UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-08497
Name of Fund: BlackRock Corporate High Yield Fund III, Inc. (CYE)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Corporate High Yield Fund III, Inc., 55 East 52nd Street, New York, NY 10055.
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2011
Date of reporting period: 05/31/2010
Item 1 – Schedule of Investments
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Schedule of Investments May 31, 2010 (Unaudited) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
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(Percentages shown are based on Net Assets) |
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Common Stocks |
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Shares |
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Value |
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Auto Components — 0.3% |
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Lear Corp. (a) |
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11,750 |
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$ |
795,123 |
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Building Products — 0.1% |
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Masonite Worldwide Holdings (a) |
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6,623 |
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296,379 |
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Capital Markets — 0.2% |
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E*Trade Financial Corp. (a) |
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296,000 |
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438,080 |
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Chemicals — 0.4% |
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LyondellBasell Industries NV, |
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23,189 |
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503,502 |
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LyondellBasell Industries NV, |
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18,484 |
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327,167 |
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Solutia, Inc. (a) |
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12,000 |
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181,800 |
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Wellman Holdings, Inc. (a) |
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1,522 |
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76 |
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1,012,545 |
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Communications Equipment — 0.6% |
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Loral Space & Communications |
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38,763 |
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1,548,194 |
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Construction Materials — 0.0% |
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Nortek, Inc. (a) |
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2,145 |
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96,525 |
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Diversified Financial Services — 0.0% |
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Citigroup, Inc. (a) |
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1 |
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4 |
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Electrical Equipment — 0.0% |
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Medis Technologies Ltd. (a) |
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70,784 |
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2,832 |
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SunPower Corp., Class B (a) |
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778 |
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9,017 |
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11,849 |
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Hotels, Restaurants & Leisure — 0.0% |
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Buffets Restaurants
Holdings, |
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1,099 |
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6,814 |
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Household Durables — 0.5% |
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Beazer Homes USA, Inc. (a) |
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164,500 |
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817,565 |
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Pulte Group, Inc. (a) |
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30,000 |
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334,200 |
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1,151,765 |
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Machinery — 0.1% |
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Accuride Corp. (a) |
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90,983 |
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122,827 |
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Media — 0.6% |
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Charter Communications, Inc. (a) |
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2,918 |
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105,048 |
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Gannett Co., Inc. |
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44,700 |
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694,638 |
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Gray Television, Inc. (a) |
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162,000 |
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484,380 |
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Sinclair Broadcast Group, Inc., |
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50,000 |
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331,750 |
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1,615,816 |
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Paper & Forest Products — 0.4% |
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Ainsworth Lumber Co. Ltd. (a) |
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122,117 |
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427,015 |
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Ainsworth Lumber Co. Ltd. (a)(b) |
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140,415 |
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490,999 |
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Western Forest Products, Inc. (a) |
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158,023 |
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51,053 |
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Western Forest Products, |
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45,762 |
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14,784 |
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983,851 |
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Common Stocks |
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Shares |
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Value |
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Software — 0.5% |
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HMH Holdings/EduMedia (a) |
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146,824 |
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$ |
917,650 |
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TiVo, Inc. (a) |
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26,525 |
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239,786 |
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1,157,436 |
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Wireless Telecommunication Services — 0.2% |
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FiberTower Corp. (a) |
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76,542 |
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292,390 |
