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 811-08603

Name of Fund: BlackRock Debt Strategies Fund, Inc. (DSU)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011

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

Date of fiscal year end: 02/28/2009

Date of reporting period: 02/28/2009

 

 

Item 1 –

Report to Stockholders




EQUITIES  FIXED INCOME  REAL ESTATE   LIQUIDITY  ALTERNATIVES  BLACKROCK SOLUTIONS

 

 

Annual Report

FEBRUARY 28, 2009

(BLACKROCK LOGO)

BlackRock Corporate High Yield Fund, Inc. (COY)
BlackRock Corporate High Yield Fund III, Inc. (CYE)
BlackRock Debt Strategies Fund, Inc. (DSU)
BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB)
BlackRock Senior High Income Fund, Inc. (ARK)

NOT FDIC INSURED
MAY LOSE VALUE
NO BANK GUARANTEE


 


 

Table of Contents

 

 

 

 





 

 

Page





 

 

 

A Letter to Shareholders

 

3

Annual Report:

 

 

Fund Summaries

 

4

The Benefits and Risks of Leveraging

 

9

Derivative Instruments

 

9

Financial Statements:

 

 

Schedules of Investments

 

10

Statements of Assets and Liabilities

 

40

Statements of Operations

 

41

Statements of Changes in Net Assets

 

42

Statements of Cash Flows

 

45

Financial Highlights

 

46

Notes to Financial Statements

 

50

Report of Independent Registered Public Accounting Firm

 

57

Important Tax Information (Unaudited)

 

57

Automatic Dividend Reinvestment Plans

 

58

Officers and Directors

 

59

Additional Information

 

62


 

 

 




2

ANNUAL REPORT

FEBRUARY 28, 2009



 


A Letter to Shareholders

Dear Shareholder

The present time may well be remembered as one of the most tumultuous periods in financial market history. Over the past year, the housing market collapse and the ensuing credit crisis swelled into an all-out global financial market meltdown, featuring the collapse of storied financial firms, volatile swings in the world’s financial markets and monumental government actions, including the recent passage of the nearly $800 billion American Recovery and Reinvestment Act of 2009.

The US economy appeared somewhat resilient through the first few months of 2008 before becoming mired in the worst recession in decades. The economic data was dire across the board, but worse was the intensifying pace of deterioration in consumer spending, employment, manufacturing and other key indicators. US gross domestic product (GDP) contracted at an annual rate of 6.3% in the 2008 fourth quarter — substantially below forecast and the worst reading since 1982. The Federal Reserve Board (the “Fed”) took forceful action to revive the global economy and financial system. In addition to slashing the federal funds target rate from 3% to a record low range of 0% to 0.25%, the central bank provided enormous cash injections and significantly expanded its balance sheet via various lending and acquisition programs.

Against this backdrop, US equities contended with relentless market volatility, and the sentiment turned decisively negative toward period end. Declines were significant and broad based, with little divergence among the returns for large and small cap stocks. Non-US stocks were not spared either, as the credit crisis revealed itself to be global in nature and economic activity slowed dramatically.

Risk aversion remained the dominant theme in fixed income markets, leading the Treasury sector to top all other asset classes. The high yield market was particularly hard hit in this environment, as economic turmoil, combined with frozen credit markets and substantial technical pressures, took a heavy toll. Meanwhile, tax-exempt issues posted positive returns for the period, but the sector was not without significant challenges, including a shortage of market participants, lack of liquidity, difficult funding environment and backlog of new-issue supply.

In all, investors continued to gravitate toward relative safety, as evidenced in the six- and 12-month returns of the major benchmark indexes:

 

 

 

 

 

 

 

 

Total Returns as of February 28, 2009

 

 

6-month

 

 

12-month

 









US equities (S&P 500 Index)

 

 

(41.82

)%

 

(43.32

)%









Small cap US equities (Russell 2000 Index)

 

 

(46.91

)

 

(42.38

)









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

 

 

(44.58

)

 

(50.22

)









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

 

 

8.52

 

 

8.09

 









Taxable fixed income (Barclays Capital US Aggregate Bond Index*)

 

 

1.88

 

 

2.06

 









Tax-exempt fixed income (Barclays Capital Municipal Bond Index*)

 

 

0.05

 

 

5.18

 









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

 

 

(21.50

)

 

(20.92

)










 

 

*

Formerly a Lehman Brothers index.

 

 

 

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

Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For our most current views on the economy and financial markets, we invite you to visit www.blackrock.com/funds. We thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the months and years ahead.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

 

 

 


THIS PAGE NOT PART OF YOUR FUND REPORT

3



 

 


 

Fund Summary as of February 28, 2009

BlackRock Corporate High Yield Fund, Inc.


 


Investment Objective


 

BlackRock Corporate High Yield Fund, Inc. (COY) (the “Fund”) seeks to provide shareholders with current income with a secondary objective of providing shareholders with capital appreciation. The Fund seeks to achieve its objective by investing primarily in a diversified portfolio of fixed-income securities that are rated below investment grade by the established rating services (Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”) or BB or lower by Standard & Poor’s Corporation (“S&P’s”)) or are unrated securities of comparable quality.

 

The Fund’s fiscal year-end was changed to February 28.

 


Performance


 

For the nine months ended February 28, 2009, the Fund returned (39.46)% based on market price and (38.98)% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (43.59)% on a market price basis and (40.44)% on a NAV basis. 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. This period was one of the worst in high yield market history. In this environment, the Fund was positioned conservatively, with an emphasis on defensive sectors, an allocation to bank loans and higher-than-normal cash balances. For most of the period, the Fund also had lower leverage than the majority of its Lipper peers. All of this aided relative performance in a difficult market.


 

 

 

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

 

 


Fund Information



 

 

 

Symbol on New York Stock Exchange

 

COY

Initial Offering Date

 

June 25, 1993

Yield on Closing Market Price as of February 28, 2009 ($3.91)1

 

18.72%

Current Monthly Distribution per Common Share2

 

$0.061

Current Annualized Distribution per Common Share2

 

$0.732

Leverage as of February 28, 20093

 

21%





 

 

1

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

 

 

2

The distribution is not constant and is subject to change.

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/09

 

5/31/08

 

Change

 

High

 

Low

 


















Market Price

 

$

3.91

 

$

7.28

 

 

(46.29

)%

$

7.37

 

$

2.71

 

Net Asset Value

 

$

4.19

 

$

7.74

 

 

(45.87

)%

$

7.75

 

$

3.93

 


















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

 

 

 

 

 

 

 

 









Portfolio Composition

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/09

 

5/31/08

 







Corporate Bonds

 

 

82

%

 

87

%

Floating Rate Loan Interests

 

 

16

 

 

10

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

1

 

 

 

Common Stocks

 

 

1

 

 

1

 

Preferred Stocks

 

 

 

 

1

 

Capital Trusts

 

 

 

 

1

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/09

 

5/31/08

 







BBB/Baa

 

 

4

%

 

3

%

BB/Ba

 

 

31

 

 

27

 

B/B

 

 

47

 

 

54

 

CCC/Caa

 

 

12

 

 

14

 

CC/Ca

 

 

1

 

 

 

Not Rated

 

 

5

 

 

2

 










 

 

4

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


 

 

 




4

ANNUAL REPORT

FEBRUARY 28, 2009



 

 



 

 

Fund Summary as of February 28, 2009

BlackRock Corporate High Yield Fund III, Inc.


 


Investment Objective


 

BlackRock Corporate High Yield Fund III, Inc. (CYE) (the “Fund”) seeks to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (Ba or lower by Moody’s or BB or lower by S&P’s) or are unrated securities of comparable quality.

 

The Fund’s fiscal year-end was changed to February 28.

 


Performance


 

For the nine months ended February 28, 2009, the Fund returned (42.38)% based on market price and (39.69)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (43.59)% on a market price basis and (40.44)% on a NAV basis. 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. This period was one of the worst in high yield market history. In this environment, the Fund was positioned conservatively, with an emphasis on defensive sectors, an allocation to bank loans and higher-than-normal cash balances. For most of the period, the Fund also had lower leverage than the majority of its Lipper peers. All of this aided relative performance in a difficult market.


 

 

 

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

 

 



Fund Information



 

 

Symbol on New York Stock Exchange

CYE

Initial Offering Date

January 30, 1998

Yield on Closing Market Price as of February 28, 2009 ($3.57)1

20.17%

Current Monthly Distribution per Common Share2

$0.06

Current Annualized Distribution per Common Share2

$0.72

Leverage as of February 28, 20093

23%




 

 

1

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

 

 

2

The distribution is not constant and is subject to change.

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/09

 

5/31/08

 

Change

 

High

 

Low

 













Market Price

 

$

3.57

 

$

7.03

 

 

(49.22

)%

$

7.07

 

$

2.65

 

Net Asset Value

 

$

4.05

 

$

7.62

 

 

(46.85

)%

$

7.63

 

$

3.81

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/09

 

5/31/08

 







Corporate Bonds

 

 

82

%

 

87

%

Floating Rate Loan Interests

 

 

16

 

 

9

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

1

 

 

 

Common Stocks

 

 

1

 

 

2

 

Preferred Stocks

 

 

 

 

1

 

Capital Trusts

 

 

 

 

1

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/09

 

5/31/08

 







AAA/Aaa

 

 

1

%

 

 

BBB/Baa

 

 

5

 

 

3

%

BB/Ba

 

 

30

 

 

27

 

B/B

 

 

46

 

 

54

 

CCC/Caa

 

 

14

 

 

14

 

CC/Ca

 

 

1

 

 

 

Not Rated

 

 

3

 

 

2

 










 

 

4

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


 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

5



 

 



 

 

Fund Summary as of February 28, 2009

BlackRock Debt Strategies Fund, Inc.


 


Investment Objective


 

BlackRock Debt Strategies Fund, Inc. (DSU) (the “Fund”) seeks to provide current income by investing primarily in a diversified portfolio of US companies’ debt instruments, including corporate loans, that are rated in the lower rating categories of the established rating services (Ba or lower by Moody’s or BB or lower by S&P’s) or unrated debt instruments of comparable quality.

 


Performance


 

For the 12 months ended February 28, 2009, the Fund returned (54.99)% based on market price and (50.19)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (40.21)% on a market price basis and (39.49)% on a NAV basis. 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. During the 12 months, high yield loans, which made up 43% of the Fund’s portfolio as of February 28, 2009, outperformed high yield bonds. This aided the Fund’s relative performance, as most of the funds within the Lipper category comprise high yield bonds. Conversely, the Fund was 26% leveraged as of February 28, 2009, amplifying its negative return during one of the most difficult periods in market history. The Fund’s allocation to lower credit quality issues also detracted from performance.

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

 


Fund Information



 

 

Symbol on New York Stock Exchange

DSU

Initial Offering Date

March 27, 1998

Yield on Closing Market Price as of February 28, 2009 ($2.07)1

27.83%

Current Monthly Distribution per Common Share2

$0.048

Current Annualized Distribution per Common Share2

$0.576

Leverage as of February 28, 20093

26%




 

 

1

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

 

 

2

A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.0355. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

2/28/09

 

2/29/08

 

Change

 

High

 

Low

 


















Market Price

 

$

2.07

 

$

5.43

 

 

(61.88

)%

$

5.88

 

$

1.81

 

Net Asset Value

 

$

2.35

 

$

5.57

 

 

(57.81

)%

$

5.69

 

$

2.35

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/09

 

2/29/08

 







Corporate Bonds

 

 

53

%

 

57

%

Floating Rate Loan Interests

 

 

43

 

 

39

 

Common Stocks

 

 

3

 

 

3

 

Preferred Stocks

 

 

 

 

1

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

1

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/09

 

2/29/08

 







BBB/Baa

 

 

9

%

 

1

%

BB/Ba

 

 

 

 

14

 

B/B

 

 

59

 

 

51

 

CCC/Caa

 

 

21

 

 

20

 

CC/Ca

 

 

4

 

 

3

 

D

 

 

1

 

 

1

 

Not Rated

 

 

6

 

 

10

 










 

 

4

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


 

 

 




6

ANNUAL REPORT

FEBRUARY 28, 2009



 

 



 

Fund Summary as of February 28, 2009

BlackRock Floating Rate Income Strategies Fund II, Inc.


 


Investment Objective


 

BlackRock Floating Rate Income Strategies Fund II, Inc. (FRB) (the “Fund”) seeks a high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments.

 


Performance


 

For the 12 months ended February 28, 2009, the Fund returned (35.78)% based on market price and (36.46)% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (41.71)% on a market price basis and (34.50)% on a NAV basis. The performance of the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group comprises both closed-end funds and unleveraged continuously offered closed-end funds. The other closed-end funds in the category posted an average return of (39.32)% on a NAV basis. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. This annual period was one of the most difficult in market history. Accordingly, the Fund was invested fairly conservatively with an emphasis on more liquid credits and defensive market sectors, which aided relative performance. Additionally, the Fund ran low levels of leverage compared with its Lipper peers, which helped relative performance in a difficult market. Any leverage hurt absolute performance, however, as the market was down. The Fund ran relatively modest cash balances during the period, which did not significantly impact performance.

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

 


Fund Information



 

 

Symbol on New York Stock Exchange

FRB

Initial Offering Date

July 30, 2004

Yield on Closing Market Price as of February 28, 2009 ($8.28)1

16.43%

Current Monthly Distribution per Common Share2

$0.11335

Current Annualized Distribution per Common Share2

$1.36020

Leverage as of February 28, 20093

22%




 

 

1

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

 

 

2

A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.10335. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/09

 

2/29/08

 

Change

 

High

 

Low

 


















Market Price

 

$

8.28

 

$

14.75

 

 

(43.86

)%

$

15.85

 

$

6.56

 

Net Asset Value

 

$

8.92

 

$

16.06

 

 

(44.46

)%

$

16.83

 

$

8.55

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/09

 

2/29/08

 







Floating Rate Loan Interests

 

 

71

%

 

70

%

Corporate Bonds

 

 

28

 

 

29

 

Common Stocks

 

 

 

 

1

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

1

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/09

 

2/29/08

 









BBB/Baa

 

 

15

%

 

12

%

BB/Ba

 

 

8

 

 

13

 

B/B

 

 

57

 

 

38

 

CCC/Caa

 

 

15

 

 

26

 

CC/Ca

 

 

2

 

 

 

D

 

 

1

 

 

 

Not Rated

 

 

2

 

 

11

 










 

 

4

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


 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

7



 

 



 

 

Fund Summary as of February 28, 2009

BlackRock Senior High Income Fund, Inc.


 


Investment Objective


BlackRock Senior High Income Fund, Inc. (ARK) (the “Fund”) seeks to provide shareholders with as high a level of current income as is consistent with its investment policies and prudent investment management 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.

 


Performance


For the 12 months ended February 28, 2009, the Fund returned (48.33)% based on market price and (42.15)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (40.21)% on a market price basis and (39.49)% on a NAV basis. 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. During the period, high yield loans, which made up 44% of the Fund’s portfolio as of February 28, 2009, outperformed high yield bonds. This aided the Fund’s relative performance, as most of the funds within the Lipper category comprise high yield bonds. Conversely, the Fund was 25% leveraged as of February 28, 2009, amplifying its negative return during one of the most difficult periods in market history. The Fund’s allocation to lower credit quality issues also detracted from performance.

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

 


Fund Information



 

 

Symbol on New York Stock Exchange

ARK

Initial Offering Date

April 30, 1993

Yield on Closing Market Price as of February 28, 2009 ($2.21)1

19.00%

Current Monthly Distribution per Common Share2

$0.035

Current Annualized Distribution per Common Share2

$0.420

Leverage as of February 28, 20093

25%




 

 

1

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

 

 

2

A change in the distribution rate was declared on March 2, 2009. The Monthly Distribution per Share was decreased to $0.0250. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

2/28/09

 

2/29/08

 

Change

 

High

 

Low

 


















Market Price

 

$

2.21

 

$

4.91

 

 

(54.99

)%

$

5.20

 

$

1.88

 

Net Asset Value

 

$

2.54

 

$

5.04

 

 

(49.60

)%

$

5.19

 

$

2.50

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 









 

 

2/28/09

 

2/29/08

 









Corporate Bonds

 

 

55

%

 

52

%

Floating Rate Loan Interests

 

 

44

 

 

48

 

Non-U.S. Government Agency Mortgage-Backed Securities

 

 

1

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 









 

 

2/28/09

 

2/29/08

 









BBB/Baa

 

 

2

%

 

5

%

BB/Ba

 

 

22

 

 

21

 

B/B

 

 

59

 

 

62

 

CCC/Caa

 

 

8

 

 

6

 

CC/Ca

 

 

3

 

 

3

 

D

 

 

1

 

 

 

Not Rated

 

 

5

 

 

3

 










 

 

4

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


 

 

 




8

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

The Benefits and Risks of Leveraging

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

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

The interest earned on securities purchased with the proceeds from leverage is paid to Common Shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV of each Fund’s Common Shares. However, in order to benefit Common 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, returns to Common Shareholders will be lower than if the Funds had not used leverage.

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

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

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

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

Under the Investment Company Act of 1940, the Funds are permitted to borrow through a credit facility and the issuance of short-term debt securities up to 331/3% of total managed assets. As of February 28, 2009, the Funds had outstanding leverage from credit facility borrowings as a percentage of total managed assets as follows:

 

 

 

 

 





 

 

Percent of
Leverage

 





BlackRock Corporate High Yield Fund, Inc.

 

 

21

%

BlackRock Corporate High Yield Fund III, Inc.

 

 

23

%

BlackRock Debt Strategies Fund, Inc.

 

 

26

%

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

 

22

%

BlackRock Senior High Income Fund, Inc.

 

 

25

%







 


Derivative Instruments


The Funds may invest in various derivative instruments, including swap agreements, forward currency contracts and other instruments specified in the Notes to Financial Statements, which constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the other party to the transaction and illiquidity of the derivative instrument. A Fund’s ability to successfully use a derivative instrument depends on the investment advisor’s ability to accurately predict pertinent market movements, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require the Funds to sell or purchase portfolio securities at inopportune times or for prices other than current market values, may limit the amount of appreciation the Funds can realize on an investment or may cause the Funds to hold a security that they might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

9



 

 

 


 

Schedule of Investments February 28, 2009

 

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Aerospace & Defense — 0.0%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC,
8.875%, 4/01/15 (a)

USD

 

275

 

$

22,000

 









Airlines — 0.6%

 

 

 

 

 

 

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

674

 

 

488,997

 

Series 2001-1-C, 7.033%, 12/15/12

 

 

300

 

 

216,186

 

UAL Corp., 4.50%, 6/30/21 (b)

 

 

340

 

 

155,142

 

 

 

 

 

 




 

 

 

 

 

 

860,325

 









Auto Components — 1.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. (c):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

730

 

 

354,050

 

11.25%, 11/01/15 (a)

 

 

1,085

 

 

417,725

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

1,355

 

 

1,084,000

 

8.625%, 12/01/11

 

 

172

 

 

137,600

 

Lear Corp., 8.75%, 12/01/16

 

 

405

 

 

68,850

 

 

 

 

 

 




 

 

 

 

 

 

2,062,225

 









Automobiles — 0.2%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

710

 

 

227,200

 

Ford Motor Co., 8.90%, 1/15/32

 

 

600

 

 

102,000

 

 

 

 

 

 




 

 

 

 

 

 

329,200

 









Building Products — 0.8%

 

 

 

 

 

 

 

Momentive Performance Materials, Inc.,
11.50%, 12/01/16

 

 

1,535

 

 

322,350

 

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

 

 

1,830

 

 

841,800

 

 

 

 

 

 




 

 

 

 

 

 

1,164,150

 









Capital Markets — 1.0%

 

 

 

 

 

 

 

E*Trade Financial Corp., 12.50%, 11/30/17 (c)

 

 

1,508

 

 

693,680

 

Marsico Parent Co., LLC, 10.625%, 1/15/16 (c)

 

 

1,004

 

 

411,640

 

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

 

 

393

 

 

161,178

 

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

 

 

267

 

 

109,566

 

 

 

 

 

 




 

 

 

 

 

 

1,376,064

 









Chemicals — 2.1%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

800

 

 

672,000

 

Innophos, Inc., 8.875%, 8/15/14

 

 

740

 

 

588,300

 

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

 

 

1,595

 

 

630,025

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

205

 

 

186,550

 

Wellman Holdings, Inc. (b)(c):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10%,
1/29/19

 

 

790

 

 

790,000

 

Third Lien Subordinate Note, 5%, 1/29/19

 

 

240

 

 

168,000

 

 

 

 

 

 




 

 

 

 

 

 

3,034,875

 









Commercial Services & Supplies — 3.6%

 

 

 

 

 

 

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

200

 

 

190,500

 

US Investigations Services, Inc., 10.50%, 11/01/15 (c)

 

 

700

 

 

556,500

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

2,800

 

 

2,212,000

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

700

 

 

490,000

 

11%, 10/15/16

 

 

2,720

 

 

1,740,800

 

 

 

 

 

 




 

 

 

 

 

 

5,189,800

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Dycom Industries, Inc., 8.125%, 10/15/15

 

 

1,650

 

 

1,179,750

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Construction Materials — 1.0%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

USD

 

2,170

 

$

868,000

 

Texas Industries, Inc., 7.25%, 7/15/13

 

 

720

 

 

511,200

 

 

 

 

 

 




 

 

 

 

 

 

1,379,200

 









Containers & Packaging — 6.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%,
9/15/14 (d)

 

 

1,655

 

 

769,575

 

Crown European Holdings SA, 6.25%, 9/01/11

EUR

 

1,200

 

 

1,475,659

 

Graphic Packaging International Corp.:

 

 

 

 

 

 

 

8.50%, 8/15/11

USD

 

1,175

 

 

1,034,000

 

9.50%, 8/15/13

 

 

960

 

 

715,200

 

Impress Holdings BV, 4.219%, 9/15/13 (c)(d)

 

 

390

 

 

288,600

 

Owens-Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

925

 

 

934,250

 

6.75%, 12/01/14

EUR

 

420

 

 

473,884

 

Packaging Dynamics Finance Corp., 10%,
5/01/16 (c)

USD

 

1,255

 

 

539,650

 

Pregis Corp., 12.375%, 10/15/13

 

 

1,130

 

 

502,850

 

Rock-Tenn Co., 8.20%, 8/15/11

 

 

1,875

 

 

1,875,000

 

Smurfit-Stone Container Enterprises, Inc., 8%,
3/15/17 (e)(g)

 

 

1,310

 

 

114,625

 

 

 

 

 

 




 

 

 

 

 

 

8,723,293

 









Diversified Consumer Services — 1.8%

 

 

 

 

 

 

 

Service Corp. International, 7%, 6/15/17

 

 

2,800

 

 

2,548,000

 









Diversified Financial Services — 3.2%

 

 

 

 

 

 

 

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

 

 

490

 

 

447,125

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.125%, 1/16/12

 

 

2,650

 

 

2,049,315

 

Series JD, 3.991%, 9/30/09 (d)

EUR

 

250

 

 

266,227

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.569%, 1/13/12 (d)

USD

 

195

 

 

95,550

 

7.80%, 6/01/12

 

 

200

 

 

108,404

 

GMAC LLC (c):

 

 

 

 

 

 

 

7.25%, 3/02/11

 

 

348

 

 

240,374

 

3.461%, 12/01/14 (d)

 

 

841

 

 

370,040

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

1,250

 

 

1,037,500

 

 

 

 

 

 




 

 

 

 

 

 

4,614,535

 









Diversified Telecommunication Services — 5.7%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc.,
11.375%, 9/01/12

 

 

1,000

 

 

520,000

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

245

 

 

233,975

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

3,535

 

 

2,995,913

 

3.50%, 11/15/25 (b)

 

 

300

 

 

268,125

 

Qwest Corp.:

 

 

 

 

 

 

 

6.069%, 6/15/13 (d)

 

 

1,350

 

 

1,144,125

 

7.625%, 6/15/15

 

 

500

 

 

446,250

 

Windstream Corp., 8.125%, 8/01/13

 

 

2,800

 

 

2,716,000

 

 

 

 

 

 




 

 

 

 

 

 

8,324,388

 









Electric Utilities — 2.6%

 

 

 

 

 

 

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

1,775

 

 

1,628,562

 

NSG Holdings LLC, 7.75%, 12/15/25 (c)

 

 

965

 

 

772,000

 

Tenaska Alabama Partners LP, 7%, 6/30/21 (c)

 

 

1,776

 

 

1,342,026

 

 

 

 

 

 




 

 

 

 

 

 

3,742,588

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

UCAR Finance, Inc., 10.25%, 2/15/12

 

 

49

 

 

44,100

 









Electronic Equipment & Instruments — 0.2%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

600

 

 

210,000

 










 

 

 

See Notes to Financial Statements.


10

ANNUAL REPORT

FEBRUARY 28, 2009



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Energy Equipment & Services — 0.6%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

USD

 

195

 

$

152,587

 

7.75%, 5/15/17

 

 

300

 

 

232,500

 

North American Energy Partners, Inc.,
8.75%, 12/01/11

 

 

355

 

 

279,563

 

Transocean, Inc. Series A, 1.625%, 12/15/37 (b)

 

 

310

 

 

276,288

 

 

 

 

 

 




 

 

 

 

 

 

940,938

 









Food & Staples Retailing — 0.7%

 

 

 

 

 

 

 

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

 

 

750

 

 

450,000

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

940

 

 

507,600

 

 

 

 

 

 




 

 

 

 

 

 

957,600

 









Food Products — 0.5%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (c)

 

 

750

 

 

706,875

 









Health Care Equipment & Supplies — 3.2%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15

 

 

900

 

 

306,000

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

4,900

 

 

3,724,000

 

Hologic, Inc., 2%, 12/15/37 (b)(f)

 

 

815

 

 

529,750

 

Reable Therapeutics, 11.75%, 11/15/14

 

 

80

 

 

52,400

 

 

 

 

 

 




 

 

 

 

 

 

4,612,150

 









Health Care Providers & Services — 2.4%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI,
8.875%, 7/15/15

 

 

250

 

 

236,562

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

330

 

 

293,700

 

6.50%, 6/01/12

 

 

3,355

 

 

2,985,950

 

 

 

 

 

 




 

 

 

 

 

 

3,516,212

 









Hotels, Restaurants & Leisure — 5.7%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

 

2,815

 

 

2,315,337

 

Galaxy Entertainment Finance Co. Ltd. (c):

 

 

 

 

 

 

 

8.133%, 12/15/10 (d)

 

 

225

 

 

168,750

 

9.875%, 12/15/12

 

 

500

 

 

270,000

 

Gaylord Entertainment Co., 8%, 11/15/13

 

 

595

 

 

394,188

 

Great Canadian Gaming Corp., 7.25%, 2/15/15 (c)

 

 

1,860

 

 

1,302,000

 

Greektown Holdings, LLC, 10.75%,
12/01/13 (c)(e)(g)

 

 

522

 

 

46,980

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/18 (a)

 

 

2,254

 

 

138,266

 

10%, 12/15/18 (c)

 

 

526

 

 

147,280

 

Inn of the Mountain Gods Resort & Casino,
12%, 11/15/10

 

 

1,425

 

 

171,000

 

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

 

 

1,175

 

 

540,500

 

Penn National Gaming, Inc., 6.875%, 12/01/11

 

 

1,875

 

 

1,800,000

 

San Pasqual Casino, 8%, 9/15/13 (c)

 

 

925

 

 

689,125

 

Shingle Springs Tribal Gaming Authority, 9.375%,
6/15/15 (c)

 

 

300

 

 

175,500

 

Travelport LLC, 5.886%, 9/01/14 (d)

 

 

145

 

 

46,400

 

Tropicana Entertainment LLC Series WI, 9.625%,
12/15/14 (e)(g)

 

 

315

 

 

3,150

 

Virgin River Casino Corp., 9%, 1/15/12 (e)(g)

 

 

805

 

 

80,500

 

 

 

 

 

 




 

 

 

 

 

 

8,288,976

 









Household Durables — 0.7%

 

 

 

 

 

 

 

American Greetings Corp., 7.375%, 6/01/16

 

 

975

 

 

502,125

 

Jarden Corp., 7.50%, 5/01/17

 

 

710

 

 

553,800

 

 

 

 

 

 




 

 

 

 

 

 

1,055,925

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









IT Services — 1.2%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%,
8/01/13 (b)(c)

 

USD

1,130

 

$

754,275

 

First Data Corp., 9.875%, 9/24/15

 

 

895

 

 

492,250

 

SunGard Data Systems, Inc., 10.625%, 5/15/15 (c)

 

 

530

 

 

447,850

 

 

 

 

 

 




 

 

 

 

 

 

1,694,375

 









Independent Power Producers & Energy Traders — 3.7%

 

 

 

 

 

 

 

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

 

 

994

 

 

964,180

 

Energy Future Holdings Corp., 11.25%,
11/01/17 (a)

 

 

3,300

 

 

1,452,000

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

1,525

 

 

1,437,313

 

7.375%, 2/01/16

 

 

1,165

 

 

1,074,713

 

Texas Competitive Electric Holdings Co. LLC, 10.50%,
11/01/16 (a)

 

 

900

 

 

432,000

 

 

 

 

 

 




 

 

 

 

 

 

5,360,206

 









Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,380

 

 

380,800

 

13.50%, 12/01/15 (a)

 

 

3,402

 

 

404,623

 

 

 

 

 

 




 

 

 

 

 

 

785,423

 









Insurance — 0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (c)

 

 

1,600

 

 

1,032,000

 

USI Holdings Corp., 5.113%, 11/15/14 (c)(d)

 

 

630

 

 

299,250

 

 

 

 

 

 




 

 

 

 

 

 

1,331,250

 









Machinery — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

720,000

 

Accuride Corp., 8.50%, 2/01/15

 

 

515

 

 

154,500

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

420

 

 

316,050

 

 

 

 

 

 




 

 

 

 

 

 

1,190,550

 









Marine — 0.8%

 

 

 

 

 

 

 

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

 

 

570

 

 

275,025

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

442

 

 

265,200

 

Teekay Shipping Corp., 8.875%, 7/15/11

 

 

640

 

 

608,000

 

 

 

 

 

 




 

 

 

 

 

 

1,148,225

 









Media — 11.9%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

1,255

 

 

972,625

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

735

 

 

330,750

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

200

 

 

156,000

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

1,875

 

 

56,250

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (c)

 

 

370

 

 

355,200

 

Series B, 7.625%, 4/01/11

 

 

325

 

 

321,750

 

Cablevision Systems Corp. Series B:

 

 

 

 

 

 

 

8.334%, 4/01/09 (d)

 

 

490

 

 

490,000

 

8%, 4/15/12

 

 

425

 

 

411,187

 

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

 

 

2,500

 

 

1,675,000

 

Charter Communications Holdings II, LLC,
10.25%, 9/15/10 (e)

 

 

685

 

 

551,425

 

DIRECTV Holdings LLC, 8.375%, 3/15/13

 

 

260

 

 

262,600

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

6.375%, 10/01/11

 

 

250

 

 

238,750

 

7%, 10/01/13

 

 

90

 

 

83,925

 


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

11



 

 

 


 

Schedule of Investments (continued)

 

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.899%, 5/15/15 (d)

USD

 

330

 

$

114,675

 

9.50%, 5/15/15

 

 

390

 

 

175,500

 

Intelsat Corp., 9.25%, 6/15/16 (c)

 

 

840

 

 

766,500

 

Intelsat Subsidiary Holding Co. Ltd., 8.875%,
1/15/15 (c)

 

 

250

 

 

236,250

 

Liberty Media Corp., 3.125%, 3/30/23 (b)

 

 

1,023

 

 

722,494

 

Local Insight Regatta Holdings, Inc., 11%, 12/01/17

 

 

673

 

 

161,520

 

Mediacom LLC, 9.50%, 1/15/13

 

 

2,250

 

 

1,957,500

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

20

 

 

3,100

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

10%, 8/01/14

 

 

1,740

 

 

1,435,500

 

11.625%, 2/01/14 (c)

 

 

70

 

 

60,550

 

ProtoStar I Ltd., 18%, 10/15/12 (b)(c)

 

 

812

 

 

446,473

 

Rainbow National Services LLC, 10.375%,
9/01/14 (c)

 

 

1,496

 

 

1,531,530

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

2,425

 

 

1,200,375

 

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

 

 

4,095

 

 

1,924,650

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(c)

 

 

1,125

 

 

587,813

 

 

 

 

 

 




 

 

 

 

 

 

17,229,892

 









Metals & Mining — 4.3%

 

 

 

 

 

 

 

Aleris International, Inc. (e)(g):

 

 

 

 

 

 

 

9%, 12/15/14

 

 

950

 

 

95

 

10%, 12/15/16

 

 

800

 

 

1,000

 

FMG Finance Property Ltd. (c):

 

 

 

 

 

 

 

10%, 9/01/13

 

 

500

 

 

425,000

 

10.625%, 9/01/16

 

 

1,210

 

 

1,028,500

 

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

 

 

1,850

 

 

1,669,625

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%,
4/01/15 (d)

 

 

1,180

 

 

882,050

 

Newmont Mining Corp., 1.625%, 7/15/17 (b)

 

 

555

 

 

598,706

 

Novelis, Inc., 7.25%, 2/15/15

 

 

1,875

 

 

585,938

 

Ryerson, Inc. (c):

 

 

 

 

 

 

 

10.568%, 11/01/14 (d)

 

 

380

 

 

193,800

 

12%, 11/01/15

 

 

245

 

 

144,550

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

440

 

 

380,600

 

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

 

 

600

 

 

342,000

 

 

 

 

 

 




 

 

 

 

 

 

6,251,864

 









Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (c)

 

 

1,190

 

 

963,900

 

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

 

 

470

 

 

239,700

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

1,565

 

 

1,455,450

 

7.25%, 12/15/18

 

 

1,540

 

 

1,251,250

 

2.25%, 12/15/38 (b)

 

 

775

 

 

411,719

 

Compton Petroleum Finance Corp.,
7.625%, 12/01/13

 

 

1,505

 

 

504,175

 

Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (c)

 

 

1,245

 

 

473,100

 

Corral Finans AB, 2.594%, 4/15/10 (a)(c)

 

 

2,039

 

 

1,133,017

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

2,600

 

 

2,076,750

 

Encore Acquisition Co., 6.25%, 4/15/14

 

 

1,850

 

 

1,461,500

 

Forest Oil Corp., 7.25%, 6/15/19 (c)

 

 

2,135

 

 

1,708,000

 

Massey Energy Co., 3.25%, 8/01/15 (b)

 

 

1,210

 

 

768,350

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

1,600

 

 

544,000

 

PetroHawk Energy Corp. (c):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

530

 

 

522,050

 

7.875%, 6/01/15

 

 

450

 

 

387,000

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

350

 

 

235,375

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

8.625%, 4/01/15 (a)

 

 

1,000

 

 

690,000

 

8%, 6/01/18 (c)

 

 

935

 

 

729,300

 

 

 

 

 

 




 

 

 

 

 

 

15,554,636

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Paper & Forest Products — 1.9%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 6.319%, 6/15/11 (d)

USD

 

760

 

$

68,400

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (c)

 

 

313

 

 

141,087

 

Bowater, Inc., 4.996%, 3/15/10 (d)

 

 

2,625

 

 

472,500

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

 

145

 

 

140,650

 

NewPage Corp., 10%, 5/01/12

 

 

2,550

 

 

771,375

 

Norske Skog Canada Ltd. Series D,
8.625%, 6/15/11

 

 

825

 

 

379,500

 

Verso Paper Holdings LLC Series B:

 

 

 

 

 

 

 

6.943%, 8/01/14 (d)

 

 

260

 

 

67,600

 

9.125%, 8/01/14

 

 

1,695

 

 

635,625

 

 

 

 

 

 




 

 

 

 

 

 

2,676,737

 









Personal Products — 0.6%

 

 

 

 

 

 

 

Chattem, Inc., 7%, 3/01/14

 

 

885

 

 

814,200

 









Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%,
12/01/13 (d)

 

 

1,310

 

 

802,375

 

Elan Finance Plc, 8.875%, 12/01/13

 

 

90

 

 

72,000

 

 

 

 

 

 




 

 

 

 

 

 

874,375

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

FelCor Lodging LP, 8.50%, 6/01/11

 

 

245

 

 

132,300

 









Real Estate Management & Development — 1.3%

 

 

 

 

 

 

 

Forest City Enterprises, Inc., 7.625%, 6/01/15

 

 

2,825

 

 

1,243,000

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

1,830

 

 

384,300

 

12.375%, 4/15/15

 

 

2,045

 

 

245,400

 

 

 

 

 

 




 

 

 

 

 

 

1,872,700

 









Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (c)(d)(e)(g)

 

 

1,135

 

 

265,306

 









Software — 0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (a)(c)(d)

 

 

389

 

 

93,778

 









Specialty Retail — 2.2%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

330

 

 

148,500

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (a)(d)

 

 

1,640

 

 

967,600

 

10.75%, 3/15/15

 

 

1,200

 

 

840,000

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (b)(f)

 

 

985

 

 

440,788

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

485

 

 

165,506

 

11.375%, 11/01/16

 

 

780

 

 

184,275

 

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

 

 

1,030

 

 

494,400

 

 

 

 

 

 




 

 

 

 

 

 

3,241,069

 









Textiles, Apparel & Luxury Goods — 1.5%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.875%, 4/01/16

 

 

1,875

 

 

1,434,375

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

1,600

 

 

800,000

 

 

 

 

 

 




 

 

 

 

 

 

2,234,375

 









Thrifts & Mortgage Finance — 0.4%

 

 

 

 

 

 

 

Residential Capital LLC, 8.50%, 5/15/10 (c)

 

 

755

 

 

520,950

 









Wireless Telecommunication Services — 8.9%

 

 

 

 

 

 

 

Centennial Communications Corp., 7.185%,
1/01/13 (d)

 

 

1,280

 

 

1,273,600

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

1,285

 

 

1,172,563

 

10%, 7/15/15 (c)

 

 

835

 

 

770,287

 


 

 

 

See Notes to Financial Statements.


