687,532

  

0

ARK

  

45,147,399

  

   997,566

  

0

  

45,066,865

  

1,078,100

  

0

  

45,208,960

  

   936,005

  

0

    

Frank J. Fabozzi

  

Kathleen F. Feldstein

  

James T. Flynn

       Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

COY

  

24,498,381

  

1,054,944

  

0

  

24,308,272

  

1,245,053

  

0

  

24,384,726

  

1,168,599

  

0

CYE

  

25,855,509

  

   822,350

  

0

  

25,575,134

  

1,102,725

  

0

  

25,751,559

  

   926,300

  

0

DSU

  

79,949,832

  

2,672,519

  

0

  

79,657,520

  

2,964,831

  

0

  

79,743,796

  

2,878,555

  

0

ARK

  

45,008,812

  

1,136,153

  

0

  

44,970,833

  

1,174,132

  

0

  

44,955,630

  

1,189,335

  

0

    

Henry Gabbay

  

Jerrold B. Harris

  

R. Glenn Hubbard

       Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

COY

  

24,501,624

  

1,051,701

  

0

  

24,399,480

  

1,153,845

  

0

  

24,362,341

  

1,190,984

  

0

CYE

  

25,822,689

  

   855,170

  

0

  

25,716,015

  

   961,844

  

0

  

25,733,639

  

   944,220

  

0

DSU

  

80,072,295

  

2,550,056

  

0

  

79,875,365

  

2,746,986

  

0

  

79,948,947

  

2,673,404

  

0

ARK

  

45,182,123

  

   962,842

  

0

  

45,066,122

  

1,078,843

  

0

  

44,818,751

  

1,326,214

  

0

    

W. Carl Kester

  

Karen P. Robards

    
       Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

COY

  

24,513,183

  

1,040,142

  

0

  

24,441,077

  

1,112,248

  

0

        

CYE

  

25,863,313

  

   814,546

  

0

  

25,850,920

  

   826,939

  

0

        

DSU

  

80,113,092

  

2,509,259

  

0

  

80,003,402

  

2,618,949

  

0

        

ARK

  

45,130,209

  

1,014,756

  

0

  

45,158,094

  

   986,871

  

0

              

 

                
98    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents
Additional Information (continued)     

 

Regulation Regarding Derivatives

 

Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to registered investment companies to regulation by the CFTC if a fund invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps (“CFTC Derivatives”), or if the fund markets itself as providing investment exposure to such instruments. To the extent a Fund uses CFTC-regulated futures, options and swaps, it intends to do so below such prescribed levels and will not market itself as a “commodity pool” or a vehicle for trading such instruments. Accordingly, BlackRock Advisors, LLC has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act (“CEA”) pursuant to Rule 4.5 under the CEA. BlackRock Advisors, LLC is not, therefore, subject to registration or regulation as a “commodity pool operator” under the CEA in respect of each Fund.

 

Dividend Policy

 

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, 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 portion of dividend distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Dividend distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits , will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Consolidated Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

 

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

                
   SEMI-ANNUAL REPORT    AUGUST 31, 2013    99


Table of Contents
Additional Information (concluded)     

 

General Information (concluded)

 

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 the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the 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 how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

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) 882-0052; (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) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

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.

 

                
100    SEMI-ANNUAL REPORT    AUGUST 31, 2013   


Table of Contents

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.

 

 

 

LOGO

 

CEF1-4-8/13-SAR    LOGO


Table of Contents
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
  

(a)    Not Applicable to this semi-annual report

  

(b)    As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

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 – There have been no material changes to these procedures.
Item 11 –    Controls and Procedures
   (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.
   (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
   (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
   (a)(2) – Certifications – Attached hereto
   (a)(3) – Not Applicable
   (b) – Certifications – Attached hereto

 

2


Table of Contents

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 Senior High Income Fund, Inc.

 

By:      

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Senior High Income Fund, Inc.

Date: November 4, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:      

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Senior High Income Fund, Inc.

Date: November 4, 2013

 

By:      

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Senior High Income Fund, Inc.

Date: November 4, 2013

 

3