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SBA Communications Corp., |
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8,452 |
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279,170 |
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571,560 |
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Total Common Stocks – 3.9% |
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9,808,768 |
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Corporate Bonds |
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Par |
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Aerospace & Defense — 0.3% |
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Bombardier, Inc., 7.75%, |
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USD |
200 |
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202,500 |
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Kratos Defense & Security |
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540 |
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534,600 |
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737,100 |
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Airlines — 2.0% |
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American Airlines, Inc., 10.50%, |
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390 |
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400,237 |
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American Airlines Pass-Through |
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400 |
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404,000 |
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Continental Airlines, Inc.: |
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Series
1997-4-B, 6.90%, |
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522 |
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511,437 |
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Series
2001-1-C, 7.03%, |
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302 |
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299,016 |
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Delta Air Lines, Inc., Series B, |
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1,100 |
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1,190,750 |
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United Air Lines, Inc., 12.75%, |
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2,100 |
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2,231,250 |
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5,036,690 |
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Auto Components — 1.4% |
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Allison Transmission, Inc. (b): |
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11.00%, 11/01/15 |
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230 |
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240,350 |
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11.25%, 11/01/15 (d) |
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177 |
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183,195 |
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Delphi International Holdings |
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91 |
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91,104 |
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The Goodyear Tire & Rubber Co., |
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552 |
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567,180 |
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Icahn Enterprises LP: |
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4.00%, 8/15/13 (e)(f) |
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255 |
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216,750 |
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8.00%, 1/15/18 (b) |
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2,470 |
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2,321,800 |
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3,620,379 |
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Portfolio Abbreviations |
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To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
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CAD |
Canadian Dollar |
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EUR |
Euro |
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FKA |
Formerly Known As |
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GBP |
British Pound |
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USD |
US Dollar |
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BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
1 |
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Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
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(Percentages shown are based on Net Assets) |
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Corporate Bonds |
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Par |
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Value |
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Biotechnology — 0.3% |
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QHP Pharma, 10.25%, |
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USD |
680 |
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$ |
689,074 |
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Building Products — 1.0% |
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Associated Materials LLC, 9.88%, |
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720 |
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774,000 |
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Building Materials Corp. of |
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620 |
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613,800 |
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Ply Gem Industries, Inc., 11.75%, |
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1,090 |
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1,117,250 |
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2,505,050 |
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Capital Markets — 0.6% |
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E*Trade Financial Corp. (e)(g): |
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3.39%, 8/31/19 (b) |
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244 |
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349,225 |
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Series A, 3.64%, 8/31/19 |
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7 |
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10,019 |
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MU Finance Plc, 8.75%, |
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GBP |
422 |
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561,454 |
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Marsico Parent Co., LLC, 10.63%, |
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USD |
963 |
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544,095 |
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Marsico Parent Holdco, LLC, |
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263 |
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64,547 |
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Marsico Parent Superholdco, LLC, |
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279 |
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54,380 |
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1,583,720 |
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Chemicals — 4.1% |
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American Pacific Corp., 9.00%, |
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880 |
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861,300 |
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CF Industries, Inc.: |
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6.88%, 5/01/18 |
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440 |
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440,550 |
