UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
Investment Company Act File number 811-8497
Name of Fund: BlackRock Corporate High Yield Fund III, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, BlackRock Corporate High Yield Fund III, Inc., 800 Scudders Mill
Road, Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton,
NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 05/31/2007
Date of reporting period: 06/01/2006 - 08/31/2006
Item 1 - Schedule of Investments
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Aerospace & $ 575,000 Alliant Techsystems, Inc., 6.75% due 4/01/2016 $ 559,187
Defense - 4.5% 1,875,000 Alliant Techsystems, Inc., 3% due 8/15/2024 (b)(i) 2,200,781
1,425,000 DRS Technologies, Inc., 6.875% due 11/01/2013 1,382,250
975,000 Esterline Technologies Corp., 7.75% due 6/15/2013 975,000
1,425,000 L-3 Communications Corp., 7.625% due 6/15/2012 1,460,625
1,625,000 L-3 Communications Corp., 5.875% due 1/15/2015 1,535,625
1,375,000 L-3 Communications Corp., 6.375% due 10/15/2015 1,323,437
1,380,000 L-3 Communications Corp., 3% due 8/01/2035 (b)(i) 1,388,625
1,750,000 Standard Aero Holdings, Inc., 8.25% due 9/01/2014 1,684,375
1,950,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 1,755,000
-------------
14,264,905
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 1.3% 2,250,000 American Airlines, Inc. Class C, 7.80% due 4/01/2008 2,250,000
1,150,194 Continental Airlines, Inc. Series 1997-4-B, 6.90% due 7/02/2018 1,089,842
101,997 Continental Airlines, Inc. Series 1998-1-C, 6.541% due 9/15/2009 97,515
629,917 Continental Airlines, Inc. Series 2001-1 Class C, 7.033% due 12/15/2012 623,925
-------------
4,061,282
-----------------------------------------------------------------------------------------------------------------------------------
Automotive - 2.6% 2,875,000 Autonation, Inc., 7.507% due 4/15/2013 (d)(i) 2,889,375
1,525,000 Autonation, Inc., 7% due 4/15/2014 (i) 1,504,031
2,950,000 Ford Motor Credit Co., 9.875% due 8/05/2011 3,082,166
600,000 General Motors Acceptance Corp., 7.25% due 3/02/2011 598,630
-------------
8,074,202
-----------------------------------------------------------------------------------------------------------------------------------
Broadcasting - 4.7% 1,850,000 Allbritton Communications Co., 7.75% due 12/15/2012 1,829,187
1,550,000 Barrington Broadcasting Group LLC, 10.50% due 8/15/2014 (i) 1,519,000
2,000,000 CMP Susquehanna Corp., 9.875% due 5/15/2014 (i) 1,865,000
2,975,000 Paxson Communications Corp., 8.757% due 1/15/2012 (d)(i) 2,997,312
2,475,000 Salem Communications Corp., 7.75% due 12/15/2010 2,465,719
1,575,000 Sinclair Broadcast Group, Inc., 8% due 3/15/2012 1,594,688
1,400,000 Sirius Satellite Radio, Inc., 9.625% due 8/01/2013 1,330,000
1,200,000 XM Satellite Radio, Inc., 9.75% due 5/01/2014 (i) 1,128,000
-------------
14,728,906
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 7.4% 750,000 Adelphia Communications Corp., 6% due 2/15/2006 (b)(e)(k) 3,750
1,800,000 CCH I LLC, 11% due 10/01/2015 1,597,500
2,275,000 CSC Holdings, Inc. Series B, 7.625% due 4/01/2011 2,326,187
75,000 Cablevision Systems Corp. Series B, 9.62% due 4/01/2009 (d) 79,969
2,525,000 Cablevision Systems Corp. Series B, 8% due 4/15/2012 2,537,625
2,225,000 Charter Communications Holdings II LLC, 10.25% due 9/15/2010 2,252,813