12

ANNUAL REPORT

FEBRUARY 28, 2009



 

 



 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 









Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Crown Castle International Corp., 9%, 1/15/15

 

USD

440

 

$

429,000

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

1,285

 

 

957,325

 

9.125%, 1/15/15 (a)

 

 

1,911

 

 

1,337,442

 

FiberTower Corp., 9%, 11/15/12 (b)

 

 

600

 

 

171,000

 

iPCS, Inc., 3.295%, 5/01/13 (d)

 

 

760

 

 

547,200

 

Leap Wireless International, Inc., 4.50%,
7/15/14 (b)(c)

 

 

220

 

 

148,500

 

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

 

 

2,745

 

 

2,594,025

 

Nordic Telephone Co. Holdings ApS, 8.875%,
5/01/16 (c)

 

 

1,340

 

 

1,219,400

 

Orascom Telecom Finance SCA, 7.875%,
2/08/14 (c)

 

 

265

 

 

159,000

 

Sprint Capital Corp., 7.625%, 1/30/11

 

 

2,450

 

 

2,125,375

 

 

 

 

 

 




 

 

 

 

 

 

12,904,717

 









Total Corporate Bonds — 97.4%

 

 

 

 

 

141,060,097

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 









Auto Components — 1.1%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan,
3.20%, 8/07/14

 

 

1,393

 

 

922,728

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

1,901

 

 

578,586

 

Delphi Automative Systems:

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 10.50%, 6/30/09

 

 

30

 

 

4,693

 

Subsequent Tranche Term Loan C, 10.50%,
6/30/09

 

 

280

 

 

43,800

 

 

 

 

 

 




 

 

 

 

 

 

1,549,807

 









Automobiles — 0.4%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

920

 

 

293,892

 

General Motors Corp. Secured Term Loan,
4.148%, 11/29/13

 

 

769

 

 

275,507

 

 

 

 

 

 




 

 

 

 

 

 

569,399

 









Building Products — 2.2%

 

 

 

 

 

 

 

Building Material Corp. of America Term Loan
Advance, 3.625% – 3.875%, 2/22/14

 

 

496

 

 

338,284

 

CPG International, I Inc. Term Loan,
6.26%, 2/28/11

 

 

2,985

 

 

2,089,447

 

Masonite International:

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

959

 

 

391,656

 

US Term Loan, 6.25%, 4/06/13

 

 

970

 

 

396,376

 

 

 

 

 

 




 

 

 

 

 

 

3,215,763

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

Marsico Parent Co., LLC Term Loan,
4.50% – 7.25%, 12/15/14

 

 

475

 

 

225,393

 









Chemicals — 1.3%

 

 

 

 

 

 

 

PQ Corp.:

 

 

 

 

 

 

 

First Lien Term Loan, 4.43% – 4.71%, 7/31/14

 

 

746

 

 

445,884

 

Second Lien Term Loan, 7.68%, 7/30/15

 

 

3,250

 

 

1,137,500

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

413

 

 

265,031

 

 

 

 

 

 




 

 

 

 

 

 

1,848,415

 









Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 (a)

 

 

928

 

 

185,631

 









Diversified Telecommunication Services — 2.5%

 

 

 

 

 

 

 

Wind Finance SL S.A. Euro Facility (Second Lien),
11.473%, 11/26/14

 

EUR

3,350

 

 

3,678,043

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

Par
(000)

 

Value

 









Health Care Providers & Services — 1.8%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc. Funded Term
Loan, 2.729% – 3.506%, 7/25/14

 

USD

1,522

 

$

1,288,814

 

HCA, Inc. Tranche Term Loan A-1,
3.459%, 11/17/12

 

 

512

 

 

445,697

 

Rotech Healthcare, Inc. Term Loan,
6.479%, 9/26/11

 

 

1,627

 

 

895,075

 

 

 

 

 

 




 

 

 

 

 

 

2,629,586

 









Hotels, Restaurants & Leisure — 0.4%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.) Loan,
7.979%, 3/27/12

 

 

2,766

 

 

567,052

 









Independent Power Producers & Energy Traders — 2.5%

 

 

 

 

 

 

 

Calpine Generating Co., LLC First Priority Term
Loan, 4.335%, 3/29/14

 

 

746

 

 

541,284

 

Texas Competitive Electric Holdings Co. LLC:

 

 

 

 

 

 

 

Term Loan B-1, 3.948% – 4.451%, 10/10/14

 

 

208

 

 

129,922

 

Term Loan B-2, 3.948% – 4.451%, 10/10/14

 

 

1,210

 

 

754,952

 

Term Loan B-3, 3.948% – 4.451%, 10/10/14

 

 

3,456

 

 

2,155,836

 

 

 

 

 

 




 

 

 

 

 

 

3,581,994

 









Machinery — 1.0%

 

 

 

 

 

 

 

Navistar International Transportation Corp.:

 

 

 

 

 

 

 

Advance Term Loan, 3.729%, 1/19/12

 

 

1,385

 

 

991,429

 

Revolving Credit, 3.677% – 3.729%, 1/19/12

 

 

505

 

 

361,496

 

Rexnord Holdings, Inc. Loan, 9.181%, 3/01/13

 

 

402

 

 

100,549

 

 

 

 

 

 




 

 

 

 

 

 

1,453,474

 









Media — 3.2%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan,
0%, 3/01/12

 

 

400

 

 

180,000

 

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

 

 

1,493

 

 

1,044,750

 

HMH Publishing Co., Ltd. (fka Education Media):

 

 

 

 

 

 

 

Mezzanine, 10.756%, 11/14/14

 

 

5,863

 

 

1,758,777

 

Tranche A, 8.256%, 6/12/14

 

 

2,411

 

 

1,355,977

 

NV Broadcasting, LLC Second Lien,
8.72%, 11/03/14

 

 

1,000

 

 

200,000

 

Newsday, LLC Fixed Rate Term Loan,
9.75%, 8/01/13

 

 

175

 

 

157,938

 

 

 

 

 

 




 

 

 

 

 

 

4,697,442

 









Multiline Retail — 0.4%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-1 Term Loan,
3.198% – 3.924%, 7/07/14

 

 

600

 

 

518,045

 









Oil, Gas & Consumable Fuels — 1.2%

 

 

 

 

 

 

 

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

 

 

2,121

 

 

1,696,492

 









Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

Georgia-Pacific LLC Term Loan B,
2.956% – 4.189%, 12/20/12

 

 

292

 

 

252,333

 

NewPage Corp. Term Loan, 5.313%, 12/22/14

 

 

495

 

 

301,500

 

Verso Paper Finance Holdings LLC Term Loan,
7.685% – 8.435%, 2/01/13

 

 

1,110

 

 

222,041

 

 

 

 

 

 




 

 

 

 

 

 

775,874

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Letter of Credit, 0.347%, 10/10/13

 

 

120

 

 

67,695

 

Term Loan B, 3.438%, 10/10/13

 

 

379

 

 

214,367

 

 

 

 

 

 




 

 

 

 

 

 

282,062

 









Total Floating Rate Loan Interests — 19.0%

 

 

 

 

 

27,474,472

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

13



 

 



 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund, Inc. (COY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 









Commercial Mortgage-Backed Securities — 1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A (c):

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (d)

 

USD

1,550

 

$

1,410,500

 

Class AFX, 4.643%, 6/15/35

 

 

430

 

 

410,650

 

Global Signal Trust Series 2006-1 Class A2,
5.45%, 2/15/36 (c)

 

 

245

 

 

229,075

 









Total Non-U.S. Government Agency
Mortgage-Backed Securities — 1.4%

 

 

 

 

 

2,050,225

 








 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

 

 

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (g)

 

 

68,734

 

 

54,987

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (c)(g)

 

 

1,425

 

 

356

 









Communications Equipment — 0.7%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (g)

 

 

77,483

 

 

922,823

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc (g)

 

 

3,634

 

 

6,268

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (g)

 

 

67,974

 

 

38,745

 

SunPower Corp. Class B (g)

 

 

352

 

 

8,716

 

 

 

 

 

 




 

 

 

 

 

 

47,461

 









Oil, Gas & Consumable Fuels — 0.2%

 

 

 

 

 

 

 

EXCO Resources, Inc. (g)

 

 

31,639

 

 

288,231

 









Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (g)

 

 

37,144

 

 

21,022

 

Ainsworth Lumber Co. Ltd. (c)(g)

 

 

41,686

 

 

23,654

 

Western Forest Products, Inc. (c)(g)

 

 

41,528

 

 

4,896

 

Western Forest Products, Inc. (g)

 

 

147,968

 

 

17,446

 

 

 

 

 

 




 

 

 

 

 

 

67,018

 









Total Common Stocks — 1.0%

 

 

 

 

 

1,387,144

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 









Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (d)(h)

 

USD

1,680

 

 

588,168

 









Total Capital Trusts — 0.4%

 

 

 

 

 

588,168

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Capital Markets — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC, 16.75% (c)

 

 

67

 

 

29,145

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

29,145

 









Total Preferred Securities — 0.4%

 

 

 

 

 

617,313

 









 

 

 

 

 

 

 

 

Warrants (i)

 

Shares

 

Value

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/14)

 

 

29,930

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

USD

700

 

$

70

 

Adelphia Recovery Trust

 

 

878

 

 

3,512

 









Total Other Interests — 0.0%

 

 

 

 

 

3,582

 









Total Long-Term Investments
(Cost — $281,093,540) — 119.2%

 

 

 

 

 

172,592,833

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









Money Market Funds — 4.9%

 

 

 

 

 

 

 

BlackRock Liquidity Series, LLC Cash Sweep Series,
0.73% (k)(l)

 

 

7,111

 

 

7,111,263

 









Total Short-Term Securities
(Cost — $7,111,263) — 4.9%

 

 

 

 

 

7,111,263

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 









Over-The-Counter Call Options

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring
December 2019 at USD 942.86, Broker,
The Goldman Sachs Group, Inc.

 

 

17

 

 

27,455

 









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

 

 

 

 

 

27,455

 









Total Investments
(Cost — $288,221,425*) — 124.1%

 

 

 

 

 

179,731,551

 

Liabilities in Excess of Other Assets — (24.1)%

 

 

 

 

 

(34,931,519

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

144,800,032

 

 

 

 

 

 





 

 



*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

289,328,824

 

 

 




 

 

 

 

 

Gross unrealized appreciation

 

$

687,713

 

Gross unrealized depreciation

 

 

(110,284,986

)

 

 




 

 

 

 

 

Net unrealized depreciation

 

$

(109,597,273

)

 

 





 

 

(a)

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

 

 

(b)

Convertible security.

 

 

(c)

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

 

 

(d)

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

 

 

(e)

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

 

 

(f)

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 reflects the current yield as of report date.

 

 

(g)

Non-income producing security.

 

 

(h)

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

 

 

(i)

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.


 

 

 

See Notes to Financial Statements.




14

ANNUAL REPORT

FEBRUARY 28, 2009



 

 



 

 

Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund, Inc. (COY)


 

 

(j)

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

 

 

(k)

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


 

 

 

 

 

 

 

 







Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Series, LLC Cash Sweep Series

 

USD

7,111,263

 

$

29,589

 










 

 

(l)

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 ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report which may combine industry sub-classifications for reporting ease. These industry classifications are unaudited.

 

 

Foreign currency exchange contracts as of February 28,2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 











USD

154,560

 

CAD

190,000

 

UBS AG

 

3/18/09

 

$

5,221

 

USD

8,216,818

 

EUR

6,267,500

 

Deutsche Bank AG

 

3/18/09

 

 

272,478

 

USD

579,623

 

EUR

450,000

 

UBS AG

 

3/18/09

 

 

9,227

 














Total

 

 

 

 

 

 

 

 

 

$

286,926

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 













Masco Corp.

 

5.85%

 

Goldman Sachs International

 

March 2014

 

USD

750

 

$

6,159

 

Mohawk Industries, Inc.

 

4.70%

 

Goldman Sachs International

 

March 2014

 

USD

750

 

 

885

 















Total

 

 

 

 

 

 

 

 

 

 

$

7,044

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer1

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 













Ford Motor Co.

 

3.80%

 

UBS AG

 

March 2010

 

USD

930

 

$

(651,722

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Co.

 

5.00%

 

Goldman Sachs International

 

June 2010

 

USD

3,750

 

 

(2,654,861

)















Total

 

 

 

 

 

 

 

 

 

 

$

(3,306,583

)

 

 

 

 

 

 

 

 

 

 

 





 

 

1

Credit rating is CCC– using Standard & Poor’s ratings.

 

 

2

The maximum potential amount the Fund may be required to pay should a negative credit event take place as defined under the terms of the agreement. See Note 1 of the Notes to Financial Statements.


 

 

 

Currency Abbreviations:

 

CAD

Canadian Dollar

 

EUR

Euro

 

USD

US Dollar


 

 

 

Effective June 1,2008,the Fund has adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Fund’s investments:


 

 

 

 

 

 

 

 

 

 

 







Valuation Inputs

 

Investments in
Securities

 

Other Financial Instruments*

 







 

 

Assets

 

Assets

 

Liabilities

 

 

 


 


 



Level 1

 

$

1,356,866

 

 

 

 

 

Level 2

 

 

161,976,059

 

$

321,425

 

$

(3,306,583

)

Level 3

 

 

16,371,171

 

 

 

 

 

 

 










Total

 

$

179,704,096

 

$

321,425

 

$

(3,306,583

)

 

 











 

 

 

 

*

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

 

 

 

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:


 

 

 

 

 





 

 

Investments in
Securities

 





 

 

 

Assets

 

 

 




Balance as of May 31, 2008

 

$

3,582

 

Accrued discounts/premiums

 

 

111,311

 

Realized gain

 

 

188

 

Change in unrealized appreciation/depreciation1

 

 

(19,674,329

)

Net purchases

 

 

92,784

 

Net transfers in of Level 3

 

 

35,837,635

 

 

 




Balance as of February 28, 2009

 

$

16,371,171

 

 

 





 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

15



 

 


 

 

Schedule of Investments February 28, 2009

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Aerospace & Defense — 0.0%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC,
8.875%, 4/01/15 (a)

 

USD

295

 

$

23,600

 









Airlines — 0.6%

 

 

 

 

 

 

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

699

 

 

507,108

 

Series 2001-1-C, 7.033%, 12/15/12

 

 

336

 

 

242,277

 

UAL Corp., 4.50%, 6/30/21 (c)

 

 

355

 

 

161,987

 

 

 

 

 

 




 

 

 

 

 

 

911,372

 









Auto Components — 1.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. (d):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

800

 

 

388,000

 

11.25%, 11/01/15 (a)

 

 

1,160

 

 

446,600

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.857%, 8/15/11

 

 

1,450

 

 

1,160,000

 

8.625%, 12/01/11

 

 

82

 

 

65,600

 

Lear Corp., 8.75%, 12/01/16

 

 

425

 

 

72,250

 

 

 

 

 

 




 

 

 

 

 

 

2,132,450

 









Automobiles — 0.2%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

785

 

 

251,200

 

Ford Motor Co., 8.90%, 1/15/32

 

 

700

 

 

119,000

 

 

 

 

 

 




 

 

 

 

 

 

370,200

 









Building Products — 0.8%

 

 

 

 

 

 

 

Momentive Performance Materials, Inc.,
11.50%, 12/01/16

 

 

1,650

 

 

346,500

 

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

 

 

1,975

 

 

908,500

 

 

 

 

 

 



 

 

 

 

 

 

 

1,255,000

 









Capital Markets — 1.0%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (d)

 

 

1,615

 

 

742,900

 

12.50%, 11/30/17

 

 

150

 

 

69,000

 

Marsico Parent Co., LLC, 10.625%, 1/15/16 (d)

 

 

1,073

 

 

439,930

 

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

 

 

421

 

 

172,423

 

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

 

 

286

 

 

117,221

 

 

 

 

 

 




 

 

 

 

 

 

1,541,474

 









Chemicals — 2.2%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

880

 

 

739,200

 

Innophos, Inc., 8.875%, 8/15/14

 

 

825

 

 

655,875

 

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

 

 

1,700

 

 

671,500

 

Terra Capital, Inc. Series B, 7%, 2/01/17

 

 

215

 

 

195,650

 

Wellman Holdings, Inc. (c)(d):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10%,
1/29/19

 

 

844

 

 

844,000

 

Third Lien Subordinate Note, 5%, 1/29/19

 

 

256

 

 

179,200

 

 

 

 

 

 




 

 

 

 

 

 

3,285,425

 









Commercial Services & Supplies — 3.6%

 

 

 

 

 

 

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

210

 

 

200,025

 

US Investigations Services, Inc., 10.50%, 11/01/15 (d)

 

 

700

 

 

556,500

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

3,000

 

 

2,370,000

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

750

 

 

525,000

 

11%, 10/15/16

 

 

2,850

 

 

1,824,000

 

 

 

 

 

 




 

 

 

 

 

 

5,475,525

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Dycom Industries, Inc., 8.125%, 10/15/15

 

USD

1,750

 

$

1,251,250

 









Construction Materials — 1.0%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

2,305

 

 

922,000

 

Texas Industries, Inc., 7.25%, 7/15/13

 

 

785

 

 

557,350

 

 

 

 

 

 




 

 

 

 

 

 

1,479,350

 









Containers & Packaging — 6.1%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%,
9/15/14 (e)

 

 

1,765

 

 

820,725

 

Crown European Holdings SA, 6.25%, 9/01/11

 

EUR

1,265

 

 

1,555,591

 

Graphic Packaging International Corp.:

 

 

 

 

 

 

 

8.50%, 8/15/11

 

USD

1,240

 

 

1,091,200

 

9.50%, 8/15/13

 

 

1,025

 

 

763,625

 

Impress Holdings BV, 4.219%, 9/15/13 (d)(e)

 

 

420

 

 

310,800

 

Owens Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

1,000

 

 

1,010,000

 

6.75%, 12/01/14

 

EUR

430

 

 

485,167

 

Packaging Dynamics Finance Corp., 10%,
5/01/16 (d)

 

USD

1,355

 

 

582,650

 

Pregis Corp., 12.375%, 10/15/13

 

 

1,200

 

 

534,000

 

Rock-Tenn Co., 8.20%, 8/15/11

 

 

2,000

 

 

2,000,000

 

Smurfit-Stone Container Enterprises, Inc.,
8%, 3/15/17 (f)(h)

 

 

1,405

 

 

122,938

 

 

 

 

 

 




 

 

 

 

 

 

9,276,696

 









Diversified Consumer Services — 1.8%

 

 

 

 

 

 

 

Service Corp. International, 7%, 6/15/17

 

 

3,000

 

 

2,730,000

 









Diversified Financial Services — 3.2%

 

 

 

 

 

 

 

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

 

 

520

 

 

474,500

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.125%, 1/16/12

 

 

2,650

 

 

2,049,315

 

Series JD, 3.991%, 9/30/09 (e)

 

EUR

270

 

 

287,525

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

4.01%, 1/13/12 (e)

 

USD

215

 

 

105,350

 

7.80%, 6/01/12

 

 

200

 

 

108,404

 

GMAC LLC (d):

 

 

 

 

 

 

 

7.25%, 3/02/11

 

 

379

 

 

261,787

 

3.461%, 12/01/14 (e)

 

 

884

 

 

388,960

 

Leucadia National Corp., 8.125%, 9/15/15

 

 

1,325

 

 

1,099,750

 

 

 

 

 

 




 

 

 

 

 

 

4,775,591

 









Diversified Telecommunication Services — 5.9%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc.,
11.375%, 9/01/12

 

 

1,035

 

 

538,200

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

260

 

 

248,300

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14 (b)

 

 

2,020

 

 

1,711,950

 

3.50%, 11/15/25 (c)

 

 

320

 

 

286,000

 

Series B, 7.50%, 2/15/14

 

 

1,730

 

 

1,466,175

 

Qwest Corp.:

 

 

 

 

 

 

 

5.246%, 6/15/13 (e)

 

 

1,550

 

 

1,313,625

 

7.625%, 6/15/15

 

 

525

 

 

468,563

 

Windstream Corp., 8.125%, 8/01/13

 

 

3,000

 

 

2,910,000

 

 

 

 

 

 




 

 

 

 

 

 

8,942,813

 









Electric Utilities — 2.6%

 

 

 

 

 

 

 

Edison Mission Energy, 7.50%, 6/15/13

 

 

1,875

 

 

1,720,313

 

NSG Holdings LLC, 7.75%, 12/15/25 (d)

 

 

1,030

 

 

824,000

 

Tenaska Alabama Partners LP, 7%, 6/30/21 (d)

 

 

1,909

 

 

1,442,678

 

 

 

 

 

 




 

 

 

 

 

 

3,986,991

 










 

 

 

See Notes to Financial Statements.


16

ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

 

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 — 0.0%

 

 

 

 

 

 

 

UCAR Finance, Inc., 10.25%, 2/15/12

 

USD

55

 

$

49,500

 









Electronic Equipment & Instruments — 0.2%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.125%, 3/01/16

 

 

660

 

 

231,000

 









Energy Equipment & Services — 0.7%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

215

 

 

168,237

 

7.75%, 5/15/17

 

 

320

 

 

248,000

 

North American Energy Partners, Inc.,
8.75%, 12/01/11

 

 

375

 

 

295,313

 

Transocean, Inc. Series A, 1.625%, 12/15/37 (c)

 

 

325

 

 

289,656

 

 

 

 

 

 




 

 

 

 

 

 

1,001,206

 









Food & Staples Retailing — 0.7%

 

 

 

 

 

 

 

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

 

 

800

 

 

480,000

 

Rite Aid Corp., 7.50%, 3/01/17

 

 

1,020

 

 

550,800

 

 

 

 

 

 




 

 

 

 

 

 

1,030,800

 









Food Products — 0.5%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (d)

 

 

750

 

 

706,875

 









Health Care Equipment & Supplies — 3.3%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15

 

 

930

 

 

316,200

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

5,300

 

 

4,028,000

 

Hologic, Inc., 2%, 12/15/37 (c)(g)

 

 

870

 

 

565,500

 

Reable Therapeutics, 11.75%, 11/15/14

 

 

85

 

 

55,675

 

 

 

 

 

 




 

 

 

 

 

 

4,965,375

 









Health Care Providers & Services — 2.4%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI,
8.875%, 7/15/15

 

 

290

 

 

274,412

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

6.375%, 12/01/11

 

 

345

 

 

307,050

 

6.50%, 6/01/12

 

 

3,485

 

 

3,101,650

 

 

 

 

 

 




 

 

 

 

 

 

3,683,112

 









Hotels, Restaurants & Leisure — 6.0%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

 

3,045

 

 

2,504,512

 

Galaxy Entertainment Finance Co. Ltd. (d):

 

 

 

 

 

 

 

7.323%, 12/15/10 (e)

 

 

300

 

 

225,000

 

9.875%, 12/15/12

 

 

550

 

 

297,000

 

Gaylord Entertainment Co., 8%, 11/15/13

 

 

635

 

 

420,688

 

Great Canadian Gaming Corp., 7.25%, 2/15/15 (d)

 

 

2,000

 

 

1,400,000

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (d)(f)(h)

 

 

559

 

 

50,310

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/18 (a)

 

 

2,401

 

 

145,922

 

10%, 12/15/18 (d)

 

 

561

 

 

157,080

 

Inn of the Mountain Gods Resort & Casino,
12%, 11/15/10

 

 

1,550

 

 

186,000

 

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

 

 

1,290

 

 

593,400

 

Penn National Gaming, Inc., 6.875%, 12/01/11

 

 

2,025

 

 

1,944,000

 

San Pasqual Casino, 8%, 9/15/13 (d)

 

 

975

 

 

726,375

 

Shingle Springs Tribal Gaming Authority, 9.375%,
6/15/15 (d)

 

 

360

 

 

210,600

 

Travelport LLC, 5.886%, 9/01/14 (e)

 

 

160

 

 

51,200

 

Tropicana Entertainment LLC Series WI, 9.625%,
12/15/14 (f)(h)

 

 

305

 

 

3,050

 

Virgin River Casino Corp., 9%, 1/15/12 (f)(h)

 

 

940

 

 

94,000

 

 

 

 

 

 




 

 

 

 

 

 

9,009,137

 









Household Durables — 0.8%

 

 

 

 

 

 

 

American Greetings Corp., 7.375%, 6/01/16

 

 

1,020

 

 

525,300

 

Jarden Corp., 7.50%, 5/01/17

 

 

805

 

 

627,900

 

 

 

 

 

 




 

 

 

 

 

 

1,153,200

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









IT Services — 1.2%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%,
8/01/13 (c)(d)

 

USD

1,170

 

$

780,975

 

First Data Corp., 9.875%, 9/24/15

 

 

925

 

 

508,750

 

SunGard Data Systems, Inc., 10.625%, 5/15/15 (d)

 

 

580

 

 

490,100

 

 

 

 

 

 




 

 

 

 

 

 

1,779,825

 









Independent Power Producers & Energy Traders — 3.8%

 

 

 

 

 

 

 

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

 

 

1,070

 

 

1,037,900

 

Energy Future Holdings Corp., 11.25%,
11/01/17 (a)

 

 

3,550

 

 

1,562,000

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

1,625

 

 

1,531,563

 

7.375%, 2/01/16

 

 

1,250

 

 

1,153,125

 

Texas Competitive Electric Holdings Co. LLC, 10.50%,
11/01/16 (a)

 

 

960

 

 

460,800

 

 

 

 

 

 




 

 

 

 

 

 

5,745,388

 









Industrial Conglomerates — 0.6%

 

 

 

 

 

 

 

Icahn Enterprises LP, 4%, 8/15/13 (b)(c)(d)(e)

 

 

255

 

 

117,275

 

Sequa Corp. (d):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,540

 

 

406,400

 

13.50%, 12/01/15 (a)

 

 

3,579

 

 

428,239

 

 

 

 

 

 




 

 

 

 

 

 

951,914

 









Insurance — 0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (d)

 

 

1,700

 

 

1,096,500

 

USI Holdings Corp., 5.113%, 11/15/14 (d)(e)

 

 

680

 

 

323,000

 

 

 

 

 

 




 

 

 

 

 

 

1,419,500

 









Life Sciences Tools & Services — 0.4%

 

 

 

 

 

 

 

Invitrogen Corp., 2%, 8/01/23 (c)

 

 

580

 

 

605,375

 









Machinery — 0.8%

 

 

 

 

 

 

 

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

 

 

1,280

 

 

768,000

 

Accuride Corp., 8.50%, 2/01/15

 

 

555

 

 

166,500

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

450

 

 

338,625

 

 

 

 

 

 




 

 

 

 

 

 

1,273,125

 









Marine — 0.8%

 

 

 

 

 

 

 

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

 

 

610

 

 

294,325

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

477

 

 

286,200

 

Teekay Shipping Corp., 8.875%, 7/15/11

 

 

575

 

 

546,250

 

 

 

 

 

 




 

 

 

 

 

 

1,126,775

 









Media — 12.1%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

1,340

 

 

1,038,500

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

815

 

 

366,750

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

200

 

 

156,000

 

CMP Susquehanna Corp., 9.875%, 5/15/14

 

 

2,000

 

 

60,000

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (d)

 

 

390

 

 

374,400

 

Series B, 7.625%, 4/01/11

 

 

225

 

 

222,750

 

Cablevision Systems Corp. Series B:

 

 

 

 

 

 

 

8.334%, 4/01/09 (e)

 

 

520

 

 

520,000

 

8%, 4/15/12

 

 

475

 

 

459,562

 

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

 

 

2,700

 

 

1,809,000

 

Charter Communications Holdings II, LLC, 10.25%,
9/15/10 (f)(h)

 

 

740

 

 

595,700

 

DIRECTV Holdings LLC, 8.375%, 3/15/13

 

 

260

 

 

262,600

 

EchoStar DBS Corp.:

 

 

 

 

 

 

 

6.375%, 10/01/11

 

 

250

 

 

238,750

 

7%, 10/01/13

 

 

90

 

 

83,925

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

5.984%, 5/15/15 (e)

 

 

350

 

 

121,625

 

9.50%, 5/15/15

 

 

420

 

 

189,000

 


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

17



 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Intelsat Corp., 9.25%, 6/15/16 (d)

 

USD

890

 

$

812,125

 

Intelsat Subsidiary Holding Co. Ltd., 8.875%,
1/15/15 (d)

 

 

260

 

 

245,700

 

Liberty Media Corp., 3.125%, 3/30/23 (c)

 

 

1,113

 

 

786,056

 

Local Insight Regatta Holdings, Inc., 11%, 12/01/17

 

 

748

 

 

179,520

 

Mediacom LLC, 9.50%, 1/15/13

 

 

2,425

 

 

2,109,750

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

30

 

 

4,650

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

10%, 8/01/14

 

 

1,890

 

 

1,559,250

 

11.625%, 2/01/14 (d)

 

 

180

 

 

155,700

 

ProtoStar I Ltd., 18%, 10/15/12 (c)(d)

 

 

850

 

 

467,448

 

Rainbow National Services LLC, 10.375%,
9/01/14 (d)

 

 

1,582

 

 

1,619,573

 

Salem Communications Corp., 7.75%, 12/15/10

 

 

2,475

 

 

1,225,125

 

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

 

 

4,330

 

 

2,035,100

 

Virgin Media, Inc., 6.50%, 11/15/16 (c)(d)

 

 

1,210

 

 

632,225

 

 

 

 

 

 




 

 

 

 

 

 

18,330,784

 









Metals & Mining — 4.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9%, 12/15/14

 

 

1,035

 

 

103

 

10%, 12/15/16

 

 

800

 

 

1,000

 

FMG Finance Property Ltd. (d):

 

 

 

 

 

 

 

10%, 9/01/13

 

 

535

 

 

454,750

 

10.625%, 9/01/16

 

 

1,295

 

 

1,100,750

 

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

 

 

1,975

 

 

1,782,438

 

Freeport-McMoRan Copper & Gold, Inc., 7.084%,
4/01/15 (e)

 

 

1,220

 

 

911,950

 

Newmont Mining Corp., 1.625%, 7/15/17 (c)

 

 

585

 

 

631,069

 

Novelis, Inc., 7.25%, 2/15/15

 

 

1,975

 

 

617,188

 

Ryerson, Inc. (d):

 

 

 

 

 

 

 

8.545%, 11/01/14 (e)

 

 

400

 

 

204,000

 

12%, 11/01/15

 

 

265

 

 

156,350

 

Steel Dynamics, Inc., 7.375%, 11/01/12

 

 

460

 

 

397,900

 

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

 

 

640

 

 

364,800

 

 

 

 

 

 




 

 

 

 

 

 

6,622,298

 









Oil, Gas & Consumable Fuels — 10.9%

 

 

 

 

 

 

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (d)

 

 

1,275

 

 

1,032,750

 

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

 

 

510

 

 

260,100

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

1,635

 

 

1,520,550

 

7.25%, 12/15/18

 

 

1,605

 

 

1,304,062

 

2.25%, 12/15/38 (c)

 

 

800

 

 

425,000

 

Compton Petroleum Finance Corp.,
7.625%, 12/01/13

 

 

1,610

 

 

539,350

 

Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (d)

 

 

1,325

 

 

503,500

 

Corral Finans AB, 2.594%, 4/15/10 (a)(d)

 

 

2,120

 

 

1,177,891

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

2,800

 

 

2,236,500

 

Encore Acquisition Co., 6.25%, 4/15/14

 

 

2,000

 

 

1,580,000

 

Forest Oil Corp., 7.25%, 6/15/19 (d)

 

 

2,275

 

 

1,820,000

 

Massey Energy Co., 3.25%, 8/01/15 (c)

 

 

1,250

 

 

793,750

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

1,725

 

 

586,500

 

PetroHawk Energy Corp. (d):

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

555

 

 

546,675

 

7.875%, 6/01/15

 

 

460

 

 

395,600

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

390

 

 

262,275

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

8.625%, 4/01/15 (a)

 

 

1,000

 

 

690,000

 

8%, 6/01/18 (c)

 

 

990

 

 

772,200

 

 

 

 

 

 




 

 

 

 

 

 

16,446,703

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Paper & Forest Products — 2.1%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (e)

 

USD

815

 

$

73,350

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (d)

 

 

1,053

 

 

475,246

 

Bowater, Inc., 4.996%, 3/15/10 (e)

 

 

2,825

 

 

508,500

 

Georgia-Pacific Corp., 8.125%, 5/15/11

 

 

150

 

 

145,500

 

NewPage Corp., 10%, 5/01/12

 

 

2,710

 

 

819,775

 

Norske Skog Canada Ltd. Series D, 8.625%, 6/15/11

 

 

885

 

 

407,100

 

Verso Paper Holdings LLC Series B:

 

 

 

 

 

 

 

4.92%, 8/01/14 (e)

 

 

280

 

 

72,800

 

9.125%, 8/01/14

 

 

1,820

 

 

682,500

 

 

 

 

 

 




 

 

 

 

 

 

3,184,771

 









Personal Products — 0.6%

 

 

 

 

 

 

 

Chattem, Inc., 7%, 3/01/14

 

 

930

 

 

855,600

 









Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%,
12/01/13 (e)

 

 

1,390

 

 

851,375

 

Elan Finance Plc, 8.875%, 12/01/13

 

 

105

 

 

84,000

 

 

 

 

 

 




 

 

 

 

 

 

935,375

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

FelCor Lodging LP, 8.50%, 6/01/11

 

 

295

 

 

159,300

 









Real Estate Management & Development — 1.3%

 

 

 

 

 

 

 

Forest City Enterprises, Inc., 7.625%, 6/01/15

 

 

3,025

 

 

1,331,000

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

1,915

 

 

402,150

 

12.375%, 4/15/15

 

 

2,193

 

 

263,160

 

 

 

 

 

 




 

 

 

 

 

 

1,996,310

 









Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (d)(e)(f)(h)

 

 

1,215

 

 

284,006

 









Software — 0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (a)(d)(e)

 

 

417

 

 

100,477

 









Specialty Retail — 2.3%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.625%, 3/15/17

 

 

350

 

 

157,500

 

Buffets, Inc., 12.50%, 11/01/14 (f)(h)

 

 

575

 

 

57

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (a)(e)

 

 

1,760

 

 

1,038,400

 

10.75%, 3/15/15

 

 

1,285

 

 

899,500

 

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

 

 

1,055

 

 

472,113

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

520

 

 

177,450

 

11.375%, 11/01/16

 

 

855

 

 

201,994

 

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

 

 

1,110

 

 

532,800

 

 

 

 

 

 




 

 

 

 

 

 

3,479,814

 









Textiles, Apparel & Luxury Goods — 1.6%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.875%, 4/01/16 (b)

 

 

2,000

 

 

1,530,000

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

1,750

 

 

875,000

 

 

 

 

 

 




 

 

 

 

 

 

2,405,000

 









Thrifts & Mortgage Finance — 0.8%

 

 

 

 

 

 

 

Residential Capital Corp., 8.375%, 6/30/10

 

 

1,600

 

 

640,000

 

Residential Capital LLC, 8.50%, 5/15/10 (d)

 

 

805

 

 

555,450

 

 

 

 

 

 




 

 

 

 

 

 

1,195,450

 










 

 

 

See Notes to Financial Statements.