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7.13%, 5/01/20 |
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780 |
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786,825 |
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Georgia Gulf Corp., 9.00%, |
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230 |
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233,450 |
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Hexion Finance Escrow LLC, |
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1,015 |
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938,875 |
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Hexion U.S. Finance Corp., 9.75%, |
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660 |
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630,300 |
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Huntsman International LLC (b): |
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6.88%, 11/15/13 |
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EUR |
280 |
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322,984 |
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5.50%, 6/30/16 |
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USD |
435 |
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378,450 |
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8.63%, 3/15/20 |
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395 |
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372,288 |
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Ineos Finance Plc, 9.00%, |
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420 |
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417,900 |
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Innophos, Inc., 8.88%, 8/15/14 |
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825 |
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845,625 |
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LBI Escrow Corp., 8.00%, |
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2,095 |
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2,131,662 |
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MacDermid, Inc., 9.50%, |
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1,260 |
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1,263,150 |
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Wellman Holdings, Inc., Subordinate |
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(Second
Lien), 10.00%, |
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844 |
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734,280 |
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(Third
Lien), 5.00%, |
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270 |
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105,121 |
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10,462,760 |
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Corporate Bonds |
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Par |
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Value |
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Commercial Banks — 0.1% |
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Glitnir Banki HF (a)(h): |
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4.15%, 4/20/10 (b) |
|
USD |
111 |
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$ |
30,803 |
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6.38%, 9/25/12 (b) |
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|
500 |
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|
138,750 |
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Series EMTN, 5.07%, 1/27/10 EUR |
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50 |
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17,334 |
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Series EMTN, 3.00%, 6/30/10 |
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|
45 |
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|
16,290 |
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Series
GMTN, 4.38%, |
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|
50 |
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17,333 |
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220,510 |
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Commercial Services & Supplies — 2.6% |
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ACCO Brands Corp., 10.63%, |
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USD |
250 |
|
|
270,625 |
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Garda World Security Corp., |
|
|
400 |
|
|
411,000 |
|
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International Lease Finance Corp., |
|
|
235 |
|
|
216,200 |
|
|
RSC Equipment Rental, Inc., |
|
|
585 |
|
|
629,606 |
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Scientific Games International, |
|
|
580 |
|
|
598,850 |
|
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Waste Services, Inc., 9.50%, |
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|
3,000 |
|
|
3,075,000 |
|
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West Corp., 11.00%, 10/15/16 |
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|
1,290 |
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|
1,302,900 |
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6,504,181 |
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Construction Materials — 0.9% |
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Nortek, Inc., 11.00%, 12/01/13 |
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|
2,275 |
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2,365,514 |
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Consumer Finance — 0.5% |
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|
|
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Credit Acceptance Corp., 9.13%, |
|
|
680 |
|
|
686,800 |
|
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Ford Motor Credit Co. LLC: |
|
|
|
|
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|
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3.05%, 1/13/12 (f) |
|
|
215 |
|
|
206,400 |
|
|
7.80%, 6/01/12 |
|
|
200 |
|
|
203,980 |
|
|
8.00%, 12/15/16 |
|
|
180 |
|
|
180,350 |
|
|
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1,277,530 |
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Containers & Packaging — 4.6% |
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|
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|
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Ball Corp., 6.75%, 9/15/20 |
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|
525 |
|
|
510,563 |
|
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Berry Plastics Corp.: |
|
|
|
|
|
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|
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8.88%, 9/15/14 |
|
|
615 |
|
|
590,400 |
|
|
8.25%, 11/15/15 |
|
|
135 |
|
|
132,638 |
|
|
9.50%, 5/15/18 (b) |
|
|
790 |
|
|
707,050 |
|
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Berry Plastics Holding Corp., |
|
|
1,950 |
|
|
1,872,000 |
|
|
Crown European Holdings SA, |
|
EUR |
75 |
|
|
92,496 |
|
|
Graphic Packaging International, |
|
USD |
840 |
|
|
873,600 |
|
|
Impress Holdings BV, 2.47%, |
|
|
420 |
|
|
388,500 |
|
|
Owens-Brockway Glass Container, |
|
|
|
|
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|
|
8.25%, 5/15/13 |
|
|
1,000 |
|
|
1,012,500 |
|
|
6.75%, 12/01/14 |
|
EUR |
155 |
|
|
191,158 |
|
|
Packaging Dynamics Finance |
|
|
1,090 |
|
|
933,312 |
|
|
Pregis Corp., 12.38%, 10/15/13 |
|
|
1,200 |
|
|
1,182,000 |
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2 |
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
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|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Containers & Packaging (concluded) |
|
|
|
|
|
|
|
|
Rock-Tenn Co., 8.20%, 8/15/11 |
|
EUR |
2,000 |
|
$ |
2,080,000 |
|
|
Smurfit Kappa Acquisitions (b): |
|
|
|
|
|
|
|
|
7.25%, 11/15/17 |
|
|
495 |
|
|
595,288 |
|
|
7.75%, 11/15/19 |
|
|
470 |
|
|
570,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,732,495 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services — 1.1% |