2,675,000 Intelsat Subsidiary Holding Co. Ltd., 10.484% due 1/15/2012 (d) 2,715,125
2,150,000 Intelsat Subsidiary Holding Co. Ltd., 8.625% due 1/15/2015 2,171,500
596,000 Loral Spacecom Corp., 14% due 11/15/2015 (g) 674,970
2,425,000 Mediacom LLC, 9.50% due 1/15/2013 2,491,687
2,193,000 PanAmSat Corp., 9% due 8/15/2014 2,231,378
2,000,000 Quebecor Media, Inc., 7.75% due 3/15/2016 1,980,000
1,900,000 Rainbow National Services LLC, 10.375% due 9/01/2014 (i) 2,116,125
-------------
23,178,629
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 6.0% 1,544,000 BCP Caylux Holdings Luxembourg SCA, 9.625% due 6/15/2014 1,673,310
1,500,000 Huntsman International, LLC, 10.125% due 7/01/2009 1,530,000
800,000 Innophos, Inc., 8.875% due 8/15/2014 800,000
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$4,200,000 Millennium America, Inc., 9.25% due 6/15/2008 $ 4,294,500
1,200,000 Nalco Co., 7.75% due 11/15/2011 1,221,000
1,200,000 Nalco Co., 8.875% due 11/15/2013 1,236,000
724,000 Nalco Finance Holdings, Inc., 10.065% due 1/15/2014 (a) 552,050
3,000,000 Nova Chemicals Corp., 8.405% due 11/15/2013 (d) 3,063,750
2,300,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 2,438,000
1,600,000 Reichhold Industries, Inc., 9% due 8/15/2014 (i) 1,568,000
550,000 Unifi, Inc., 11.50% due 5/15/2014 (i) 522,500
-------------
18,899,110
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - 1,350,000 Sealy Mattress Co., 8.25% due 6/15/2014 1,363,500
Durables - 0.9% 1,400,000 Simmons Bedding Co., 7.875% due 1/15/2014 1,351,000
-------------
2,714,500
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - 4,250,000 American Greetings Corp., 7.375% due 6/01/2016 4,276,562
Non-Durables - 6.5% 2,425,000 Chattem, Inc., 7% due 3/01/2014 2,315,875
3,025,000 Church & Dwight Co., Inc., 6% due 12/15/2012 2,843,500
3,575,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 3,181,750
1,600,000 Levi Strauss & Co., 10.258% due 4/01/2012 (d) 1,652,000
2,000,000 Levi Strauss & Co., 8.875% due 4/01/2016 1,975,000
2,000,000 Quiksilver, Inc., 6.875% due 4/15/2015 1,865,000
2,200,000 Samsonite Corp., 8.875% due 6/01/2011 2,260,500
-------------
20,370,187
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Media - 7.4% 1,000,000 American Media Operations, Inc. Series B, 10.25% due 5/01/2009 927,500
2,600,000 CBD Media, Inc., 8.625% due 6/01/2011 2,548,000
1,600,000 Cadmus Communications Corp., 8.375% due 6/15/2014 1,564,000
2,400,000 CanWest Media, Inc., 8% due 9/15/2012 2,322,000
1,367,000 Dex Media West LLC, 9.875% due 8/15/2013 1,467,816
1,600,000 Houghton Mifflin Co., 12.031% due 5/15/2011 (d)(i) 1,608,000
2,013,000 Liberty Media Corp., 0.75% due 3/30/2023 (b) 2,111,134
3,000,000 Nielsen Finance LLC, 10% due 8/01/2014 (i) 3,071,250
3,175,000 Quebecor World Capital Corp., 8.75% due 3/15/2016 (i) 2,984,500
1,400,000 RH Donnelley Corp. Series A-2, 6.875% due 1/15/2013 1,256,500
1,525,000 RH Donnelley Corp. Series A-3, 8.875% due 1/15/2016 1,502,125
1,800,000 Universal City Florida Holding Co. I, 10.239% due 5/01/2010 (d) 1,840,500
-------------
23,203,325
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Exploration & 1,550,000 Chaparral Energy, Inc., 8.50% due 12/01/2015 1,561,625
Production - 4.8% 3,000,000 Compton Petroleum Finance Corp., 7.625% due 12/01/2013 2,925,000
2,000,000 Encore Acquisition Co., 6.25% due 4/15/2014 1,880,000