18

ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

 

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 — 8.9%

 

 

 

 

 

 

 

Centennial Communications Corp., 7.185%,
1/01/13 (e)

 

USD

1,370

 

$

1,363,150

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.375%, 11/01/14

 

 

1,285

 

 

1,172,563

 

10%, 7/15/15 (d)

 

 

890

 

 

821,025

 

Crown Castle International Corp., 9%, 1/15/15

 

 

465

 

 

453,375

 

Digicel Group Ltd. (d):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

1,370

 

 

1,020,650

 

9.125%, 1/15/15 (a)

 

 

1,983

 

 

1,388,100

 

FiberTower Corp., 9%, 11/15/12 (c)

 

 

600

 

 

171,000

 

iPCS, Inc., 3.295%, 5/01/13 (d)

 

 

815

 

 

586,800

 

Leap Wireless International, Inc., 4.50%,
7/15/14 (c)(d)

 

 

230

 

 

155,250

 

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

 

 

2,785

 

 

2,631,825

 

Nordic Telephone Co. Holdings ApS, 8.875%,
5/01/16 (d)

 

 

1,445

 

 

1,314,950

 

Orascom Telecom Finance SCA, 7.875%,
2/08/14 (d)

 

 

275

 

 

165,000

 

Sprint Capital Corp., 7.625%, 1/30/11

 

 

2,605

 

 

2,259,838

 

 

 

 

 

 




 

 

 

 

 

 

13,503,526

 









Total Corporate Bonds — 100.3%

 

 

 

 

 

151,669,258

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 









Auto Components — 1.2%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan,
3.20%, 8/07/14

 

 

1,393

 

 

922,728

 

Dana Holding Corp. Term Advance,7.25%, 1/31/15

 

 

1,977

 

 

601,505

 

Delphi Corp.:

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 10.50%, 6/30/09

 

 

1,218

 

 

190,594

 

Subsequent Tranche Term Loan C,
10.50%, 6/30/09

 

 

131

 

 

20,585

 

 

 

 

 

 




 

 

 

 

 

 

1,735,412

 









Automobiles — 0.4%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

994

 

 

317,719

 

General Motors Corp. Secured Term Loan,
4.148%, 11/29/13

 

 

819

 

 

293,282

 

 

 

 

 

 




 

 

 

 

 

 

611,001

 









Building Products — 2.3%

 

 

 

 

 

 

 

Building Material Corp. of America Term Loan
Advance, 3.625% – 3.875%, 2/22/14

 

 

496

 

 

338,284

 

CPG International, I Inc. Term Loan,
6.26%, 2/28/11

 

 

3,283

 

 

2,298,392

 

Masonite International:

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

933

 

 

381,103

 

US Term Loan, 6.25%, 4/06/13

 

 

945

 

 

386,022

 

 

 

 

 

 




 

 

 

 

 

 

3,403,801

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

Marsico Parent Co., LLC Term Loan, 4.50% – 7.25%,
12/15/14

 

 

474

 

 

225,393

 









Chemicals — 1.3%

 

 

 

 

 

 

 

PQ Corp.:

 

 

 

 

 

 

 

First Lien Term Loan, 4.43% – 4.71%, 7/31/14

 

 

746

 

 

445,884

 

Second Lien Term Loan, 7.68%, 7/30/15

 

 

3,500

 

 

1,225,000

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

488

 

 

313,219

 

 

 

 

 

 




 

 

 

 

 

 

1,984,103

 









Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 (a)

 

 

998

 

 

199,553

 









Diversified Telecommunication Services — 2.5%

 

 

 

 

 

 

 

Wind Finance SL S.A. Euro Finance Facility
(Second Lien), 11.473%, 11/26/14

 

EUR

3,460

 

 

3,798,815

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 


Health Care Providers & Services — 1.9%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delay Draw Term Loan, 2.729%, 7/25/14

 

USD

158

 

$

133,888

 

Funded Term Loan, 2.729% – 3.506% 7/25/14

 

 

1,570

 

 

1,329,089

 

HCA, Inc. Tranch Term Loan A-1, 3.459%, 11/17/12

 

 

562

 

 

489,516

 

Rotech Healthcare, Inc. Term Loan,
6.479%, 9/26/11

 

 

1,749

 

 

961,871

 

 

 

 

 

 




 

 

 

 

 

 

2,914,364

 









Hotels, Restaurants & Leisure — 0.4%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.) Loan,
7.979%, 3/27/12

 

 

2,955

 

 

605,698

 









Independent Power Producers & Energy Traders — 2.4%

 

 

 

 

 

 

 

Calpine Generating Co., LLC First Priority Term
Loan, 4.335%, 3/29/14

 

 

746

 

 

541,284

 

Texas Competitive Electric Holdings Co., LLC:

 

 

 

 

 

 

 

Initial Tranche Term Loan B-1, 3.948% – 4.451%,
10/10/14

 

 

218

 

 

136,109

 

Initial Tranche Term Loan B-2, 3.948% – 4.451%,
10/10/14

 

 

1,320

 

 

823,231

 

Initial Tranche Term Loan B-3, 3.948% – 4.451%,
10/10/14

 

 

3,456

 

 

2,155,836

 

 

 

 

 

 




 

 

 

 

 

 

3,656,460

 









Machinery — 1.0%

 

 

 

 

 

 

 

Navistar International Transportation Corp.:

 

 

 

 

 

 

 

Advance Term Loan, 3.729%, 1/19/12

 

 

1,470

 

 

1,052,275

 

Revolving Credit, 3.677% – 3.729%, 1/19/12

 

 

535

 

 

382,971

 

Rexnord Holdings, Inc. Loan, 9.181%, 3/01/13

 

 

427

 

 

106,643

 

 

 

 

 

 




 

 

 

 

 

 

1,541,889

 









Media — 3.5%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan,
0%, 3/01/12

 

 

400

 

 

180,000

 

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

 

 

1,741

 

 

1,218,875

 

HMH Publishing Co., Ltd. (fka Education Media):

 

 

 

 

 

 

 

Mezzanine Assignment, 10.756%, 11/14/14

 

 

6,395

 

 

1,918,665

 

Tranche A, 8.256%, 6/12/14

 

 

2,630

 

 

1,479,247

 

NV Broadcasting, LLC Second Lien,
8.72%, 11/03/14

 

 

1,500

 

 

300,000

 

Newsday, LLC Fixed Rate Term Loan,
9.75%, 8/01/13

 

 

250

 

 

225,625

 

 

 

 

 

 




 

 

 

 

 

 

5,322,412

 









Multiline Retail — 0.4%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-1 Term Loan,
3.198% – 3.924%, 7/07/14

 

 

640

 

 

552,582

 









Oil, Gas & Consumable Fuels — 1.2%

 

 

 

 

 

 

 

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

 

 

2,222

 

 

1,777,277

 









Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

Georgia-Pacific LLC Term Loan B, 2.956% – 4.189%,
12/20/12

 

 

311

 

 

268,354

 

NewPage Corp. Term Loan, 5.313%, 12/22/14

 

 

495

 

 

301,500

 

Verso Paper Finance Holdings LLC Term Loan,
7.685% – 8.435%, 2/01/13

 

 

1,200

 

 

239,969

 

 

 

 

 

 




 

 

 

 

 

 

809,823

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.438%, 10/10/13

 

 

404

 

 

228,470

 

Synthetic Credit Assignment,
0.347%, 10/10/13

 

 

130

 

 

73,336

 

 

 

 

 

 




 

 

 

 

 

 

301,806

 









Total Floating Rate Loan Interests — 19.5%

 

 

 

 

 

29,440,389

 










 

 

 

See Notes to Financial Statements.

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

19



 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 


Commercial Mortgage-Backed Securities — 1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A (d):

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (e)

 

USD

1,620

 

$

1,474,200

 

Class AFX, 4.643%, 6/15/35

 

 

450

 

 

429,750

 

Global Signal Trust Series 2006-1 Class A2,
5.45%, 2/15/36 (d)

 

 

260

 

 

243,100

 









Total Non-U.S. Government Agency
Mortgage-Backed Securities — 1.4%

 

 

 

 

 

2,147,050

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

 

 

 


Capital Markets — 0.0%

 

 

 

 

 

 

 

E*Trade Financial Corp. (h)

 

 

73,574

 

 

58,859

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (d)(h)

 

 

1,522

 

 

381

 









Communications Equipment — 0.7%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (h)

 

 

82,907

 

 

987,422

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (h)

 

 

70,784

 

 

40,347

 

SunPower Corp. Class B (h)

 

 

778

 

 

19,263

 

 

 

 

 

 




 

 

 

 

 

 

59,610

 









Oil, Gas & Consumable Fuels — 0.2%

 

 

 

 

 

 

 

EXCO Resources, Inc. (h)

 

 

35,575

 

 

324,088

 









Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (h)

 

 

125,117

 

 

70,810

 

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

 

 

140,415

 

 

79,678

 

Western Forest Products, Inc. (d)(h)

 

 

45,762

 

 

5,396

 

Western Forest Products, Inc. (h)

 

 

158,023

 

 

18,632

 

 

 

 

 

 




 

 

 

 

 

 

174,516

 









Total Common Stocks — 1.1%

 

 

 

 

 

1,604,876

 









 

 

 

 

 

 

 

 


Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 


Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (e)(i)

 

USD

1,685

 

 

589,919

 









Total Capital Trusts — 0.4%

 

 

 

 

 

589,919

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 


Capital Markets — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC, 16.75% (d)

 

 

72

 

 

31,320

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

31,320

 









Total Preferred Securities — 0.4%

 

 

 

 

 

621,239

 









 

 

 

 

 

 

 

 

Warrants (j)

 

Shares

 

Value

 


Health Care Providers & Services —0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/14)

 

 

32,042

 

$

0

 









Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (expires 10/01/13) (d)

 

 

700

 

 

6,229

 









Total Warrants — 0.0%

 

 

 

 

 

6,229

 










 

 

 

 

 

 

 

 


 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 


Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

USD

750

 

 

75

 

Adelphia Recovery Trust

 

 

941

 

 

3,762

 









Total Other Interests — 0.0%

 

 

 

 

 

3,837

 









Total Long-Term Investments
(Cost — $303,646,606) — 122.7%

 

 

 

 

 

185,492,878

 









 

 

 

 

 

 

 

 


 

Short-Term Securities

 

 

 

 

 

 

 


Money Market Funds — 5.5%

 

 

 

 

 

 

 

BlackRock Liquidity Series, LLC Cash Sweep Series,
0.73% (l)(m)

 

 

8,371

 

 

8,370,522

 









Total Short-Term Securities
(Cost — $8,370,522) — 5.5%

 

 

 

 

 

8,370,522

 









 

 

 

 

 

 

 

 


 

Options Purchased

 

Contracts

 

 

 

 


Over-The-Counter Call Options

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring
December 2019 at USD 942.86, Broker,
The Goldman Sachs Group, Inc.

 

 

19

 

 

30,685

 









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

 

 

 

 

 

30,685

 









Total Investments
(Cost — $312,035,706*) — 128.2%

 

 

 

 

 

193,894,085

 

Liabilities in Excess of Other Assets — (28.2)%

 

 

 

 

 

(42,632,972

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

151,261,113

 

 

 

 

 

 













 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

313,706,426

 

 

 




Gross unrealized appreciation

 

$

857,363

 

Gross unrealized depreciation

 

 

(120,669,704

)

 

 




Net unrealized depreciation

 

$

(119,812,341

)

 

 





 

 

(a)

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

 

 

(b)

All or a portion of security has been pledged as collateral in connection with open swap contracts.

 

 

(c)

Convertible security.

 

 

(d)

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

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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 reflects the current yield as of report date.


 

 

 

See Notes to Financial Statements.


20

ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

 

Schedule of Investments (concluded)

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


 

 

(h)

Non-income producing security.

 

 

(i)

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

 

 

(j)

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.

 

 

(k)

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

 

 

(l)

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


 

 

 

 

 

 

 

 


Affiliate

 

Net
Activity

 

Income

 


BlackRock Liquidity Series, LLC Cash Sweep Series

 

USD

8,370,522

 

$

34,084

 










 

 

(m)

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 ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report which may combine industry sub-classifications for reporting ease. These industry classifications are unaudited.

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 


Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 


USD

276,580

 

CAD

340,000

 

UBS AG

 

3/18/09

 

$

9,342

 

USD

8,737,948

 

EUR

6,665,000

 

Deutsche Bank AG

 

3/18/09

 

 

289,760

 

USD

257,610

 

EUR

200,000

 

UBS AG

 

3/18/09

 

 

4,101

 

USD

32,381

 

EUR

25,000

 

Citibank NA

 

3/18/09

 

 

693

 














Total

 

 

 

 

 

 

 

 

 

$

303,896

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 


Masco Corp.

 

 

5.85

%

Goldman
Sachs
International

 

March
2014

 

USD

750

 

$

6,159

 

Mohawk Industries, Inc.

 

 

4.70

%

Goldman
Sachs
International

 

March
2014

 

USD

750

 

 

885

 
















Total

 

 

 

 

 

 

 

 

 

 

 

$

7,044

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Issuer1

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 


Ford Motor Co.

 

 

3.80

%

UBS AG

 

March
2010

 

USD

1,000

 

$

(700,776

)

Ford Motor Co.

 

 

5.00

%

Goldman
Sachs
International

 

June
2010

 

USD

4,000

 

 

(2,831,852

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(3,532,628

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Credit rating is CCC– using Standard & Poor’s ratings.

 

 

 

 

2

The maximum potential amount the Fund may be required to pay should a negative credit event take place as defined under the terms of the agreement. See Note 1 of the Notes to Financial Statements.

 

 

 

Currency Abbreviations:


 

 

 

 

CAD

Canadian Dollar

 

EUR

Euro

 

USD

US Dollar


 

 

 

Effective June 1, 2008, the Fund has adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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

 

 

 

 

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

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

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Fund’s investments:

 

 

 

 

 

 

 

 

 

 

 


Valuation Inputs

 

Investments in
Securities

 

Other Financial Instruments*

 


 

 

Assets

 

Assets

 

Liabilities

 

 

 


 


 


 

Level 1

 

$

1,524,817

 

 

 

 

 

Level 2

 

 

174,392,048

 

$

341,625

 

$

(3,532,628

)

Level 3

 

 

17,946,535

 

 

 

 

 

 

 










Total

 

$

193,863,400

 

$

341,625

 

$

(3,532,628

)

 

 











 

 

 

 

*

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

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 


 

 

Investments in
Securities

 


 

 

Assets

 

 

 



Balance as of May 31, 2008

 

$

3,837

 

Accrued discounts/premiums

 

 

182,794

 

Realized gain

 

 

1,685

 

Change in unrealized appreciation/depreciation1

 

 

(22,189,172

)

Net purchases

 

 

93,914

 

Net transfers in of Level 3

 

 

39,853,477

 

 

 




Balance as of February 28, 2009

 

$

17,946,535

 

 

 




 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

21




 

 


 

Schedule of Investments February 28, 2009

BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Aerospace & Defense — 2.4%

 

 

 

 

 

 

 

Alliant Techsystems, Inc., 3%, 8/15/24 (a)(b)

 

USD

5,000

 

$

5,175,000

 

Hawker Beechcraft Acquisition Co. LLC,
8.50%, 4/01/15

 

 

4,000

 

 

760,000

 

 

 

 

 

 




 

 

 

 

 

 

5,935,000

 









Auto Components — 0.6%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11%, 11/01/15

 

 

320

 

 

155,200

 

11.25%, 11/01/15 (c)

 

 

1,020

 

 

392,700

 

The Goodyear Tire & Rubber Co., 8.625%, 12/01/11

 

 

1,000

 

 

800,000

 

Lear Corp., 8.75%, 12/01/16

 

 

700

 

 

119,000

 

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

 

 

 

 

 

 

 

12%, 6/01/09

 

 

4,450

 

 

 

Series B, 9.50%, 7/01/05 (g)

 

 

1,800

 

 

180

 

 

 

 

 

 




 

 

 

 

 

 

1,467,080

 









Building Products — 4.0%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.75%, 8/01/14

 

 

4,000

 

 

2,740,000

 

CPG International I, Inc.:

 

 

 

 

 

 

 

8.561%, 7/01/12 (h)

 

 

7,500

 

 

3,975,000

 

10.50%, 7/01/13

 

 

1,300

 

 

689,000

 

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

 

 

1,600

 

 

608,000

 

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

 

 

4,500

 

 

2,070,000

 

 

 

 

 

 




 

 

 

 

 

 

10,082,000

 









Capital Markets — 1.9%

 

 

 

 

 

 

 

E*Trade Financial Corp., 12.50%, 11/30/17 (b)

 

 

10,625

 

 

4,887,500

 









Chemicals — 5.0%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

1,490

 

 

1,251,600

 

GEO Specialty Chemicals Corp., 7.50%,
3/31/15 (a)(b)(c)

 

 

3,992

 

 

2,989,270

 

GEO Specialty Chemicals, Inc., 9.935%,
12/31/09 (a)(b)(h)

 

 

6,415

 

 

4,803,231

 

Wellman Holdings, Inc. (a)(b):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10%, 1/29/19

 

 

2,978

 

 

2,978,000

 

Third Lien Subordinate Note, 5%, 1/29/19

 

 

906

 

 

634,200

 

 

 

 

 

 




 

 

 

 

 

 

12,656,301

 









Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

West Corp., 11%, 10/15/16

 

 

3,270

 

 

2,092,800

 









Construction Materials — 1.5%

 

 

 

 

 

 

 

Nortek, Inc.:

 

 

 

 

 

 

 

10%, 12/01/13

 

 

6,830

 

 

2,732,000

 

8.50%, 9/01/14

 

 

5,850

 

 

936,000

 

 

 

 

 

 




 

 

 

 

 

 

3,668,000

 









Containers & Packaging — 5.6%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.195%, 9/15/14 (h)

 

 

375

 

 

174,375

 

Packaging Dynamics Finance Corp., 10%, 5/01/16 (b)

 

 

6,215

 

 

2,672,450

 

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

 

 

13,625

 

 

7,936,563

 

Smurfit-Stone Container Enterprises, Inc. (d)(e):

 

 

 

 

 

 

 

8.375%, 7/01/12

 

 

1,600

 

 

128,000

 

8%, 3/15/17

 

 

2,600

 

 

227,500

 

Wise Metals Group LLC, 10.25%, 5/15/12

 

 

6,325

 

 

3,099,250

 

 

 

 

 

 




 

 

 

 

 

 

14,238,138

 









Diversified Consumer Services — 0.8%

 

 

 

 

 

 

 

NBC Acquisition Corp., 12.343%, 3/15/13 (i)

 

 

3,875

 

 

1,898,750

 









Diversified Financial Services — 3.5%

 

 

 

 

 

 

 

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

 

 

5,744

 

 

1,378,486

 

FCE Bank Plc, 7.125%, 1/16/12

 

EUR

7,800

 

 

6,031,947

 

Ford Motor Credit Co. LLC, 4.01%, 1/13/12 (h)

 

USD

2,680

 

 

1,313,200

 

 

 

 

 

 




 

 

 

 

 

 

8,723,633

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Electric Utilities — 0.5%

 

 

 

 

 

 

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

USD

1,505

 

$

1,204,000

 









Electronic Equipment & Instruments — 0.1%

 

 

 

 

 

 

 

Muzak Holdings, LLC, 13%, 3/15/10 (d)(e)(i)

 

 

2,675

 

 

133,750

 









Food Products — 1.1%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (b)

 

 

3,000

 

 

2,827,500

 









Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

4,250

 

 

3,230,000

 









Health Care Providers & Services — 1.5%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI,
8.875%, 7/15/15

 

 

4,000

 

 

3,785,000

 









Hotels, Restaurants & Leisure — 3.3%

 

 

 

 

 

 

 

HRP Myrtle Beach Holdings LLC, 14.50%,
4/01/14 (b)(c)(d)(e)

 

 

6,892

 

 

8,927

 

HRP Myrtle Beach Operations LLC (b)(d)(e):

 

 

 

 

 

 

 

7.383%, 4/01/12 (h)

 

 

5,000

 

 

50,000

 

12.50%, 4/01/13

 

 

5,000

 

 

6,250

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10%, 12/15/15 (b)

 

 

480

 

 

134,400

 

10.75%, 2/01/16

 

 

4,367

 

 

611,380

 

10.75%, 2/01/18

 

 

3,147

 

 

193,093

 

10%, 12/15/18 (b)

 

 

2,312

 

 

647,360

 

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

 

 

2,560

 

 

1,177,600

 

Shingle Springs Tribal Gaming Authority, 9.375%,
6/15/15 (b)

 

 

1,370

 

 

801,450

 

Snoqualmie Entertainment Authority, 5.384%,
2/01/14 (b)(h)

 

 

1,015

 

 

548,100

 

Travelport LLC, 5.886%, 9/01/14 (h)

 

 

2,160

 

 

691,200

 

Tropicana Entertainment LLC Series WI, 9.625%,
12/15/14 (d)(e)

 

 

530

 

 

5,300

 

Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (b)

 

 

3,000

 

 

2,400,000

 

Universal City Florida Holding Co. I, 5.92%, 5/01/10 (h)

 

 

2,000

 

 

960,000

 

 

 

 

 

 




 

 

 

 

 

 

8,235,060

 









Household Durables — 0.2%

 

 

 

 

 

 

 

Stanley-Martin Communities LLC, 9.75%, 8/15/15

 

 

2,250

 

 

630,000

 









IT Services — 0.6%

 

 

 

 

 

 

 

First Data Corp., 9.875%, 9/24/15

 

 

2,500

 

 

1,375,000

 









Independent Power Producers & Energy
Traders — 1.4%

 

 

 

 

 

 

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (c)

 

 

3,200

 

 

1,408,000

 

Texas Competitive Electric Holdings Co. LLC:

 

 

 

 

 

 

 

10.25%, 11/01/15

 

 

2,000

 

 

1,010,000

 

10.50%, 11/01/16 (c)

 

 

2,400

 

 

1,152,000

 

 

 

 

 

 




 

 

 

 

 

 

3,570,000

 









Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

5,100

 

 

816,000

 

13.50%, 12/01/15 (c)

 

 

7,291

 

 

872,252

 

 

 

 

 

 




 

 

 

 

 

 

1,688,252

 









Insurance — 0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11%, 5/01/15 (b)

 

 

2,500

 

 

1,612,500

 

USI Holdings Corp., 5.113%, 11/15/14 (b)(h)

 

 

1,630

 

 

774,250

 

 

 

 

 

 




 

 

 

 

 

 

2,386,750

 









Machinery — 1.7%

 

 

 

 

 

 

 

ESCO Corp., 5.195%, 12/15/13 (b)(h)

 

 

3,070

 

 

1,903,400

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

1,685

 

 

1,267,963

 

Titan International, Inc., 8%, 1/15/12

 

 

1,530

 

 

1,227,825

 

 

 

 

 

 



 

 

 

 

 

 

 

4,399,188

 










 

 

 

See Notes to Financial Statements.


22

ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Marine — 0.2%

 

 

 

 

 

 

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

USD

465

 

$

279,000

 

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

 

 

1,760

 

 

316,800

 

 

 

 

 

 




 

 

 

 

 

 

595,800

 









Media — 5.2%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

1,080

 

 

837,000

 

CSC Holdings, Inc., 8.50%, 4/15/14 (b)

 

 

680

 

 

652,800

 

Canadian Satellite Radio Holdings, Inc.,
12.75%, 2/15/14

 

 

5,000

 

 

1,012,500

 

Charter Communications Holdings LLC (d)(e):

 

 

 

 

 

 

 

10%, 4/01/09

 

 

2,402

 

 

24,020

 

10%, 5/15/11

 

 

1,978

 

 

19,780

 

11.125%, 1/15/11

 

 

1,319

 

 

65,950

 

Local Insight Regatta Holdings, Inc., 11%, 12/01/17

 

 

2,665

 

 

639,600

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

20

 

 

3,100

 

Nielsen Finance LLC, 11.625%, 2/01/14 (b)

 

 

5,000

 

 

4,325,000

 

Sinclair Broadcast Group, Inc. Class A,
4.875%, 7/15/18

 

 

3,235

 

 

1,568,975

 

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

 

 

5,230

 

 

2,458,100

 

Virgin Media, Inc., 6.50%, 11/15/16 (a)(b)

 

 

3,000

 

 

1,567,500

 

 

 

 

 

 




 

 

 

 

 

 

13,174,325

 









Metals & Mining — 1.7%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9%, 12/15/14

 

 

1,100

 

 

110

 

10%, 12/15/16

 

 

1,500

 

 

1,875

 

RathGibson, Inc., 11.25%, 2/15/14

 

 

4,440

 

 

976,800

 

Ryerson, Inc., 8.545%, 11/01/14 (b)(h)

 

 

6,720

 

 

3,427,200

 

 

 

 

 

 




 

 

 

 

 

 

4,405,985

 









Oil, Gas & Consumable Fuels — 3.4%

 

 

 

 

 

 

 

Chesapeake Energy Corp., 9.50%, 2/15/15

 

 

2,900

 

 

2,697,000

 

Compton Petroleum Finance Corp., 7.625%, 12/01/13

 

 

2,220

 

 

743,700

 

Denbury Resources, Inc., 9.75%, 3/01/16

 

 

1,875

 

 

1,762,500

 

Forest Oil Corp., 8.50%, 2/15/14 (b)

 

 

2,265

 

 

2,061,150

 

SandRidge Energy, Inc., 5.06%, 4/01/14 (h)

 

 

2,000

 

 

1,314,344

 

 

 

 

 

 




 

 

 

 

 

 

8,578,694

 









Paper & Forest Products — 4.4%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 4.82%, 6/15/11 (h)

 

 

6,500

 

 

585,000

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (b)

 

 

10,017

 

 

4,520,140

 

Bowater, Inc.:

 

 

 

 

 

 

 

9%, 8/01/09

 

 

640

 

 

163,200

 

4.32%, 3/15/10 (h)

 

 

7,600

 

 

1,368,000

 

NewPage Corp.:

 

 

 

 

 

 

 

7.42%, 5/01/12 (h)

 

 

8,000

 

 

1,920,000

 

10%, 5/01/12

 

 

2,720

 

 

822,800

 

12%, 5/01/13

 

 

3,325

 

 

465,500

 

Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (h)

 

 

4,400

 

 

1,144,000

 

 

 

 

 

 




 

 

 

 

 

 

10,988,640

 









Pharmaceuticals — 2.7%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%, 12/01/13 (h)

 

 

5,000

 

 

3,062,500

 

Elan Finance Plc:

 

 

 

 

 

 

 

5.234%, 11/15/11 (h)

 

 

1,000

 

 

825,000

 

7.75%, 11/15/11

 

 

3,525

 

 

3,005,063

 

 

 

 

 

 




 

 

 

 

 

 

6,892,563

 









Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

RAIT Financial Trust, 6.875%, 4/15/27 (a)(b)

 

 

3,500

 

 

980,000

 









Real Estate Management & Development — 0.8%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

6,500

 

 

1,365,000

 

12.375%, 4/15/15

 

 

5,333

 

 

639,960

 

 

 

 

 

 




 

 

 

 

 

 

2,004,960

 










 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 








Semiconductors & Semiconductor Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., 4.386%, 6/01/13 (b)(d)(e)

 

USD

3,370

 

$

787,737

 









Software — 0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 9.224%, 2/15/12 (b)(c)(h)

 

 

1,555

 

 

374,978

 









Specialty Retail — 3.4%

 

 

 

 

 

 

 

Buffets, Inc., 12.50%, 11/01/14 (d)(e)

 

 

1,440

 

 

144

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

7.584%, 3/15/14 (h)

 

 

5,560

 

 

3,280,400

 

10.75%, 3/15/15

 

 

4,480

 

 

3,136,000

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

10%, 11/01/14

 

 

2,240

 

 

764,400

 

11.375%, 11/01/16

 

 

2,785

 

 

657,956

 

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

 

 

1,380

 

 

662,400

 

 

 

 

 

 




 

 

 

 

 

 

8,501,300

 









Wireless Telecommunication Services — 5.9%

 

 

 

 

 

 

 

Crown Castle International Corp., 9%, 1/15/15

 

 

830

 

 

809,250

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.875%, 1/15/15

 

 

3,560

 

 

2,652,200

 

9.125%, 1/15/15 (c)

 

 

7,248

 

 

5,073,600

 

iPCS, Inc., 3.295%, 5/01/13 (h)

 

 

750

 

 

540,000

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

9.25%, 11/01/14

 

 

1,000

 

 

945,000

 

9.25%, 11/01/14 (b)

 

 

2,100

 

 

1,974,000

 

Nordic Telephone Co. Holdings ApS, 8.875%,
5/01/16 (b)

 

 

2,600

 

 

2,366,000

 

Orascom Telecom Finance SCA, 7.875%, 2/08/14 (b)

 

 

755

 

 

453,000

 

 

 

 

 

 




 

 

 

 

 

 

14,813,050

 









Total Corporate Bonds — 67.9%

 

 

 

 

 

171,211,734

 









 

 

 

 

 

 

 

 










Floating Rate Loan Interests

 

 

 

 

 

 

 









Aerospace & Defense — 0.2%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IAP Worldwide Services, Inc. Term Loan (First-Lien),
7.25%, 12/30/12

 

 

1,050

 

 

545,796

 









Airlines — 1.0%

 

 

 

 

 

 

 

Delta Air Lines, Inc. Credit — Linked Deposit Loan,
0.347% – 2.445%, 4/30/12

 

 

1,980

 

 

1,504,800

 

US Airways Group, Inc. Loan, 2.979%, 3/21/14

 

 

2,228

 

 

1,012,806

 

 

 

 

 

 




 

 

 

 

 

 

2,517,606

 









Auto Components — 3.1%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

 

 

7,574

 

 

5,017,626

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

2,929

 

 

891,264

 

The Goodyear Tire & Rubber Co. Loan (Second Lien),
2.23%, 4/30/14

 

 

1,050

 

 

730,125

 

Intermet Corp. (e):

 

 

 

 

 

 

 

First Lien Credit Facility, 7.189%, 11/08/10

 

 

1,307

 

 

522,591

 

Letter of Credit, 0.328%, 11/09/10

 

 

1,090

 

 

435,856

 

Synthetic Letter of Credit, 7.189%, 11/09/10 (c)

 

 

82

 

 

32,861

 

Term Loan, 7.189%, 11/08/10 (c)

 

 

356

 

 

142,403

 

Metaldyne Co. LLC Deposit Funded Tranche Loan,
0.347% – 5.125%, 1/11/12

 

 

87

 

 

10,385

 

Metaldyne Co. LLC Initial Tranche B Term Loan,
7.875% – 8%, 1/13/14

 

 

590

 

 

70,804

 

 

 

 

 

 




 

 

 

 

 

 

7,853,915

 









Automobiles — 0.2%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

993

 

 

317,458

 

General Motors Corp. Loan, 4.148%, 11/29/13

 

 

794

 

 

284,395

 

 

 

 

 

 




 

 

 

 

 

 

601,853

 










 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

23



 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Beverages — 0.1%

 

 

 

 

 

 

 

Culligan International Co. Loan (Second Lien),
6.485% – 8.536%, 5/24/13

 

EUR

1,500

 

$

335,954

 









Building Products — 1.4%

 

 

 

 

 

 

 

Building Materials Corp. of America Term Loan
Advance, 3.625% – 3.875%, 2/22/14

 

USD

2,978

 

 

2,029,702

 

Stile Acquisition Corp. (aka Masonite) Canadian
Term Loan, 6.75%, 4/06/13

 

 

1,944

 

 

794,399

 

Stile U.S. Acquisition Corp. (aka Masonite) US
Term Loan, 6.25%, 4/06/13

 

 

1,963

 

 

802,141

 

 

 

 

 

 




 

 

 

 

 

 

3,626,242

 









Chemicals — 3.5%

 

 

 

 

 

 

 

Huish Detergents Inc. Tranche B Term Loan,
2.17%, 4/26/14

 

 

1,466

 

 

1,241,418

 

PQ Corp. (fka Niagara Acquisition, Inc.):

 

 

 

 

 

 

 

Term Loan (First Lien), 4.43% – 4.71%, 7/31/14

 

 

1,990

 

 

1,189,025

 

Term Loan (Second Lien), 7.68%, 7/30/15

 

 

12,500

 

 

4,375,000

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

3,234

 

 

2,077,632

 

 

 

 

 

 




 

 

 

 

 

 

8,883,075

 









Commercial Services & Supplies — 1.6%

 

 

 

 

 

 

 

John Maneely Co. Term Loan,
4.41% – 4.604%, 12/09/13

 

 

1,277

 

 

731,039

 

NES Rentals Holdings, Inc. Permanent Term Loan
(Second Lien), 8%, 7/20/13

 

 

3,020

 

 

1,449,598

 

West Corp. Term B-2 Loan, 2.82% – 2.854%, 10/24/13

 

 

2,384

 

 

1,745,529

 

 

 

 

 

 




 

 

 

 

 

 

3,926,166

 









Communications Equipment — 0.2%

 

 

 

 

 

 

 

Safenet, Inc. Term Loan (First Lien),
3.398% – 3.66%, 4/12/14

 

 

985

 

 

534,363

 









Computers & Peripherals — 0.5%

 

 

 

 

 

 

 

Intergraph Corp.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien), 3.256%, 5/29/14

 

 

419

 

 

357,980

 

Second Lien Term Loan,
6.479% – 7.256%, 11/28/14

 

 

1,000

 

 

825,000

 

 

 

 

 

 




 

 

 

 

 

 

1,182,980

 









Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Brand Energy & Infrastructure Services, Inc.
(FR Brand Acquisition Corp.) First Lien Term Loan B,
3.688% – 3.75%, 2/07/14

 

 

491

 

 

316,856

 









Construction Materials — 0.5%

 

 

 

 

 

 

 

Headwaters Inc. Term Loan B1 (First Lien),
5.97%, 4/30/11

 

 

1,869

 

 

1,308,333

 









Containers & Packaging — 0.8%

 

 

 

 

 

 

 

Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14 (c)

 

 

9,966

 

 

1,993,211

 









Distributors — 0.2%

 

 

 

 

 

 

 

Keystone Automotive Operations, Inc. Loan,
3.947% – 5.75%, 1/12/12

 

 

1,664

 

 

624,030

 









Diversified Consumer Services — 1.4%

 

 

 

 

 

 

 

Coinmach Corp. Term Loan,
3.47% – 4.26%, 11/14/14

 

 

5,211

 

 

3,386,842

 









Diversified Financial Services — 0.1%

 

 

 

 

 

 

 

J.G. Wentworth, LLC Loan (First Lien),
3.709%, 4/04/14

 

 

4,000

 

 

360,000

 









Diversified Telecommunication Services — 2.7%

 

 

 

 

 

 

 

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

 

 

4,500

 

 

1,875,937

 

Winstar Communications, Inc. Term Loan,
6.366%, 12/31/06 (d)(e)

 

 

3,162

 

 

4,953,599

 

 

 

 

 

 




 

 

 

 

 

 

6,829,536

 










 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Electrical Equipment — 0.4%

 

 

 

 

 

 

 

Generac Acquisition Corp. First Lien Term Loan,
2.919%, 11/10/13

 

USD

1,731

 

$

926,178

 









Energy Equipment & Services — 1.9%

 

 

 

 

 

 

 

Dresser, Inc.:

 

 

 

 

 

 

 

Second Lien Term Loan, 6.988%, 5/04/15

 

 

2,500

 

 

1,125,000

 

Term Loan B, 2.729% – 3.488%, 5/04/14

 

 

2,912

 

 

2,090,623

 

MEG Energy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 3.46%, 4/02/13

 

 

1,239

 

 

768,219

 

Initial Term Loan, 3.46%, 4/03/13

 

 

1,216

 

 

753,687

 

 

 

 

 

 




 

 

 

 

 

 

4,737,529

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

DS Waters of America, Inc. Term Loan,
4.455%, 3/02/12

 

 

1,000

 

 

550,000

 

McJunkin Corp. Term Loan, 4.709%, 1/31/14

 

 

490

 

 

356,883

 

Wm. Bolthouse Farms, Inc. Second Lien Term Loan,
5.979%, 12/16/13

 

 

1,000

 

 

545,000

 

 

 

 

 

 




 

 

 

 

 

 

1,451,883

 









Food Products — 1.8%

 

 

 

 

 

 

 

Dole Food Co., Inc.:

 

 

 

 

 

 

 

Credit-Linked Deposit, 0.66%, 4/12/13

 

 

288

 

 

258,373

 

Tranche B Term Loan, 2.50% – 4.25%, 4/12/13

 

 

510

 

 

456,770

 

JRD Holdings, Inc. (Jetro Holdings) Term Loan,
2.697%, 7/02/14

 

 

1,938

 

 

1,685,625

 

Solvest, Ltd. (Dole) Tranche C Term Loan,
2.563% – 4.25%, 4/12/13

 

 

1,899

 

 

1,701,794

 

Sturm Foods, Inc. Initial Term Loan Second Lien,
7.25%, 7/31/14

 

 

1,250

 

 

312,500

 

 

 

 

 

 




 

 

 

 

 

 

4,415,062

 









Health Care Equipment & Supplies — 1.2%

 

 

 

 

 

 

 

DJO Finance LLC (ReAble Therapeutics Finance LLC)
Term Loan, 3.479% – 4.459%, 5/20/14

 

 

3,465

 

 

2,881,726

 









Health Care Providers & Services — 0.9%

 

 

 

 

 

 

 

CCS Medical, Inc. (Chronic Care) Term Loan (First Lien),
4.71%, 9/30/12

 

 

473

 

 

212,968

 

Rotech Healthcare, Inc. Term Loan, 6.479%, 9/26/11

 

 

3,680

 

 

2,023,938

 

 

 

 

 

 




 

 

 

 

 

 

2,236,906

 









Hotels, Restaurants & Leisure — 2.6%

 

 

 

 

 

 

 

Golden Nugget, Inc. Second Lien Term Loan,
3.73%, 12/31/14

 

 

1,500

 

 

195,000

 

Green Valley Ranch Gaming, LLC Second Lien Term Loan,
3.697%, 8/16/14

 

 

750

 

 

37,500

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 4.159% – 4.459%, 1/28/15

 

 

552

 

 

318,097

 

Term Loan B-2, 4.159% – 4.459%, 1/28/15

 

 

695

 

 

404,113

 

Term Loan B-3, 4.159% – 4.459%, 1/28/15

 

 

490

 

 

282,753

 

Las Vegas Sands, LLC:

 

 

 

 

 

 

 

Delayed Draw I Term Loan, 2.16%, 5/23/14

 

 

796

 

 

351,235

 

Tranche B Term Loan, 2.16%, 5/23/14

 

 

3,152

 

 

1,390,820

 

QCE, LLC (Quiznos) Term Loan (Second Lien),
7.218%, 11/05/13

 

 

6,000

 

 

2,010,000

 

VML US Finance LLC (aka Venetian Macau):

 

 

 

 

 

 

 

New Project Term Loan, 2.73%, 5/25/13

 

 

1,000

 

 

575,455

 

Term B Delayed Draw Project Loan, 2.73%, 5/25/12

 

 

1,279

 

 

735,785

 

Term B Funded Project Loan, 2.73%, 5/27/13

 

 

221

 

 

127,409

 

 

 

 

 

 




 

 

 

 

 

 

6,428,167

 









Household Durables — 1.0%

 

 

 

 

 

 

 

American Residential Services LLC Term Loan
(Second Lien), 0%, 4/17/15

 

 

3,030

 

 

2,588,185

 










 

 

 

See Notes to Financial Statements.