|
|
|
|
|
|
|
|
Service Corp. International, |
|
USD |
3,000 |
|
|
2,910,000 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 9.7% |
|
|
|
|
|
|
|
|
Axcan Intermediate Holdings, Inc., |
|
|
390 |
|
|
393,900 |
|
|
CIT Group, Inc.: |
|
|
|
|
|
|
|
|
7.00%, 5/01/16 |
|
|
3,076 |
|
|
2,791,911 |
|
|
7.00%, 5/01/17 |
|
|
5,280 |
|
|
4,765,272 |
|
|
Citigroup, Inc., 4.75%, 5/19/15 |
|
|
360 |
|
|
355,558 |
|
|
FCE Bank Plc: |
|
|
|
|
|
|
|
|
7.88%, 2/15/11 |
|
GBP |
700 |
|
|
1,019,899 |
|
|
7.13%, 1/16/12 |
|
EUR |
1,800 |
|
|
2,197,816 |
|
|
7.13%, 1/15/13 |
|
|
1,050 |
|
|
1,269,174 |
|
|
GMAC, Inc.: |
|
|
|
|
|
|
|
|
7.25%, 3/02/11 |
|
USD |
184 |
|
|
184,690 |
|
|
6.88%, 9/15/11 |
|
|
500 |
|
|
500,000 |
|
|
6.88%, 8/28/12 |
|
|
600 |
|
|
592,500 |
|
|
7.50%, 12/31/13 |
|
|
280 |
|
|
273,000 |
|
|
2.74%, 12/01/14 (f) |
|
|
394 |
|
|
323,667 |
|
|
6.75%, 12/01/14 |
|
|
940 |
|
|
895,350 |
|
|
8.30%, 2/12/15 (b) |
|
|
2,160 |
|
|
2,168,100 |
|
|
8.00%, 3/15/20 (b) |
|
|
2,240 |
|
|
2,172,800 |
|
|
Leucadia National Corp., 8.13%, |
|
|
1,325 |
|
|
1,354,812 |
|
|
Reynolds Group DL Escrow, Inc., |
|
|
1,460 |
|
|
1,445,400 |
|
|
Reynolds Group Issuer, Inc. (b): |
|
|
|
|
|
|
|
|
7.75%, 10/15/16 |
|
EUR |
400 |
|
|
485,949 |
|
|
8.50%, 5/15/18 |
|
USD |
1,375 |
|
|
1,306,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,496,048 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 4.4% |
|
|
|
|
|
|
|
|
Broadview Networks Holdings, Inc., |
|
|
1,035 |
|
|
993,600 |
|
|
GCI, Inc., 8.63%, 11/15/19 (b) |
|
|
1,200 |
|
|
1,164,000 |
|
|
ITC Deltacom, Inc., 10.50%, |
|
|
540 |
|
|
518,400 |
|
|
New Communications Holdings, Inc. (b): |
|
|
|
|
|
|
|
|
7.88%, 4/15/15 |
|
|
630 |
|
|
625,275 |
|
|
8.25%, 4/15/17 |
|
|
800 |
|
|
792,000 |
|
|
8.50%, 4/15/20 |
|
|
350 |
|
|
344,750 |
|
|
Nordic Telephone Co. Holdings |
|
|
215 |
|
|
220,375 |
|
|
Qwest Communications International, |
|
|
|
|
|
|
|
|
7.50%, 2/15/14 |
|
|
2,020 |
|
|
1,989,700 |
|
|
8.00%, 10/01/15 (b) |
|
|
600 |
|
|
601,500 |
|
|
Series B, 7.50%, 2/15/14 |
|
|
1,730 |
|
|
1,704,050 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Diversified Telecommunication Services |
|
|
|
|
|
|
|
|
Qwest Corp.: |
|
|
|
|
|
|
|
|
7.63%, 6/15/15 |
|
USD |
525 |
|
$ |
548,625 |
|
|
8.38%, 5/01/16 |
|
|
680 |
|
|
737,800 |
|
|
Windstream Corp., 8.13%, |
|
|
760 |
|
|
767,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,007,675 |
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities — 0.5% |
|
|
|
|
|
|
|
|
Intergen NV, 9.00%, 6/30/17 (b) |
|
|
420 |
|
|
420,000 |
|
|
NSG Holdings LLC, 7.75%, |
|
|
1,030 |
|
|
921,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,341,850 |
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components — 0.1% |
|
|
|
|
|
|
|
|
Jabil Circuit, Inc., 7.75%, 7/15/16 |
|
|
295 |
|
|
301,638 |
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services — 1.6% |
|
|
|
|
|
|
|
|
Compagnie Generale de Geophysique- |
|
|
|
|
|
|
|
|
7.50%, 5/15/15 |
|
|
215 |
|
|
208,550 |
|
|
7.75%, 5/15/17 |
|
|
320 |
|
|
304,000 |
|
|
Expro Finance Luxembourg SCA, |
|
|
1,835 |
|
|
1,779,950 |
|
|
Global Geophysical Services, Inc., |
|
|
310 |
|
|
297,600 |
|
|
North American Energy Alliance |
|
|
665 |
|
|
679,962 |
|
|
Parker Drilling Co., 9.13%, |
|
|
210 |
|
|
199,500 |
|
|
Thermon Industries, Inc., 9.50%, |
|
|
555 |
|
|
549,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,019,012 |
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.7% |
|
|
|
|
|
|
|
|
AmeriQual Group LLC, 9.50%, |
|
|
800 |
|
|
728,000 |
|
|
Rite Aid Corp.: |
|
|
|
|
|
|
|
|
9.75%, 6/12/16 |
|
|
410 |
|
|
435,113 |
|
|
10.25%, 10/15/19 |
|
|
670 |
|
|
681,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,844,838 |
|
|
|
|
|
|
|
|
|
|
|
Food Products — 0.7% |
|
|
|
|
|
|
|
|
B&G Foods, Inc., 7.63%, 1/15/18 |
|
|
220 |
|
|
219,450 |
|
|
Reddy Ice Corp., 11.25%, |
|
|
440 |
|
|
444,400 |
|
|
Smithfield Foods, Inc., 10.00%, |
|
|
780 |
|
|
835,088 |
|
|
TreeHouse Foods, Inc., 7.75%, |
|
|
160 |
|
|
163,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,662,538 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies — 1.3% |
|
|
|
|
|
|
|
|
DJO Finance LLC: |
|
|
|
|
|
|
|
|
10.88%, 11/15/14 |
|
|
1,670 |
|
|
1,736,800 |
|
|
10.88%, 11/15/14 (b) |
|
|
600 |
|
|
624,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
3 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies (concluded) |
|
|
|
|
|
|
|
|
Hologic, Inc., 2.00%, |
|
USD |
955 |
|
$ |
815,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,176,131 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 4.2% |
|
|
|
|
|
|
|
|
American Renal Holdings, 8.38%, |
|
|
280 |
|
|
272,300 |
|
|
HCA, Inc.: |
|
|
|
|
|
|
|
|
9.13%, 11/15/14 |
|
|
1,785 |
|
|
1,878,713 |
|
|
8.50%, 4/15/19 |
|
|
1,020 |
|
|
1,065,900 |
|
|
7.25%, 9/15/20 |
|
|
2,315 |
|
|
2,309,212 |
|
|
Omnicare, Inc., 7.75%, 6/01/20 |
|
|
270 |
|
|
270,675 |
|
|
Tenet Healthcare Corp. (b): |
|
|
|
|
|
|
|
|
9.00%, 5/01/15 |
|
|
1,799 |
|
|
1,888,950 |
|
|
10.00%, 5/01/18 |
|
|
644 |
|
|
705,985 |
|
|
8.88%, 7/01/19 |
|
|
2,014 |
|
|
2,112,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,503,917 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology — 1.1% |
|
|
|
|
|
|
|
|
IMS Health, Inc., 12.50%, |
|
|
2,405 |
|
|
2,759,737 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 2.0% |
|
|
|
|
|
|
|
|
Harrah’s Operating Co., Inc., |
|
|
660 |
|
|
691,350 |
|
|
Inn of the Mountain Gods Resort & |
|
|
1,550 |
|
|
744,000 |
|
|
Little Traverse Bay Bands of |
|
|
1,290 |
|
|
427,312 |
|
|
MGM Mirage: |
|
|
|
|
|
|
|
|
13.00%, 11/15/13 |
|
|
110 |
|
|
125,400 |
|
|
10.38%, 5/15/14 (b) |
|
|
255 |
|
|
270,938 |
|
|
11.13%, 11/15/17 (b) |
|
|
820 |
|
|
887,650 |
|
|
San Pasqual Casino, 8.00%, |
|
|
975 |
|
|
926,250 |
|
|
Scientific Games Corp., 0.75%, |
|
|
280 |
|
|
278,600 |
|
|
Travelport LLC: |
|
|
|
|
|
|
|
|
5.16%, 9/01/14 (f) |
|
|
160 |
|
|
148,800 |
|
|
9.88%, 9/01/14 |
|
|
210 |
|
|
209,475 |
|
|
Tropicana Entertainment LLC, |
|
|
305 |
|
|
412 |
|
|
Virgin River Casino Corp., 9.00%, |
|
|
940 |
|
|
423,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,133,187 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 3.3% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc.: |
|
|
|
|
|
|
|
|
6.88%, 7/15/15 |
|
|
380 |
|
|
333,450 |
|
|
8.13%, 6/15/16 |
|
|
315 |
|
|
288,225 |
|
|
12.00%, 10/15/17 |
|
|
1,345 |
|
|
1,492,950 |
|
|
9.13%, 6/15/18 |
|
|
1,770 |
|
|
1,663,800 |
|
|
K. Hovnanian Enterprises, Inc., |
|
|
1,725 |
|
|
1,763,812 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Household Durables (concluded) |
|
|
|
|
|
|
|
|
KB Home, 9.10%, 9/15/17 |
|
USD |
215 |
|
$ |
217,688 |
|
|
Standard Pacific Corp.: |
|
|
|
|
|
|
|
|
9.25%, 4/15/12 |
|
|
135 |
|
|
137,700 |
|
|
6.25%, 4/01/14 |
|
|
365 |
|
|
341,275 |
|
|
7.00%, 8/15/15 |
|
|
265 |
|
|
243,800 |
|
|
10.75%, 9/15/16 |
|
|
1,225 |
|
|
1,329,125 |
|
|
8.38%, 5/15/18 |
|
|
605 |
|
|
579,287 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,391,112 |
|
|
|
|
|
|
|
|
|
|
|
IT Services — 1.2% |
|
|
|
|
|
|
|
|
Alliance Data Systems Corp., |
|
|
1,645 |
|
|
1,721,081 |
|
|
First Data Corp., 9.88%, 9/24/15 |
|
|
1,600 |
|
|
1,288,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,009,081 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 3.2% |
|
|
|
|
|
|
|
|
The AES Corp., 8.75%, |
|
|
450 |
|
|
456,750 |
|
|
AES Eastern Energy LP, |
|
|
610 |
|
|
663,375 |
|
|
Calpine Construction Finance Co. |
|
|
1,260 |
|
|
1,272,600 |
|
|
Energy Future Holdings Corp.: |
|
|
|
|
|
|
|
|
10.88%, 11/01/17 |
|
|
955 |
|
|
701,925 |
|
|
12.00%, 11/01/17 (d) |
|
|
879 |
|
|
560,048 |
|
|
10.00%, 1/15/20 (b) |
|
|
2,425 |
|
|
2,412,875 |
|
|
NRG Energy, Inc., 7.25%, 2/01/14 |
|
|
2,115 |
|
|
2,088,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,156,136 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates — 2.5% |
|
|
|
|
|
|
|
|
Sequa Corp. (b): |
|
|
|
|
|
|
|
|
11.75%, 12/01/15 |
|
|
2,340 |
|
|
2,340,000 |
|
|
13.50%, 12/01/15 (d) |
|
|
3,954 |
|
|
4,028,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,368,149 |
|
|