2,800,000 Exco Resources, Inc., 7.25% due 1/15/2011 2,723,000
325,000 Plains Exploration & Production Co., 7.125% due 6/15/2014 333,125
2,575,000 Plains Exploration & Production Co. Series B, 8.75% due 7/01/2012 2,703,750
2,000,000 Pogo Producing Co., 7.875% due 5/01/2013 (i) 2,040,000
975,000 Quicksilver Resources, Inc., 7.125% due 4/01/2016 931,125
-------------
15,097,625
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 4.5% 1,100,000 Copano Energy LLC, 8.125% due 3/01/2016 1,113,750
1,875,000 Dresser, Inc., 9.375% due 4/15/2011 1,907,812
375,000 Ferrellgas Escrow LLC, 6.75% due 5/01/2014 360,937
2,425,000 Ferrellgas Partners LP, 8.75% due 6/15/2012 2,509,875
2,000,000 MarkWest Energy Partners LP, 8.50% due 7/15/2016 (i) 2,025,000
2,000,000 Ocean RIG ASA, 9.481% due 4/04/2011 1,985,000
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$2,350,000 SemGroup LP, 8.75% due 11/15/2015 (i) $ 2,391,125
2,000,000 Suburban Propane Partners, LP, 6.875% due 12/15/2013 1,915,000
-------------
14,208,499
-----------------------------------------------------------------------------------------------------------------------------------
Financial - 0.4% 1,000,000 Saxon Capital, Inc., 12% due 5/01/2014 (i) 1,366,613
-----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 4.4% 800,000 AmeriQual Group LLC, 9.50% due 4/01/2012 (i) 816,000
2,400,000 Constellation Brands, Inc., 8.125% due 1/15/2012 2,490,000
1,225,000 Constellation Brands, Inc., 7.25% due 9/01/2016 1,231,125
3,000,000 Cott Beverages USA, Inc., 8% due 12/15/2011 3,037,500
3,024,000 Del Monte Corp., 8.625% due 12/15/2012 3,163,860
1,000,000 Michael Foods, Inc., 8% due 11/15/2013 1,020,000
2,000,000 National Beef Packing Co. LLC, 10.50% due 8/01/2011 2,085,000
-------------
13,843,485
-----------------------------------------------------------------------------------------------------------------------------------
Gaming - 10.5% 3,125,000 Boyd Gaming Corp., 8.75% due 4/15/2012 3,277,344
1,350,000 Caesars Entertainment, Inc., 7.875% due 3/15/2010 1,407,375
1,050,000 Galaxy Entertainment Finance Co. Ltd., 10.42% due
12/15/2010 (d)(i) 1,099,875
550,000 Galaxy Entertainment Finance Co. Ltd., 9.875% due 12/15/2012 (i) 576,125
1,725,000 Inn of the Mountain Gods Resort & Casino, 12% due 11/15/2010 1,742,250
1,200,000 Isle of Capri Casinos, Inc., 9% due 3/15/2012 1,255,500
400,000 Isle of Capri Casinos, Inc., 7% due 3/01/2014 380,000
1,325,000 Jacobs Entertainment Co., 9.75% due 6/15/2014 (i) 1,323,344
1,650,000 Little Traverse Bay Bands of Odawa Indians, 10.25% due 2/15/2014 (i) 1,641,750
1,550,000 MGM Mirage, 8.50% due 9/15/2010 1,631,375
850,000 MGM Mirage, 6.75% due 4/01/2013 (i) 820,250
975,000 Mirage Resorts, Inc., 6.75% due 2/01/2008 978,656
2,025,000 Penn National Gaming, Inc., 6.875% due 12/01/2011 2,014,875
2,575,000 Poster Financial Group, Inc., 8.75% due 12/01/2011 2,690,875
2,650,000 Resorts International Hotel and Casino, Inc., 11.50% due 3/15/2009 2,772,563
975,000 San Pasqual Casino, 8% due 9/15/2013 (i) 981,094
1,225,000 Station Casinos, Inc., 6.50% due 2/01/2014 1,142,313
1,625,000 Station Casinos, Inc., 7.75% due 8/15/2016 1,675,781
1,400,000 Station Casinos, Inc., 6.625% due 3/15/2018 1,249,500
2,850,000 Trump Entertainment Resorts, Inc., 8.50% due 6/01/2015 2,757,375