24

ANNUAL REPORT

FEBRUARY 28, 2009




 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







IT Services — 2.2%

 

 

 

 

 

 

 

Activant Solutions Inc. Term Loan, 3.438%,
5/02/13

 

USD

3,532

 

$

1,660,032

 

Audio Visual Services Group, Inc. Loan (Second Lien),
7.96%, 2/28/14

 

 

1,000

 

 

70,000

 

Ceridian Corp. U.S. Term Loan, 3.47%, 11/09/14

 

 

3,500

 

 

2,415,000

 

First Data Corp. Initial Tranche B-2 Term Loan,
3.222% – 3.229%, 9/24/14

 

 

975

 

 

640,107

 

RedPrairie Corp.:

 

 

 

 

 

 

 

Loan, 5.25%, 7/20/12

 

 

294

 

 

185,220

 

Term Loan B, 4.25% – 5.25%, 7/20/12

 

 

881

 

 

554,829

 

 

 

 

 

 




 

 

 

 

 

 

5,525,188

 









Independent Power Producers & Energy
Traders — 0.8%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan,
3.948% – 4.451%, 10/10/14

 

 

2,962

 

 

1,848,166

 

Initial Tranche B-3 Term Loan,
3.948% – 4.451%, 10/10/14

 

 

200

 

 

124,435

 

 

 

 

 

 




 

 

 

 

 

 

1,972,601

 









Industrial Conglomerates — 0.3%

 

 

 

 

 

 

 

Sequa Corp. Term Loan, 3.67% – 3.70%, 12/03/14

 

 

1,395

 

 

850,836

 









Insurance — 0.6%

 

 

 

 

 

 

 

Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14

 

 

1,975

 

 

1,481,250

 









Internet & Catalog Retail — 0.5%

 

 

 

 

 

 

 

FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14

 

 

1,496

 

 

1,279,294

 









Machinery — 2.6%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit,
3.696% – 3.729%, 1/19/12

 

 

1,867

 

 

1,336,222

 

Term Advance, 3.729%, 1/19/12

 

 

5,133

 

 

3,674,609

 

Oshkosh Truck Corp. Term B Loan,
2.20% – 3.95%, 12/06/13

 

 

1,761

 

 

1,232,538

 

Rexnord Holdings, Inc. Loan, 9.181%, 3/01/13

 

 

1,292

 

 

322,977

 

 

 

 

 

 




 

 

 

 

 

 

6,566,346

 









Media — 11.9%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan, 0%, 3/01/12

 

 

4,000

 

 

1,800,000

 

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

 

 

3,225

 

 

2,257,515

 

Cequel Communications, LLC (aka Cebridge):

 

 

 

 

 

 

 

Term Loan, 2.445% – 4.25%, 11/05/13

 

 

1,570

 

 

1,323,091

 

Tranche B Term Loan (Second Lien),
6.413% – 6.453%, 5/05/14

 

 

10,488

 

 

6,489,364

 

EB Sports Corp. Loan, 0%, 5/01/12

 

 

4,448

 

 

1,112,006

 

Ellis Communications KDOC, LLC Loan,
10%, 12/30/11

 

 

6,330

 

 

3,797,986

 

HMH Publishing Co. Ltd. (fka Education Media):

 

 

 

 

 

 

 

Mezzanine, 10.756%, 11/14/14

 

 

19,187

 

 

5,755,996

 

Tranche A Term Loan, 8.256%, 6/12/14

 

 

5,040

 

 

2,835,224

 

Insight Midwest Holdings, LLC B Term Loan,
2.42%, 4/07/14

 

 

1,025

 

 

901,573

 

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

 

 

 

 

 

 

 

Facility B1, 4.589%, 3/06/15

 

EUR

337

 

 

38,161

 

Facility C1, 4.839%, 3/04/16

 

 

674

 

 

76,322

 

Multicultural Radio Broadcasting, Inc. Term Loan,
3.195%, 12/18/12

 

USD

410

 

 

287,267

 

NEP II, Inc. Term B Loan, 2.729%, 2/18/14

 

 

483

 

 

390,816

 

Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

3,250

 

 

2,933,125

 

Penton Media, Inc. Loan (Second Lien),
6.174%, 2/01/14

 

 

1,000

 

 

111,250

 

 

 

 

 

 




 

 

 

 

 

 

30,109,696

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Metals & Mining — 0.5%

 

 

 

 

 

 

 

Euramax International, Inc.:

 

 

 

 

 

 

 

Domestic Loan (Second Lien), 13%, 6/29/13

 

USD

1,679

 

$

251,911

 

Domestic Term Loan, 8.75%, 6/29/12

 

 

2,447

 

 

795,394

 

Euro Loan (Second Lien), 13%, 6/29/13

 

 

833

 

 

124,964

 

 

 

 

 

 




 

 

 

 

 

 

1,172,269

 









Multi-Utilities — 0.8%

 

 

 

 

 

 

 

Energy Transfer Equity, LP Term Loan,
2.991%, 11/01/12

 

 

750

 

 

652,500

 

FirstLight Power Resources, Inc. (fka NE Energy, Inc.)
Second Lien Term Loan, 5.966%, 5/01/14

 

 

750

 

 

472,500

 

USPF Holdings, LLC Term Loan, 2.205%, 4/11/14

 

 

923

 

 

784,632

 

 

 

 

 

 




 

 

 

 

 

 

1,909,632

 









Multiline Retail — 0.4%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-2 Term Loan,
3.229%, 7/07/14

 

 

1,250

 

 

1,029,062

 









Oil, Gas & Consumable Fuels — 4.2%

 

 

 

 

 

 

 

Big West Oil, LLC (e):

 

 

 

 

 

 

 

Delayed Advance Loan, 4.50%, 5/15/14

 

 

963

 

 

471,625

 

Initial Advance Loan, 4.50%, 5/15/14

 

 

766

 

 

375,156

 

Petroleum GEO-Services ASA/PGS Finance, Inc.
Term Loan, 3.21%, 6/29/15

 

 

1,907

 

 

1,369,622

 

ScorpionDrilling Ltd. Second Lien, 8.966%, 5/08/14

 

 

3,500

 

 

2,817,500

 

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

 

 

5,958

 

 

4,766,334

 

Western Refining, Inc. Term Loan, 8.25%, 5/30/14

 

 

1,372

 

 

851,990

 

 

 

 

 

 




 

 

 

 

 

 

10,652,227

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC Loan,
7.685% – 8.435%, 2/01/13

 

 

3,767

 

 

753,467

 









Real Estate Management & Development — 1.2%

 

 

 

 

 

 

 

Enclave Term Loan, 6.14%, 3/01/12

 

 

4,000

 

 

1,600,000

 

Georgian Towers Term Loan B-7, 6.14%, 3/01/12

 

 

4,000

 

 

1,400,000

 

 

 

 

 

 




 

 

 

 

 

 

3,000,000

 









Software — 0.8%

 

 

 

 

 

 

 

Aspect Software, Inc. Loan (Second Lien),
8.313%, 7/11/12

 

 

7,000

 

 

2,100,000

 









Specialty Retail — 0.5%

 

 

 

 

 

 

 

Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan,
2.73% – 3.709%, 10/20/13

 

 

1,914

 

 

1,287,850

 









Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Renfro Corp. Tranche B Term Loan,
4.16% – 4.71%, 10/05/13

 

 

654

 

 

327,187

 









Total Floating Rate Loan Interests — 55.7%

 

 

 

 

 

140,509,299

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

 

 

 

 

 

 









Commercial Mortgage-Backed Securities — 1.5%

 

 

 

 

 

 

 

Crown Castle Towers LLC (b):

 

 

 

 

 

 

 

Series 2005-1A Class AFL, 0.936%, 6/15/35 (h)

 

 

2,780

 

 

2,529,800

 

Series 2005-1A Class AFX, 4.643%, 6/15/35

 

 

790

 

 

754,450

 

Global Signal Trust Series 2006-1 Class A2,
5.45%, 2/15/36 (b)

 

 

440

 

 

411,400

 









Total Non-U.S. Government Agency
Mortgage-Backed Securities — 1.5%

 

 

 

 

 

3,695,650

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

25



 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Airlines — 0.0%

 

 

 

 

 

 

 

Delta Air Lines, Inc. (d)

 

 

14,829

 

$

74,590

 









Building Products — 0.0%

 

 

 

 

 

 

 

Neenah Enterprises Inc.

 

 

144,858

 

 

31,869

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (d)

 

 

484,043

 

 

387,234

 









Chemicals — 0.1%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc. (b)(d)

 

 

339,340

 

 

130,273

 

GenTek Inc. (d)

 

 

403

 

 

5,634

 

Wellman Holdings, Inc. (b)(d)

 

 

5,373

 

 

1,343

 

 

 

 

 

 




 

 

 

 

 

 

137,250

 









Communications Equipment — 0.7%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (d)

 

 

150,354

 

 

1,790,716

 









Containers & Packaging — 0.3%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

36,342

 

 

62,685

 

Viskase Cos., Inc. (d)

 

 

1,428,423

 

 

714,212

 

 

 

 

 

 




 

 

 

 

 

 

776,897

 









Diversified Financial Services — 0.0%

 

 

 

 

 

 

 

Preferred Term Securities VI, Ltd. (b)(d)

 

 

35,000

 

 

350

 









Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Medis Technologies Ltd. (d)

 

 

286,757

 

 

163,451

 

SunPower Corp. Class B (d)

 

 

4,892

 

 

121,126

 

 

 

 

 

 




 

 

 

 

 

 

284,577

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

50

 

Lodgian, Inc. (d)

 

 

27,787

 

 

50,572

 

 

 

 

 

 




 

 

 

 

 

 

50,622

 









Oil, Gas & Consumable Fuels — 0.9%

 

 

 

 

 

 

 

EXCO Resources, Inc. (d)

 

 

243,759

 

 

2,220,644

 









Paper & Forest Products — 0.6%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (d)

 

 

1,190,019

 

 

673,490

 

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

 

 

1,335,501

 

 

757,821

 

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

 

 

211,149

 

 

24,896

 

 

 

 

 

 




 

 

 

 

 

 

1,456,207

 









Specialty Retail — 0.6%

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

 

503,737

 

 

1,486,024

 









Total Common Stocks — 3.5%

 

 

 

 

 

8,696,980

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

 

Par
(000)

 

 

 

 









Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (h)(j)

 

USD

2,345

 

 

820,985

 









Total Preferred Securities — 0.3%

 

 

 

 

 

820,985

 









 

 

 

 

 

 

Warrants (k)

 

Shares

 

Value

 









Building Products — 0.0%

 

 

 

 

 

 

 

Neenah Enterprises Inc. (expires 9/30/13) (b)

 

 

130,547

 

$

22,194

 









Chemicals — 0.0%

 

 

 

 

 

 

 

GenTek Inc. Tranche C (expires 11/10/10)

 

 

231

 

 

578

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/14)

 

 

126,761

 

 

0

 









Media — 0.0%

 

 

 

 

 

 

 

Sirius Satellite Radio, Inc. (expires 5/15/09) (b)

 

 

15,000

 

 

75

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. (expires 5/15/15)

 

 

62,323

 

 

31,162

 









Total Warrants — 0.0%

 

 

 

 

 

54,009

 









 

 

 

 

 

 

 

 









 

Other Interests (l)

 

Beneficial
Interest
(000)

 

 

 

 









Airlines — 0.0%

 

 

 

 

 

 

 

Delta Air Lines, Inc. Default:

 

 

 

 

 

 

 

8.33% Escrow

 

USD

5,505

 

 

27,525

 

10% Escrow

 

 

4,200

 

 

21,000

 

 

 

 

 

 




 

 

 

 

 

 

48,525

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

7,500

 

 

750

 

Adelphia Preferred Escrow

 

 

5

 

 

0

 

Adelphia Recovery Trust

 

 

9,406

 

 

37,625

 

Adelphia Recovery Trust Series ACC-6B INT

 

 

500

 

 

50

 

 

 

 

 

 




 

 

 

 

 

 

38,425

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Movie Gallery, Inc. Default Escrow

 

 

21,700

 

 

217

 









Total Other Interests — 0.0%

 

 

 

 

 

87,167

 









Total Long-Term Investments
(Cost — $693,932,767) — 128.9%

 

 

 

 

 

325,075,824

 









 

 

 

 

 

 

 

 









 

Short-Term Securities

 

 

 

 

 

 

 









Money Market Funds — 1.9%

 

 

 

 

 

 

 

BlackRock Liquidity Series, LLC Cash Sweep Series,
0.73% (f)(m)

 

 

4,725

 

 

4,725,260

 









Total Short-Term Securities
(Cost — $4,725,260) — 1.9%

 

 

 

 

 

4,725,260

 









Total Investments (Cost — $698,658,027*) — 130.8%

 

 

 

 

 

329,801,084

 

 

 

 

 

 

 

 

 

Liabilities in Excess of Other Assets — (30.8)%

 

 

 

 

 

(77,721,135

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

252,079,949

 

 

 

 

 

 




 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

700,042,362

 

 

 




Gross unrealized appreciation

 

$

6,767,166

 

Gross unrealized depreciation

 

 

(377,008,444

)

 

 



 

Net unrealized depreciation

 

$

(370,241,278

)

 

 





 

 

(a)

Convertible security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Non-income producing security.

 

 

(e)

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


 

 

 

See Notes to Financial Statements.




26

ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

Schedule of Investments (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

(f)

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


 

 

 

 

 

 

 







Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Series, LLC Cash Sweep Series

USD

4,725,260

 

$

106,584

 









 

 

(g)

As a result of bankruptcy proceedings, the company did not repay the principal amount of the security upon maturity.

 

 

(h)

Variable rate security. Rate shown is 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)

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

 

 

(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.

 

 

(l)

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

 

 

(m)

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 ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These industry classifications are unaudited.

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











GBP

262,500

 

USD

389,235

 

UBS AG

 

3/18/09

 

$

(13,473

)

USD

1,301,554

 

CAD

1,600,000

 

UBS AG

 

3/18/09

 

 

43,964

 

USD

8,184,698

 

EUR

6,243,000

 

Deutsche Bank AG

 

3/18/09

 

 

271,413

 














Total

 

 

 

 

 

 

 

 

 

$

301,904

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 













First Data Corp.

 

5.00

%

JPMorgan
Chase Bank
NA

 

December
2013

 

USD

1,000

 

$

79,100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

First Data Corp.

 

5.00

%

JPMorgan
Chase Bank
NA

 

December
2013

 

USD

1,500

 

 

118,650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Tyson Foods, Inc.

 

4.22

%

Goldman
Sachs Group
Bank USA

 

March
2014

 

USD

1,750

 

 

565

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Masco Corp.

 

5.30

%

JPMorgan
Chase Bank
NA

 

March
2014

 

USD

1,500

 

 

42,279

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Host Hotels & Resorts LP

 

5.00

%

Goldman
Sachs Group
Bank USA

 

March
2014

 

USD

2,500

 

 

42,620

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mohawk Industries, Inc.

 

4.45

%

JPMorgan
Chase Bank
NA

 

March
2014

 

USD

1,500

 

 

16,782

 















Total

 

 

 

 

 

 

 

 

 

 

$

299,996

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer1

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 













BAA Ferrovial
Junior Term Loan

 

2.00

%

Deutsche
Bank AG

 

March
2012

 

GBP

900

 

$

(249,620

)
















 

 

 

 

1

Credit rating is A– using Standard and Poor’s ratings.

 

 

 

 

2

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the term of the agreement. See Note 1 of the Notes to Financial Statements.

 

 

 

Credit default swaps on traded indexes — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 













Dow Jones CDX North
America High Yield
Index Series 10
Class V1

 

5.00

%

Credit Suisse
International

 

June
2013

 

USD

7,760

 

$

1,408,386

 
















 

 

Currency Abbreviations:

 

 

 

CAD     Canadian Dollar

 

EUR     Euro

 

GBP     British Pound

 

USD     US Dollar


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

27



 

 


 

Schedule of Investments (concluded)

BlackRock Debt Strategies Fund, Inc. (DSU)


 

 

 

Effective March 1,2008, the Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Fund’s investments:


 

 

 

 

 

 

 

 

 

 

 












Valuation Inputs

 

Investments in
Securities

 

Other Financial Instruments*

 







 

 

Assets

 

Assets

 

Liabilities

 

 

 


 


 


 

Level 1

 

$

7,670,446

 

 

 

 

 

Level 2

 

 

216,086,222

 

$

2,023,759

 

$

(13,473

)

Level 3

 

 

106,044,416

 

 

 

 

(249,620

)

 

 










Total

 

$

329,801,084

 

$

2,023,759

 

$

(263,093

)

 

 











 

 

 

 

*

Other financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

 

 

 

 

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:


 

 

 

 

 

 

 

 







 

 

Investments
in
Securities

 

Other
Financial
Instruments

 







 

 

Assets

 

Liabilities

 

 

 


 



Balance as of February 29, 2008

 

$

192,289,712

 

 

 

Accrued discounts/premiums

 

 

690,701

 

 

 

Realized loss

 

 

(20,925,781

)

 

 

Change in unrealized appreciation/depreciation1

 

 

(75,458,040

)

$

(48,806

)

Net sales

 

 

(63,855,289

)

 

 

Net transfers in of Level 3

 

 

73,303,113

 

 

(200,814

)

 

 







Balance as of February 28, 2009

 

$

106,044,416

 

$

(249,620

)

 

 








 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.




28

ANNUAL REPORT

FEBRUARY 28, 2009




 

 



 

Schedule of Investments February 28, 2009

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Aerospace & Defense — 4.3%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC:

 

 

 

 

 

 

 

Letter of Credit Facility Deposit,
1.359%, 3/26/14

 

USD

144

 

$

66,210

 

Term Loan, 2.479% – 3.459%, 3/26/14

 

 

2,454

 

 

1,127,562

 

IAP Worldwide Services, Inc. Term Loan (First-Lien),
8.25%, 12/30/12

 

 

1,353

 

 

703,574

 

Vought Aircraft Industries, Inc.:

 

 

 

 

 

 

 

Revolver, 2.47% – 2.48%, 12/22/10

 

 

1,000

 

 

600,000

 

Term Loan, 2.98%, 12/22/11

 

 

1,723

 

 

1,390,226

 

Tranche B Letter of Credit Deposit,
3.096%, 12/22/10

 

 

213

 

 

172,089

 

 

 

 

 

 




 

 

 

 

 

 

4,059,661

 









Airlines — 0.4%

 

 

 

 

 

 

 

US Airways Group, Inc. Loan, 2.979%, 3/21/14

 

 

740

 

 

336,469

 









Auto Components — 3.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

 

 

2,931

 

 

1,941,638

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

1,572

 

 

478,379

 

GPX International Tire Corp. Tranche B Term Loan,
9.23% – 10.25%, 3/30/12

 

 

1,285

 

 

706,715

 

Metaldyne Co. LLC:

 

 

 

 

 

 

 

Deposit Funded Tranche Loan,
0.347% – 5.125%, 1/11/12

 

 

58

 

 

6,923

 

Initial Tranche B Term Loan,
7.875% – 8%, 1/13/14

 

 

393

 

 

47,202

 

 

 

 

 

 




 

 

 

 

 

 

3,180,857

 









Automobiles — 0.1%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

298

 

 

95,247

 









Beverages — 0.1%

 

 

 

 

 

 

 

Culligan International Co. Loan (Second Lien),
6.485% – 8.536%, 5/24/13

 

EUR

500

 

 

111,985

 









Building Products — 1.7%

 

 

 

 

 

 

 

Building Materials Corp. of America Term Loan
Advance, 3.625% – 3.875%, 2/22/14

 

USD

1,985

 

 

1,353,135

 

Stile Acquisition Corp. (aka Masonite):

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

271

 

 

110,797

 

US Term Loan, 6.25%, 4/06/13

 

 

274

 

 

111,877

 

 

 

 

 

 




 

 

 

 

 

 

1,575,809

 









Capital Markets — 0.5%

 

 

 

 

 

 

 

RiskMetrics Group Holdings, LLC Term B Loan
(First Lien), 3.459%, 1/10/14

 

 

484

 

 

433,507

 









Chemicals — 4.7%

 

 

 

 

 

 

 

Edwards (Cayman Islands II) Ltd. Term Loan
(First Lien), 2.479%, 5/31/14

 

 

493

 

 

295,500

 

Huish Detergents Inc. Tranche B Term Loan,
2.17%, 4/26/14

 

 

739

 

 

625,475

 

ISP Chemco LLC Term Loan, 2% – 2.75%, 6/04/14

 

 

493

 

 

412,059

 

PQ Corp. (fka Niagara Acquisition, Inc.) Term Loan
(First Lien), 4.43% – 4.71%, 7/31/14

 

 

1,990

 

 

1,189,025

 

Solutia Inc. Loan, 8.50%, 2/28/14

 

 

2,990

 

 

1,921,035

 

 

 

 

 

 




 

 

 

 

 

 

4,443,094

 









Commercial Services & Supplies — 2.3%

 

 

 

 

 

 

 

Amsted Industries Inc. Term Loan,
3.10% – 4.21%, 4/05/13

 

 

1,206

 

 

977,064

 

John Maneely Co. Term Loan, 4.41% – 4.604%,
12/09/13

 

 

543

 

 

310,978

 

Synagro Technologies, Inc. Term Loan (First Lien),
2.45%, 4/02/14

 

 

985

 

 

549,138

 

West Corp. Term B-2 Loan, 2.82% – 2.854%,
10/24/13

 

 

456

 

 

334,153

 

 

 

 

 

 




 

 

 

 

 

 

2,171,333

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Computers & Peripherals — 1.3%

 

 

 

 

 

 

 

Dealer Computer Services, Inc. (Reynolds & Reynolds)
Term Loan (First Lien), 2.479%, 10/26/12

 

USD

640

 

$

415,926

 

Intergraph Corp.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien), 3.256%, 5/29/14

 

 

419

 

 

357,980

 

Second Lien Term Loan, 6.479% – 7.256%,
11/28/14

 

 

500

 

 

412,500

 

 

 

 

 

 




 

 

 

 

 

 

1,186,406

 









Construction & Engineering — 0.2%

 

 

 

 

 

 

 

Brand Energy & Infrastructure Services, Inc.
(FR Brand Acquisition Corp.) First Lien Term B
Loan, 3.688% – 3.75%, 2/07/14

 

 

491

 

 

147,375

 









Construction Materials — 0.8%

 

 

 

 

 

 

 

Headwaters Inc. Term Loan B1 (First Lien), 5.97%,
4/30/11

 

 

1,025

 

 

717,708

 









Containers & Packaging — 1.8%

 

 

 

 

 

 

 

Berry Plastics Group, Inc. Loan, 8.421%, 6/05/14

 

 

627

 

 

125,301

 

Graham Packaging Co., LP New Term Loan,
2.688% – 6.313%, 10/07/11

 

 

534

 

 

446,481

 

Graphic Packaging International, Inc. Incremental
Term Loan, 3.203% – 4.185%, 5/16/14

 

 

971

 

 

827,237

 

Smurfit-Stone Container Term Loan B, 8.75%, 2/03/10

 

 

290

 

 

288,188

 

 

 

 

 

 




 

 

 

 

 

 

1,687,207

 









Distributors — 0.4%

 

 

 

 

 

 

 

Keystone Automotive Operations, Inc. Loan,
3.947% – 5.75%, 1/12/12

 

 

951

 

 

356,589

 









Diversified Consumer Services — 1.0%

 

 

 

 

 

 

 

Coinmach Corp. Term Loan, 3.47% – 4.26%,
11/14/14

 

 

1,489

 

 

967,669

 









Diversified Financial Services — 0.1%

 

 

 

 

 

 

 

J.G. Wentworth, LLC Loan (First Lien), 3.709%,
4/04/14

 

 

1,000

 

 

90,000

 









Electrical Equipment — 0.1%

 

 

 

 

 

 

 

Generac Acquisition Corp. First Lien Term Loan,
2.919%, 11/10/13

 

 

188

 

 

100,362

 









Energy Equipment & Services — 2.6%

 

 

 

 

 

 

 

Dresser, Inc.:

 

 

 

 

 

 

 

Term B Loan, 2.729% – 3.488%, 5/04/14

 

 

2,184

 

 

1,567,967

 

Term Loan (Second Lien), 6.988%, 5/04/15

 

 

500

 

 

225,000

 

MEG Energy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 3.46%, 4/02/13

 

 

496

 

 

307,288

 

Initial Term Loan, 3.46%, 4/03/13

 

 

486

 

 

301,475

 

 

 

 

 

 




 

 

 

 

 

 

2,401,730

 









Food & Staples Retailing — 2.0%

 

 

 

 

 

 

 

AB Acquisitions UK Topco 2 Ltd. Facility B2 UK
Borrower, 4.161%, 7/06/15

 

GBP

1,500

 

 

1,507,950

 

DSW Holdings, Inc. Loan, 2.705%, 10/29/12

 

USD

463

 

 

338,268

 

 

 

 

 

 




 

 

 

 

 

 

1,846,218

 









Food Products — 1.5%

 

 

 

 

 

 

 

Dole Food Co., Inc.:

 

 

 

 

 

 

 

Credit-Linked Deposit, 0.66%, 4/12/13

 

 

507

 

 

454,607

 

Tranche B Term Loan, 2.50% – 4.25%, 4/12/13

 

 

16

 

 

14,461

 

Solvest, Ltd. (Dole) Tranche C Term Loan,
2.563% – 4.25%, 4/12/13

 

 

561

 

 

502,640

 

Sturm Foods, Inc. Initial Term Loan:

 

 

 

 

 

 

 

First Loan, 3.438% – 3.75%, 1/31/14 (a)

 

 

491

 

 

278,784

 

Second Lien, 7.25%, 7/31/14

 

 

500

 

 

125,000

 

 

 

 

 

 




 

 

 

 

 

 

1,375,492

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

29



 

 



 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

DJO Finance LLC (ReAble Therapeutics Finance LLC)
Term Loan, 3.479% – 4.459%, 5/20/14

 

USD

495

 

$

411,675

 

Hologic, Inc. Tranche B Term Loan, 3.75%, 3/29/13

 

 

254

 

 

228,521

 

 

 

 

 

 




 

 

 

 

 

 

640,196

 









Health Care Providers & Services — 1.6%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.729%, 7/25/14

 

 

47

 

 

39,567

 

Funded Term Loan, 2.729% – 3.506%, 7/25/14

 

 

913

 

 

773,247

 

Health Management Associates, Inc. Term B Loan,
3.209%, 2/28/14

 

 

909

 

 

724,555

 

 

 

 

 

 




 

 

 

 

 

 

1,537,369

 









Hotels, Restaurants & Leisure — 2.5%

 

 

 

 

 

 

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term B-1 Loan, 4.159% – 4.459%, 1/28/15

 

 

158

 

 

90,885

 

Term B-2 Loan, 4.159% – 4.459%, 1/28/15

 

 

1,687

 

 

981,418

 

Term B-3 Loan, 4.159% – 4.459%, 1/28/15

 

 

140

 

 

80,787

 

Lake at Las Vegas Joint Venture / LLV-1, LLC (b)(c):

 

 

 

 

 

 

 

Revolving Loan Credit-Linked Deposit Account,
14.35%, 6/20/12

 

 

60

 

 

2,809

 

Term Loan, 14.35% – 15%, 6/20/12

 

 

563

 

 

26,255

 

Las Vegas Sands, LLC:

 

 

 

 

 

 

 

Delayed Draw I Term Loan, 2.16%, 5/23/14

 

 

199

 

 

87,809

 

Tranche B Term Loan, 2.16%, 5/23/14

 

 

788

 

 

347,705

 

QCE, LLC (Quiznos) Term Loan (First Lien),
3.75%, 5/05/13

 

 

458

 

 

252,529

 

VML US Finance LLC (aka Venetian Macau) Term B:

 

 

 

 

 

 

 

Delayed Draw Project Loan, 2.73%, 5/25/12

 

 

225

 

 

129,708

 

Funded Project Loan, 2.73%, 5/27/13

 

 

525

 

 

301,883

 

 

 

 

 

 




 

 

 

 

 

 

2,301,788

 









Household Durables — 2.8%

 

 

 

 

 

 

 

American Residential Services LLC Term Loan
(Second Lien), 10%, 4/17/15

 

 

1,010

 

 

862,728

 

Simmons Bedding Co. Tranche D Term Loan,
9.535%, 12/19/11

 

 

1,686

 

 

1,288,143

 

Yankee Candle Co., Inc. Term Loan, 2.42% – 3.47%,
2/06/14

 

 

750

 

 

455,000

 

 

 

 

 

 




 

 

 

 

 

 

2,605,871

 









IT Services — 3.6%

 

 

 

 

 

 

 

Activant Solutions Inc. Term Loan, 3.438%, 5/02/13

 

 

1,177

 

 

553,344

 

Audio Visual Services Group, Inc. Tranche B Term
Loan (First Lien), 3.71%, 2/28/14

 

 

988

 

 

276,500

 

Ceridian Corp. US Term Loan, 3.47%, 11/09/14

 

 

1,750

 

 

1,207,500

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.223% – 3.229%,
9/24/14

 

 

1,288

 

 

845,908

 

Initial Tranche B-3 Term Loan, 3.223% – 3.229%,
9/24/14

 

 

122

 

 

79,626

 

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

 

 

499

 

 

459,848

 

 

 

 

 

 




 

 

 

 

 

 

3,422,726

 









Independent Power Producers & Energy Traders — 1.1%

 

 

 

 

 

 

 

Calpine Generating Co., LLC Second Priority Term Loan, 11.07%, 4/01/10

 

 

2

 

 

1,555

 

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

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.948% – 4.451%,
10/10/14

 

 

738

 

 

460,494

 

Initial Tranche B-3 Term Loan, 3.948% – 4.451%,
10/10/14

 

 

978

 

 

609,731

 

 

 

 

 

 




 

 

 

 

 

 

1,071,780

 









 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Industrial Conglomerates — 1.0%

 

 

 

 

 

 

 

Sequa Corp. Term Loan, 3.67% – 3.70%, 12/03/14

 

USD

1,598

 

$

974,958

 









Insurance — 0.8%

 

 

 

 

 

 

 

Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14

 

 

987

 

 

740,113

 









Internet & Catalog Retail — 0.4%

 

 

 

 

 

 

 

FTD Group, Inc. Tranche B Term Loan, 6.75%,
8/04/14

 

 

499

 

 

426,431

 









Leisure Equipment & Products — 3.7%

 

 

 

 

 

 

 

24 Hour Fitness Worldwide, Inc. Tranche B Term Loan,
2.98% – 3.93%, 6/08/12

 

 

1,945

 

 

1,089,200

 

Easton-Bell Sports, Inc. Tranche B Term Loan,
2.66% – 2.92%, 3/16/12

 

 

1,924

 

 

1,407,562

 

True Temper Sports, Inc. Term Delayed Draw,
3.723% – 4.709%, 3/15/11

 

 

1,524

 

 

954,812

 

 

 

 

 

 




 

 

 

 

 

 

3,451,574

 









Machinery — 3.5%

 

 

 

 

 

 

 

Blount, Inc. Term Loan B, 2.163%, 8/09/10

 

 

1,115

 

 

982,657

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit,
3.677% – 3.729%, 1/19/12

 

 

400

 

 

286,333

 

Term Advance, 3.729%, 1/19/12

 

 

1,100

 

 

787,416

 

Oshkosh Truck Corp. Term B Loan, 2.20% – 3.95%,
12/06/13

 

 

1,761

 

 

1,232,538

 

 

 

 

 

 




 

 

 

 

 

 

3,288,944

 









Media — 24.2%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan, 0%,
3/01/12

 

 

300

 

 

135,000

 

AlixPartners, LLP Tranche C Term Loan,
2.94% – 3.36%, 10/12/13

 

 

1,085

 

 

932,695

 

Bresnan Communications, LLC Additional Term
Loan B (First Lien), 3.13%, 6/30/13

 

 

500

 

 

426,250

 

Catalina Marketing Corp. Initial Term Loan, 4.459%,
10/01/14

 

 

990

 

 

784,560

 

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

 

 

2,982

 

 

2,087,318

 

Cequel Communications, LLC (aka Cebridge):

 

 

 

 

 

 

 

Second Lien Tranche A Term Loan (Cash Pay),
4.913%, 5/05/14

 

 

1,000

 

 

612,500

 

Term Loan, 2.445% – 4.25%, 11/05/13

 

 

1,486

 

 

1,252,535

 

Clarke American Corp. Tranche B Term Loan,
2.979% – 3.959%, 6/30/14

 

 

985

 

 

580,165

 

HMH Publishing Co. Ltd. (fka Education Media):

 

 

 

 

 

 

 

Mezzanine, 10.756%, 11/14/14

 

 

4,797

 

 

1,438,999

 

Tranche A Term Loan, 8.256%, 6/12/14

 

 

1,315

 

 

739,624

 

Hanley-Wood, LLC (FSC Acquisition) Term Loan,
2.695% – 2.729%, 3/08/14

 

 

988

 

 

358,791

 

Insight Midwest Holdings, LLC B Term Loan, 2.42%,
4/07/14

 

 

1,175

 

 

1,033,510

 

Intelsat Subsidiary Holding Co. Ltd. Tranche B Term
Loan, 3.925%, 7/03/13

 

 

941

 

 

827,806

 

Knology, Inc. Term Loan, 2.663%, 6/30/12

 

 

485

 

 

388,210

 

Lavena Holding 3 GmbH (Prosiebensat.1 Media AG)
Facility B1, 4.589%, 3/06/15

 

EUR

337

 

 

38,161

 

MCC Iowa LLC (Mediacom Broadband Group):

 

 

 

 

 

 

 

Tranche A Term Loan, 1.87%, 3/31/10

 

USD

1,065

 

 

985,125

 

Tranche D-1 Term Loan, 2.12%, 1/31/15

 

 

992

 

 

843,544

 

MCNA Cable Holdings LLC (OneLink Communications)
Loan, 0%, 3/01/13 (a)

 

 

1,179

 

 

731,214

 

Mediacom Illinois, LLC (fka Mediacom
Communications, LLC) Tranche C Term Loan,
1.87%, 1/31/15

 

 

2,104

 

 

1,747,963

 


 

 

 

See Notes to Financial Statements.