|
|
|
|
|
|
|
|
|
Insurance — 0.9% |
|
|
|
|
|
|
|
|
Alliant Holdings I, Inc., 11.00%, |
|
|
1,700 |
|
|
1,693,625 |
|
|
USI Holdings Corp., 4.31%, |
|
|
680 |
|
|
544,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,237,625 |
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail — 0.1% |
|
|
|
|
|
|
|
|
NetFlix, Inc., 8.50%, 11/15/17 |
|
|
210 |
|
|
216,825 |
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products — 0.6% |
|
|
|
|
|
|
|
|
Brunswick Corp., 11.25%, |
|
|
995 |
|
|
1,114,400 |
|
|
Easton-Bell Sports, Inc., 9.75%, |
|
|
280 |
|
|
289,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,403,500 |
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services — 0.3% |
|
|
|
|
|
|
|
|
Bio-Rad Laboratories, Inc., 8.00%, |
|
|
175 |
|
|
181,781 |
|
|
Patheon, Inc., 8.63%, 4/15/17 (b) |
|
|
585 |
|
|
585,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
766,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
|
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|
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|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Machinery — 1.8% |
|
|
|
|
|
|
|
|
AGY Holding Corp., 11.00%, |
|
USD |
980 |
|
$ |
784,000 |
|
|
Accuride Corp., 7.50%, |
|
|
9 |
|
|
23,945 |
|
|
Navistar International Corp.: |
|
|
|
|
|
|
|
|
3.00%, 10/15/14 (e) |
|
|
1,900 |
|
|
2,346,500 |
|
|
8.25%, 11/01/21 |
|
|
1,000 |
|
|
1,000,000 |
|
|
Titan International, Inc., 5.63%, |
|
|
240 |
|
|
298,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,452,645 |
|
|
|
|
|
|
|
|
|
|
|
Marine — 0.7% |
|
|
|
|
|
|
|
|
Horizon Lines, Inc., 4.25%, |
|
|
2,230 |
|
|
1,839,750 |
|
|
|
|
|
|
|
|
|
|
|
Media — 13.2% |
|
|
|
|
|
|
|
|
Affinion Group, Inc.: |
|
|
|
|
|
|
|
|
10.13%, 10/15/13 |
|
|
2,445 |
|
|
2,487,787 |
|
|
10.13%, 10/15/13 |
|
|
765 |
|
|
778,388 |
|
|
CCH II LLC, 13.50%, 11/30/16 |
|
|
543 |
|
|
622,069 |
|
|
CCO Holdings LLC (b): |
|
|
|
|
|
|
|
|
7.88%, 4/30/18 |
|
|
470 |
|
|
461,188 |
|
|
8.13%, 4/30/20 |
|
|
470 |
|
|
465,300 |
|
|
CMP Susquehanna Corp., 3.20%, |
|
|
160 |
|
|
3,200 |
|
|
CSC Holdings, Inc., 8.50%, |
|
|
390 |
|
|
405,600 |
|
|
Catalina Marketing Corp., 10.50%, |
|
|
610 |
|
|
634,400 |
|
|
Charter Communications |
|
|
500 |
|
|
521,875 |
|
|
Clear Channel Worldwide Holdings, |
|
|
|
|
|
|
|
|
Series A, 9.25%, 12/15/17 |
|
|
835 |
|
|
845,437 |
|
|
Series B, 9.25%, 12/15/17 |
|
|
4,240 |
|
|
4,314,200 |
|
|
Cox Enterprises, Inc.: |
|
|
|
|
|
|
|
|
Loan Close 2, 12.00%, 8/15/18 |
|
|
630 |
|
|
630,000 |
|
|
Loan Close 3, 12.00%, 8/15/18 |
|
|
735 |
|
|
735,000 |
|
|
Shares Loan, 12.00%, 8/15/18 |
|
|
735 |
|
|
735,000 |
|
|
DISH DBS Corp., 7.00%, 10/01/13 |
|
|
90 |
|
|
91,350 |
|
|
Gannett Co., Inc., 8.75%, |
|
|
600 |
|
|
630,000 |
|
|
Gray Television, Inc., 10.50%, |
|
|
710 |
|
|
670,950 |
|
|
Harland Clarke Holdings Corp.: |
|
|
|
|
|
|
|
|
6.00%, 5/15/15 (f) |
|
|
350 |
|
|
279,125 |
|
|
9.50%, 5/15/15 |
|
|
420 |
|
|
374,850 |
|
|
Intelsat Corp., 9.25%, 6/15/16 |
|
|
2,450 |
|
|
2,511,250 |
|
|
Intelsat Subsidiary Holding Co. |
|
|
260 |
|
|
261,300 |
|
|
Liberty Global, Inc., 4.50%, |
|
|
470 |
|
|
536,388 |
|
|
Liberty Media Corp., 3.13%, |
|
|
1,113 |
|
|
1,175,606 |
|
|
Lighthouse International Co. SA: |
|
EUR |
546 |
|
|
422,113 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Media (concluded) |
|
|
|
|
|
|
|
|
Lighthouse International Co. SA |
|
|
|
|
|
|
|
|
8.00%, 4/30/14 (b) |
|
EUR |
177 |
|
$ |
136,839 |
|
|
Lions Gate Entertainment, Inc., |
|
USD |
370 |
|
|
372,775 |
|
|
Live Nation Entertainment, Inc., |
|
|
150 |
|
|
148,500 |
|
|
McClatchy Co., 11.50%, |
|
|
1,260 |
|
|
1,266,300 |
|
|
Nexstar Broadcasting, Inc., 8.88%, |
|
|
440 |
|
|
435,600 |
|
|
Nielsen Finance LLC: |
|
|
|
|
|
|
|
|
11.63%, 2/01/14 |
|
|
180 |
|
|
192,600 |
|
|
10.00%, 8/01/14 |
|
|
1,890 |
|
|
1,920,712 |
|
|
ProtoStar I Ltd., 18.00%, |
|
|
850 |
|
|
807,410 |
|
|
Rainbow National Services LLC (b): |
|
|
|
|
|
|
|
|
8.75%, 9/01/12 |
|
|
440 |
|
|
444,400 |
|
|
10.38%, 9/01/14 |
|
|
1,582 |
|
|
1,653,190 |
|
|
Seat Pagine Gialle SpA, 10.50%, |
|
EUR |
648 |
|
|
747,478 |
|
|
TL Acquisitions, Inc., 10.50%, |
|
USD |
1,735 |
|
|
1,574,512 |
|
|
UPC Germany GmbH (b): |
|
|
|
|
|
|
|
|
8.13%, 12/01/17 |
|
|
600 |
|
|
588,000 |
|
|
8.13%, 12/01/17 |
|
EUR |
566 |
|
|
685,882 |
|
|
9.63%, 12/01/19 |
|
|
570 |
|
|
692,478 |
|
|
UPC Holding BV, 9.88%, |
|
USD |
500 |
|
|
505,000 |
|
|
Unitymedia GmbH, 9.63%, |
|
EUR |
111 |
|
|
137,575 |
|
|
Ziggo Bond Co. BV, 8.00%, |
|
|
488 |
|
|
575,911 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,477,538 |
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining — 5.0% |
|
|
|
|
|
|
|
|
AK Steel Corp., 7.63%, 5/15/20 |
|
USD |
535 |
|
|
528,312 |
|
|
Aleris International, Inc. (a)(h): |
|
|
|
|
|
|
|
|
9.00%, 12/15/14 |
|
|
1,035 |
|
|
2,588 |
|
|
10.00%, 12/15/16 |
|
|
800 |
|
|
5,480 |
|
|
Drummond Co., Inc.: |
|
|
|
|
|
|
|
|
9.00%, 10/15/14 (b) |
|
|
875 |
|
|
870,625 |
|
|
7.38%, 2/15/16 |
|
|
225 |
|
|
214,313 |
|
|
FMG Finance Property Ltd. (b): |
|
|
|
|
|
|
|
|
10.00%, 9/01/13 |
|
|
535 |
|
|
573,119 |
|
|
10.63%, 9/01/16 |
|
|
1,180 |
|
|
1,298,000 |
|
|
Foundation PA Coal Co., 7.25%, |
|
|
1,975 |
|
|
1,999,687 |
|
|
GoldCorp., Inc., 2.00%, |
|
|
190 |
|
|
222,538 |
|
|
McJunkin Red Man Corp., 9.50%, |
|
|
1,245 |
|
|
1,207,650 |
|
|
Murray Energy Corp., 10.25%, |
|
|
845 |
|
|
840,775 |
|
|
New World Resources NV: |
|
|
|
|
|
|
|
|
7.38%, 5/15/15 |
|
EUR |
445 |
|
|
510,584 |
|
|
|
|
|
|
|
|
|||
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
5 |
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|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Metals & Mining (concluded) |
|
|
|
|
|
|
|
|
New World Resources NV (concluded): |
|
|
|
|
|
|
|
|
7.88%, 5/01/18 (b) |
|
EUR |
210 |
|
$ |
241,465 |
|
|
Novelis, Inc.: |
|
|
|
|
|
|
|
|
7.25%, 2/15/15 |
|
USD |
1,515 |
|
|
1,420,009 |
|
|
11.50%, 2/15/15 |
|
|
430 |
|
|
466,550 |
|
|
Ryerson, Inc.: |
|
|
|
|
|
|
|
|
7.72%, 11/01/14 (f) |
|
|
400 |
|
|
372,500 |
|
|
12.00%, 11/01/15 |
|
|
265 |
|
|
269,638 |
|
|
Steel Dynamics, Inc., 7.38%, |
|
|
400 |
|
|
409,000 |
|
|
United States Steel Corp., 7.38%, |
|
|
520 |
|
|
508,300 |
|
|
Vedanta Resources Plc, 9.50%, |
|
|
640 |
|
|
652,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,613,933 |
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 1.3% |
|
|
|
|
|
|
|
|
Dollar General Corp.: |
|
|
|
|
|
|
|
|
10.63%, 7/15/15 |
|
|
68 |
|
|
74,120 |
|
|
11.88%, 7/15/17 (d) |
|
|
2,661 |
|
|
3,020,235 |
|
|
Saks, Inc., 9.88%, 10/01/11 |
|
|
295 |
|
|
309,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,404,105 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 6.2% |
|
|
|
|
|
|
|
|
Arch Coal, Inc., 8.75%, |
|
|
55 |
|
|
56,100 |
|
|
Atlas Energy Operating Co. LLC: |
|
|
|
|
|
|
|
|
12.13%, 8/01/17 |
|
|
500 |
|
|
555,000 |
|
|
10.75%, 2/01/18 |
|
|
260 |
|
|
275,600 |
|
|
Berry Petroleum Co., 8.25%, |
|
|
510 |
|
|
499,800 |
|
|
Bill Barrett Corp., 9.88%, 7/15/16 |
|
|
240 |
|
|
248,400 |
|
|
Chesapeake Energy Corp., 2.25%, |
|
|
800 |
|
|
579,000 |
|
|
Coffeyville Resources LLC, 9.00%, |
|
|
295 |
|
|
292,050 |
|
|
Connacher Oil and Gas Ltd. (b): |
|
|
|
|
|
|
|
|
11.75%, 7/15/14 |
|
|
175 |
|
|
182,875 |
|
|
10.25%, 12/15/15 |
|
|
1,145 |
|
|
1,099,200 |
|
|
Consol Energy, Inc., 8.25%, |
|
|
1,990 |
|
|
2,032,287 |
|
|
Crosstex Energy LP, 8.88%, |
|
|
1,110 |
|
|
1,093,350 |
|
|
Denbury Resources, Inc., 8.25%, |
|
|
897 |
|
|
926,152 |
|
|
Linn Energy LLC, 8.63%, |
|
|
790 |
|
|
782,100 |
|
|
Massey Energy Co., 6.88%, |
|
|
945 |
|
|
907,200 |
|
|
Niska Gas Storage US LLC, 8.88%, |
|
|
1,870 |
|
|
1,879,350 |
|
|
OPTI Canada, Inc., 9.00%, |
|
|
1,340 |
|
|
1,346,700 |
|
|
Patriot Coal Corp., 8.25%, |
|
|
420 |
|
|
411,600 |
|
|
Petrohawk Energy Corp.: |
|
|
|
|
|
|
|
|
10.50%, 8/01/14 |
|
|
555 |
|
|
586,913 |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels (concluded) |
|
|
|
|
|
|
|
|
Petrohawk Energy Corp. (concluded): |
|
|
|
|
|
|
|
|
7.88%, 6/01/15 |
|
USD |
460 |
|
$ |
445,625 |
|
|
Range Resources Corp., 8.00%, |
|
|
400 |
|
|
412,000 |
|
|
Sabine Pass LNG LP, 7.50%, |