1,800,000 Wynn Las Vegas LLC, 6.625% due 12/01/2014 1,719,000
-------------
33,137,220
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 10.8% 1,200,000 Athena Neurosciences Finance LLC, 7.25% due 2/21/2008 1,191,000
3,825,000 DaVita, Inc., 7.25% due 3/15/2015 3,748,500
2,000,000 Elan Finance Plc, 9.405% due 11/15/2011 (d) 2,020,000
1,975,000 HCA, Inc., 5.50% due 12/01/2009 1,947,844
3,000,000 Healthsouth Corp., 11.418% due 6/15/2014 (d)(i) 3,082,500
2,175,000 Mylan Laboratories, Inc., 5.75% due 8/15/2010 2,115,187
2,125,000 Mylan Laboratories, Inc., 6.375% due 8/15/2015 (i) 2,047,969
1,725,000 Omnicare, Inc., 6.75% due 12/15/2013 1,656,000
1,400,000 Select Medical Corp., 7.625% due 2/01/2015 1,211,000
1,400,000 Select Medical Corp., 11.175% due 9/15/2015 (d) 1,288,000
1,000,000 Tenet Healthcare Corp., 9.875% due 7/01/2014 975,000
2,625,000 Triad Hospitals, Inc., 7% due 5/15/2012 2,579,063
3,000,000 U.S. Oncology, Inc., 9% due 8/15/2012 3,105,000
1,000,000 VWR International, Inc., 8% due 4/15/2014 990,000
2,000,000 Vanguard Health Holding Co. II, LLC, 9% due 10/01/2014 1,940,000
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$4,000,000 Ventas Realty, LP, 6.75% due 6/01/2010 $ 4,075,000
-------------
33,972,063
-----------------------------------------------------------------------------------------------------------------------------------
Housing - 5.0% 1,050,000 Building Materials Corp. of America, 8% due 10/15/2007 1,044,750
5,850,000 Building Materials Corp. of America, 8% due 12/01/2008 5,820,750
3,025,000 Forest City Enterprises, Inc., 7.625% due 6/01/2015 3,047,687
699,000 Goodman Global Holding Co., Inc., 8.329% due 6/15/2012 (d) 699,000
1,350,000 Goodman Global Holding Co., Inc., 7.875% due 12/15/2012 1,265,625
1,600,000 Ply Gem Industries, Inc., 9% due 2/15/2012 1,296,000
800,000 Standard-Pacific Corp., 9.25% due 4/15/2012 748,000
800,000 Technical Olympic USA, Inc., 8.25% due 4/01/2011 (i) 748,000
1,000,000 Texas Industries, Inc., 7.25% due 7/15/2013 1,000,000
-------------
15,669,812
-----------------------------------------------------------------------------------------------------------------------------------
Information 1,777,000 Cypress Semiconductor Corp., 1.25% due 6/15/2008 (b) 2,101,303
Technology - 4.6% 2,100,000 MagnaChip Semiconductor SA, 8.64% due 12/15/2011 (d) 1,795,500
175,000 MagnaChip Semiconductor SA, 8% due 12/15/2014 112,000
2,450,000 Sungard Data Systems, Inc., 9.125% due 8/15/2013 2,529,625
1,625,000 Sungard Data Systems, Inc., 9.973% due 8/15/2013 (d) 1,698,125
975,000 Sungard Data Systems, Inc., 10.25% due 8/15/2015 (i) 995,719
375,000 Telcordia Technologies, Inc., 10% due 3/15/2013 (i) 299,063
1,325,000 UGS Capital Corp. II, 10.38% due 6/01/2011 (g)(i) 1,334,938
1,400,000 UGS Corp., 10% due 6/01/2012 1,505,000
2,250,000 Viasystems, Inc., 10.50% due 1/15/2011 2,182,500
-------------
14,553,773
-----------------------------------------------------------------------------------------------------------------------------------
Leisure - 1.9% 1,525,000 Felcor Lodging LP, 8.50% due 6/01/2011 1,612,687
2,850,000 Felcor Lodging LP, 9.57% due 6/01/2011 (d) 2,921,250
1,500,000 Host Marriott LP, 6.75% due 6/01/2016 1,455,000
-------------
5,988,937
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 2.4% 2,175,000 CPI Holdco, Inc., 11.298% due 2/01/2015 (d)(i) 2,240,250