30

ANNUAL REPORT

FEBRUARY 28, 2009



 

 



 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

Metro-Goldwyn-Mayer Inc. Tranche B Term Loan,
3.729% – 4.709%, 4/09/12

 

USD

903

 

$

401,655

 

Multicultural Radio Broadcasting, Inc. Term Loan,
3.195%, 12/18/12

 

 

328

 

 

229,814

 

NEP II, Inc. Term B Loan, 2.729%, 2/18/14

 

 

237

 

 

191,862

 

NextMedia Operating, Inc.:

 

 

 

 

 

 

 

Delay Draw Term Loan, 5.123%, 11/15/12

 

 

280

 

 

131,809

 

Initial Term Loan (First Lien), 5.174%, 11/15/12

 

 

528

 

 

248,302

 

Penton Media, Inc. Term Loan (First Lien),
2.729% – 3.424%, 2/01/13

 

 

491

 

 

182,991

 

Spanish Broadcasting System, Inc. Revolving Credit
Loan, 3.46%, 6/10/10

 

 

2,500

 

 

2,073,878

 

TWCC Holding Corp. Term Loan, 7.25%, 9/14/15

 

 

499

 

 

475,808

 

UPC Financing Partnership M Facility, 3.76%,
12/31/14

 

EUR

3,000

 

 

2,779,826

 

 

 

 

 

 




 

 

 

 

 

 

22,659,915

 









Multi-Utilities — 2.9%

 

 

 

 

 

 

 

Riverside Energy Center Term Loan, 5.424%,
6/24/11

 

USD

1,943

 

 

1,768,185

 

Rocky Mountain Energy Center, LLC:

 

 

 

 

 

 

 

Credit Linked Deposit, 1.074%, 6/24/11

 

 

170

 

 

154,703

 

Term Loan, 5.424%, 6/24/11

 

 

890

 

 

809,881

 

 

 

 

 

 




 

 

 

 

 

 

2,732,769

 









Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-2 Term Loan,
3.229%, 7/07/14

 

 

375

 

 

308,719

 









Oil, Gas & Consumable Fuels — 1.5%

 

 

 

 

 

 

 

Coffeyville Resources, LLC:

 

 

 

 

 

 

 

Funded Letter of Credit, 3.15%, 12/28/10

 

 

162

 

 

117,770

 

Tranche D Term Loan, 8.75%, 12/30/13

 

 

522

 

 

379,313

 

Vulcan Energy Corp. (fka Plains Resources Inc.)
Term B3 Loan, 5.50%, 8/12/11

 

 

750

 

 

648,750

 

Western Refining, Inc. Term Loan, 8.25%, 5/30/14

 

 

493

 

 

306,063

 

 

 

 

 

 




 

 

 

 

 

 

1,451,896

 









Paper & Forest Products — 1.1%

 

 

 

 

 

 

 

NewPage Corp. Term Loan, 5.313%, 12/22/14

 

 

1,238

 

 

753,750

 

Verso Paper Finance Holdings LLC Loan,
7.685% – 8.435%, 2/01/13

 

 

1,188

 

 

237,671

 

 

 

 

 

 




 

 

 

 

 

 

991,421

 









Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc. (fka Cardinal
Health 409, Inc.) Euro Term Loan, 5.223%,
4/10/14

 

EUR

493

 

 

449,544

 









Real Estate Management & Development — 1.1%

 

 

 

 

 

 

 

Mattamy Funding Partnership Loan,
3.563%, 4/11/13

 

USD

486

 

 

340,375

 

Realogy Corp. Synthetic Letter of Credit,
0.347%, 10/10/13

 

 

1,224

 

 

692,121

 

 

 

 

 

 




 

 

 

 

 

 

1,032,496

 









Specialty Retail — 0.7%

 

 

 

 

 

 

 

Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan,
2.73% – 3.709%, 10/20/13

 

 

957

 

 

643,925

 









Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Renfro Corp. Tranche B Term Loan, 4.16% – 4.71%,
10/05/13

 

 

436

 

 

218,125

 









Total Floating Rate Loan Interests — 83.5%

 

 

 

 

 

78,235,278

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Auto Components — 2.0%

 

 

 

 

 

 

 

The Goodyear Tire & Rubber Co., 6.318%,
12/01/09 (d)

 

USD

2,000

 

$

1,882,500

 









Building Products — 1.9%

 

 

 

 

 

 

 

CPG International I, Inc., 8.561%, 7/01/12 (d)

 

 

3,000

 

 

1,590,000

 

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

 

 

400

 

 

152,000

 

 

 

 

 

 




 

 

 

 

 

 

1,742,000

 









Capital Markets — 2.0%

 

 

 

 

 

 

 

E*Trade Financial Corp., 12.50%, 11/30/17 (e)

 

 

3,188

 

 

1,466,250

 

Marsico Parent Co., LLC, 10.625%, 1/15/16 (e)

 

 

663

 

 

271,830

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(e)

 

 

259

 

 

106,358

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (a)(e)

 

 

177

 

 

72,724

 

 

 

 

 

 




 

 

 

 

 

 

1,917,162

 









Chemicals — 1.5%

 

 

 

 

 

 

 

GEO Specialty Chemicals Corp., 7.50%,
3/31/15 (a)(e)(f)

 

 

672

 

 

503,207

 

GEO Specialty Chemicals, Inc., 9.935%,
12/31/09 (d)(e)(f)

 

 

1,079

 

 

807,901

 

Wellman Holdings, Inc. Third Lien Subordinate Note,
5%, 1/29/19 (e)

 

 

181

 

 

126,700

 

 

 

 

 

 




 

 

 

 

 

 

1,437,808

 









Computers & Peripherals — 0.9%

 

 

 

 

 

 

 

Quantum Corp., 4.375%, 8/01/10 (f)

 

 

2,000

 

 

882,500

 









Construction Materials — 0.7%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

1,710

 

 

684,000

 









Containers & Packaging — 2.9%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%, 9/15/14 (d)

 

 

850

 

 

395,250

 

Clondalkin Acquisition BV, 3.996%, 12/15/13 (d)(e)

 

 

1,500

 

 

930,000

 

Crown European Holdings SA, 6.25%, 9/01/11 (e)

 

EUR

465

 

 

571,818

 

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

 

 

265

 

 

298,998

 

Packaging Dynamics Finance Corp., 10%,
5/01/16 (e)

 

USD

1,240

 

 

533,200

 

 

 

 

 

 




 

 

 

 

 

 

2,729,266

 









Diversified Financial Services — 1.7%

 

 

 

 

 

 

 

FCE Bank Plc, 7.125%, 1/16/12

 

EUR

2,000

 

 

1,546,653

 









Diversified Telecommunication Services — 1.4%

 

 

 

 

 

 

 

Qwest Corp., 5.246%, 6/15/13 (d)

 

USD

1,500

 

 

1,271,250

 









Food & Staples Retailing — 0.2%

 

 

 

 

 

 

 

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

 

 

250

 

 

150,000

 









Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

DJO Finance LLC, 10.875%, 11/15/14

 

 

2,750

 

 

2,090,000

 









Hotels, Restaurants & Leisure — 4.8%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.125%, 2/15/13

 

 

4,000

 

 

3,290,000

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/16

 

 

726

 

 

101,640

 

10.75%, 2/01/18 (a)

 

 

164

 

 

10,113

 

10%, 12/15/18 (e)

 

 

275

 

 

77,000

 

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

 

 

1,565

 

 

719,900

 

Travelport LLC, 5.886%, 9/01/14 (d)

 

 

815

 

 

260,800

 

 

 

 

 

 




 

 

 

 

 

 

4,459,453

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

31




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









IT Services — 1.8%

 

 

 

 

 

 

 

First Data Corp., 9.875%, 9/24/15

 

USD

3,000

 

$

1,650,000

 









Independent Power Producers & Energy Traders — 1.4%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC, 10.25%,
11/01/15

 

 

2,590

 

 

1,307,950

 









Industrial Conglomerates — 0.1%

 

 

 

 

 

 

 

Sequa Corp. (e):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

320

 

 

51,200

 

13.50%, 12/01/15 (a)

 

 

795

 

 

69,846

 

 

 

 

 

 




 

 

 

 

 

 

121,046

 









Media — 0.9%

 

 

 

 

 

 

 

CSC Holdings, Inc., 8.50%, 4/15/14 (e)

 

 

230

 

 

220,800

 

Local Insight Regatta Holdings, Inc., 11%, 12/01/17

 

 

748

 

 

179,520

 

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

 

 

1,000

 

 

470,000

 

 

 

 

 

 




 

 

 

 

 

 

870,320

 









Metals & Mining — 0.6%

 

 

 

 

 

 

 

FMG Finance Property Ltd., 5.261%, 9/01/11 (d)(e)

 

 

180

 

 

153,000

 

Ryerson, Inc., 8.545%, 11/01/14 (d)(e)

 

 

840

 

 

428,400

 

 

 

 

 

 




 

 

 

 

 

 

581,400

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

SandRidge Energy, Inc., 5.06%, 4/01/14 (d)

 

 

1,000

 

 

657,172

 









Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (d)

 

 

2,000

 

 

180,000

 

Bowater, Inc., 4.996%, 3/15/10 (d)

 

 

2,000

 

 

360,000

 

NewPage Corp.:

 

 

 

 

 

 

 

10%, 5/01/12

 

 

2,000

 

 

605,000

 

7.42%, 5/01/12 (d)

 

 

2,000

 

 

480,000

 

Verso Paper Holdings LLC Series B, 4.92%,
8/01/14 (d)

 

 

3,500

 

 

910,000

 

 

 

 

 

 




 

 

 

 

 

 

2,535,000

 









Pharmaceuticals — 0.3%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%,
12/01/13 (d)

 

 

500

 

 

306,250

 









Real Estate Management & Development — 0.1%

 

 

 

 

 

 

 

Realogy Corp., 10.50%, 4/15/14

 

 

490

 

 

102,900

 









Semiconductors & Semiconductor Equipment — 0.9%

 

 

 

 

 

 

 

Avago Technologies Finance Property Ltd., 6.761%,
6/01/13 (d)

 

 

600

 

 

471,000

 

Spansion, Inc., 4.386%, 6/01/13 (b)(c)(e)

 

 

1,690

 

 

395,037

 

 

 

 

 

 




 

 

 

 

 

 

866,037

 









Specialty Retail — 0.5%

 

 

 

 

 

 

 

General Nutrition Centers, Inc., 7.584%, 3/15/14 (a)(d)

 

 

350

 

 

206,500

 

Michaels Stores, Inc., 11.375%, 11/01/16

 

 

940

 

 

222,075

 

 

 

 

 

 




 

 

 

 

 

 

428,575

 









Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Crown Castle International Corp., 9%, 1/15/15

 

 

300

 

 

292,500

 

Digicel Group Ltd., 9.125%, 1/15/15 (a)(e)

 

 

1,249

 

 

874,300

 

 

 

 

 

 




 

 

 

 

 

 

1,166,800

 









Total Corporate Bonds — 33.5%

 

 

 

 

 

31,386,042

 










 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

Par
(000)

 

Value

 









Commercial Mortgage-Backed Securities — 1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series 2005-1A (e):

 

 

 

 

 

 

 

Class AFL, 0.841%, 6/15/35 (d)

 

USD

980

 

$

891,800

 

Class AFX, 4.643%, 6/15/35

 

 

270

 

 

257,850

 

Global Signal Trust Series 2006-1 Class A2, 5.45%,
2/15/36 (e)

 

 

155

 

 

144,925

 









Total Non-U.S. Government Agency
Mortgage-Backed Securities — 1.4%

 

 

 

 

 

1,294,575

 









 

 

 

 

 

 

 

 









Common Stocks

 

Shares

 

 

 

 








Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (b)

 

 

145,213

 

 

116,170

 









Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc. (b)(e)

 

 

10,732

 

 

4,120

 

Wellman Holdings, Inc. (b)(e)

 

 

181

 

 

45

 

 

 

 

 

 




 

 

 

 

 

 

4,165

 









Electrical Equipment — 0.2%

 

 

 

 

 

 

 

Medis Technologies Ltd. (b)

 

 

13,053

 

 

7,440

 

SunPower Corp. Class B (b)

 

 

5,332

 

 

132,020

 

 

 

 

 

 




 

 

 

 

 

 

139,460

 









Total Common Stocks — 0.3%

 

 

 

 

 

259,795

 









 

 

 

 

 

 

 

 









Preferred Stocks

 

 

 

 

 

 

 









Capital Markets — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC, 16.75% (e)

 

 

44

 

 

19,140

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

19,140

 









Total Long-Term Investments
(Cost — $180,931,606) — 118.7%

 

 

 

 

 

111,194,830

 









 

 

 

 

 

 

 

 









Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 









Money Market Funds — 4.4%

 

 

 

 

 

 

 

BlackRock Liquidity Series, LLC Cash Sweep Series,
0.73% (g)(h)

 

USD

4,108

 

 

4,108,178

 









Total Short-Term Securities
(Cost — $4,108,178) — 4.4%

 

 

 

 

 

4,108,178

 









 

 

 

 

 

 

 

 









Options Purchased

 

Contracts

 

 

 

 








Over-the-Counter Call Options

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring

 

 

 

 

 

 

 

December 2019 at USD 942.86, Broker,
Goldman Sachs & Co.

 

 

11

 

 

17,765

 









Total Options Purchased
(Cost — $10,756) — 0.0%

 

 

 

 

 

17,765

 









Total Investments

 

 

 

 

 

 

 

(Cost — $185,050,540*) — 123.1%

 

 

 

 

 

115,320,773

 

Liabilities in Excess of Other Assets — (23.1)%

 

 

 

 

 

(21,664,942

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

93,655,831

 

 

 

 

 

 





 

 

 

See Notes to Financial Statements.




32

ANNUAL REPORT

FEBRUARY 28, 2009



 

 


 

 

Schedule of Investments (continued)

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


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

185,065,181

 

 

 



 

Gross unrealized appreciation

 

$

176,381

 

Gross unrealized depreciation

 

 

(69,920,789

 

 

 



 

Net unrealized depreciation

 

$

(69,744,408

)

 

 



 


 

 

(a)

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

 

 

(b)

Non-income producing security.

 

 

(c)

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

 

 

(d)

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

 

 

(e)

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

 

 

(f)

Convertible security.

 

 

(g)

Represents the current yield as of report date.

 

 

(h)

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


 

 

 

 

 

 

 

 








Affiliate

 

Net
Activity

 

 

Income

 








BlackRock Liquidity Series, LLC Cash Sweep Series

 

USD

4,108,178

 

$

57,541

 










 

 

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

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 











USD

5,653,118

 

EUR

4,312,000

 

Deutsche Bank AG

 

3/18/09

 

$

187,464

 

USD

125,932

 

EUR

97,000

 

Citibank NA

 

3/18/09

 

 

2,980

 

USD

640,833

 

EUR

500,000

 

UBS AG

 

3/18/09

 

 

7,060

 

USD

1,515,422

 

GBP

1,022,000

 

UBS AG

 

3/18/09

 

 

52,456

 














Total

 

 

 

 

 

 

 

 

 

$

249,960

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 













First Data Corp.

 

5.00%

 

JPMorgan Chase
Bank NA

 

December
2013

 

USD

1,500

 

$

92,400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

First Data Corp.

 

5.00%

 

JPMorgan Chase
Bank NA

 

December
2013

 

USD

1,500

 

 

118,650

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Masco Corp.

 

5.30%

 

JPMorgan Chase
Bank NA

 

March
2014

 

USD

500

 

 

14,093

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Host Hotels & Resorts LP

 

5.00%

 

Goldman Sachs
Bank USA

 

March
2014

 

USD

1,225

 

 

20,884

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mohawk Industries, Inc.

 

4.45%

 

JPMorgan Chase
Bank NA

 

March
2014

 

USD

500

 

 

5,594

 















Total

 

 

 

 

 

 

 

 

 

 

$

251,621

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer1

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)
2

 

Unrealized
Depreciation

 













Ford Motor Co.

 

3.80%

 

UBS AG

 

March
2010

 

USD

5,000

 

$

(3,503,880

)
















 

 

 

 

1

Credit rating is CCC using Standard and Poor’s ratings.

 

 

 

 

2

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. See Note 1 of the Notes to Financial Statements.

 

 

 

Credit default swaps on traded indexes — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 













Dow Jones CDX North America High Yield Index Series 10 Class V1

 

5.00%

 

Credit Suisse
International

 

June
2013

 

USD

1,940

 

$

352,096

 
















 

 

Currency Abbreviations:


 

 

EUR

Euro

GBP

British Pound

USD

US Dollar


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

33



 

 


 

 

Schedule of Investments (concluded)

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


 

 

 

Effective March 1,2008, the Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Fund’s investments:


 

 

 

 

 

 

 

 

 

 

 












Valuation Inputs

 

Investments in
Securities

 

Other Financial Instruments*

 







 

 

Assets

 

Assets

 

Liabilities

 

 

 


 


 


 

Level 1

 

$

255,631

 

 

 

 

 

Level 2

 

 

78,374,526

 

$

871,442

 

$

(3,503,880

)

Level 3

 

 

36,672,851

 

 

 

 

 

 

 










Total

 

$

115,303,008

 

$

871,442

 

$

(3,503,880

)

 

 











 

 

 

 

*

Other financial instruments are foreign currency exchange contracts, swaps and options. Foreign currency exchange and swaps are valued at the unrealized appreciation/depreciation of the instrument and options are shown at market value.

 

 

 

 

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:


 

 

 

 

 





 

 

Investments in
Securities

 





 

 

Assets

 

 

 



Balance as of February 29, 2008

 

$

80,079,046

 

Accrued discounts/premiums

 

 

548,469

 

Realized loss

 

 

(10,355,809

)

Change in unrealized appreciation/depreciation1

 

 

(12,425,310

)

Net sales

 

 

(33,193,602

)

Net transfers in of Level 3

 

 

12,020,057

 

 

 




Balance as of February 28, 2009

 

$

36,672,851

 

 

 




 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.




34

ANNUAL REPORT

FEBRUARY 28, 2009




 

 


 

Schedule of Investments February 28, 2009

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Aerospace & Defense — 3.4%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC, 8.50%,
4/01/15

USD

 

2,000

 

$

380,000

 

Moog, Inc., 7.25%, 6/15/18 (a)

 

 

5,000

 

 

4,500,000

 

 

 

 

 

 




 

 

 

 

 

 

4,880,000

 









Auto Components — 2.5%

 

 

 

 

 

 

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

6.318%, 12/01/09 (b)

 

 

2,000

 

 

1,882,500

 

8.625%, 12/01/11

 

 

2,000

 

 

1,600,000

 

Lear Corp., 8.75%, 12/01/16

 

 

1,015

 

 

172,550

 

Venture Holdings Co. LLC (c)(d):

 

 

 

 

 

 

 

12%, 6/01/09

 

 

700

 

 

 

Series B, 9.50%, 7/01/05

 

 

3,325

 

 

332

 

 

 

 

 

 




 

 

 

 

 

 

3,655,382

 









Building Products — 4.8%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.75%,
8/01/14

 

 

4,000

 

 

2,740,000

 

CPG International I, Inc.:

 

 

 

 

 

 

 

8.561%, 7/01/12 (b)

 

 

3,500

 

 

1,855,000

 

10.50%, 7/01/13

 

 

1,500

 

 

795,000

 

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

 

 

1,175

 

 

446,500

 

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

 

 

2,225

 

 

1,023,500

 

 

 

 

 

 




 

 

 

 

 

 

6,860,000

 









Chemicals — 5.2%

 

 

 

 

 

 

 

American Pacific Corp., 9%, 2/01/15

 

 

610

 

 

512,400

 

GEO Specialty Chemicals Corp., 7.50%,
3/31/15 (a)(e)(f)

 

 

1,789

 

 

1,339,273

 

GEO Specialty Chemicals, Inc., 9.935%,
12/31/09 (a)(b)(e)

 

 

2,873

 

 

2,151,159

 

Wellman Holdings, Inc. (a)(e):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10%,
1/29/19

 

 

2,383

 

 

2,383,000

 

Third Lien Subordinate Note, 5%, 1/29/19

 

 

1,557

 

 

1,089,900

 

 

 

 

 

 




 

 

 

 

 

 

7,475,732

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

1,500

 

 

1,365,000

 









Construction Materials — 1.0%

 

 

 

 

 

 

 

Nortek, Inc., 10%, 12/01/13

 

 

3,420

 

 

1,368,000

 









Containers & Packaging — 5.1%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 5.871%, 9/15/14 (b)

 

 

100

 

 

46,500

 

Clondalkin Acquisition BV, 3.996%,
12/15/13 (a)(b)

 

 

2,000

 

 

1,240,000

 

Packaging Dynamics Finance Corp., 10%,
5/01/16 (a)

 

 

4,285

 

 

1,842,550

 

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

 

 

5,150

 

 

2,999,875

 

Smurfit-Stone Container Enterprises, Inc. (c)(d):

 

 

 

 

 

 

 

8.375%, 7/01/12

 

 

800

 

 

64,000

 

8%, 3/15/17

 

 

1,300

 

 

113,750

 

Wise Metals Group LLC, 10.25%, 5/15/12

 

 

2,000

 

 

980,000

 

 

 

 

 

 




 

 

 

 

 

 

7,286,675

 









Diversified Financial Services — 1.3%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC, 4.01%, 1/13/12 (b)

 

 

1,340

 

 

656,600

 

Highland Legacy Ltd., 7.42%, 6/01/11 (a)(b)

 

 

4,000

 

 

1,200,000

 

 

 

 

 

 




 

 

 

 

 

 

1,856,600

 









Electric Utilities — 0.6%

 

 

 

 

 

 

 

NSG Holdings LLC, 7.75%, 12/15/25 (a)

 

 

1,000

 

 

800,000

 









Food Products — 1.3%

 

 

 

 

 

 

 

Tyson Foods, Inc., 10.50%, 3/01/14 (a)

 

 

2,000

 

 

1,885,000

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

Fresenius US Finance II, Inc., 9%, 7/15/15 (a)

 

 

2,000

 

 

2,080,000

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Health Care Providers & Services — 1.6%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI,
8.875%, 7/15/15

USD

 

2,500

 

$

2,365,625

 









Hotels, Restaurants & Leisure — 5.5%

 

 

 

 

 

 

 

American Real Estate Partners LP,
7.125%, 2/15/13

 

 

3,000

 

 

2,467,500

 

CCM Merger, Inc., 8%, 8/01/13 (a)

 

 

4,125

 

 

1,526,250

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

10.75%, 2/01/16

 

 

3,669

 

 

513,660

 

10.75%, 2/01/18

 

 

1,574

 

 

96,546

 

10%, 12/15/18 (a)

 

 

1,561

 

 

437,080

 

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

 

 

1,210

 

 

556,600

 

Shingle Springs Tribal Gaming Authority, 9.375%,
6/15/15 (a)

 

 

690

 

 

403,650

 

Snoqualmie Entertainment Authority, 5.384%,
2/01/14 (a)(b)

 

 

500

 

 

270,000

 

Tropicana Entertainment LLC Series WI, 9.625%,
12/15/14 (c)(d)

 

 

220

 

 

2,200

 

Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (a)

 

 

1,500

 

 

1,200,000

 

Universal City Florida Holding Co. I, 5.92%,
5/01/10 (b)

 

 

1,000

 

 

480,000

 

 

 

 

 

 




 

 

 

 

 

 

7,953,486

 









IT Services — 1.9%

 

 

 

 

 

 

 

First Data Corp., 9.875%, 9/24/15

 

 

5,000

 

 

2,750,000

 









Independent Power Producers & Energy Traders — 4.3%

 

 

 

 

 

 

 

Dynegy Holdings, Inc., 8.375%, 5/01/16

 

 

2,000

 

 

1,270,000

 

Energy Future Holdings Corp., 11.25%,
11/01/17 (f)

 

 

1,500

 

 

660,000

 

Texas Competitive Electric Holdings Co. LLC:

 

 

 

 

 

 

 

10.25%, 11/01/15

 

 

7,220

 

 

3,646,100

 

10.50%, 11/01/16 (f)

 

 

1,200

 

 

576,000

 

 

 

 

 

 




 

 

 

 

 

 

6,152,100

 









Industrial Conglomerates — 0.6%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,550

 

 

408,000

 

13.50%, 12/01/15 (f)

 

 

3,590

 

 

429,489

 

 

 

 

 

 




 

 

 

 

 

 

837,489

 









Machinery — 1.5%

 

 

 

 

 

 

 

ESCO Corp., 5.871%, 12/15/13 (a)(b)

 

 

1,540

 

 

954,800

 

RBS Global, Inc., 8.875%, 9/01/16

 

 

835

 

 

628,337

 

Titan International, Inc., 8%, 1/15/12

 

 

770

 

 

617,925

 

 

 

 

 

 




 

 

 

 

 

 

2,201,062

 









Marine — 0.1%

 

 

 

 

 

 

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

324

 

 

194,400

 









Media — 2.3%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.125%, 10/15/13

 

 

515

 

 

399,125

 

CSC Holdings, Inc., 8.50%, 4/15/14 (a)

 

 

390

 

 

374,400

 

Charter Communications Holdings LLC (c)(d):

 

 

 

 

 

 

 

10%, 4/01/09

 

 

1,121

 

 

11,210

 

11.125%, 1/15/11

 

 

1,319

 

 

65,950

 

10%, 5/15/11

 

 

660

 

 

6,600

 

Local Insight Regatta Holdings, Inc., 11%, 12/01/17

 

 

1,244

 

 

298,560

 

Nielsen Finance LLC, 11.625%, 2/01/14 (a)

 

 

2,500

 

 

2,162,500

 

 

 

 

 

 




 

 

 

 

 

 

3,318,345

 









Metals & Mining — 1.5%

 

 

 

 

 

 

 

Aleris International, Inc., 9%, 12/15/14 (c)(d)

 

 

840

 

 

84

 

RathGibson, Inc., 11.25%, 2/15/14

 

 

2,175

 

 

478,500

 

Ryerson, Inc., 8.545%, 11/01/14 (a)(b)

 

 

3,360

 

 

1,713,600

 

 

 

 

 

 




 

 

 

 

 

 

2,192,184

 










 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

35



 

 


 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Oil, Gas & Consumable Fuels — 8.0%

 

 

 

 

 

 

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

USD

 

1,650

 

$

1,534,500

 

6.875%, 1/15/16

 

 

4,000

 

 

3,290,000

 

Compton Petroleum Finance Corp., 7.625%,
12/01/13

 

 

1,475

 

 

494,125

 

Denbury Resources, Inc., 9.75%, 3/01/16

 

 

2,500

 

 

2,350,000

 

Forest Oil Corp., 8.50%, 2/15/14 (a)

 

 

1,285

 

 

1,169,350

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

2,985

 

 

2,007,412

 

SandRidge Energy, Inc., 5.06%, 4/01/14 (b)

 

 

1,000

 

 

657,172

 

 

 

 

 

 




 

 

 

 

 

 

11,502,559

 









Paper & Forest Products — 3.6%

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc., 5.496%, 6/15/11 (b)

 

 

2,755

 

 

247,950

 

Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a)

 

 

3,162

 

 

1,426,798

 

Bowater, Inc., 4.996%, 3/15/10 (b)

 

 

7,400

 

 

1,332,000

 

NewPage Corp., 7.42%, 5/01/12 (b)

 

 

5,175

 

 

1,242,000

 

Verso Paper Holdings LLC Series B, 4.92%, 8/01/14 (b)

 

 

3,300

 

 

858,000

 

 

 

 

 

 




 

 

 

 

 

 

5,106,748

 









Pharmaceuticals — 2.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 5.011%,
12/01/13 (b)

 

 

2,690

 

 

1,647,625

 

Elan Finance Plc:

 

 

 

 

 

 

 

5.234%, 11/15/11 (b)

 

 

1,325

 

 

1,093,125

 

7.75%, 11/15/11

 

 

1,650

 

 

1,406,625

 

 

 

 

 

 




 

 

 

 

 

 

4,147,375

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp., 10.50%, 4/15/14

 

 

1,370

 

 

287,700

 









Semiconductors & Semiconductor Equipment — 0.8%

 

 

 

 

 

 

 

Avago Technologies Finance Property Ltd., 6.761%,
6/01/13 (b)

 

 

766

 

 

601,310

 

Spansion, Inc., 4.386%, 6/01/13 (a)(c)(d)

 

 

2,180

 

 

509,575

 

 

 

 

 

 




 

 

 

 

 

 

1,110,885

 









Specialty Retail — 0.6%

 

 

 

 

 

 

 

Michaels Stores, Inc., 10%, 11/01/14

 

 

1,055

 

 

360,019

 

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

 

 

915

 

 

439,200

 

 

 

 

 

 




 

 

 

 

 

 

799,219

 









Textiles, Apparel & Luxury Goods — 1.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

3,525

 

 

1,762,500

 









Wireless Telecommunication Services — 2.7%

 

 

 

 

 

 

 

Crown Castle International Corp., 9%, 1/15/15

 

 

485

 

 

472,875

 

iPCS, Inc., 3.295%, 5/01/13 (b)

 

 

250

 

 

180,000

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14 (a)

 

 

2,000

 

 

1,880,000

 

Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (a)

 

 

1,200

 

 

1,092,000

 

Orascom Telecom Finance SCA, 7.875%, 2/08/14 (a)

 

 

395

 

 

237,000

 

 

 

 

 

 




 

 

 

 

 

 

3,861,875

 









Total Corporate Bonds — 66.9%

 

 

 

 

 

96,055,941

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 









Aerospace & Defense — 2.0%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co. LLC Letter of
Credit Facility Deposit, 1.359%, 3/26/14

USD

 

294

 

$

134,978

 

Hawker Beechcraft Acquisition Co. LLC Term Loan,
2.479% – 3.459%, 3/26/14

 

 

5,003

 

 

2,298,671

 

IAP Worldwide Services, Inc. Term Loan
(First Lien), 7.25%, 12/30/12

 

 

822

 

 

427,549

 

 

 

 

 

 




 

 

 

 

 

 

2,861,198

 









Airlines — 0.6%

 

 

 

 

 

 

 

Delta Air Lines, Inc. Credit Linked Deposit Loan,
0.347% – 2.445%, 4/30/12

 

 

1,237

 

 

940,500

 









Auto Components — 3.3%

 

 

 

 

 

 

 

Allison Transmission, Inc. Term Loan, 3.20%, 8/07/14

 

 

5,129

 

 

3,398,172

 

Dana Holding Corp. Term Advance, 7.25%, 1/31/15

 

 

1,531

 

 

465,888

 

The Goodyear Tire & Rubber Co. Loan
(Second Lien), 2.23%, 4/30/14

 

 

500

 

 

347,679

 

Intermet Corp. (d):

 

 

 

 

 

 

 

First Lien Credit Facility, 7.189%, 11/08/10

 

 

502

 

 

200,997

 

Letter of Credit Term Loan, 7.189%, 11/09/10

 

 

137

 

 

54,770

 

Letter of Credit, 0.328%, 11/09/10

 

 

419

 

 

167,637

 

Synthetic Letter of Credit, 7.189%, 11/09/10 (k)

 

 

32

 

 

12,639

 

Metaldyne Co. LLC:

 

 

 

 

 

 

 

Deposit Funded Tranche Loan,
0.347% – 5.125%, 1/11/12

 

 

58

 

 

6,923

 

Initial Tranche B Term Loan, 7.875% – 8%,
1/13/14

 

 

393

 

 

47,202

 

 

 

 

 

 




 

 

 

 

 

 

4,701,907

 









Automobiles — 0.2%

 

 

 

 

 

 

 

Ford Motor Co. Term Loan, 5%, 12/15/13

 

 

472

 

 

150,790

 

General Motors Corp. Term Loan, 4.148%, 11/29/13

 

 

372

 

 

133,310

 

 

 

 

 

 




 

 

 

 

 

 

284,100

 









Building Products — 1.6%

 

 

 

 

 

 

 

Building Material Corp. of America Term Loan
Advance, 3.625% – 3.875%, 2/22/14

 

 

1,989

 

 

1,355,903

 

Stile Acquisition (Masonite International):

 

 

 

 

 

 

 

Canadian Term Loan, 6.75%, 4/06/13

 

 

1,079

 

 

447,925

 

US Term Loan B, 6.25%, 4/06/13

 

 

1,096

 

 

440,786

 

 

 

 

 

 




 

 

 

 

 

 

2,244,614

 









Chemicals — 3.7%

 

 

 

 

 

 

 

Huish Detergents, Inc. Tranche B Term Loan,
2.17%, 4/26/14

 

 

736

 

 

622,836

 

ISP Chemco LLC Term Loan, 2% – 2.75%, 6/04/14

 

 

985

 

 

824,117

 

PQ Corp. (fka Niagara Acquisition, Inc.) Term
Loan (First Lien), 4.43% – 4.71%, 7/31/14

 

 

4,975

 

 

2,972,563

 

Solutia, Inc. Loan, 8.50%, 2/28/14

 

 

1,492

 

 

958,907

 

 

 

 

 

 




 

 

 

 

 

 

5,378,423

 









Commercial Services & Supplies — 1.5%

 

 

 

 

 

 

 

John Maneely Co. Term Loan, 4.41% – 4.604%,
12/09/13

 

 

874

 

 

500,117

 

NES Rentals Holdings, Inc. Permanent Term Loan
(Second-Lien), 8%, 7/20/13

 

 

1,726

 

 

828,342

 

West Corp. Term B-2 Loan, 2.82% – 2.854%,
10/24/13

 

 

1,137

 

 

832,631

 

 

 

 

 

 




 

 

 

 

 

 

2,161,090

 









Computers & Peripherals — 0.8%

 

 

 

 

 

 

 

Dealer Computer Services, Inc. (Reynolds &
Reynolds) Term Loan (First Lien), 2.479%,
10/26/12

 

 

1,182

 

 

768,527

 

Intergraph Corp. Initial Term Loan (First Lien),
3.256%, 5/29/14

 

 

419

 

 

357,980

 

 

 

 

 

 




 

 

 

 

 

 

1,126,507

 










 

 

 

See Notes to Financial Statements.