|
|
390 |
|
|
323,700 |
|
|
Teekay Corp., 8.50%, 1/15/20 |
|
|
660 |
|
|
666,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,601,602 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 3.7% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., |
|
|
1,106 |
|
|
1,020,707 |
|
|
Boise Paper Holdings LLC (b): |
|
|
|
|
|
|
|
|
9.00%, 11/01/17 |
|
|
330 |
|
|
348,562 |
|
|
8.00%, 4/01/20 |
|
|
165 |
|
|
166,238 |
|
|
Clearwater Paper Corp., 10.63%, |
|
|
390 |
|
|
428,025 |
|
|
Georgia-Pacific LLC, 8.25%, |
|
|
1,600 |
|
|
1,664,000 |
|
|
Glatfelter, 7.13%, 5/01/16 (b) |
|
|
210 |
|
|
199,500 |
|
|
NewPage Corp.: |
|
|
|
|
|
|
|
|
10.00%, 5/01/12 |
|
|
785 |
|
|
456,281 |
|
|
11.38%, 12/31/14 |
|
|
4,435 |
|
|
4,146,725 |
|
|
Verso Paper Holdings LLC, |
|
|
840 |
|
|
896,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,326,738 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals — 0.6% |
|
|
|
|
|
|
|
|
Angiotech Pharmaceuticals, Inc., |
|
|
1,050 |
|
|
819,000 |
|
|
Elan Finance Plc, 8.88%, |
|
|
105 |
|
|
105,262 |
|
|
Novasep Holding SAS, 9.63%, |
|
EUR |
630 |
|
|
711,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,635,515 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development — 0.5% |
|
|
|
|
|
|
|
|
Forest City Enterprises, Inc., |
|
USD |
1,425 |
|
|
1,303,875 |
|
|
|
|
|
|
|
|
|
|
|
Road & Rail — 0.5% |
|
|
|
|
|
|
|
|
Avis Budget Car Rental LLC, |
|
|
510 |
|
|
510,000 |
|
|
Syncreon Global Ireland Ltd., |
|
|
820 |
|
|
787,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,297,200 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment — 0.2% |
|
|
|
|
|
|
|
|
Advanced Micro Devices, Inc., |
|
|
430 |
|
|
421,938 |
|
|
|
|
|
|
|
|
|
|
|
Software — 0.0% |
|
|
|
|
|
|
|
|
BMS Holdings, Inc., 7.89%, |
|
|
456 |
|
|
9,120 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 1.8% |
|
|
|
|
|
|
|
|
Asbury Automotive Group, Inc., |
|
|
350 |
|
|
325,500 |
|
|
|
|
|
|
|
||
|
6 |
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Specialty Retail (concluded) |
|
|
|
|
|
|
|
|
General Nutrition Centers, Inc., |
|
USD |
595 |
|
$ |
599,463 |
|
|
Group 1 Automotive, Inc., 2.25%, |
|
|
1,055 |
|
|
859,825 |
|
|
Hillman Group, Inc., 10.88%, |
|
|
530 |
|
|
530,000 |
|
|
Limited Brands, Inc., 8.50%, |
|
|
785 |
|
|
836,025 |
|
|
Sonic Automotive, Inc., 9.00%, |
|
|
370 |
|
|
372,775 |
|
|
United Auto Group, Inc., 7.75%, |
|
|
1,025 |
|
|
966,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,489,650 |
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods — 0.5% |
|
|
|
|
|
|
|
|
Quiksilver, Inc., 6.88%, 4/15/15 |
|
|
1,350 |
|
|
1,181,250 |
|
|
|
|
|
|
|
|
|
|
|
Tobacco — 0.1% |
|
|
|
|
|
|
|
|
Vector Group Ltd., 11.00%, |
|
|
325 |
|
|
325,813 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services — 5.0% |
|
|
|
|
|
|
|
|
Cricket Communications, Inc.: |
|
|
|
|
|
|
|
|
10.00%, 7/15/15 |
|
|
1,890 |
|
|
1,937,250 |
|
|
7.75%, 5/15/16 |
|
|
220 |
|
|
223,300 |
|
|
Digicel Group Ltd. (b): |
|
|
|
|
|
|
|
|
8.88%, 1/15/15 |
|
|
800 |
|
|
774,000 |
|
|
9.13%, 1/15/15 (d) |
|
|
1,783 |
|
|
1,738,425 |
|
|
8.25%, 9/01/17 |
|
|
770 |
|
|
754,600 |
|
|
10.50%, 4/15/18 |
|
|
500 |
|
|
506,250 |
|
|
FiberTower Corp., 9.00%, |
|
|
284 |
|
|
238,668 |
|
|
iPCS, Inc., 2.47%, 5/01/13 (f) |
|
|
815 |
|
|
749,800 |
|
|
MetroPCS Wireless, Inc., 9.25%, |
|
|
2,405 |
|
|
2,477,150 |
|
|
NII Holdings, Inc., 2.75%, |
|
|
210 |
|
|
208,950 |
|
|
Nextel Communications, Inc.: |
|
|
|
|
|
|
|
|
Series E, 6.88%, 10/31/13 |
|
|
1,170 |
|
|
1,120,275 |
|
|
Series F, 5.95%, 3/15/14 |
|
|
110 |
|
|
101,475 |
|
|
Orascom Telecom Finance SCA, |
|
|
275 |
|
|
247,500 |
|
|
Sprint Capital Corp., 6.88%, |
|
|
1,790 |
|
|
1,487,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,565,580 |
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds – 99.0% |
|
|
|
|
|
250,387,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense — 0.0% |
|
|
|
|
|
|
|
|
Pedalgreen Ltd., Loan Facility, |
|
GBP |
4 |
|
|
4,730 |
|
|
|
|
|
|
|
|
|
|
|
Auto Components — 1.0% |
|
|
|
|
|
|
|
|
Affinion Group Holdings, Inc., Loan, |
|
USD |
436 |
|
|
410,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Auto Components (concluded) |
|
|
|
|
|
|
|
|
Allison Transmission, Inc., Term |
|
USD |
2,239 |
|
$ |
2,030,581 |
|
|
Dana Holding Corp., Term |
|
|
170 |
|
|
163,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,604,943 |
|
|
|
|
|
|
|
|
|
|
|
Automobiles — 1.4% |
|
|
|
|
|
|
|
|
Ford Motor Co., Tranche B-1 Term |
|
|
3,853 |
|
|
3,587,325 |
|
|
|
|
|
|
|
|
|
|
|
Building Products — 1.3% |
|
|
|
|
|
|
|
|
CPG International I, Inc., Term |
|
|
3,242 |
|
|
3,241,960 |
|
|
|
|
|
|
|
|
|
|
|
Capital Markets — 0.1% |
|
|
|
|
|
|
|
|
Marsico Parent Co., LLC, Term |
|
|
379 |
|
|
249,481 |
|
|
|
|
|
|
|
|
|
|
|
Chemicals — 0.3% |
|
|
|
|
|
|
|
|
PQ Corp., Term Loan (First Lien), |
|
|
737 |
|
|
669,635 |
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies —0.5% |
|
|
|
|
|
|
|
|
International Lease Finance Corp.: |
|
|
|
|
|
|
|
|
Term Loan 1, 6.75%, 2/23/15 |
|
|
750 |
|
|
732,375 |
|
|
Term Loan 2, 7.00%, 3/05/16 |
|
|
550 |
|
|
535,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,267,525 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering — 0.8% |
|
|
|
|
|
|
|
|
Safway Services, LLC, Last Out |
|
|
2,000 |
|
|
2,000,000 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance — 1.8% |
|
|
|
|
|
|
|
|
American General Finance Corp., |
|
|
4,250 |
|
|
4,114,000 |
|
|
Chrysler Financial Corp., Term |
|
|
500 |
|
|
493,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,607,482 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services — 1.7% |
|
|
|
|
|
|
|
|
Wind Finance SL SA, Euro Facility |
|
EUR |
3,460 |
|
|
4,208,768 |
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing — 0.5% |
|
|
|
|
|
|
|
|
Rite Aid Corp., Tranche 4 Term |
|
USD |
1,246 |
|
|
1,263,144 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 0.2% |
|
|
|
|
|
|
|
|
Harden Healthcare, Term Loan A, |
|
|
498 |
|
|
487,773 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 1.2% |
|
|
|
|
|
|
|
|
Travelport LLC (FKA Travelport, |
|
|
3,263 |
|
|
3,067,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
7 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
IT Services — 0.2% |
|
|
|
|
|
|
|
|
First Data Corp.: |
|
|
|
|
|
|
|
|
Initial Tranche B-1 Term Loan, |
|
USD |
346 |
|
$ |
291,881 |
|
|
Initial Tranche B-3 Term Loan, |
|
|
410 |
|
|
345,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
637,022 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders — 1.0% |
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co., |
|
|
|
|
|
|
|
|
Initial Tranche B-1 Term Loan, |
|
|
216 |
|
|
165,610 |
|
|
Initial Tranche B-2 Term Loan, |
|
|
256 |
|
|
196,317 |
|
|
Initial Tranche B-3 Term Loan, |
|
|
2,814 |
|
|
2,149,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,511,146 |
|
|
|
|
|
|
|
|
|
|
|
Media — 1.8% |
|
|
|
|
|
|
|
|
Cengage Learning Acquisitions, |
|
|
1,719 |
|
|
1,727,972 |
|
|
HMH Publishing Co., Ltd., |
|
|
964 |
|
|
883,316 |
|
|
Newsday, LLC, Fixed Rate Term |
|
|
1,200 |
|
|
1,260,000 |
|
|
Protostar Ltd., Debtor in |
|
|
149 |
|
|
148,672 |
|
|
Worldcolor Press Inc. and |
|
|
497 |
|
|
501,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,520,981 |
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail — 0.1% |
|
|
|
|
|
|
|
|
The Neiman Marcus Group, Inc., |
|
|
258 |
|
|
235,199 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 1.5% |
|
|
|
|
|
|
|
|
Tronox Worldwide LLC: |
|
|
|
|
|
|
|
|
Tranche B-1 Term Loan, |
|
|
1,261 |
|
|
1,265,118 |
|
|
Tranche B-2 Term Loan |
|
|
339 |
|
|
339,882 |
|
|
Turbo Beta Ltd., Dollar Facility, |
|
|
2,307 |
|
|
2,076,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,681,211 |
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products — 0.3% |
|
|
|
|
|
|
|
|
Verso Paper Finance Holdings LLC, |
|
|
1,318 |
|
|
856,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests (f) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
||
|
Real Estate Management & Development — 0.2% |
|
|
|
|
|
|
|
|
Realogy Corp.: |
|
|
|
|
|
|
|
|
Initial Term B Loan, 3.29%, |