2,000,000 Chart Industries, Inc., 9.125% due 10/15/2015 (i) 2,080,000
835,000 Invensys Plc, 9.875% due 3/15/2011 (i) 901,800
2,400,000 Trimas Corp., 9.875% due 6/15/2012 2,274,000
-------------
7,496,050
-----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 2.0% 1,975,000 Foundation PA Coal Co., 7.25% due 8/01/2014 1,920,687
2,350,000 Indalex Holding Corp., 11.50% due 2/01/2014 (i) 2,491,000
1,975,000 Novelis, Inc., 8.25% due 2/15/2015 (i) 1,876,250
-------------
6,287,937
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 2.4% 2,200,000 Graham Packing Co., Inc., 9.875% due 10/15/2014 2,117,500
2,637,000 Owens-Brockway, 8.875% due 2/15/2009 2,709,517
1,000,000 Owens-Brockway, 8.25% due 5/15/2013 1,012,500
1,725,000 Packaging Dynamics Finance Corp., 10% due 5/01/2016 (i) 1,725,000
-------------
7,564,517
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 7.9% 2,000,000 Abitibi-Consolidated, Inc., 8.89% due 6/15/2011 (d) 1,970,000
1,975,000 Boise Cascade LLC, 8.382% due 10/15/2012 (d) 1,984,875
2,825,000 Bowater, Inc., 8.39% due 3/15/2010 (d) 2,853,250
3,200,000 Domtar, Inc., 7.125% due 8/15/2015 2,976,000
1,050,000 Graphic Packaging International Corp., 8.50% due 8/15/2011 1,065,750
1,825,000 Graphic Packaging International Corp., 9.50% due 8/15/2013 1,834,125
1,450,000 NewPage Corp., 11.739% due 5/01/2012 (d) 1,566,000
1,000,000 NewPage Corp., 12% due 5/01/2013 1,032,500
3,400,000 Norske Skog Canada Ltd. Series D, 8.625% due 6/15/2011 3,340,500
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$2,000,000 Rock-Tenn Co., 8.20% due 8/15/2011 $ 2,060,000
2,600,000 Smurfit Kappa Funding Plc, 9.625% due 10/01/2012 2,713,750
950,000 Verso Paper Holdings LLC, 9.125% due 8/01/2014 (i) 945,250
675,000 Verso Paper Holdings LLC, 11.375% due 8/01/2016 (i) 668,250
-------------
25,010,250
-----------------------------------------------------------------------------------------------------------------------------------
Retail - 1.6% 2,625,000 Jean Coutu Group, Inc., 8.50% due 8/01/2014 2,503,594
1,375,000 Neiman-Marcus Group, Inc., 9% due 10/15/2015 (g) 1,460,937
1,050,000 Neiman-Marcus Group, Inc., 10.375% due 10/15/2015 1,123,500
-------------
5,088,031
-----------------------------------------------------------------------------------------------------------------------------------
Service - 7.3% 2,000,000 Ashtead Capital, Inc., 9% due 8/15/2016 (i) 2,040,000
600,000 Avis Budget Car Rental LLC, 7.625% due 5/15/2014 (i) 570,000
2,800,000 Avis Budget Car Rental LLC, 7.905% due 5/15/2014 (d)(i) 2,737,000
3,000,000 Corrections Corp. of America, 7.50% due 5/01/2011 3,063,750
1,750,000 Dycom Industries, Inc., 8.125% due 10/15/2015 1,767,500
1,150,000 MSW Energy Holdings LLC, 8.50% due 9/01/2010 1,184,500
375,000 MSW Energy Holdings II LLC, 7.375% due 9/01/2010 376,875
2,000,000 Mac-Gray Corp., 7.625% due 8/15/2015 2,030,000
3,000,000 Service Corp. International, 8% due 6/15/2017 (i) 2,872,500
3,400,000 United Rentals North America, Inc., 7.75% due 11/15/2013 3,255,500
3,000,000 Waste Services, Inc., 9.50% due 4/15/2014 3,060,000
-------------
22,957,625
-----------------------------------------------------------------------------------------------------------------------------------
Steel - 1.1% 1,950,000 Chaparral Steel Co., 10% due 7/15/2013 2,154,750