36

ANNUAL REPORT

FEBRUARY 28, 2009




 

 

 


 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 









Construction & Engineering — 0.2%

 

 

 

 

 

 

 

Brand Energy & Infrastructure Services, Inc.
(FR Brand Acquisition Corp.) Synthetic Letter of
Credit Term Loan (First Lien), 1.375%, 2/07/14

 

USD

500

 

$

322,500

 









Construction Materials — 0.4%

 

 

 

 

 

 

 

Headwaters Inc. Term Loan B1 (First Lien),
5.97%, 4/30/11

 

 

744

 

 

520,833

 









Distributors — 0.4%

 

 

 

 

 

 

 

Keystone Automotive Operations, Inc. Loan,
3.947% – 5.75%, 1/12/12

 

 

1,426

 

 

534,883

 









Diversified Consumer Services — 0.9%

 

 

 

 

 

 

 

Coinmach Corp. Term Loan, 3.47% – 4.26%,
11/20/14

 

 

1,985

 

 

1,290,226

 









Diversified Financial Services — 1.5%

 

 

 

 

 

 

 

DaimlerChrysler Financial Services Americas LLC
Term Loan (First Lien), 6%, 8/03/12

 

 

3,465

 

 

1,801,754

 

J.G. Wentworth, LLC Loan (First Lien), 3.709%,
4/04/14

 

 

3,200

 

 

288,000

 

 

 

 

 

 




 

 

 

 

 

 

2,089,754

 









Diversified Telecommunication Services — 1.9%

 

 

 

 

 

 

 

Winstar Communications, Inc. Term Loan,
6.366%, 12/31/06 (c)

 

 

1,703

 

 

2,667,316

 









Electrical Equipment — 0.2%

 

 

 

 

 

 

 

Generac Acquisition Corp. First Lien Term Loan,
2.919%, 11/10/13

 

 

554

 

 

296,165

 









Energy Equipment & Services — 1.5%

 

 

 

 

 

 

 

Dresser, Inc.:

 

 

 

 

 

 

 

Term Loan B, 2.729% – 3.488%, 5/04/14

 

 

1,456

 

 

1,045,311

 

Second Lien Term Loan, 6.988%, 5/04/15

 

 

1,000

 

 

450,000

 

MEG Energy Corp.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 3.46%, 4/02/13

 

 

496

 

 

307,288

 

Initial Term Loan, 3.46%, 4/03/13

 

 

486

 

 

301,475

 

 

 

 

 

 




 

 

 

 

 

 

2,104,074

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Wm. Bolthouse Farms, Inc. Second Lien Term Loan,
5.979%, 12/16/13

 

 

750

 

 

408,750

 

McJunkin Corp. Term Loan, 4.709%, 1/31/14

 

 

490

 

 

356,883

 

 

 

 

 

 




 

 

 

 

 

 

765,633

 









Food Products — 1.6%

 

 

 

 

 

 

 

Dole Food Co., Inc.:

 

 

 

 

 

 

 

Credit Linked Deposit, 0.66%, 4/12/13

 

 

828

 

 

741,990

 

Tranche C, 2.563% – 4.25%, 4/12/13

 

 

711

 

 

637,476

 

JRD Holdings, Inc. (Jetro Holdings) Term Loan,
2.697%, 7/02/14

 

 

969

 

 

842,813

 

Sturm Foods, Inc. Initial Term Loan First Lien,
3.438% – 3.75%, 1/31/14 (f)

 

 

246

 

 

139,392

 

 

 

 

 

 




 

 

 

 

 

 

2,361,671

 









Health Care Equipment & Supplies — 0.6%

 

 

 

 

 

 

 

DJO Finance LLC (ReAble Therapeutics Fin LLC)
Term Loan, 3.479% – 4.459%, 5/20/14

 

 

990

 

 

823,350

 









Hotels, Restaurants & Leisure — 2.1%

 

 

 

 

 

 

 

Greenwood Racing, Inc. Term Loan, 2.73%,
11/28/11

 

 

735

 

 

543,900

 

Harrah’s Operating Co., Inc. Term B-2 Loan,
4.159% – 4.459%, 1/28/15

 

 

992

 

 

577,305

 

Las Vegas Sands LLC:

 

 

 

 

 

 

 

Delay Draw Term Loan, 2.16%, 5/23/14

 

 

298

 

 

131,713

 

Tranche B Term Loan, 2.16%, 5/23/14

 

 

1,182

 

 

521,558

 

QCE, LLC (Quiznos) Term Loan (First Lien),
3.75%, 5/05/13

 

 

975

 

 

537,643

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 







Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

VML US Finance LLC:

 

 

 

 

 

 

 

Delay Draw Term B Loan, 2.73%, 5/25/12

 

USD

250

 

$

143,864

 

New Project Term Loan, 2.73%, 5/25/13

 

 

1,000

 

 

575,455

 

 

 

 

 

 




 

 

 

 

 

 

3,031,438

 









IT Services — 2.8%

 

 

 

 

 

 

 

Activant Solutions Inc. Term Loan, 3.438%, 5/02/13

 

 

1,570

 

 

737,792

 

Audio Visual Services Corp.:

 

 

 

 

 

 

 

Second Lien Term Loan, 7.96%, 2/28/14

 

 

500

 

 

35,000

 

Term Loan B, 3.71%, 2/28/14

 

 

1,975

 

 

553,000

 

Ceridian Corp. U.S. Term Loan, 3.47%, 11/09/14

 

 

1,500

 

 

1,035,000

 

First Data Corp. Initial Tranche:

 

 

 

 

 

 

 

Term Loan B-2, 3.223% – 3.229%, 9/24/14

 

 

1,234

 

 

809,969

 

Term Loan B-3, 3.223% – 3.229%, 9/24/14

 

 

393

 

 

256,758

 

RedPrairie Corp.:

 

 

 

 

 

 

 

Term Loan B, 4.25% – 5.25%, 7/20/12

 

 

685

 

 

431,672

 

Term Loan C, 5.25%, 7/20/12

 

 

294

 

 

126,420

 

 

 

 

 

 




 

 

 

 

 

 

3,985,611

 









Independent Power Producers & Energy Traders — 0.3%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC
Initial Tranche:

 

 

 

 

 

 

 

Term Loan B-2, 3.948% – 4.451%, 10/10/14

 

 

489

 

 

304,921

 

Term Loan B-3, 3.948% – 4.451%, 10/10/14

 

 

229

 

 

143,100

 

 

 

 

 

 




 

 

 

 

 

 

448,021

 









Insurance — 0.3%

 

 

 

 

 

 

 

Alliant Holdings I, Inc. Term Loan, 4.459%, 8/21/14

 

 

494

 

 

370,313

 









Internet & Catalog Retail — 0.4%

 

 

 

 

 

 

 

FTD Group, Inc. Tranche B Term Loan, 6.75%,
8/04/14

 

 

748

 

 

639,647

 









Leisure Equipment & Products — 0.6%

 

 

 

 

 

 

 

Fender Musical Instruments Corp.:

 

 

 

 

 

 

 

Delay Draw Term Loan, 2.66%, 6/09/14

 

 

664

 

 

298,749

 

Term Initial, 3.71%, 6/09/14

 

 

1,314

 

 

591,493

 

 

 

 

 

 




 

 

 

 

 

 

890,242

 









Machinery — 3.4%

 

 

 

 

 

 

 

LN Acquisition Corp. (Lincoln Industrial) Initial
Term Loan (Second Lien), 6.21%, 1/09/15

 

 

1,000

 

 

800,000

 

Navistar International Transportation Corp.:

 

 

 

 

 

 

 

Advance Term Loan, 3.729%, 1/19/12

 

 

2,933

 

 

2,099,777

 

Credit Linked Deposit, 3.696% – 3.729%,
1/19/12

 

 

1,067

 

 

763,555

 

OshKosh Truck Corp. Term B Loan, 2.20% – 3.95%,
12/06/13

 

 

1,761

 

 

1,232,538

 

 

 

 

 

 




 

 

 

 

 

 

4,895,870

 









Media — 13.9%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan, 0%, 3/01/12

 

 

2,000

 

 

900,000

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.98%, 7/03/14

 

 

733

 

 

475,627

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

4,972

 

 

3,480,318

 

Cequel Communications, LLC:

 

 

 

 

 

 

 

Tranche B Term Loan (Second Lien),
6.413% – 6.453%, 5/05/14

 

 

5,244

 

 

3,244,682

 

(aka Cebridge) Term Loan,
2.445% – 4.25%, 11/05/13

 

 

1,622

 

 

1,367,475

 

Ellis Communications KDOC, LLC Loan, 10%,
12/30/11

 

 

3,895

 

 

2,337,222

 

HMH Publishing Co., Ltd. (fka Education Media)
Tranche A Term Loan, 8.256%, 6/12/14

 

 

4,625

 

 

2,601,435

 

Hanley-Wood, LLC (FSC Acquisition) Term Loan,
2.695% – 2.729%, 3/08/14

 

 

987

 

 

358,791

 


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

37



 

 


 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Insight Midwest Holdings, LLC B Term Loan,
2.42%, 4/07/14

 

USD

700

 

$

615,708

 

Knology, Inc. Term Loan, 2.663%, 6/30/12

 

 

728

 

 

582,315

 

MCC Iowa LLC (Mediacom Broadband Group)
Tranche D-1 Term Loan, 2.12%, 1/31/15

 

 

1,958

 

 

1,664,040

 

Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

2,250

 

 

2,030,625

 

Penton Media, Inc. Term Loan (First Lien),
2.729% – 3.424%, 2/01/13

 

 

737

 

 

274,486

 

 

 

 

 

 




 

 

 

 

 

 

19,932,724

 









Metals & Mining — 0.5%

 

 

 

 

 

 

 

Euramax International Plc:

 

 

 

 

 

 

 

Domestic Term Loan, 8.75%, 6/29/12

 

 

1,632

 

 

530,263

 

Domestic Loan (Second Lien), 13%, 6/29/13

 

 

672

 

 

100,764

 

Euro Loan (Second Lien), 13%, 6/29/13

 

 

333

 

 

49,986

 

 

 

 

 

 




 

 

 

 

 

 

681,013

 









Oil, Gas & Consumable Fuels — 2.3%

 

 

 

 

 

 

 

Big West Oil & Gas, Delay Draw Term Loan,
4.50%, 5/15/14 (d)

 

 

550

 

 

269,500

 

Big West Oil, LLC, Initial Advance, 4.50%, 5/15/14 (d)

 

 

437

 

 

214,375

 

Petroleum GEO-Services ASA/PGS Finance, Inc.
Term Loan, 3.21%, 6/29/15

 

 

953

 

 

684,811

 

ScorpionDrilling Ltd. Second Lien, 8.966%, 5/08/14

 

 

2,000

 

 

1,610,000

 

Western Refining, Inc. Term Loan, 8.25%, 5/30/14

 

 

915

 

 

567,993

 

 

 

 

 

 




 

 

 

 

 

 

3,346,679

 









Other — 0.4%

 

 

 

 

 

 

 

Dollar General Corp. Tranche B-2 Term Loan,
3.229%, 7/07/14

 

 

750

 

 

617,438

 









Real Estate Management & Development — 2.0%

 

 

 

 

 

 

 

LNR Property Corp. Initial Tranche B Term Loan,
3.92%, 7/12/11

 

 

2,400

 

 

1,260,000

 

Realogy Corp. Synthetic Letter of Credit,
0.347%, 10/10/13

 

 

2,955

 

 

1,671,218

 

 

 

 

 

 




 

 

 

 

 

 

2,931,218

 









Specialty Retail — 0.9%

 

 

 

 

 

 

 

Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan,
2.73% – 3.709%, 10/20/13

 

 

1,914

 

 

1,287,850

 









Total Floating Rate Loan Interests — 53.3%

 

 

 

 

 

76,532,808

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-U.S. Government Agency
Mortgage-Backed Securities

 

 

 

 

 

 

 









Commercial Mortgage-Backed Securities — 1.4%

 

 

 

 

 

 

 

Crown Castle Towers LLC Series (a):

 

 

 

 

 

 

 

2005-1A Class AFL, 0.841%, 6/15/35 (b)

 

 

1,550

 

 

1,410,500

 

2005-1A Class AFX, 4.643%, 6/15/35

 

 

435

 

 

415,425

 

Global Signal Trust Series 2006-1 Class A2,
5.45%, 2/15/36 (a)

 

 

245

 

 

229,075

 









Total Non-U.S. Government Agency
Mortgage-Backed Securities — 1.4%

 

 

 

 

 

2,055,000

 










 

 

 

 

 

 

 

 









 

Common Stocks

 

Shares

 

 

 

 








Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc. (a)(c)

 

 

142,466

 

 

54,693

 

Wellman Holdings, Inc. (a)(c)

 

 

5,131

 

 

1,283

 

 

 

 

 

 




 

 

 

 

 

 

55,976

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

18,171

 

 

31,342

 










 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Hotels, Restaurants & Leisure — 0.1%

 

 

 

 

 

 

 

Lodgian, Inc. (c)

 

 

41,866

 

$

76,196

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (c)

 

 

375,634

 

 

212,590

 

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

 

 

421,556

 

 

239,209

 

 

 

 

 

 




 

 

 

 

 

 

451,799

 









Total Common Stocks — 0.4%

 

 

 

 

 

615,313

 










 

 

 

 

 

 

 

 









 

Capital Trusts

 

 

Par
(000)

 

 

 

 









Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

Citigroup, Inc. Series E, 8.40% (b)(g)

 

USD

1,105

 

 

386,861

 









Total Capital Trusts — 0.3%

 

 

 

 

 

386,861

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (h)

 

Beneficial
Interest
(000)

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Preferred Escrow

 

 

3

 

 

 

Adelphia Recovery Trust Series ACC-6B INT

 

 

250

 

 

25

 









Total Other Interests — 0.0%

 

 

 

 

 

25

 









Total Long-Term Investments
(Cost — $316,792,821) — 122.3%

 

 

 

 

 

175,645,948

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









Money Market Funds — 3.0%

 

 

 

 

 

 

 

BlackRock Liquidity Series, LLC Cash Sweep Series,
0.73% (i)(j)

 

 

4,347

 

 

4,346,896

 









Total Short-Term Securities
(Cost — $4,346,896) — 3.0%

 

 

 

 

 

4,346,896

 









Total Investments
(Cost — $321,139,717*) — 125.3%

 

 

 

 

 

179,992,844

 

Liabilities in Excess of Other Assets — (25.3)%

 

 

 

 

 

(36,349,968

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

143,642,876

 

 

 

 

 

 





 

 









*

The cost and unrealized appreciation (depreciation) of investments as February 28, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

321,841,508

 

 

 




Gross unrealized appreciation

 

$

3,610,970

 

Gross unrealized depreciation

 

 

(145,459,634

)

 

 




Net unrealized depreciation

 

$

(141,848,664

)

 

 





 

 

(a)

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

 

 

(b)

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

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

Convertible security.

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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


 

 

 

See Notes to Financial Statements.


38

ANNUAL REPORT

FEBRUARY 28, 2009




 

 


 

 

Schedule of Investments (concluded)

BlackRock Senior High Income Fund, Inc. (ARK)


 

 

(i)

Represents the current yield as of report date.

 

 

(j)

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


 

 

 

 

 

 

 

 









Affiliate

 

 

Net
Activity

 

 

Income

 









BlackRock Liquidity Series, LLC Cash Sweep Series

 

USD

4,346,896

 

 

$74,624

 










 

 

(k)

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

 

 

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

 

 

Foreign currency exchange contracts as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Currency

 

 

Currency

 

 

 

 

 

Settlement

 

 

Unrealized

 

Purchased

 

 

Sold

 

 

Counterparty

 

 

Date

 

 

Appreciation

 















USD 337,591

 

 

CAD 415,000

 

 

UBS AG

 

 

3/18/09

 

 

$11,403

 
















 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 














First Data Corp.

 

5.00%

 

JPMorgan

 

December

 

 

USD 2,500

 

$

154,000

 

 

 

 

 

Chase Bank

 

2013

 

 

 

 

 

 

 

 

 

 

 

NA

 

 

 

 

 

 

 

 

 

First Data Corp.

 

5.00%

 

JPMorgan

 

December

 

 

USD 2,500

 

 

197,750

 

 

 

 

 

Chase Bank

 

2013

 

 

 

 

 

 

 

 

 

 

 

NA

 

 

 

 

 

 

 

 

 

Tyson Foods, Inc.

 

4.22%

 

Goldman

 

March

 

 

USD 1,250

 

 

404

 

 

 

 

 

Sachs Bank

 

2014

 

 

 

 

 

 

 

 

 

 

 

USA

 

 

 

 

 

 

 

 

 

Masco Corp.

 

5.30%

 

JPMorgan

 

March

 

 

USD 1,000

 

 

28,186

 

 

 

 

 

Chase Bank

 

2014

 

 

 

 

 

 

 

 

 

 

 

NA

 

 

 

 

 

 

 

 

 

Host Hotels &

 

5.00%

 

Goldman

 

March

 

 

USD 2,500

 

 

42,620

 

Resorts LP

 

 

 

Sachs Bank

 

2014

 

 

 

 

 

 

 

 

 

 

 

USA

 

 

 

 

 

 

 

 

 

Mohawk Industries,

 

4.45%

 

JPMorgan

 

March

 

 

USD 1,000

 

 

11,188

 

Inc.

 

 

 

Chase Bank

 

2014

 

 

 

 

 

 

 

 

 

 

 

NA

 

 

 

 

 

 

 

 

 















Total

 

 

 

 

 

 

 

 

 

 

$

434,148

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Issuer1

 

 

Receive
Fixed
Rate

 

 

Counterparty

 

 

Expiration

 

 

Notional
Amount
(000)2

 

 

Unrealized
Depreciation

 


















Ford Motor Co.

 

 

2.05%

 

 

Deutsche

 

 

March

 

 

USD 5,000

 

 

$ (1,589,040)

 

 

 

 

 

 

 

Bank AG

 

 

2010

 

 

 

 

 

 

 



















 

 

 

 

1

Credit rating is CCC using Standard and Poor’s ratings.

 

 

 

 

2

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. See Note 1 of the Notes to Financial Statements.


 

 

Credit default swaps on traded indexes — buy protection outstanding as of February 28, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Issuer

 

 

Pay
Fixed
Rate

 

 

Counterparty

 

 

Expiration

 

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation

 


















Dow Jones CDX

 

 

5.00%

 

 

Credit Suisse

 

 

June

 

 

USD 3,880

 

 

$704,193

 

North America

 

 

 

 

 

International

 

 

2013

 

 

 

 

 

 

 

High Yield Index

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series 10 Class V1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

Currency Abbreviations:

 

 

 

CAD     Canadian Dollar

 

USD     US Dollar

 

 

Effective March 1,2008, the Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:


 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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

 

 

 

 

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

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

The following table summarizes the inputs used as of February 28, 2009 in determining the fair valuation of the Fund’s investments:

 

 

 

 

 

 

 

 

 

 

 












Valuation Inputs

 

Investments in
Securities

 

Other Financial Instruments*

 







 

 

Assets

 

Assets

 

Liabilities

 

 

 


 


 



Level 1

 

$

288,786

 

 

 

 

 

Level 2

 

 

127,067,361

 

$

1,149,744

 

$

(1,589,040

)

Level 3

 

 

52,636,697

 

 

 

 

 

 

 










Total

 

$

179,992,844

 

$

1,149,744

 

$

(1,589,040

)

 

 











 

 

 

 

*

Other financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 






 

 

Investments in
Securities

 





 

 

Assets

 

 

 



Balance as of February 29, 2008

 

$

95,462,500

 

Accrued discounts/premiums

 

 

212,935

 

Realized loss

 

 

(10,624,907

)

Change in unrealized appreciation/depreciation1

 

 

(28,182,528

)

Net sales

 

 

(30,765,165

)

Net transfers in of Level 3

 

 

26,533,862

 

 

 




Balance as of February 28, 2009

 

$

52,636,697

 

 

 





 

 

1

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

39




 


Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2009

 

BlackRock
Corporate
High Yield
Fund, Inc.
(COY)

 

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

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

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

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 


Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investments at value — unaffiliated1

 

$

172,620,288

 

$

185,523,563

 

$

325,075,824

 

$

111,212,595

 

$

175,645,948

 

Investments at value — affiliated2

 

 

7,111,263

 

 

8,370,522

 

 

4,725,260

 

 

4,108,178

 

 

4,346,896

 

Unrealized appreciation on foreign currency exchange contracts

 

 

286,926

 

 

303,896

 

 

315,377

 

 

249,960

 

 

11,403

 

Unrealized appreciation on swaps

 

 

7,044

 

 

7,044

 

 

1,708,382

 

 

603,717

 

 

1,138,341

 

Foreign currency at value3

 

 

66,910

 

 

180,273

 

 

55,583

 

 

189,014

 

 

 

Cash

 

 

 

 

37,164

 

 

902,762

 

 

66,171

 

 

122,423

 

Cash collateral on swaps

 

 

2,500,000

 

 

 

 

 

 

 

 

1,500,000

 

Investments sold receivable

 

 

1,454,381

 

 

205,148

 

 

3,782,490

 

 

4,709,981

 

 

6,273,386

 

Interest receivable

 

 

5,070,510

 

 

5,612,537

 

 

9,665,749

 

 

2,086,003

 

 

3,695,736

 

Swaps receivable

 

 

42,711

 

 

46,284

 

 

 

 

36,946

 

 

20,215

 

Swap premiums paid

 

 

 

 

 

 

1,502,250

 

 

1,000,863

 

 

1,794,778

 

Dividends receivable

 

 

296

 

 

13,331

 

 

76,608

 

 

 

 

 

Commitment fees receivable

 

 

 

 

64

 

 

2,602

 

 

6,868

 

 

 

Principal paydown receivable

 

 

 

 

177,008

 

 

13,158

 

 

 

 

 

Other assets

 

 

23,985

 

 

33,238

 

 

86,349

 

 

1,328

 

 

 

Prepaid expenses

 

 

15,933

 

 

16,667

 

 

35,069

 

 

10,399

 

 

16,808

 

 

 
















Total assets

 

 

189,200,247

 

 

200,526,739

 

 

347,947,463

 

 

124,282,023

 

 

194,565,934

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Loan payable

 

 

38,700,000

 

 

44,200,000

 

 

90,000,000

 

 

26,000,000

 

 

47,000,000

 

Unrealized depreciation on swaps

 

 

3,306,583

 

 

3,532,628

 

 

249,620

 

 

3,503,880

 

 

1,589,040

 

Unrealized depreciation on foreign currency exchange contracts

 

 

 

 

 

 

13,473

 

 

 

 

 

Unrealized depreciation on unfunded loan commitments

 

 

 

 

 

 

 

 

176,660

 

 

 

Bank overdraft

 

 

926,999

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

1,141,057

 

 

1,183,914

 

 

4,698,228

 

 

618,799

 

 

1,855,120

 

Interest payable

 

 

11,418

 

 

10,334

 

 

30,367

 

 

8,211

 

 

14,999

 

Income dividends payable

 

 

127,598

 

 

137,793

 

 

387,814

 

 

109,183

 

 

171,954

 

Investment advisory fees payable

 

 

74,695

 

 

95,692

 

 

166,965

 

 

70,183

 

 

74,500

 

Swaps payable

 

 

660

 

 

659

 

 

128,459

 

 

59,164

 

 

107,436

 

Officer’s and Directors’ fees payable

 

 

124

 

 

131

 

 

24,707

 

 

133

 

 

117

 

Deferred income

 

 

 

 

7,464

 

 

 

 

 

 

 

Other affiliates payable

 

 

1,685

 

 

1,865

 

 

2,312

 

 

760

 

 

1,923

 

Other accrued expenses payable

 

 

109,396

 

 

95,146

 

 

165,569

 

 

79,219

 

 

107,969

 

 

 
















Total liabilities

 

 

44,400,215

 

 

49,265,626

 

 

95,867,514

 

 

30,626,192

 

 

50,923,058

 

 

 
















Net Assets

 

$

144,800,032

 

$

151,261,113

 

$

252,079,949

 

$

93,655,831

 

$

143,642,876

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Par value, $0.10 per share, 200,000,000 shares authorized4

 

$

3,458,096

 

$

3,731,650

 

$

10,723,549

 

$

1,049,693

 

$

5,650,950

 

Paid-in capital in excess of par

 

 

410,872,589

 

 

488,498,988

 

 

961,548,108

 

 

199,119,933

 

 

450,852,902

 

Undistributed (distributions in excess of) net investment income

 

 

4,243,346

 

 

1,653,945

 

 

(749,083

)

 

1,132,254

 

 

(267,346

)

Accumulated net realized loss

 

 

(162,293,913

)

 

(221,247,542

)

 

(352,285,591

)

 

(35,091,279

)

 

(171,007,461

)

Net unrealized appreciation/depreciation

 

 

(111,480,086

)

 

(121,375,928

)

 

(367,157,034

)

 

(72,554,770

)

 

(141,586,169

)

 

 
















Net Assets

 

$

144,800,032

 

$

151,261,113

 

$

252,079,949

 

$

93,655,831

 

$

143,642,876

 

 

 
















Net asset value

 

$

4.19

 

$

4.05

 

$

2.35

 

$

8.92

 

$

2.54

 

 

 
















1 Investments at cost — unaffiliated

 

$

281,110,162

 

$

303,665,184

 

$

693,932,767

 

$

180,942,362

 

$

316,792,821

 

 

 
















2 Investments at cost — affiliated

 

$

7,111,263

 

$

8,370,522

 

$

4,725,260

 

$

4,108,178

 

$

4,346,896

 

 

 
















3 Foreign currency at cost

 

$

33,639

 

$

183,415

 

$

110,294

 

$

194,744

 

 

 

 

 
















4 Shares outstanding

 

 

34,580,960

 

 

37,316,497

 

 

107,235,485

 

 

10,496,930

 

 

56,509,502

 

 

 

















 

 

 

See Notes to Financial Statements.


40

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

 

 

 

 

BlackRock Corporate

 

BlackRock Corporate

 

 

 

 

 

 

High Yield Fund, Inc. (COY)

 

High Yield Fund III, Inc. (CYE)

 

 

 

 

 

 


 


 

 

 

 

 

 

Period June 1,
2008 to
February 28,
2009

 

 

 

Period June 1,
2008 to
February 28,
2009

 

 

 


 


 


 

 

 

 

Year Ended
May 31,
2008

 

 

Year Ended
May 31,
2008

 

Year Ended
February 28,
2009

 

Year Ended
February 28,
2009

 

Year Ended
February 28,
2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Interest

 

$

20,403,010

 

$

31,927,548

 

$

22,256,343

 

$

34,067,538

 

$

65,146,033

 

$

16,851,077

 

$

28,113,668

 

Dividends

 

 

69,667

 

 

277,481

 

 

94,248

 

 

320,928

 

 

517,015

 

 

 

 

8,636

 

Income — affiliated

 

 

29,589

 

 

150,123

 

 

34,084

 

 

148,722

 

 

106,584

 

 

57,541

 

 

74,624

 

Other

 

 

 

 

27,605

 

 

 

 

28,206

 

 

 

 

 

 

 

Facility and other fees

 

 

108,315

 

 

27,388

 

 

173,472

 

 

36,514

 

 

709,215

 

 

1,071,804

 

 

256,479

 

 

 






















Total income

 

 

20,610,581

 

 

32,410,145

 

 

22,558,147

 

 

34,601,908

 

 

66,478,847

 

 

17,980,422

 

 

28,453,407

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Investment advisory

 

 

972,270

 

 

1,817,498

 

 

1,244,233

 

 

2,335,178

 

 

3,784,383

 

 

1,411,729

 

 

1,561,909

 

Borrowing costs1

 

 

343,377

 

 

161,538

 

 

354,298

 

 

172,272

 

 

837,957

 

 

274,884

 

 

418,706

 

Professional

 

 

213,244

 

 

133,387

 

 

221,629

 

 

139,927

 

 

450,117

 

 

120,275

 

 

144,296

 

Accounting services

 

 

50,474

 

 

95,686

 

 

43,060

 

 

77,121

 

 

167,386

 

 

32,135

 

 

69,040

 

Printing

 

 

48,149

 

 

48,753

 

 

47,924

 

 

47,858

 

 

57,141

 

 

37,329

 

 

52,064

 

Transfer agent

 

 

36,374

 

 

24,168

 

 

34,224

 

 

23,086

 

 

97,579

 

 

8,792

 

 

46,204

 

Custodian

 

 

26,853

 

 

34,238

 

 

19,705

 

 

23,742

 

 

56,904

 

 

18,014

 

 

37,173

 

Officer and Directors

 

 

18,879

 

 

22,505

 

 

19,800

 

 

23,801

 

 

46,772

 

 

16,802

 

 

28,458

 

Registration

 

 

1,890

 

 

11,392

 

 

2,040

 

 

12,289

 

 

36,666

 

 

8,811

 

 

19,346

 

Miscellaneous

 

 

50,675

 

 

22,133

 

 

52,377

 

 

42,247

 

 

80,419

 

 

48,507

 

 

59,838

 

 

 






















Total expenses excluding interest expense and fees paid indirectly

 

 

1,762,185

 

 

2,371,298

 

 

2,039,290

 

 

2,897,521

 

 

5,615,324

 

 

1,977,278

 

 

2,437,034

 

Interest expense

 

 

1,677,633

 

 

4,211,936

 

 

1,836,619

 

 

4,557,394

 

 

5,713,957

 

 

1,577,392

 

 

2,797,763

 

 

 






















Total expenses

 

 

3,439,818

 

 

6,583,234

 

 

3,875,909

 

 

7,454,915

 

 

11,329,281

 

 

3,554,670

 

 

5,234,797

 

Less fees paid indirectly

 

 

(1,114

)

 

(15,174

)

 

(2,477

)

 

(8,531

)

 

 

 

(3,307

)

 

 

 

 






















Total expenses after fees paid indirectly

 

 

3,438,704

 

 

6,568,060

 

 

3,873,432

 

 

7,446,384

 

 

11,329,281

 

 

3,551,363

 

 

5,234,797

 

 

 






















Net investment income

 

 

17,171,877

 

 

25,842,085

 

 

18,684,715

 

 

27,155,524

 

 

55,149,566

 

 

14,429,059

 

 

23,218,610

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(33,991,164

)

 

(9,483,558

)

 

(36,432,667

)

 

(9,657,195

)

 

(106,273,122

)

 

(33,092,491

)

 

(55,561,275

)

Swaps

 

 

(1,315,139

)

 

354,630

 

 

(1,312,925

)

 

374,002

 

 

393,931

 

 

206,186

 

 

107,328

 

Foreign currency

 

 

768,638

 

 

(978

)

 

749,203

 

 

90

 

 

1,679,201

 

 

895,896

 

 

114,657

 

Options written

 

 

 

 

 

 

 

 

 

 

480,000

 

 

120,000

 

 

240,000

 

 

 






















 

 

 

(34,537,665

)

 

(9,129,906

)

 

(36,996,389

)

 

(9,283,103

)

 

(103,719,990

)

 

(31,870,409

)

 

(55,099,290

)

 

 






















Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(84,139,659

)

 

(35,752,973

)

 

(91,550,184

)

 

(39,200,784

)

 

(232,919,626

)

 

(39,404,618

)

 

(82,592,718

)

Swaps

 

 

(2,584,991

)

 

(929,630

)

 

(2,781,864

)

 

(968,742

)

 

2,686,386

 

 

(2,371,464

)

 

194,786

 

Foreign currency

 

 

327,199

 

 

(39,462

)

 

345,241

 

 

(53,964

)

 

386,318

 

 

371,750

 

 

11,403

 

Unfunded corporate loans

 

 

 

 

 

 

 

 

 

 

281,096

 

 

(33,824

)

 

131,411

 

 

 






















 

 

 

(86,397,451

)

 

(36,722,065

)

 

(93,986,807

)

 

(40,223,490

)

 

(229,565,826

)

 

(41,438,156

)

 

(82,255,118

)

 

 






















Total realized and unrealized loss

 

 

(120,935,116

)

 

(45,851,971

)

 

(130,983,196

)

 

(49,506,593

)

 

(333,285,816

)

 

(73,308,565

)

 

(137,354,408

)

 

 






















Net Decrease in Net Assets Resulting from Operations

 

$

(103,763,239

)

$

(20,009,886

)

$

(112,298,481

)

$

(22,351,069

)

$

(278,136,250

)

$

(58,879,506

)

$

(114,135,798

)

 

 























 

 

 

 

1

See Note 7 of the Notes to Financial Statements for details of short-term borrowings.


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

41



 


 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund, Inc. (COY)

 

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

 

 

 


 


 

 

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended May 31,

 

 

Year Ended May 31,

 

 

 

 


 

 


 

Increase (Decrease) in Net Assets:

 

 

2008

 

2007

 

 

2008

 

2007

 















Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net investment income

 

$

17,171,877

 

$

25,842,085

 

$

25,185,992

 

$

18,684,715

 

$

27,155,524

 

$

26,588,403

 

Net realized gain (loss)

 

 

(34,537,665

)

 

(9,129,906

)

 

4,210,914

 

 

(36,996,389

)

 

(9,283,103

)

 

4,716,076

 

Net change in unrealized appreciation/depreciation

 

 

(86,397,451

)

 

(36,722,065

)

 

12,903,751

 

 

(93,986,807

)

 

(40,223,490

)

 

13,552,867

 

 

 



















Net increase (decrease) in net assets resulting from operations

 

 

(103,763,239

)

 

(20,009,886

)

 

42,300,657

 

 

(112,298,481

)

 

(22,351,069

)

 

44,857,346

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net investment income

 

 

(19,134,959

)

 

(26,113,293

)

 

(23,238,405

)

 

(20,800,925

)

 

(28,767,885

)

 

(25,076,686

)

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total increase (decrease) in net assets

 

 

(122,898,198

)

 

(46,123,179

)

 

19,062,252

 

 

(133,099,406

)

 

(51,118,954

)

 

19,780,660

 

Beginning of period

 

 

267,698,230

 

 

313,821,409

 

 

294,759,157

 

 

284,360,519

 

 

335,479,473

 

 

315,698,813

 

 

 



















End of period

 

$

144,800,032

 

$

267,698,230

 

$

313,821,409

 

$

151,261,113

 

$

284,360,519

 

$

335,479,473

 

 

 



















End of period undistributed net investment income

 

$

4,243,346

 

$

5,504,375

 

$

5,713,430

 

$

1,653,945

 

$

3,076,301

 

$

4,631,323

 

 

 




















 

 

 

See Notes to Financial Statements.

 




42

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

 

Statements of Changes in Net Assets (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Debt
Strategies Fund, Inc. (DSU)

 

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

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

Year Ended
February 28,
2009

 

Year Ended
February 29,
2008

 

Year Ended
February 28,
2009

 

Year Ended
February 29,
2008

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

55,149,566

 

$

69,889,218

 

$

14,429,059

 

$

16,240,951

 

Net realized loss

 

 

(103,719,990

)

 

(4,139,979

)

 

(31,870,409

)

 

(1,173,755

)

Net change in unrealized appreciation/depreciation

 

 

(229,565,826

)

 

(148,756,602

)

 

(41,438,156

)

 

(33,099,303

)

 

 













Net decrease in net assets resulting from operations

 

 

(278,136,250

)

 

(83,007,363

)

 

(58,879,506

)

 

(18,032,107

)

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(65,857,392

)

 

(71,016,850

)

 

(16,017,675

)

 

(15,779,101

)

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

1,869,284

 

 

2,284,457

 

 

 

 

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total decrease in net assets

 

 

(342,124,358

)

 

(151,739,756

)

 

(74,897,181

)

 

(33,811,208

)

Beginning of year

 

 

594,204,307

 

 

745,944,063

 

 

168,553,012

 

 

202,364,220

 

 

 













End of year

 

$

252,079,949

 

$

594,204,307

 

$

93,655,831

 

$

168,553,012

 

 

 













End of year undistributed (distributions in excess of) net investment income

 

$

(749,083

)

$

6,656,691

 

$

1,132,254

 

$

2,193,448

 

 

 














 

 

 

See Notes to Financial Statements.

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

43



 


 

 

Statements of Changes in Net Assets (concluded)


 

 

 

 

 

 

 

 

 

 

BlackRock Senior High
Income Fund, Inc. (ARK)

 

 

 


 

Increase (Decrease) in Net Assets:

 

Year Ended
February 28,
2009

 

Year Ended
February 29,
2008

 







Operations

 

 

 

 

 

 

 









Net investment income

 

$

23,218,610

 

$

30,307,192

 

Net realized loss

 

 

(55,099,290

)

 

(1,736,048

)

Net change in unrealized appreciation/depreciation

 

 

(82,255,118

)

 

(60,505,247

)

 

 







Net decrease in net assets resulting from operations

 

 

(114,135,798

)

 

(31,934,103

)

 

 







 

 

 

 

 

 

 

 









Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 









Net investment income

 

 

(24,063,310

)

 

(31,809,845

)

Tax return of capital

 

 

(3,089,535

)

 

 

 

 







Total dividends and distributions to shareholders

 

 

(27,152,845

)

 

(31,809,845

)

 

 







 

 

 

 

 

 

 

 









Capital Share Transactions

 

 

 

 

 

 

 









Reinvestment of dividends

 

 

239,560

 

 

986,870

 

 

 







 

 

 

 

 

 

 

 









Net Assets

 

 

 

 

 

 

 









Total decrease in net assets

 

 

(141,049,083

)

 

(62,757,078

)

Beginning of year

 

 

284,691,959

 

 

347,449,037

 

 

 







End of year

 

$

143,642,876

 

$

284,691,959

 

 

 







End of year undistributed (distributions in excess of) net investment income

 

$

(267,346

)

$

754,758

 

 

 








 

 

 

See Notes to Financial Statements.