|
USD |
399 |
|
$ |
336,229 |
|
|
Synthetic Letter of Credit, |
|
|
128 |
|
|
107,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
444,154 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 0.2% |
|
|
|
|
|
|
|
|
Claire’s Stores, Inc., Term Loan B, |
|
|
138 |
|
|
115,671 |
|
|
Michaels Stores, Inc., Term Loan |
|
|
355 |
|
|
322,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
438,208 |
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests – |
|
|
|
|
|
40,584,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Interests (j) |
|
|
Beneficial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components — 1.9% |
|
|
|
|
|
|
|
|
Delphi Debtor-in-Possession |
|
|
— |
(k) |
|
4,745,927 |
|
|
Lear Corp. Escrow |
|
|
460 |
|
|
10,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,756,507 |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.0% |
|
|
|
|
|
|
|
|
Adelphia Escrow |
|
|
750 |
|
|
75 |
|
|
Adelphia Recovery Trust |
|
|
941 |
|
|
3,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,837 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail — 0.0% |
|
|
|
|
|
|
|
|
Buffets, Inc. |
|
|
575 |
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests – 1.9% |
|
|
|
|
|
4,760,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services — 1.2% |
|
|
|
|
|
|
|
|
Citigroup, Inc., 7.50% (e) |
|
|
10,900 |
|
|
1,304,076 |
|
|
GMAC, Inc., 7.00% (b) |
|
|
2,405 |
|
|
1,809,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,113,087 |
|
|
|
|
|
|
|
|
|
|
|
Household Durables — 0.1% |
|
|
|
|
|
|
|
|
Beazer Homes USA, Inc., 7.50% (e) |
|
|
10,132 |
|
|
269,916 |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.2% |
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings |
|
|
37,314 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
8 |
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Shares |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
Media (concluded) |
|
|
|
|
|
|
|
|
TRA Global, Inc., 4.25% (a) |
|
|
286,652 |
|
$ |
463,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
463,144 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) — 0.1% |
|
|
|
|
|
|
|
|
MPG Office Trust, Inc., Series A, |
|
|
8,994 |
|
|
118,631 |
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance — 0.0% |
|
|
|
|
|
|
|
|
Fannie Mae, Series O, 0.00% (a) |
|
|
30,000 |
|
|
37,500 |
|
|
Freddie Mac, Series Z, 8.38% (a) |
|
|
75,961 |
|
|
79,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
117,259 |
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities – 1.6% |
|
|
|
|
|
4,082,037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants (l) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging — 0.0% |
|
|
|
|
|
|
|
|
MDP Acquisitions Plc (expires |
|
|
700 |
|
|
27,867 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services — 0.0% |
|
|
|
|
|
|
|
|
HealthSouth Corp. (expires |
|
|
32,042 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure — 0.0% |
|
|
|
|
|
|
|
|
Buffets Restaurants Holdings, Inc. |
|
|
485 |
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
Media — 0.0% |
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings |
|
|
42,640 |
|
|
1 |
|
|
New Vision Holdings LLC: |
|
|
|
|
|
|
|
|
(expires 9/30/14) |
|
|
3,424 |
|
|
34 |
|
|
(expires 9/30/14) |
|
|
19,023 |
|
|
190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels — 0.0% |
|
|
|
|
|
|
|
|
Turbo Cayman Ltd. (no expiration) |
|
|
1 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Software — 0.0% |
|
|
|
|
|
|
|
|
HMH Holdings/EduMedia |
|
|
11,225 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Warrants – 0.0% |
|
|
|
|
|
28,097 |
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments |
|
|
|
|
|
309,651,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
Shares |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, |
|
|
1,963,008 |
|
$ |
1,963,008 |
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Securities |
|
|
|
|
|
1,963,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Options — 0.0% |
|
|
|
|
|
|
|
|
Marsico Parent Superholdco LLC, |
|
|
19 |
|
|
3,990 |
|
|
|
|
|
|
|
|
|
|
|
Total Options Purchased |
|
|
|
|
|
3,990 |
|
|
|
|
|
|
|
|
|
|
|
Total Investments |
|
|
|
|
|
311,618,073 |
|
|
Liabilities in Excess of Other Assets – (23.3)% |
|
|
|
|
|
(58,806,535 |
) |
|
|
|
|
|
|
|
|
|
|
Net Assets – 100.0% |
|
|
|
|
$ |
252,811,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of May 31, 2010, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
322,081,932 |
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
12,844,524 |
|
|
|
Gross unrealized depreciation |
|
|
(23,308,383 |
) |
|
|
|
|
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(10,463,859 |
) |
|
|
|
|
|
|
|
|
|
|
|
(a) |
Non-income producing security. |
|
|
|
|
(b) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
(c) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
|
|
(d) |
Represents a payment-in-kind security which may pay interest/dividends in additional face/shares. |
|
|
|
|
(e) |
Convertible security. |
|
|
|
|
(f) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
(g) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
(h) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
|
|
(i) |
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
|
|
|
|
(j) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
|
|
(k) |
Amount is less than $1,000. |
|
|
|
|
(l) |
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date. |
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
9 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
(m) |
Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Shares
Held |
|
Net Activity |
|
Shares
Held |
|
Income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
|
3,276,755 |
|
(1,313,747 |
) |
1,963,008 |
|
$ |
649 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(n) |
Represents the current yield as of report date. |
|
|
|
|
• |
Foreign currency exchange contracts as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
EUR |
|
565,000 |
|
USD |
|
700,989 |
|
Citibank NA |
|
7/14/10 |
|
$ |
(7,289 |
) |
|
EUR |
|
163,000 |
|
USD |
|
205,210 |
|
Citigroup |
|
7/14/10 |
|
|
(5,080 |
) |
|
USD |
|
16,155,718 |
|
EUR |
|
12,873,000 |
|
BNP Paribas |
|
7/14/10 |
|
|
350,399 |
|
|
GBP |
|
656,000 |
|
USD |
|
973,635 |
|
Citibank NA |
|
7/28/10 |
|
|
(24,819 |
) |
|
USD |
|
573,789 |
|
CAD |
|
575,000 |
|
Citibank NA |
|
7/28/10 |
|
|
27,515 |
|
|
USD |
|
266,571 |
|
GBP |
|
175,000 |
|
Citibank NA |
|
7/28/10 |
|
|
13,457 |
|
|
USD |
|
2,798,133 |
|
GBP |
|
1,808,500 |
|
Royal Bank of Scotland |
|
7/28/10 |
|
|
182,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
536,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Financial futures contracts sold as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Contracts |
|
Issue |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
23 |
|
S&P Index |
|
June 2010 |
|
$ |
6,248,375 |
|
$ |
(10,500 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single-name issues – buy protection outstanding as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Issuer |
|
Pay
Fixed |
|
Counterparty |
|
Expiration |
|
Notional |
|
|
Unrealized |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Wells Fargo & Co. |
|
1.00% |
|
JPMorgan Chase |
|
June 2011 |
|
USD |
|
4,250 |
|
$ |
6 |
|
|
|
|
|
|
Bank NA |
|
|
|
|
|
|
|
|
|
|
|
K. Hovnanian |
|
5.00% |
|
Goldman Sachs |
|
December 2011 |
|
USD |
|
510 |
|
|
5,535 |
|
|
Enterprises, Inc. |
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
K. Hovnanian |
|
5.00% |
|
Goldman Sachs |
|
December 2013 |
|
USD |
|
1,000 |
|
|
(11,131 |
) |
|
Enterprises, Inc. |
|
|
|
Bank USA |
|
|
|
|
|
|
|
|
|
|
|
Louisiana-Pacific |
|
5.00% |
|
JPMorgan Chase |
|
March 2014 |
|
USD |
|
500 |
|
|
(121,425 |
) |
|
Corp. |
|
|
|
Bank NA |
|
|
|
|
|
|
|
|
|
|
|
Brunswick Corp. |
|
5.00% |
|
Goldman Sachs |
|
September 2014 |
|
USD |
|
200 |
|
|
(17,815 |
) |
|
|
|
|
|
Bank USA |
|
|
|
|
|
|
|
|
|
|
|
Centex Corp. |
|
1.00% |
|
Deutsche Bank AG |
|
September 2014 |
|
USD |
|
188 |
|
|
2,043 |
|
|
Boston Scientific |
|
1.00% |
|
Goldman Sachs |
|
December 2014 |
|
USD |
|
525 |
|
|
17,844 |