1,200,000 Ucar Finance, Inc., 10.25% due 2/15/2012 1,260,000
-------------
3,414,750
-----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 5.1% 1,247,000 ADC Telecommunications, Inc., 1% due 6/15/2008 (b) 1,155,034
750,000 ADC Telecommunications, Inc., 5.795% due 6/15/2013 (b)(d) 705,938
2,025,000 Inmarsat Finance Plc, 7.625% due 6/30/2012 2,075,625
2,900,000 LCI International, Inc., 7.25% due 6/15/2007 2,900,000
2,400,000 Nordic Telephone Co. Holdings ApS, 8.875% due 5/01/2016 (i) 2,496,000
350,000 Qwest Communications International, Inc., 7.50% due 2/15/2014 346,938
1,550,000 Qwest Corp., 8.64% due 6/15/2013 (d) 1,668,188
525,000 Qwest Corp., 7.625% due 6/15/2015 538,781
850,000 Time Warner Telecom Holdings, Inc., 9.405% due 2/15/2011 (d) 867,000
3,000,000 Windstream Corp., 8.125% due 8/01/2013 (i) 3,165,000
-------------
15,918,504
-----------------------------------------------------------------------------------------------------------------------------------
Transportation - 1.2% 1,400,000 OMI Corp., 7.625% due 12/01/2013 1,400,000
2,325,000 Teekay Shipping Corp., 8.875% due 7/15/2011 2,441,250
-------------
3,841,250
-----------------------------------------------------------------------------------------------------------------------------------
Utility - 10.8% 4,458,000 The AES Corp., 9.375% due 9/15/2010 4,814,640
2,100,000 The AES Corp., 8.75% due 5/15/2013 (i) 2,254,875
1,327,000 Centerpoint Energy, Inc. Series B, 3.75% due 5/15/2023 (b) 1,710,171
3,000,000 Dynegy Holdings, Inc., 8.375% due 5/01/2016 (i) 2,955,000
2,606,000 ESI Tractebel Acquisition Corp. Series B, 7.99% due 12/30/2011 2,697,700
2,600,000 Edison Mission Energy, 7.50% due 6/15/2013 (i) 2,600,000
1,775,000 El Paso Performance-Linked Trust, 7.75% due 7/15/2011 (i) 1,808,281
2,600,000 Mirant North America LLC, 7.375% due 12/31/2013 2,574,000
1,625,000 NRG Energy, Inc., 7.25% due 2/01/2014 1,604,687
1,475,000 NRG Energy, Inc., 7.375% due 2/01/2016 1,452,875
390,000 Nevada Power Co., 9% due 8/15/2013 425,130
3,000,000 Reliant Energy, Inc., 9.50% due 7/15/2013 3,120,000
1,650,000 Sierra Pacific Power Co. Series A, 8% due 6/01/2008 1,704,971
1,200,000 Sierra Pacific Resources, 8.625% due 3/15/2014 1,289,891
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 925,000 Southern Natural Gas Co., 8.875% due 3/15/2010 $ 970,368
2,101,056 Tenaska Alabama Partners LP, 7% due 6/30/2021 (i) 2,017,777
-------------
34,000,366
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 1,650,000 Centennial Cellular Operating Co. LLC, 10.125% due 6/15/2013 1,740,750
Communications - 4.0% 1,200,000 Dobson Communications Corp., 9.757% due 10/15/2012 (d) 1,215,000
2,400,000 IWO Holdings, Inc., 9.257% due 1/15/2012 (d) 2,478,000
950,000 Rogers Wireless Communications, Inc., 8.515% due
12/15/2010 (d) 974,938
250,000 Rogers Wireless Communications, Inc., 8% due 12/15/2012 261,250
3,400,000 Rogers Wireless Communications, Inc., 6.375% due 3/01/2014 3,332,000
2,000,000 Rural Cellular Corp., 8.25% due 3/15/2012 2,050,000
600,000 Rural Cellular Corp., 8.25% due 3/15/2012 (i) 615,000
-------------
12,666,938
-----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds
(Cost - $419,781,581) - 134.0% 421,579,291
-----------------------------------------------------------------------------------------------------------------------------------
Floating Rate Loan Interests (l)