 




44

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund, Inc. (COY)

 

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

 

BlackRock
Debt Strategies
Fund, Inc.
(DSU)

 

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

 

BlackRock
Senior High
Income
Fund, Inc.
(ARK)

 

 

 


 


 


 


 


 

 

 

Period June 1,
2008 to
February 28,
2009

 

Year Ended
May 31,
2008

 

Period June 1,
2008 to
February 28,
2009

 

Year Ended
May 31,
2008

 

Year Ended
February 28,
2009

 

Year Ended
February 28,
2009

 

Year Ended
February 28,
2009

 

 

 

 

















Cash Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net decrease in net assets resulting from operations

 

$

(103,763,239

)

$

(20,009,886

)

$

(112,298,481

)

$

(22,351,069

)

$

(278,136,250

)

$

(58,879,506

)

$

(114,135,798

)

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Decrease in receivables

 

 

1,844,715

 

 

2,034,283

 

 

1,591,866

 

 

2,723,382

 

 

7,019,914

 

 

1,444,422

 

 

2,921,194

 

Decrease (increase) in prepaid expenses and other assets

 

 

5,061

 

 

(42,467

)

 

(3,137

)

 

(44,163

)

 

161,560

 

 

11,049

 

 

5,767

 

Decrease in other liabilities

 

 

(59,570

)

 

(222,259

)

 

(98,538

)

 

(218,611

)

 

(271,063

)

 

(107,321

)

 

(97,775

)

Swap premiums paid

 

 

 

 

 

 

 

 

 

 

(2,638,648

)

 

(1,355,158

)

 

(2,352,825

)

Net realized and unrealized loss

 

 

120,521,256

 

 

46,668,807

 

 

130,560,911

 

 

50,381,587

 

 

343,473,089

 

 

74,642,852

 

 

137,953,206

 

Amortization of premium and discount on investments

 

 

(939,769

)

 

(156,871

)

 

(1,130,494

)

 

(185,711

)

 

(3,015,444

)

 

(986,792

)

 

(939,686

)

Cash collateral on swaps

 

 

(2,500,000

)

 

 

 

 

 

 

 

 

 

 

 

(900,000

)

Payment-in-kind income

 

 

(619,078

)

 

(526,454

)

 

(805,148

)

 

(949,113

)

 

(3,095,654

)

 

(556,461

)

 

(694,292

)

Premiums received from options written

 

 

 

 

 

 

 

 

 

 

480,000

 

 

120,000

 

 

240,000

 

Proceeds from sales and paydowns of long-term securities

 

 

133,652,547

 

 

190,268,817

 

 

142,776,126

 

 

203,235,485

 

 

400,862,051

 

 

120,867,019

 

 

209,873,284

 

Purchases of long-term securities

 

 

(101,823,456

)

 

(132,716,283

)

 

(108,355,440

)

 

(143,485,196

)

 

(290,873,553

)

 

(92,317,621

)

 

(158,289,537

)

Net sales (purchases) of short-term investments

 

 

(7,097,122

)

 

6,428,611

 

 

(8,370,522

)

 

1,569,706

 

 

(4,725,260

)

 

(4,108,178

)

 

(2,444,623

)

Unrealized gain on foreign currency

 

 

 

 

(39,462

)

 

 

 

(53,964

)

 

 

 

 

 

 

 

 






















Cash provided by operating activities

 

 

39,221,345

 

 

91,686,836

 

 

43,867,143

 

 

90,622,333

 

 

169,240,742

 

 

38,774,305

 

 

71,138,915

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash Used for Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash receipts from loans

 

 

47,000,000

 

 

74,500,000

 

 

50,000,000

 

 

79,000,000

 

 

228,000,000

 

 

93,000,000

 

 

141,000,000

 

Cash payments from loans

 

 

(73,000,000

)

 

(136,000,000

)

 

(77,500,000

)

 

(137,000,000

)

 

(337,000,000

)

 

(117,000,000

)

 

(185,500,000

)

Cash dividends paid to shareholders

 

 

(19,141,437

)

 

(26,103,776

)

 

(20,769,001

)

 

(28,788,075

)

 

(64,015,880

)

 

(16,027,943

)

 

(26,970,975

)

Increase in bank overdraft

 

 

926,999

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 






















Cash used for financing activities

 

 

(44,214,438

)

 

(87,603,776

)

 

(48,269,001

)

 

(86,788,075

)

 

(173,015,880

)

 

(40,027,943

)

 

(71,470,975

)

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash impact from foreign exchange fluctuations

 

 

29,338

 

 

(17,657

)

 

29,019

 

 

(32,161

)

 

(58,664

)

 

(5,730

)

 

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net increase (decrease) in cash

 

 

(4,963,755

)

 

4,065,403

 

 

(4,372,839

)

 

3,802,097

 

 

(3,833,802

)

 

(1,259,368

)

 

(332,060

)

Cash at beginning of year

 

 

5,030,665

 

 

965,262

 

 

4,590,276

 

 

788,179

 

 

4,792,147

 

 

1,514,553

 

 

454,483

 

 

 






















Cash at end of year

 

$

66,910

 

$

5,030,665

 

$

217,437

 

$

4,590,276

 

$

958,345

 

$

255,185

 

$

122,423

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Cash paid for interest

 

$

1,713,929

 

$

4,295,816

 

$

1,879,251

 

$

4,643,420

 

$

5,842,301

 

$

1,608,332

 

$

2,853,954

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Non-Cash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Reinvestment of dividends

 

 

 

 

 

 

 

 

 

$

1,869,284

 

 

 

$

239,560

 

 

 























 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

45



 


 

Financial Highlights


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate High Yield Fund, Inc. (COY)

 

 

 


 

 

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

 

 

 

 

Year Ended May 31,

 

 

 

 


 

 

 

 

2008

 

2007

 

2006

 

2005

 

2004

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

7.74

 

$

9.07

 

$

8.52

 

$

8.53

 

$

8.48

 

$

8.01

 

 

 



















Net investment income1

 

 

0.50

 

 

0.75

 

 

0.73

 

 

0.74

 

 

0.87

 

 

0.91

 

Net realized and unrealized gain (loss)

 

 

(3.50

)

 

(1.32

)

 

0.49

 

 

0.02

 

 

0.07

 

 

0.56

 

 

 



















Net increase (decrease) from investment operations

 

 

(3.00

)

 

(0.57

)

 

1.22

 

 

0.76

 

 

0.94

 

 

1.47

 

 

 



















Dividends to shareholders from net investment income

 

 

(0.55

)

 

(0.76

)

 

(0.67

)

 

(0.77

)

 

(0.89

)

 

(1.00

)

 

 



















Net asset value, end of period

 

$

4.19

 

$

7.74

 

$

9.07

 

$

8.52

 

$

8.53

 

$

8.48

 

 

 



















Market price, end of period

 

$

3.91

 

$

7.28

 

$

8.47

 

$

7.42

 

$

8.46

 

$

8.23

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

(38.98

)%3

 

(5.49

)%

 

15.60

%

 

9.75

%

 

11.31

%

 

18.65

%

 

 



















Based on market price

 

 

(39.46

)%3

 

(4.81

)%

 

23.96

%

 

(3.63

)%

 

13.75

%

 

6.75

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses after fees paid indirectly and excluding interest expense

 

 

1.17

%4

 

0.83

%

 

0.91

%

 

0.90

%

 

0.87

%

 

0.91

%

 

 



















Total expenses

 

 

2.29

%4

 

2.33

%

 

3.25

%

 

2.39

%

 

1.69

%

 

1.39

%

 

 



















Net investment income

 

 

11.45

%4

 

9.15

%

 

8.36

%

 

8.55

%

 

9.85

%

 

10.72

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

144,800

 

$

267,698

 

$

313,821

 

$

294,759

 

$

294,218

 

$

291,654

 

 

 



















Amount of loan outstanding, end of period (000)

 

$

38,700

 

$

64,700

 

$

126,200

 

$

127,700

 

$

100,600

 

$

100,400

 

 

 



















Average amount of loan outstanding during the period (000)

 

$

59,553

 

$

81,598

 

$

125,974

 

$

101,539

 

$

104,938

 

$

101,764

 

 

 



















Portfolio turnover

 

 

37

%

 

38

%

 

62

%

 

57

%

 

57

%

 

83

%

 

 



















Asset coverage, end of period per $1,000

 

$

4,742

 

$

5,138

 

$

3,487

 

$

3,308

 

$

3,925

 

$

3,905

 

 

 




















 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of sales charges.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.


 

 

 

See Notes to Financial Statements.


46

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Financial Highlights


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 


 

 

 

Period
June 1,
2008 to
February 28,
2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended May 31,

 

 

 


 

 

 

2008

 

2007

 

2006

 

2005

 

2004

 


Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Net asset value, beginning of period

 

$

7.62

 

$

8.99

 

$

8.46

 

$

8.46

 

$

8.43

 

$

7.86

 

 

 



















Net investment income1

 

 

0.50

 

 

0.73

 

 

0.71

 

 

0.72

 

 

0.85

 

 

0.88

 

Net realized and unrealized gain (loss)

 

 

(3.51

)

 

(1.33

)

 

0.49

 

 

0.02

 

 

0.07

 

 

0.58

 

 

 



















Net increase (decrease) from investment operations

 

 

(3.01

)

 

(0.60

)

 

1.20

 

 

0.74

 

 

0.92

 

 

1.46

 

 

 



















Dividends to shareholders from net investment income

 

 

(0.56

)

 

(0.77

)

 

(0.67

)

 

(0.74

)

 

(0.89

)

 

(0.89

)

 

 



















Capital changes with respect to issuance of Common Stock

 

 

 

 

 

 

 

 

 

 

 

 

0.00

2

 

 



















Net asset value, end of period

 

$

4.05

 

$

7.62

 

$

8.99

 

$

8.46

 

$

8.46

 

$

8.43

 

 

 



















Market price, end of period

 

$

3.57

 

$

7.03

 

$

8.53

 

$

7.36

 

$

8.38

 

$

7.97

 

 

 



















 


Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Based on net asset value

 

 

(39.69

)%4

 

(5.69

)%

 

15.51

%

 

9.78

%

 

11.24

%

 

19.33

%

 

 



















Based on market price

 

 

(42.38

)%4

 

(8.30

)%

 

25.98

%

 

(3.59

)%

 

16.55

%

 

6.07

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Total expenses after fees paid indirectly and excluding interest expense

 

 

1.29

%5

 

0.96

%

 

1.04

%

 

1.00

%

 

0.99

%

 

1.01

%

 

 



















Total expenses

 

 

2.45

%5

 

2.47

%

 

3.38

%

 

2.49

%

 

1.81

%

 

1.51

%

 

 



















Net investment income

 

 

11.80

%5

 

9.01

%

 

8.25

%

 

8.45

%

 

9.71

%

 

10.48

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Net assets, end of period (000)

 

$

151,261

 

$

284,361

 

$

335,479

 

$

315,699

 

$

315,626

 

$

313,583

 

 

 



















Amount of loan outstanding, end of period (000)

 

$

44,200

 

$

71,700

 

$

129,700

 

$

141,000

 

$

107,800

 

$

109,600

 

 

 



















Average amount of loan outstanding during the period (000)

 

$

65,500

 

$

88,466

 

$

134,704

 

$

109,144

 

$

112,501

 

$

112,297

 

 

 



















Portfolio turnover

 

 

37

%

 

38

%

 

62

%

 

56

%

 

55

%

 

83

%

 

 



















Asset coverage, end of period per $1,000

 

$

4,422

 

$

4,966

 

$

3,587

 

$

3,239

 

$

3,928

 

$

3,861

 

 

 



















 

 

1

Based on average shares outstanding.

 

 

2

Amount is less than $0.01 per share.

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of sales charges.

 

 

4

Aggregate total investment return.

 

 

5

Annualized.


See Notes to Financial Statements.

 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

47



 


 

Financial Highlights


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Debt Strategies Fund, Inc. (DSU)

 

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

 

 


 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
July 30,
20041 to
Feb. 28,
2005

 

 

 

Year
Ended
Feb. 28,
2009

 

Year
Ended
Feb. 29,
2008

 

 

 

Year
Ended
Feb. 28,
2009

 

Year
Ended
Feb. 29,
2008

 

 

 

 

 

 

 

 

Year Ended February 28,

 

 

 

Year Ended
February 28,

 

 

 

 

 

 


 

 

 


 

 

 

 

 

 

2007

 

2006

 

2005

 

 

 

2007

 

2006

 

 


Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Net asset value, beginning of period

 

$

5.57

 

$

7.01

 

$

6.69

 

$

7.06

 

$

6.71

 

$

16.06

 

$

19.28

 

$

19.39

 

$

19.74

 

$

19.10

 

 

 















 
















Net investment income2

 

 

0.52

 

 

0.66

 

 

0.68

 

 

0.63

 

 

0.67

 

 

1.37

 

 

1.55

 

 

1.55

 

 

1.33

 

 

0.58

 

Net realized and unrealized gain (loss)

 

 

(3.12

)

 

(1.43

)

 

0.28

 

 

(0.35

)

 

0.34

 

 

(6.98

)

 

(3.27

)

 

(0.12

)

 

(0.31

)

 

0.57

 

 

 















 
















Net increase (decrease) from investment operations

 

 

(2.60

)

 

(0.77

)

 

0.96

 

 

0.28

 

 

1.01

 

 

(5.61

)

 

(1.72

)

 

1.43

 

 

1.02

 

 

1.15

 

 

 















 
















Dividends and distributions to shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.62

)

 

(0.67

)

 

(0.64

)

 

(0.65

)

 

(0.66

)

 

(1.53

)

 

(1.50

)

 

(1.54

)

 

(1.27

)

 

(0.47

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.10

)

 

(0.01

)

 

 















 
















Total dividends and distributions

 

 

(0.62

)

 

(0.67

)

 

(0.64

)

 

(0.65

)

 

(0.66

)

 

(1.53

)

 

(1.50

)

 

(1.54

)

 

(1.37

)

 

(0.48

)

 

 















 
















Capital charges with respect to issuance of Common Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.03

)

 

 















 
















Net asset value, end of period

 

$

2.35

 

$

5.57

 

$

7.01

 

$

6.69

 

$

7.06

 

$

8.92

 

$

16.06

 

$

19.28

 

$

19.39

 

$

19.74

 

 

 















 
















Market price, end of period

 

$

2.07

 

$

5.43

 

$

7.28

 

$

6.77

 

$

6.71

 

$

8.28

 

$

14.75

 

$

18.50

 

$

17.76

 

$

19.44

 

 

 















 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Based on net asset value

 

 

(50.19

)%

 

(11.72

)%

 

15.35

%

 

4.57

%

 

15.95

%

 

(36.46

)%

 

(8.98

)%

 

8.31

%

 

6.07

%

 

5.97

%4

 

 















 
















Based on market price

 

 

(54.99

)%

 

(17.13

)%

 

18.37

%

 

11.34

%

 

10.53

%

 

(35.78

)%

 

(12.88

)%

 

13.47

%

 

(1.35

)%

 

(0.34

)%4

 

 















 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Total expenses after fees paid indirectly and excluding interest expense

 

 

1.20

%

 

0.99

%

 

0.99

%

 

1.02

%

 

1.02

%

 

1.38

%

 

1.20

%

 

1.22

%

 

1.25

%

 

0.92

%5

 

 















 
















Total expenses after fees paid indirectly

 

 

2.42

%

 

3.13

%

 

3.16

%

 

2.63

%

 

1.83

%

 

2.48

%

 

2.78

%

 

2.87

%

 

2.46

%

 

1.30

%5

 

 















 
















Total expenses

 

 

2.42

%

 

3.13

%

 

3.16

%

 

2.63

%

 

1.83

%

 

2.48

%

 

2.78

%

 

2.87

%

 

2.46

%

 

1.48

%5

 

 















 
















Net investment income

 

 

11.79

%

 

9.90

%

 

9.97

%

 

9.55

%

 

9.84

%

 

10.08

%

 

8.39

%

 

8.03

%

 

6.88

%

 

5.11

%5

 

 















 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Net assets, end of period (000)

 

$

252,080

 

$

594,204

 

$

745,944

 

$

708,411

 

$

745,256

 

$

93,656

 

$

168,553

 

$

202,364

 

$

203,557

 

$

207,255

 

 

 















 
















Amount of loan outstanding, end of period (000)

 

$

90,000

 

$

199,000

 

$

298,600

 

$

259,900

 

$

298,400

 

$

26,000

 

$

50,000

 

$

47,000

 

$

61,400

 

$

60,300

 

 

 















 
















Average amount of loan outstanding during the period (000)

 

$

163,286

 

$

272,846

 

$

283,906

 

$

294,371

 

$

304,549

 

$

45,165

 

$

55,269

 

$

61,022

 

$

63,725

 

$

29,072

 

 

 















 
















Portfolio turnover

 

 

44

%

 

51

%

 

65

%

 

46

%

 

60

%

 

47

%

 

65

%

 

65

%

 

72

%

 

30

%

 

 















 
















Asset coverage, end of period per $1,000

 

$

3,801

 

$

3,986

 

$

3,498

 

$

3,726

 

$

3,498

 

$

4,602

 

$

4,371

 

$

5,306

 

$

4,315

 

$

4,437

 

 

 















 

















 

 

1

Commencement of operations.

 

 

2

Based on average shares outstanding.

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of sales charges.

 

 

4

Aggregate total investment return.

 

 

5

Annualized.


See Notes to Financial Statements.

 

 

 




48

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Financial Highlights


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Senior High Income Fund, Inc. (ARK)

 

 

 


 

 

Year
Ended
February 28,
2009

 

Year
Ended
February 29,
2008

 

 

 

 

 

 

 

 

 

 

 

Year Ended February 28,

 

 

 

 

 


 

 

 

 

2007

 

2006

 

2005

 













Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net asset value, beginning of year

 

$

5.04

 

$

6.17

 

$

6.00

 

$

6.28

 

$

6.10

 

 

 
















Net investment income1

 

 

0.41

 

 

0.54

 

 

0.57

 

 

0.55

 

 

0.57

 

Net realized and unrealized gain (loss)

 

 

(2.43

)

 

(1.11

)

 

0.16

 

 

(0.27

)

 

0.16

 

 

 
















Net increase (decrease) from investment operations

 

 

(2.02

)

 

(0.57

)

 

0.73

 

 

0.28

 

 

0.73

 

 

 
















Dividends and distributions to shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.43

)

 

(0.56

)

 

(0.56

)

 

(0.56

)

 

(0.55

)

Tax return of capital

 

 

(0.05

)

 

 

 

 

 

 

 

 

 

 
















Total dividends and distributions

 

 

(0.48

)

 

(0.56

)

 

(0.56

)

 

(0.56

)

 

(0.55

)

 

 
















Net asset value, end of year

 

$

2.54

 

$

5.04

 

$

6.17

 

$

6.00

 

$

6.28

 

 

 
















Market price, end of year

 

$

2.21

 

$

4.91

 

$

6.53

 

$

5.88

 

$

6.21

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Based on net asset value

 

 

(42.15

)%

 

(9.76

)%

 

12.82

%

 

5.07

%

 

12.88

%

 

 
















Based on market price

 

 

(48.33

)%

 

(16.94

)%

 

21.84

%

 

4.13

%

 

11.44

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total expenses excluding interest expense

 

 

1.05

%

 

0.86

%

 

0.90

%

 

0.91

%

 

0.91

%

 

 
















Total expenses

 

 

2.24

%

 

2.70

%

 

3.03

%

 

2.39

%

 

1.69

%

 

 
















Net investment income

 

 

9.96

%

 

9.16

%

 

9.42

%

 

9.23

%

 

9.28

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net assets, end of year (000)

 

$

143,643

 

$

284,692

 

$

347,449

 

$

335,690

 

$

349,791

 

 

 
















Amount of loan outstanding, end of year (000)

 

$

47,000

 

$

91,500

 

$

132,000

 

$

141,700

 

$

147,500

 

 

 
















Average amount of loan outstanding during the year (000)

 

$

79,422

 

$

109,978

 

$

131,575

 

$

128,461

 

$

137,934

 

 

 
















Portfolio turnover

 

 

49

%

 

48

%

 

62

%

 

48

%

 

54

%

 

 
















Asset coverage, end of year per $1,000

 

$

4,056

 

$

4,112

 

$

3,632

 

$

3,369

 

$

3,371

 

 

 

















 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Total investment returns exclude the effects of sales charges.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

FEBRUARY 28, 2009

49



 


 

Notes to Financial Statements

1. Organization and Significant Accounting Policies:

BlackRock Corporate High Yield Fund, Inc. (“Corporate High Yield”), BlackRock Corporate High Yield Fund III, Inc. (“Corporate High Yield III”), BlackRock Debt Strategies Fund, Inc. (“Debt Strategies”) and BlackRock Floating Rate Income Strategies Fund II, Inc. (“Floating Rate Income Strategies II”) (the “Funds” or individually as the “Fund”) are registered under the investment Company Act of 1940, as amended (the “1940 Act”), as diversified, closed-end management investment companies. BlackRock Senior High Income Fund, Inc. (“Senior High Income”) is registered under the 1940 Act as a non-diversified, closed-end management investment company. Each of the Funds is organized as a Maryland corporation. Corporate High Yield and Corporate High Yield III recently changed their fiscal year end to February 28. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The Funds determine and make available for publication the net asset values of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Funds:

Valuation of Investments: The Funds value their bond investments on the basis of last available bid price or current market quotations provided by dealers or pricing services selected under the supervision of each Fund’s Board of Directors (the “Board”). Floating rate loan interests are valued at the mean between the last available bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers which are derived using daily swap curves and trades of underlying securities. Short-term securities with maturities less than 60 days are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at net asset value each business day. The Funds value their investment in the BlackRock Liquidity Series, LLC Cash Sweep Series at fair value, which is ordinarily based upon their pro-rata ownership in the net assets of the underlying fund.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price. If no bid price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying securities.

In the event that application of these methods of valuation results in a price for an investment, which is deemed not to be representative of the market value of such investment, the investment will be valued by a method approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or sub-advisor seeks to determine the price that the Funds might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign securities is substantially completed each day at various times prior to the close of business on the New York Stock Exchange (“NYSE”). The values of such securities used in computing the net assets of each Fund are determined as of such times. Foreign currency exchange rates will be determined as of the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined and the close of business on the NYSE that may not be reflected in the computation of each Fund’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such securities, those securities will be valued at their fair value as determined in good faith by the Board or by the investment advisor using a pricing service and/or procedures approved by the Board. Foreign currency exchange contracts and forward foreign currency exchange contracts are valued at the mean between the bid and ask prices. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Derivative Financial Instruments: The Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security, or if the counterparty does not perform under the contract.

 

 

Forward currency contracts — A forward currency contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. The Funds may enter into foreign currency contracts as a hedge against either specific transactions or portfolio positions. Forward currency contracts, when used by the Funds, help to manage the overall exposure to the foreign currency backing some of the investments held by the Funds. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts


 

 

 




50

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Notes to Financial Statements (continued)


 

 

 

involves the risk that counterparties may not meet the terms of the agreement and market risk of unanticipated movements in the value of a foreign currency relative to the US dollar.

 

 

Options — The Funds may purchase and write call and put options. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying position at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying position at the exercise price at any time or at a specified time during the option period.

 

 

 

When a Fund purchases (writes) an option, an amount equal to the premium paid (received) by the Fund is reflected as an asset and an equivalent liability. The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option written. When a security 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 security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Fund enters into a closing transaction), the Fund realizes 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 premium received or paid). When a Fund writes a call option, such option is “covered,” meaning that the Fund holds the underlying security subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When a Fund writes 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 market risk of an unfavorable change in the price of the underlying security. Exercise of a written option could result in the Funds purchasing a security at a price different from the current market value. The Funds may execute transactions in both listed and OTC options. Transactions in certain OTC options may expose the Funds to the risk of default by the counterparty to the transactions.

 

 

Swaps — The Funds may enter into swap agreements, in which the Funds and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains or losses, respectively. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Swap transactions involve, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risk involves 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 there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

 

 

Credit default swaps — The Funds may enter into credit default swaps for investment purposes or to manage their credit risk. The Funds enter into credit default agreements to provide a measure of protection against the default of an issuer (as buyer protection) and/or gain exposure to an issuer to which it is not otherwise exposed (as seller of protection). Credit default swaps are agreements in which one party pays fixed periodic payments to a counterparty in consideration for a guarantee from the counterparty to make a specific payment should a negative credit event take place (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). The Funds may either buy or sell (write) credit default swaps. As a buyer, the Funds will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising of an index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index. As a seller (writer), the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising of an index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index. In the event of default by the counterparty, the Funds may recover amounts paid under the agreement either partially or in total by offsetting any payables and/or receivables with collateral held or pledged.

Floating Rate Loans: The Funds may invest in floating rate loans, which are generally non-investment grade, made by banks, other financial institutions and privately and publicly offered corporations. Floating rate loans are senior in the debt structure of a corporation. Floating rate loans 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 (i) the lending rate offered by one or more European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more US banks or (iii) the certificate of deposit rate. The Funds consider these investments to be investments in debt securities for purposes of their investment policies.

The Funds earn and/or pay facility and other fees on floating rate loans. Other fees earned/paid include commitment, amendment, consent, commissions and prepayment penalty fees. Facility, amendment and consent fees are typically amortized as premium and/or accreted as discount over the term of the loan. Commitment, commission and various other fees are recorded as income. Prepayment penalty fees are recorded on the accrual basis. When a Fund buys a floating rate loan it may receive a facility fee and when it sells a floating rate loan 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 portion of a floating rate loan. In certain circumstances, the Funds may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Other fees received by the Funds may include covenant waiver fees and covenant modification fees.

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.

 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

51



 


 

Notes to Financial Statements (continued)


Floating rate loans are usually freely callable at the issuer’s option. The Funds may invest in such loans in the form of participations in loans (“Participations”) and assignments of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. Each Fund 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 relating to the loans, 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’ investments in loan participation interests involve 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.

Foreign Currency Transactions: Foreign currency amounts are translated into United States dollars on the following basis: (i) market value of investment securities, assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.

Each Fund reports foreign currency related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Preferred Stock: The Funds may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

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. 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 can have a rating that is slightly below that of the issuing company’s senior debt securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Funds segregate assets in connection with certain investments (e.g., options, written options, forward foreign currency contracts and swaps), each Fund will, consistent with certain interpretive letters issued by the SEC, designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each Fund may also be required to deliver or deposit securities as collateral for certain investments (e.g., swaps and written options).

Investment Transactions and Investment Income: Investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on security transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income is recorded on the accrual basis. The Funds amortize all premiums and discounts on debt securities.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates.

Income Taxes: It is each Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

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 the Funds’ US federal tax returns remains open for each of the three years ended May 31, 2008 and the period ended February 28, 2009 for Corporate High Yield and Corporate High Yield III, and for each of the four years ended February 28, 2009 for Debt Strategies, Floating Rate Income Strategies II and Senior High Income. The statutes of limitations on the Funds’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Recent Accounting Pronouncement: In March 2008, Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities — an amendment of FASB Statement No. 133” (“FAS 161”), was issued. FAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. FAS 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. The impact on the Funds’ financial statement disclosures, if any, is currently being assessed.


 

 

 




52

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Notes to Financial Statements (continued)

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Fund’s Board, non-interested Directors (“Independent Directors”) defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts have been invested in common shares of other certain BlackRock Closed-End Funds selected by the Independent Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in other certain BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations there under represent general unsecured claims against the general assets of the Funds. Each Fund may, however, elect to invest in Common Shares of other certain BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund’s deferred compensation liability are included in other assets on the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in income — affiliated on the Statements of Operations.

Bank Overdraft: Corporate High Yield recorded a bank overdraft, which resulted from estimates of available cash.

Other: Expenses directly related to each 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.

2. Investment Advisory Agreement and Other Transactions with Affiliates:

Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Advisor”), an indirect, wholly owned subsidiary of BlackRock, Inc., to provide investment advisory and administration services. The PNC Financial Services Group, Inc. (“PNC”) and Bank of America Corporation (“BAC”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). BAC became a stockholder of BlackRock following its acquisition of Merrill Lynch & Co., Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date, both PNC and Merrill Lynch were considered affiliates of the Funds under the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the restructuring of Merrill Lynch’s ownership interest of BlackRock, BAC is not deemed to be an affiliate under the 1940 Act.

The Advisor is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each fund pays the Advisor a monthly fee at the following annual rates of the average daily value of each Fund’s net assets, plus the proceeds of any outstanding borrowings used for leverage:

 

 

 

 

 






Corporate High Yield

 

 

0.50

%

Corporate High Yield III

 

 

0.60

%

Debt Strategies

 

 

0.60

%

Floating Rate Income Strategies II

 

 

0.75

%

Senior High Income

 

 

0.50

%






The Advisor has entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Advisor, under which the Advisor pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by the Funds to the Advisor.

For the year ended February 28, 2009, Debt Strategies, Floating Rate Income Strategies II and Senior High Income reimbursed the Advisor for certain accounting services, which are included in accounting services in the Statements of Operations as follows:

 

 

 

 

 





 

 

Reimbursement
to Advisor

 





Debt Strategies

 

$

7,945

 

Floating Rate Income Strategies II

 

$

2,399

 

Senior High Income

 

$

4,237

 






For the period June 1, 2008 to February 28, 2009 and the year ended May 31, 2008, Corporate High Yield and Corporate High Yield III reimbursed the Advisor for certain accounting services, which are included in accounting services in the Statements of Operations as follows:

 

 

 

 

 

 

 

 









 

 

Period
June 1, 2008 to
February 28, 2009

 

Year Ended
May 31, 2008

 







Corporate High Yield

 

$

3,032

 

$

5,078

 

Corporate High Yield III

 

$

3,413

 

$

5,298

 









Pursuant to the terms of the custody agreement, custodian fees may be reduced by amounts calculated on uninvested cash balances, which are shown on the Statements of Operations as fees paid indirectly.

Certain officers and/or directors of the Funds are officers and/or directors of BlackRock, Inc. or its affiliates. The Funds reimburse the Advisor for compensation paid to the Funds’ Chief Compliance Officer.

3. Investments:

Purchases and sales (including paydowns) of investments, excluding short-term securities, for the period June 1, 2008 to February 28, 2009 for Corporate High Yield and Corporate High Yield III and the year ended February 28, 2009 for Debt Strategies, Floating Rate Income Strategies II and Senior High Income were as follows:

 

 

 

 

 

 

 

 







 

 

Total Purchases

 

Total Sales

 







Corporate High Yield

 

$

94,298,947

 

$

133,388,388

 

Corporate High Yield III

 

$

100,392,962

 

$

141,313,158

 

Debt Strategies

 

$

272,948,645

 

$

399,176,343

 

Floating Rate Income Strategies II

 

$

86,661,384

 

$

117,861,327

 

Senior High Income

 

$

149,124,215

 

$

211,125,837

 










 

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

53



 


 

Notes to Financial Statements (continued)

Transactions in call and put options written for the year ended February 28, 2009 were as follows:

 

 

 

 

 

 

 

 

Debt Strategies

 

 

 

 

 

 

 


Call Options Written

 

Contracts

 

Premiums
Received

 







Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

 

8

 

$

228,000

 

Options expired

 

 

(8

)

 

(228,000

)

 

 







Outstanding call options written, end of year

 

 

 

$

 

 

 







 

 

 

 

 

 

 

 









Put Options Written

 

Contracts

 

Premiums
Received

 







Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

 

8

 

$

252,000

 

Options expired

 

 

(8

)

 

(252,000

)

 

 







Outstanding put options written, end of year

 

 

 

$

 

 

 







 

 

 

 

 

 

 

 

Floating Rate Income Strategies II

 

 

 

 

 

 

 









Call Options Written

 

Contracts

 

Premiums
Received

 







Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

 

2

 

$

57,000

 

Options expired

 

 

(2

)

 

(57,000

)

 

 







Outstanding call options written, end of year

 

 

 

$

 

 

 







 

 

 

 

 

 

 

 









Put Options Written

 

Contracts

 

Premiums
Received

 







Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

 

2

 

$

63,000

 

Options expired

 

 

(2

)

 

(63,000

)

 

 







Outstanding put options written, end of year

 

 

 

$

 

 

 







 

 

 

 

 

 

 

 

Senior High Income

 

 

 

 

 

 

 









Call Options Written

 

Contracts

 

Premiums
Received

 







Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

 

4

 

$

114,000

 

Options expired

 

 

(4

)

 

(114,000

)

 

 







Outstanding call options written, end of year

 

 

 

$

 

 

 







 

 

 

 

 

 

 

 









Put Options Written

 

Contracts

 

Premiums
Received

 







Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

 

4

 

$

126,000

 

Options expired

 

 

(4

)

 

(126,000

)

 

 







Outstanding put options written, end of year

 

 

 

$

 

 

 







4. 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 (credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the companies 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 credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counter-party risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their value recorded in the Funds’ Statements of Assets and Liabilities.

5. Capital Share Transactions:

Each Fund is authorized to issue 200 million shares, par value $0.10 per share, all of which were initially classified as Common Shares. The Board is authorized, however, to classify and reclassify any unissued shares without approval of Common Shareholders. During the years ended February 28, 2009 and February 29, 2008, the shares issued and outstanding increased by the following amounts:

 

 

 

 

 

 

 

 







 

 

February 28, 2009

 

February 29, 2008

 







Debt Strategies

 

499,727

 

 

332,989

 

 

Senior High Income

 

75,664

 

 

159,689

 

 









Shares issued and outstanding remained constant for Corporate High Yield and Corporate High Yield III for the period June 1, 2008 to February 28, 2009 and the years ended May 31, 2008 and May 31, 2007 and for Floating Rate Income Strategies II for the years ended February 28, 2009 and February 29, 2008.

6. Commitments:

The Funds may invest in floating rate loans. In connection with these investments, the Funds may also enter into unfunded corporate loans (“commitments”). Commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. As of February 28, 2009, the Funds had the following unfunded loan commitments:

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Income Strategies II

 

 

 

 

 

 

 









Borrower

 

Unfunded
Commitment
(000)

 

Value of
Underlying Loans
(000)

 







Community Health Systems, Inc.

 

 

$

104

 

 

 

$

88

 

 

Hologic, Inc.

 

 

$

150

 

 

 

$

135

 

 

Smurfit Corp.

 

 

$

210

 

 

 

$

197

 

 

Vought Aircraft Industries, Inc.

 

 

$

333

 

 

 

$

200

 

 













7. Short-Term Borrowings:

On May 16, 2008, the Funds renewed their revolving credit and security agreements pursuant to a commercial paper asset securitization program with Citicorp North America, Inc. (“Citicorp”), as Agent, certain secondary backstop lenders and certain asset securitization conduits, as lenders (the “Lenders”). The agreement was renewed for one year and at the time of

 

 

 


54

ANNUAL REPORT

FEBRUARY 28, 2009




 


 

Notes to Financial Statements (continued)

renewal had maximum limits of $135 million for Corporate High Yield, $143 million for Corporate High Yield III, $309 million for Debt Strategies, $88 million for Floating Rate Income Strategies II and $148 million for Senior High Income.

Under the Citicorp program, the conduits will fund advances to each Fund through the issuance of highly rated commercial paper. Each Fund has granted a security interest in substantially all of its assets to, and in favor of, the Lenders as security for its obligations to the Lenders. The interest rate on each Fund’s borrowings is based on the interest rate carried by the commercial paper plus a program fee. In addition, each Fund pays a liquidity fee to the secondary backstop lenders and the agent. These amounts are shown on the Statements of Operations as borrowing costs.

Under the agreement, the Funds are subject to certain conditions and covenants, which include among other things limitations on asset declines over prescribed time periods. As a result of the decline in net assets attributable to market conditions, certain terms of the facility were renegotiated effective December 5, 2008, which included waivers of certain financial covenants by the Lenders, an increase in program and liquidity fees under the facility and a reduction of the maximum limits as follows:

 

 

 

 

 





 

 

Maximum Limit

 





Corporate High Yield

 

$

81,000,000

 

Corporate High Yield III

 

$

85,000,000

 

Debt Strategies

 

$

174,000,000

 

Floating Rate Income Strategies II

 

$

58,000,000

 

Senior High Income

 

$

91,000,000

 






For the period ended February 28, 2009, the daily weighted average interest rates were as follows:

 

 

 

 

 





 

 

Daily Weighted
Average
Interest Rate

 





Corporate High Yield

 

 

3.71

%

Corporate High Yield III

 

 

3.70

%

Debt Strategies

 

 

3.50

%

Floating Rate Income Strategies II

 

 

3.49

%

Senior High Income

 

 

3.52

%






8. Income Tax Information:

Reclassifications: Accounting principles generally accepted in the United States of America require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. The following permanent differences as of February 28, 2009 were attributable to the difference between book and tax amortization methods on fixed income securities, classification of investments, foreign currency transactions, the expiration of capital loss carryforwards, reclassifications of distributions, accounting for swap agreements, tax characterization of income recognized from partnerships and grantor trusts, the classification of income and the characterization of expenses.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

Corporate
High Yield

 

Corporate
High Yield III

 

Debt
Strategies

 

Floating Rate
Income Strategies II

 

Senior
High Income

 













Paid-in capital in excess of par

 

$

(25,513,921

)

$

(34,200,029

)

$

(21,442,332

)

 

 

$

(25,658,795

)

Undistributed (distributions in excess of) net investment income

 

$

702,053

 

$

693,854

 

$

3,302,052

 

$

527,422

 

$

(177,404

)

Accumulated net realized loss

 

$

24,811,868

 

$

33,506,175

 

$

18,140,280

 

$

(527,422

)

$

25,836,199

 


















The tax character of distributions paid during the period ended February 28, 2009 and the years ended May 31, 2008 and May 31, 2007 for Corporate High Yield and Corporate High Yield III and during the years ended February 28, 2009 and February 29, 2008 for Debt Strategies, Floating Rate Income Strategies II and Senior High Income were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

Corporate
High Yield

 

Corporate
High Yield III

 

Debt
Strategies

 

Floating Rate
Income Strategies II

 

Senior
High Income

 













Ordinary income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/28/09

 

$

19,134,959

 

$

20,800,925

 

$

65,857,392

 

$

16,017,675

 

$

24,063,310

 

5/31/08

 

$

26,113,293

 

$

28,767,885

 

 

 

 

 

 

 

2/29/08

 

 

 

 

 

$

71,016,850

 

$

15,779,101

 

$

31,809,845

 

5/31/07

 

$

23,238,405

 

$

25,076,686

 

 

 

 

 

 

 

Tax return of capital 2/28/09

 

 

 

 

 

 

 

 

 

$

3,089,535

 


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/28/09

 

$

19,134,959

 

$

20,800,925

 

$

65,857,392

 

$

16,017,675

 

$

27,152,845

 

 

 
















5/31/08

 

$

26,113,293

 

$

28,767,885

 

 

 

 

 

 

 

 

 
















2/29/08

 

 

 

 

 

$

71,016,850

 

$

15,779,101

 

$

31,809,845

 

 

 
















5/31/07

 

$

23,238,405

 

$

25,076,686

 

 

 

 

 

 

 

 

 


































 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

55




 

Notes to Financial Statements (concluded)

As of February 28, 2009, the tax components of accumulated losses were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

Corporate
High Yield

 

Corporate
High Yield III

 

Debt
Strategies

 

Floating Rate
Income Strategies II

 

Senior
High Income

 













Undistributed ordinary income

 

$

5,266,633

 

$

2,822,188

 

$

279,380

 

$

1,396,638

 

 

 

Capital loss carryforwards

 

 

(141,828,019

)

 

(199,443,285

)

 

(294,702,641

)

 

(13,688,710

)

$

(142,177,426

)

Net unrealized losses*

 

 

(132,969,267

)

 

(144,348,428

)

 

(425,768,447

)

 

(94,221,723

)

 

(170,683,550

)

 

 
















Total Accumulated Net Losses

 

$

(269,530,653

)

$

(340,969,525

)

$

(720,191,708

)

$

(106,513,795

)

$

(312,860,976

)

 

 

















 

 

*

The difference between book-basis and tax-basis net unrealized losses is attributable primarily to the tax deferral of losses on wash sales, the tax deferral of losses on straddles, the difference between book and tax amortization methods for premiums and discounts on fixed income securities, book/tax differences in the accrual of income on securities in default, the realization for tax purposes of unrealized gains (losses) on certain foreign currency contracts, the timing and recognition of partnership income, the classification of investments, the accounting for swap agreements, the deferral of post-October capital losses for tax purposes, the deferral of compensation to directors and other book/tax temporary differences.