|
|
Corp. |
|
|
|
Bank USA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(124,943 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 |
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
• |
Credit default swaps on single-name issues – sold protection outstanding as of May 31, 2010 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Credit |
|
Notional |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Advanced Micro |
|
5.00% |
|
JPMorgan Chase |
|
March 2015 |
|
B- |
|
USD |
|
600 |
|
$ |
51 |
|
|
Devices, Inc. |
|
|
|
Bank NA |
|
|
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp. |
|
5.00% |
|
Credit Suisse |
|
March 2015 |
|
C |
|
USD |
|
100 |
|
|
(507 |
) |
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp. |
|
5.00% |
|
JPMorgan Chase |
|
March 2015 |
|
C |
|
USD |
|
475 |
|
|
(22,785 |
) |
|
|
|
|
|
Bank NA |
|
|
|
|
|
|
|
|
|
|
|
|
|
AK Steel Corp. |
|
5.00% |
|
Credit Suisse |
|
June 2015 |
|
BB |
|
USD |
|
700 |
|
|
(72,215 |
) |
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
AK Steel Corp. |
|
5.00% |
|
JPMorgan Chase |
|
June 2015 |
|
BB |
|
USD |
|
150 |
|
|
(16,592 |
) |
|
|
|
|
|
Bank NA |
|
|
|
|
|
|
|
|
|
|
|
|
|
AK Steel Corp. |
|
5.00% |
|
Goldman Sachs |
|
June 2015 |
|
BB |
|
USD |
|
600 |
|
|
(44,912 |
) |
|
|
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
Levi Strauss & |
|
5.00% |
|
Citibank NA |
|
June 2015 |
|
B+ |
|
USD |
|
235 |
|
|
(3,025 |
) |
|
Co. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOVA Chemicals |
|
5.00% |
|
Goldman Sachs |
|
June 2015 |
|
B+ |
|
USD |
|
375 |
|
|
(15,912 |
) |
|
Corp. |
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Rentals |
|
5.00% |
|
Credit Suisse |
|
June 2015 |
|
B |
|
USD |
|
500 |
|
|
(23,459 |
) |
|
(North America), |
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Rentals |
|
5.00% |
|
Goldman Sachs |
|
June 2015 |
|
B |
|
USD |
|
550 |
|
|
(16,135 |
) |
|
(North America), |
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Rentals |
|
5.00% |
|
Goldman Sachs |
|
June 2015 |
|
B |
|
USD |
|
150 |
|
|
(5,779 |
) |
|
(North America), |
|
|
|
International |
|
|
|
|
|
|
|
|
|
|
|
|
|
Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(221,270 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Using Standard & Poor’s rating of the issuer. |
|
|
|
|
|
|
|
|
2 |
The maximum potential amount the Fund may pay should a negative credit take place as defined under the terms of the agreement. |
|
|
|
|
|
|
|
|
• |
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
|
|
|
|
|
|
|
|
• |
Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows: |
|
|
|
|
|
|
|
|
|
• |
Level 1 — price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
|
|
• |
Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, repayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
|
|
• |
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments) |
|
|
|
|
|
|
||
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
11 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
|
|
|
|
|
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report. |
|
|
|
|
|
The following tables summarize the inputs used as of May 31, 2010 in determining the fair valuation of the Fund’s investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
7,730,499 |
|
$ |
1,160,544 |
|
$ |
917,725 |
|
$ |
9,808,768 |
|
|
Corporate Bonds |
|
|
— |
|
|
246,272,586 |
|
|
4,114,449 |
|
|
250,387,035 |
|
|
Floating Rate Loan Interests |
|
|
— |
|
|
27,890,726 |
|
|
12,694,010 |
|
|
40,584,736 |
|
|
Other Interests |
|
|
— |
|
|
— |
|
|
4,760,402 |
|
|
4,760,402 |
|
|
Preferred Stocks |
|
|
1,772,382 |
|
|
1,846,511 |
|
|
463,144 |
|
|
4,082,037 |
|
|
Warrants |
|
|
— |
|
|
27,867 |
|
|
230 |
|
|
28,097 |
|
|
Short-Term Securities |
|
|
1,963,008 |
|
|
— |
|
|
— |
|
|
1,963,008 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unfunded loan commitments |
|
|
— |
|
|
— |
|
|
(47,602 |
) |
|
(47,602 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
11,465,889 |
|
$ |
277,198,234 |
|
$ |
22,902,358 |
|
$ |
311,566,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments1 |
|||||||||||||
|
|
|||||||||||||
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
— |
|
$ |
25,479 |
|
|
— |
|
$ |
25,479 |
|
|
Equity contracts |
|
|
— |
|
|
3,990 |
|
|
— |
|
|
3,990 |
|
|
Foreign currency exchange contracts |
|
|
— |
|
|
573,754 |
|
|
— |
|
|
573,754 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit contracts |
|
|
— |
|
|
(371,692 |
) |
|
— |
|
|
(371,692 |
) |
|
Foreign currency exchange contracts |
|
|
— |
|
|
(37,188 |
) |
|
— |
|
|
(37,188 |
) |
|
Interest rate contracts |
|
$ |
(10,500 |
) |
|
— |
|
|
— |
|
|
(10,500 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(10,500 |
) |
$ |
194,343 |
|
|
— |
|
$ |
183,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Derivative financial instruments are financial futures contracts, swaps, foreign currency exchange contracts and options. Financial futures contracts, swaps and foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument and options are shown at market value. |
|
|
|
|
|
|
||
|
12 |
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
|
|
|
|
|
|
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Corporate High Yield Fund III, Inc. (CYE) |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets/Liabilities |
|
Common |
|
Corporate |
|
Floating
Rate |
|
Other |
|
Preferred |
|
Unfunded |
|
Warrants |
|
Total |
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Balance, as of February 28, 2010 |
|
$ |
79,746 |
|
$ |
4,246,019 |
|
$ |
21,135,986 |
|
$ |
4,699,133 |
|
$ |
1 |
|
$ |
(115,579 |
) |
$ |
230 |
|
$ |
30,045,536 |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
6,861 |
|
|
67,557 |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
74,418 |
|
|
Net realized gain (loss) |
|
|
— |
|
|
9,734 |
|
|
(1,564,467 |
) |
|
349,894 |
|
|
— |
|
|
— |
|
|
— |
|
|
(1,204,839 |
) |
|
Net change in unrealized appreciation/depreciation2 |
|
|
(4,595 |
) |
|
(148,654 |
) |
|
650,121 |
|
|
77,575 |
|
|
(1 |
) |
|
67,977 |
|
|
— |
|
|
642,423 |
|
|
Purchases |
|
|
— |
|
|
466 |
|
|
(4,115,152 |
) |
|
(685,200 |
) |
|
— |
|
|
— |
|
|
— |
|
|
(4,799,886 |
) |
|
Sales |
|
|
— |
|
|
23 |
|
|
159,012 |
|
|
319,000 |
|
|
— |
|
|
— |
|
|
— |
|
|
478,035 |
|
|
Transfers in3 |
|
|
917,650 |
|
|
— |
|
|
937,966 |
|
|
— |
|
|
463,144 |
|
|
— |
|
|
— |
|
|
2,318,759 |
|
|
Transfers out3 |
|
|
(75,076 |
) |
|
— |
|
|
(4,577,013 |
) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(4,652,088 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of May 31, 2010 |
|
$ |
917,725 |
|
$ |
4,114,449 |
|
$ |
12,694,010 |
|
$ |
4,760,402 |
|
$ |
463,144 |
|
$ |
(47,602 |
) |
$ |
230 |
|
$ |
22,902,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
The change in the unrealized appreciation/depreciation on the securities still held on May 31, 2010 was $456,624. |
|
|
|
|
3 |
The Fund’s policy is to recognize transfers in and transfers out as of the end of the period of the event or the change in circumstances that caused the transfer. |
|
|
|
|
|
|
||
|
BLACKROCK CORPORATE HIGH YIELD FUND III, INC. |
MAY 31, 2010 |
13 |
|
Item 2 – |
Controls and Procedures |
||
|
|
|
||
|
2(a) – |
The registrant's principal executive and principal financial officers or persons performing similar functions have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended. |
||
|
|
|
||
|
2(b) – |
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
||
|
|
|
||
|
Item 3 – |
Exhibits |
||
|
|
|
||
|
|
Certifications – Attached hereto |
||
|
|
|
||
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
||
|
|
|
||
|
|
BlackRock Corporate High Yield Fund III, Inc. |
||
|
By: |
/s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer of | |||
| BlackRock Corporate High Yield Fund III, Inc. | |||
| Date: July 23, 2010 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
|
By: |
/s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Corporate High Yield Fund III, Inc. | |||
| Date: July 23, 2010 | |||
|
By: |
/s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Corporate High Yield Fund III, Inc. | |||
| Date: July 23, 2010 | |||