As of February 28, 2009, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Expires February 28,

 

Corporate
High Yield

 

Corporate
High Yield III

 

Debt
Strategies

 

Floating Rate
Income Strategies II

 

Senior
High Income

 













2010

 

$

33,478,307

 

$

52,918,036

 

$

90,564,493

 

 

 

$

54,958,583

 

2011

 

 

77,885,783

 

 

119,513,437

 

 

85,285,305

 

 

 

 

30,706,546

 

2012

 

 

6,647,369

 

 

1,938,881

 

 

17,223,475

 

 

 

 

22,345,071

 

2013

 

 

 

 

 

 

21,126,025

 

 

 

 

 

2014

 

 

 

 

 

 

20,233,987

 

$

203,838

 

 

4,906,362

 

2015

 

 

 

 

 

 

3,578,574

 

 

1,315,945

 

 

1,585,622

 

2016

 

 

454,146

 

 

363,401

 

 

 

 

 

 

 

2017

 

 

23,362,414

 

 

24,709,530

 

 

56,690,782

 

 

12,168,927

 

 

27,675,242

 

 

 
















Total

 

$

141,828,019

 

$

199,443,285

 

$

294,702,641

 

$

13,688,710

 

$

142,177,426

 

 

 
















9. Subsequent Events:

On March 5, 2009, the Funds terminated their revolving credit agreement with Citicorp and entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “Agreement”) with State Street Bank and Trust Company (“SSB”). The Agreement has a maximum commitment of $81 million for Corporate High Yield, $85 million for Corporate High Yield III, $135 million for Debt Strategies, $58 million for Floating Rate Income Strategies II and $91 million for Senior High Income. The Funds have granted a security interest in substantially all of their assets to SSB.

The Funds paid net investment income dividends on March 31, 2009 to shareholders of record on March 16, 2009. The amount of the net investment income dividend per share was as follows:

 

 

 

 

 





 

 

Common Dividend
Per Share

 





Corporate High Yield

 

$

0.06100

 

Corporate High Yield III

 

$

0.06000

 

Debt Strategies

 

$

0.03550

 

Floating Rate Income Strategies II

 

$

0.10335

 

Senior High Income

 

$

0.02500

 







 

 

 


56

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Directors of
BlackRock Corporate High Yield Fund, Inc.,
BlackRock Corporate High Yield Fund III, Inc.,
BlackRock Debt Strategies Fund, Inc.,
BlackRock Floating Rate Income Strategies Fund II, Inc.,
BlackRock Senior High Income Fund, Inc.
(collectively the “Funds”):

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Corporate High Yield Fund, Inc. and BlackRock Corporate High Yield Fund III, Inc. as of February 28, 2009, and the related statements of operations and cash flows for the period June 1, 2008 to February 28, 2009 and for the year ended May 31, 2008, the statements of changes in net assets for the period June 1, 2008 to February 28, 2009 and for each of the two years in the period ended May 31, 2008, and the financial highlights for each of the periods presented. We have also audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc., and BlackRock Senior High Income Fund, Inc., as of February 28, 2009, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of the securities owned as of February 28, 2009, by correspondence with the custodian, brokers and financial intermediaries; where replies were not received from brokers or financial intermediaries, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Corporate High Yield Fund, Inc. and BlackRock Corporate High Yield Fund III, Inc. as of February 28, 2009, the results of their operations and their cash flows for the period June 1, 2008 to February 28, 2009 and for the year ended May 31, 2008, the changes in their net assets for the period June 1, 2008 to February 28, 2009 and for each of the two years in the period ended May 31, 2008, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. Additionally, in our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund II, Inc., and BlackRock Senior High Income Fund, Inc. as of February 28, 2009, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Princeton, New Jersey
April 29, 2009

 


Important Tax Information (Unaudited)


The following information is provided with respect to the ordinary income distributions paid monthly by the Funds for the fiscal period ended February 28, 2009:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 




















 

 

 

 

BlackRock
Corporate High
Yield Fund, Inc.

 

BlackRock
Corporate High
Yield Fund III, Inc.

 

BlackRock
Debt Strategies
Fund, Inc.

 

BlackRock
Floating Rate Income
Strategies Fund II, Inc.

 

BlackRock
Senior High
Income Fund, Inc.

 















Interest-Related Dividends for Non-US Residents1 Month Paid:

 

March 2008

 

 

 

 

 

78.96

%

 

66.07

%

 

90.86

%

 

 

 

April 2008

 

 

 

 

 

78.60

%

 

71.86

%

 

86.61

%

 

 

 

May 2008

 

 

 

 

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

June 2008

 

88.40

%

 

78.86

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

July 2008

 

88.40

%

 

83.48

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

August 2008

 

87.51

%

 

89.91

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

September 2008

 

83.54

%

 

89.91

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

October 2008

 

83.54

%

 

89.91

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

November 2008

 

83.54

%

 

89.91

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

December 2008

 

83.54

%

 

89.91

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

January 2009

 

83.54

%

 

89.91

%

 

78.55

%

 

81.07

%

 

86.61

%

 

 

 

February 2009

 

78.91

%

 

59.67

%

 

100.00

%

 

88.67

%

 

86.61

%

 





















 

 

1

Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.


 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

57



 


 

Automatic Dividend Reinvestment Plans

How the Plan Works — The Funds offer a Dividend Reinvestment Plan (the “Plan”) under which income and capital gains dividends paid by each Fund are automatically reinvested in additional Common Shares of each Fund. The Plan is administered on behalf of the shareholders by BNY Mellon Share-owner Services for BlackRock Debt Strategies Fund, Inc. and BlackRock Senior High Income Fund, Inc. and Computershare Trust Company, N.A. for BlackRock Corporate High Yield Fund, Inc., BlackRock Corporate High Yield Fund III, Inc. and BlackRock Floating Rate Income Strategies Fund II, Inc. (individually, the “Plan Agent” or together, the “Plan Agents”). Under the Plan, whenever the Funds declare a dividend, participants in the Plan will receive the equivalent in shares of Common Shares of the Fund. The Plan Agents will acquire the shares for the participant’s account either (i) through receipt of additional unissued but authorized shares of the Fund (“newly issued shares”) or (ii) by purchase of outstanding Common Shares on the open market on the New York Stock Exchange or elsewhere. If, on the dividend payment date, a Fund’s net asset value per share is equal to or less than the market price per share plus estimated brokerage commissions (a condition often referred to as a “market premium”), the Plan Agents will invest the dividend amount in newly issued shares. If a Fund’s net asset value per share is greater than the market price per share (a condition often referred to as a “market discount”), the Plan Agents will invest the dividend amount by purchasing on the open market additional shares. If the Plan Agents are unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Plan Agents will invest any uninvested portion in newly issued shares. The shares acquired are credited to each shareholder’s account. The amount credited is determined by dividing the dollar amount of the dividend by either (i) when the shares are newly issued, the net asset value per share on the date the shares are issued or (ii) when shares are purchased in the open market, the average purchase price per share.

Participation in the Plan — Participation in the Plan is automatic, that is, a shareholder is automatically enrolled in the Plan when he or she purchases Common Shares of a Fund unless the shareholder specifically elects not to participate in the Plan. Shareholders who elect not to participate will receive all dividend distributions in cash. Shareholders who do not wish to participate in the Plan, must advise their Plan Agent in writing (at the address set forth below) that they elect not to participate in the Plan. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by writing to the Plan Agent.

Benefits of the Plan — The Plan provides an easy, convenient way for shareholders to make additional, regular investments in a Fund. The Plan promotes a long-term strategy of investing at a lower cost. All shares acquired pursuant to the Plan receive voting rights. In addition, if the market price plus commissions of a Fund’s shares is above the net asset value, participants in the Plan will receive shares of the Fund for less than they could otherwise purchase them and with a cash value greater than the value of any cash distribution they would have received. However, there may not be enough shares available in the market to make distributions in shares at prices below the net asset value. Also, since the Funds do not redeem shares, the price on resale may be more or less than the net asset value.

Plan Fees — There are no enrollment fees or brokerage fees for participating in the Plan. The Plan Agents’ service fees for handling the reinvestment of distributions are paid for by each Fund. However, brokerage commissions may be incurred when a Fund purchase shares on the open market and shareholders will pay a pro rata share of any such commissions.

Tax Implications — The automatic reinvestment of dividends and distributions will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends. Therefore, income and capital gains may still be realized even though shareholders do not receive cash. The value of shares acquired pursuant to the Plan will generally be excluded from gross income to the extent that the cash amount reinvested would be excluded from gross income. If, when a Fund’s shares are trading at a market premium, a Fund issues shares pursuant to the Plan that have a greater fair market value than the amount of cash reinvested, it is possible that all or a portion of the discount from the market value (which may not exceed 5% of the fair market value of a Fund’s shares) could be viewed as a taxable distribution. If the discount is viewed as a taxable distribution, it is also possible that the taxable character of this discount would be allocable to all the shareholders, including shareholders who do not participate in the Plan. Thus, shareholders who do not participate in the Plan might be required to report as ordinary income a portion of their distributions equal to their allocable share of the discount.

Contact Information — All correspondence concerning the Plan, including any questions about the Plan, should be directed to the Plan Agent at the following addresses: Shareholders of BlackRock Debt Strategies Fund, Inc. and BlackRock Senior High Income Fund, Inc. should contact BNY Mellon Shareowner Services, P.0. Box 358035, Pittsburgh, PA 15252-8035, Telephone: (866) 216-0242 and shareholders of BlackRock Corporate High Yield Fund, Inc., BlackRock Corporate High Yield Fund III, Inc. and BlackRock Floating Rate Income Strategies Fund II, Inc. should contact Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM or overnight correspondence should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021.

 

 

 




58

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Officers and Directors


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Funds

 

Length of
Time Served
as a Director2

 

Principal Occupation(s) During Past Five Years

 

Number of
BlackRock-
Advised Funds
and Portfolios
Overseen

 

Public Directorships


Non-Interested Directors1

 

 

 

 

 

 

 

 












Richard E. Cavanagh
40 East 52nd Street
New York, NY 10022
1946

 

Chairman of the Board and Director

 

Since 2007

 

Trustee, Aircraft Finance Trust since 1999; Director, The Guardian Life Insurance Company of America since 1998; Trustee, Educational Testing Service since 1997; Senior Advisor since 2008 and Director since 1996, The Fremont Group; Adjunct Lecturer, Harvard University since 2007; Formerly President and Chief Executive Officer of The Conference Board, Inc. (global business research organization) from 1995 to 2007.

 

106 Funds
103 Portfolios

 

Arch Chemical (chemical and allied products)












Karen P. Robards
40 East 52nd Street
New York, NY 10022
1950

 

Vice Chair of the Board, Chair of the Audit Committee and Director

 

Since 2007

 

Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development, (a not-for-profit organization) since 1987; Formerly Director of Enable Medical Corp. from 1996 to 2005; Formerly an investment banker at Morgan Stanley from 1976 to 1987.

 

106 Funds
103 Portfolios

 

AtriCure, Inc. (medical devices); Care Investment Trust, Inc. (health care real estate investment trust)












G. Nicholas Beckwith, III
40 East 52nd Street
New York, NY 10022
1945

 

Director

 

Since 2007

 

Chairman and Chief Executive Officer, Arch Street Management, LLC (Beckwith Family Foundation) and various Beckwith property companies since 2005; Chairman of the Board of Directors, University of Pittsburgh Medical Center since 2002; Board of Directors, Shady Side Hospital Foundation since 1977; Board of Directors, Beckwith Institute for Innovation In Patient Care since 1991; Member, Advisory Council on Biology and Medicine, Brown University since 2002; Trustee, Claude Worthington Benedum Foundation (charitable foundation) since 1989; Board of Trustees, Chatham University since 1981; Board of Trustees, University of Pittsburgh since 2002; Emeritus Trustee, Shady Side Academy since 1977; Formerly Chairman and Manager, Penn West Industrial Trucks LLC (sales, rental and servicing of material handling equipment) from 2005 to 2007; Formerly Chairman, President and Chief Executive Officer, Beckwith Machinery Company (sales, rental and servicing of construction equipment) from 1985 to 2005; Formerly Member of the Board of Directors, National Retail Properties (REIT) from 2006 to 2007.

 

106 Funds
103 Portfolios

 

None












Kent Dixon
40 East 52nd Street
New York, NY 10022
1937

 

Director and Member of the Audit Committee

 

Since 2007

 

Consultant/Investor since 1988.

 

106 Funds
103 Portfolios

 

None












Frank J. Fabozzi
40 East 52nd Street
New York, NY 10022
1948

 

Director and Member of the Audit Committee

 

Since 2007

 

Consultant/Editor of The Journal of Portfolio Management since 2006; Professor in the Practice of Finance and Becton Fellow, Yale University, School of Management, since 2006; Formerly Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.

 

106 Funds
103 Portfolios

 

None












Kathleen F. Feldstein
40 East 52nd Street
New York, NY 10022
1941

 

Director

 

Since 2007

 

President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. since 2005; Member of the Corporation of Partners HealthCare since 1995; Member of the Corporation of Sherrill House (health care) since 1990; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Trustee, The Committee for Economic Development (research organization) since 1990; Member of the Advisory Board to the International School of Business, Brandeis University since 2002.

 

106 Funds
103 Portfolios

 

The McClatchy Company (publishing)












James T. Flynn
40 East 52nd Street
New York, NY 10022
1939

 

Director and Member of the Audit Committee

 

Since 2007

 

Formerly Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.

 

106 Funds
103 Portfolios

 

None












Jerrold B. Harris
40 East 52nd Street
New York, NY 10022
1942

 

Director

 

Since 2007

 

Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000.

 

106 Funds
103 Portfolios

 

BlackRock Kelso Capital Corp.













 

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

59



 


 

Officers and Directors (continued)


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Funds

 

Length of
Time Served
as a Director2

 

Principal Occupation(s) During Past Five Years

 

Number of
BlackRock-
Advised Funds
and Portfolios
Overseen

 

Public Directorships


Non-Interested Directors1 (concluded)

 

 

 

 

 

 












R. Glenn Hubbard
40 East 52nd Street
New York, NY 10022
1958

 

Director

 

Since 2007

 

Dean of Columbia Business School since 2004; Columbia faculty member since 1988; Formerly Co-Director of Columbia Business School’s Entrepreneurship Program from 1997 to 2004; Visiting Professor at the John F. Kennedy School of Government at Harvard University and the Harvard Business School since 1985 and at the University of Chicago since 1994; Formerly Chairman of the US Council of Economic Advisers under the President of the United States from 2001 to 2003.

 

106 Funds
103 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Duke Realty (real estate); Metropolitan Life Insurance Company (insurance); Information Services Group (media/technology)












W. Carl Kester
40 East 52nd Street
New York, NY 10022
1951

 

Director and Member of the Audit Committee

 

Since 2007

 

Professor of Business Administration and Deputy Dean for Academic Affairs, George Fisher Baker Jr., Harvard Business School since 2008; Mizuho Financial Group Professor of Finance, Harvard Business School and Deputy Dean for Academic Affairs from 2006 to 2008; Unit Head, Finance, Harvard Business School, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981; Independent Consultant since 1978.

 

106 Funds
103 Portfolios

 

None

 

 










 

 

1

Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

 

 

2

Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows directors as joining the Funds’ board in 2007, each director first became a member of the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: G. Nicholas Beckwith, III since 1999; Richard E. Cavanagh since 1994; Kent Dixon since 1988; Frank J. Fabozzi since 1988; Kathleen F. Feldstein since 2005; James T. Flynn since 1996; Jerrold B. Harris since 1999; R. Glenn Hubbard since 2004; W. Carl Kester since 1998 and Karen P. Robards since 1998.


 

 

 

 

 

 

 

 

 

 

 












Interested Directors3

 

 

 

 

 

 












Richard S. Davis
40 East 52nd Street
New York, NY 10022
1945

 

Director

 

Since 2007

 

Managing Director, BlackRock, Inc. since 2005; Formerly Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Formerly Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005; Formerly Chairman, SSR Realty from 2000 to 2004.

 

175 Funds
286 Portfolios

 

None












Henry Gabbay
40 East 52nd Street
New York, NY 10022
1947

 

Director

 

Since 2007

 

Formerly Consultant, BlackRock, Inc. from 2007 to 2008; Formerly Managing Director, BlackRock, Inc. from 1989 to 2007; Formerly Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; Formerly President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Formerly Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

 

175 Funds
286 Portfolios

 

None

 

 










 

 

3

Mr. Davis is an “interested person,” as defined in the Investment Company Act of 1940, of the Funds based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Funds based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and PNC securities. Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.


 

 

 


60

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Officers and Directors (concluded)


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Funds

 

Length of
Time
Served

 

Principal Occupation(s) During Past Five Years


Funds Officers1

 

 

 

 

 

 

 

 

 

 












Donald C. Burke
40 East 52nd Street
New York, NY 10022
1960

 

Fund President and Chief Executive Officer

 

Since 2007

 

Managing Director of BlackRock, Inc. since 2006; Formerly Managing Director of Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P. (“FAM”) in 2006, First Vice President thereof from 1997 to 2005, Treasurer thereof from 1999 to 2006 and Vice President thereof from 1990 to 1997.












Anne F. Ackerley
40 East 52nd Street
New York, NY 10022
1962

 

Vice President

 

Since 2007

 

Managing Director of BlackRock, Inc. since 2000; Chief Operating Officer of BlackRock’s US Retail Group since 2006; Formerly Head of BlackRock’s Mutual Fund Group from 2000 to 2006.












Neal J. Andrews
40 East 52nd Street
New York, NY 10022
1966

 

Chief Financial Officer

 

Since 2007

 

Managing Director of BlackRock, Inc. since 2006; Formerly Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (US) Inc. (formerly PFPC Inc.) from 1992 to 2006.












Jay M. Fife
40 East 52nd Street
New York, NY 10022
1970

 

Treasurer

 

Since 2007

 

Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Formerly Assistant Treasurer of the MLIM/FAM- advised Funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.












Brian P. Kindelan
40 East 52nd Street
New York, NY 10022
1959

 

Chief Compliance Officer of the Fund

 

Since 2007

 

Chief Compliance Officer of the BlackRock-advised Funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005; Formerly Director and Senior Counsel of BlackRock Advisors, Inc. from 2001 to 2004.








Howard B. Surloff
40 East 52nd Street
New York, NY 10022
1965

 

Secretary

 

Since 2007

 

Managing Director of BlackRock, Inc. and General Counsel of US Funds at BlackRock, Inc. since 2006; Formerly General Counsel (US) of Goldman Sachs Asset Management, L.P. from 1993 to 2006.

 

 






 

 

1

Officers of the Funds serve at the pleasure of the Board of Directors.

 



Custodians

For BlackRock Corporate

High Yield Fund, Inc.:

JPMorgan Chase Bank, N.A.

Brooklyn, NY 11245

 

For BlackRock Corporate

High Yield Fund III, Inc.

and BlackRock Floating

Rate Income Strategies

Fund II, Inc.:

State Street Bank and

Trust Company

Boston, MA 02101

 

For BlackRock Debt Strategies

Fund, Inc. and BlackRock Senior

High Income Fund, Inc.:

The Bank of New York Mellon

New York, NY 10286

 

Transfer Agents

For BlackRock Corporate High Yield

Fund, Inc., BlackRock Corporate

High Yield Fund III, Inc. and

BlackRock Floating Rate Income

Strategies Fund II, Inc.:

Computershare Trust Company, N.A.

Providence, RI 02940

 

For BlackRock Debt Strategies

Fund, Inc. and BlackRock Senior

High Income Fund, Inc.:

BNY Mellon Shareowner Services

Jersey City, NJ 07310

 

For All Funds:

 

Accounting Agent

State Street Bank and

Trust Company

Princeton, NJ 08540

 

Funds Address:

100 Bellevue Parkway

Wilmington, DE 19809

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Princeton, NJ 08540

 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

New York, NY 10036


 

Effective January 1, 2009, Robert S. Salomon, Jr. retired as Director of the Funds. The Board wishes Mr. Salomon well in his retirement.

 


 

 

 




ANNUAL REPORT

FEBRUARY 28, 2009

61



 


 

Additional Information


 


Proxy Results


The Annual Meeting of Shareholders was held on September 12, 2008 for shareholders of record on July 14, 2008, to elect director nominees of each Fund:

Approved the Directors as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

G. Nicholas Beckwith, III

 

Kent Dixon

 

R. Glenn Hubbard

 

 


 


 


 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld


BlackRock Debt Strategies Fund, Inc.

 

92,063,376

 

2,478,350

 

92,026,411

 

2,515,315

 

92,046,657

 

2,495,069

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

7,798,100

 

181,690

 

7,787,138

 

192,652

 

7,799,154

 

180,636

BlackRock Senior High Income Fund, Inc.

 

48,691,792

 

1,012,815

 

48,685,183

 

1,019,424

 

48,657,543

 

1,047,064


 

 

 

W. Carl Kester

 

Robert S. Salomon, Jr.

 

Richard S. Davis

 

 


 


 


 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld


BlackRock Debt Strategies Fund, Inc.

 

92,078,531

 

2,463,195

 

92,001,056

 

2,540,670

 

92,079,668

 

2,462,058

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

7,801,183

 

178,607

 

7,784,638

 

195,152

 

7,801,213

 

178,577

BlackRock Senior High Income Fund, Inc.

 

48,699,544

 

1,005,063

 

48,684,583

 

1,020,024

 

48,694,650

 

1,009,957


 

 

 

Frank J. Fabozzi

 

James T. Flynn

 

Karen P. Robards

 

 


 


 


 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld


BlackRock Debt Strategies Fund, Inc.

 

92,056,614

 

2,485,112

 

92,049,404

 

2,492,322

 

92,080,185

 

2,461,541

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

7,801,210

 

178,580

 

7,798,678

 

181,112

 

7,798,510

 

181,280

BlackRock Senior High Income Fund, Inc.

 

48,687,031

 

1,017,576

 

48,689,776

 

1,014,831

 

48,708,126

 

996,481


 

 

 

Richard E. Cavanagh

 

Kathleen F. Feldstein

 

Henry Gabbay

 

 


 


 


 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld


BlackRock Debt Strategies Fund, Inc.

 

92,073,765

 

2,467,961

 

92,013,670

 

2,528,056

 

92,077,054

 

2,464,672

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

7,801,213

 

178,577

 

7,795,401

 

184,389

 

7,801,183

 

178,607

BlackRock Senior High Income Fund, Inc.

 

48,693,624

 

1,010,983

 

48,712,689

 

991,918

 

48,690,654

 

1,013,953


 

 

 

Jerrold B. Harris

 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

 

 

 

 

 

 

 


BlackRock Debt Strategies Fund, Inc.

 

92,049,846

 

2,491,880

 

 

 

 

 

 

 

 

BlackRock Floating Rate Income Strategies Fund II, Inc.

 

7,798,713

 

181,077

 

 

 

 

 

 

 

 

BlackRock Senior High Income Fund, Inc.

 

48,689,775

 

1,014,832

 

 

 

 

 

 

 

 



 


Fund Certification


The Funds listed for trading on the New York Stock Exchange (“NYSE”) have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. Each Fund filed with the Securities and Exchange Commission (“SEC”) the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 


Availability of Quarterly Schedule of Investments


Each Fund files its 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 the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

 


Electronic Delivery


Electronic copies of most financial reports are available on the Funds’ web-sites 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.

 

 

 




62

ANNUAL REPORT

FEBRUARY 28, 2009



 


 

Additional Information (concluded)


 


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 Statements 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 were not approved by the 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.

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 it 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 contact the Funds at (800) 441-7762.

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 web-site is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website into this report.

 


Section 19 Notices


 

The amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and source for tax reporting purposes will depend upon the Funds’ investment experience during the year and may be subject to changes based on the tax regulations. Each Fund will send you a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

Total Fiscal Year-to-Date
Cumulative Distributions by Character

 

Percentage of Fiscal Year-to-Date
Cumulative Distributions by Character

 

 


 


 

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share


BlackRock Debt Strategies Fund, Inc.

 

$0.59120

 

 

$0.02480

 

$0.61600

 

96%

 

0%

 

4%

 

100%

BlackRock Senior High Income Fund, Inc.

 

$0.43607

 

 

$0.04492

 

$0.48099

 

91%

 

0%

 

9%

 

100%




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.

 

 

 


ANNUAL REPORT

FEBRUARY 28, 2009

63



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 yield to Common Shareholders. Statements and other information herein are as dated and are subject to change.

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 toll-free (800) 441-7762; (2) at www.blackrock.com; and (3) on the Securities and Exchange Commission’s website at http://www.sec.gov. 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 www.blackrock.com or by calling (800) 441-7762 and (2) on the Securities and Exchange Commission’s website at http://www.sec.gov.

 

 

 

(PAPERLESS LOGO)

 

(BLACKROCK LOGO)


 

 



 

#CEF1-5-2/09



 

 

Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

 

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors or trustees, as applicable (the “board of directors”) has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

 

 

 

Kent Dixon

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

 

Robert S. Salomon, Jr. (retired effective December 31, 2008)

 

 

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

 

 

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

 

 

 

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

 

 

 

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.



 

 

Item 4 –

Principal Accountant Fees and Services


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a) Audit Fees

 

(b) Audit-Related Fees1

 

(c) Tax Fees2

 

(d) All Other Fees3

 

 

 


 


 


 


 

Entity Name

 

Current
Fiscal Year
End

 

Previous
Fiscal Year
End

 

Current
Fiscal Year
End

 

Previous
Fiscal Year
End

 

Current
Fiscal Year
End

 

Previous
Fiscal Year
End

 

Current
Fiscal Year
End

 

Previous
Fiscal Year
End

 


 


 


 


 


 


 


 


 


 

BlackRock Debt Strategies Fund, Inc.

 

 

$49,300

 

 

$46,300

 

 

$0

 

 

$0

 

 

$6,100

 

 

$6,100

 

 

$1,028

 

 

$1,049

 

1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services include tax compliance, tax advice and tax planning.

3 The nature of the services include a review of compliance procedures and attestation thereto.

 

 

 

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

 

 

 

          The registrant’s audit committee (the “Committee”) has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant’s affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operation or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 for all of the registrants the Committee oversees. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

 

 

          Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to one or more of its members the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

 

 

 

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

 

 

(f) Not Applicable

 

 

 

(g) Affiliates’ Aggregate Non-Audit Fees:


 

 

 

 

 

 

 

 

Entity Name

 

Current Fiscal Year
End

 

Previous Fiscal Year
End

 


 


 


 

BlackRock Debt Strategies Fund, Inc.

 

 

$412,128

 

 

$294,649

 



 

 

 

(h) The registrant’s audit committee has considered and determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the registrant’s investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

 

 

Regulation S-X Rule 2-01(c)(7)(ii) – $405,000, 0%

 

 

Item 5 –

Audit Committee of Listed Registrants – The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

 

 

 

Kent Dixon

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

 

Robert S. Salomon, Jr. (retired effective December 31, 2008)

 

 

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 – The board of directors has delegated the voting of proxies for the Fund securities to the Fund’s investment adviser (“Investment Adviser”) pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the



 

 

 

Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

 

 

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – as of February 28, 2009

(a) Effective May 8, 2009, the registrant is managed by a team of investment professionals comprised of Leland T. Hart, Managing Director at BlackRock, James E. Keenan, Managing Director at BlackRock and C. Adrian Marshall, Director at BlackRock. Messrs. Hart, Keenan and Marshall are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Hart, Keenan and Marshall have been members of the Fund’s management team since 2009.


 

 

 

 

 




 

Portfolio Manager

 

Biography

 




 

Leland T. Hart

 

Managing Director of BlackRock, Inc. since 2009; Partner of R3 Capital Partners (“R3”) in 2009; Managing Director of R3 from 2008 - 2009; Managing Director of Lehman Brothers from 2006 - 2008; Executive Director of Lehman Brothers from 2003 - 2006.

 




 

James E. Keenan

 

Managing Director of BlackRock, Inc. since 2008; Director of BlackRock, Inc. from 2004 - 2008; Head of the Leveraged Finance Portfolio team; senior high yield trader at Columbia Management from 2003 to 2004.

 




 

C. Adrian Marshall

 

Director of BlackRock, Inc. since 2007; Vice President of BlackRock, Inc. from 2004 - 2007.

 





 

 

 

(a)(2) As of May 8, 2009:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(ii) Number of Other Accounts Managed
and Assets by Account Type

 

(iii) Number of Other Accounts and
Assets for Which Advisory Fee is
Performance-Based

 

 

 


 


 

(i) Name of
Portfolio Manager

 

Other
Registered
Investment
Companies

 

Other Pooled
Investment
Vehicles

 

Other
Accounts

 

Other
Registered
Investment
Companies

 

Other Pooled
Investment
Vehicles

 

Other
Accounts

 


 


 


 


 


 


 


 

Leland T. Hart

 

9

 

0

 

0

 

0

 

0

 

0

 

 

 

$1.83 Billion

 

$0

 

$0

 

$0

 

$0

 

$0

 

James E. Keenan

 

22

 

14

 

54

 

0

 

7

 

13

 

 

 

$6.60 Billion

 

$2.69 Billion

 

$8.62 Billion

 

$0

 

$1.94 Billion

 

$4.09 Billion

 

C. Adrian Marshall

 

9

 

1

 

3

 

0

 

0

 

0

 

 

 

$1.83 Billion

 

$49.4 Million

 

$441.3 Million

 

$0

 

$0

 

$0

 


 

 

 

(iv) Potential Material Conflicts of Interest

 

 

 

BlackRock and its affiliates (collectively, herein “BlackRock”) has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, its affiliates and significant shareholders and any officer, director, stockholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or any of its affiliates or significant shareholders, or any officer, director,



 

 

 

stockholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Each portfolio manager also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. In this connection, it should be noted that Mr. Keenan currently manages certain accounts that are subject to performance fees. In addition, a portfolio manager may assist in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily or involuntarily deferred. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.

 

 

 

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock has adopted a policy that is intended to ensure that investment opportunities are allocated fairly and equitably among client accounts over time. This policy also seeks to achieve reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base.

 

 

 

(a)(3) As of May 8, 2009:

 

 

 

Portfolio Manager Compensation Overview

 

 

 

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock such as its Long-Term Retention and Incentive Plan and Restricted Stock Program.

 

 

 

Base compensation. Generally, portfolio managers receive base compensation based on their seniority and/or their position with the firm. Senior portfolio managers who perform additional management functions within the portfolio management group or within BlackRock may receive additional compensation for serving in these other capacities.

 

 

 

Discretionary Incentive Compensation

 

 

 

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s



 

 

 

seniority, role within the portfolio management team, teamwork and contribution to the overall performance of these portfolios and BlackRock. In most cases, including for the portfolio managers of the Fund, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks against which the performance of funds and other accounts managed by each portfolio manager is compared and the period of time over which performance is evaluated. With respect to the portfolio managers, such benchmarks for the Fund include the following:


 

 

 

 

 

Portfolio Manager

 

Benchmarks Applicable to Each Manager

 


 


 

Leland T. Hart

 

A combination of market-based indices (e.g., CSFB Leveraged Loan Index, CSFB High Yield II Value Index), certain customized indices and certain fund industry peer groups.

 

James E. Keenan

 

A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

 

C. Adrian Marshall

 

A combination of market-based indices (e.g., CSFB Leveraged Loan Index, CSFB High Yield II Value Index), certain customized indices and certain fund industry peer groups.


 

 

 

BlackRock’s Chief Investment Officers make a subjective determination with respect to the portfolio managers’ compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks noted above. Performance is measured on both a pre-tax and after-tax basis over various time periods including 1, 3, 5 and 10-year periods, as applicable.

 

 

 

Distribution of Discretionary Incentive Compensation

 

 

 

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. The BlackRock, Inc. restricted stock units, if properly vested, will be settled in BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods.

 

 

 

          Long-Term Retention and Incentive Plan (“LTIP”) — The LTIP is a long-term incentive plan that seeks to reward certain key employees. Prior to 2006, the plan provided for the grant of awards that were expressed as an amount of cash that, if properly vested and subject to the attainment of certain performance goals, will be settled in cash and/or in BlackRock, Inc. common stock. Beginning in 2006, awards are granted under the LTIP in the form of BlackRock, Inc. restricted stock units that, if properly vested and subject to the attainment of certain performance goals, will be settled in BlackRock, Inc. common stock. Messrs. Keenan and Marshall have each received awards under the LTIP.

 

 

 

          Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program is



 

 

 

permitted to allocate his deferred amounts among the various investment options. Messrs. Keenan and Marshall have each participated in the deferred compensation program.

 

 

 

Other compensation benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

 

 

          Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 6% of eligible pay contributed to the plan capped at $4,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation. The RSP offers a range of investment options, including registered investment companies managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, absent employee investment direction, are invested into a balanced portfolio. The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000. Each portfolio manager except Mr. Hart is eligible to participate in these plans.

 

 

 

          United Kingdom-based portfolio managers are also eligible to participate in broad-based plans offered generally to BlackRock employees, including broad-based retirement, health and other employee benefit plans. For example, BlackRock has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including a Group Personal Pension Plan (GPPP) and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution to the GPPP is between 6% to 15% (dependent on service related entitlement) of eligible pay capped at £150,000 per annum. The GPPP offers a range of investment options, including several collective investment funds managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, in the absence of an investment election being made, are invested into a passive balanced managed fund. The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000. Mr. Hart is eligible to participate in these plans.

 

 

 

(a)(4) Beneficial Ownership of Securities.


 

 

 

Portfolio Manager

 

Dollar Range of Equity
Securities Beneficially Owned


 


Leland T. Hart

 

None

James E. Keenan

 

None

C. Adrian Marshall

 

None



 

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

 

Item 10 –

Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations that include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures.

 

 

Item 11 –

Controls and Procedures

 

 

11(a) –

The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.



 

 

11(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 12 –

Exhibits attached hereto

 

 

12(a)(1) –

Code of Ethics – See Item 2

 

 

12(a)(2) –

Certifications – Attached hereto

 

 

12(a)(3) –

Not Applicable

 

 

12(b) –

Certifications – Attached hereto



 

 

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

BlackRock Debt Strategies Fund, Inc.

 

 

By:

/s/ Donald C. Burke

 

 


 

 

 

Donald C. Burke

 

 

 

Chief Executive Officer of
BlackRock Debt Strategies Fund, Inc.

 

 

 

 

 

Date: May 8, 2009

 

 

 

 

 

 

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/ Donald C. Burke

 

 


 

 

 

Donald C. Burke

 

 

 

Chief Executive Officer (principal executive officer) of
BlackRock Debt Strategies Fund, Inc.

 

 

 

 

Date: May 8, 2009

 

 

 

 

By:

/s/ Neal J. Andrews

 

 


 

 

 

Neal J. Andrews

 

 

 

Chief Financial Officer (principal financial officer) of
BlackRock Debt Strategies Fund, Inc.

 

 

 

 

Date: May 8, 2009