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 1.5% 4,850,000 Century Cable Holdings LLC, Discretionary Term Loan, 10.25%
due 12/31/2009 4,701,469
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.9% 2,830,000 Wellman, Inc. Second Lien Term Loan, 12.239% due 2/10/2010 2,766,325
-----------------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests
(Cost - $7,403,715) - 2.4% 7,467,794
-----------------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations
-----------------------------------------------------------------------------------------------------------------------------------
3,000,000 Brazilian Government International Bond, 11% due 8/17/2040 3,919,500
-----------------------------------------------------------------------------------------------------------------------------------
Total Foreign Government Obligations
(Cost - $3,797,518) - 1.3% 3,919,500
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Shares
Held Common Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.6% 77,968 Loral Space & Communications Ltd. (c) 2,003,778
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.5% 70,784 Medis Technologies Ltd. (c) 1,417,804
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 0.0% 19 Pliant Corp. 0
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.1% 203,785 Western Forest Products, Inc. (c) 302,992
-----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $6,156,866) - 1.2% 3,724,574
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Securities
-----------------------------------------------------------------------------------------------------------------------------------
Face
Amount Capital Trusts Value
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 1.2% $3,750,000 Fresenius Medical Care Capital Trust II, 7.875% due 2/01/2008 3,825,000
-----------------------------------------------------------------------------------------------------------------------------------
Total Capital Trusts (Cost - $3,704,992) - 1.2% 3,825,000
-----------------------------------------------------------------------------------------------------------------------------------
Shares
Held Preferred Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.4% 6,047 Loral Spacecom Corp. Series A, 12% (g) 1,194,283
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $1,194,090) - 0.4% 1,194,283
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Securities (Cost - $4,899,082) - 1.6% 5,019,283
-----------------------------------------------------------------------------------------------------------------------------------
Warrants (h)
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 0.0% 32,042 HealthSouth Corp. (expires 1/16/2014) 56,074
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.0% 700 MDP Acquisitions Plc (expires 10/01/2013) 14,000
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 825 American Tower Corp. (expires 8/01/2008) 416,072
Communications - 0.1%
-----------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $53,675) - 0.1% 486,146
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
Beneficial
Interest Short-Term Securities Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 89,751 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I,
5.11% (f)(j) $ 89,751
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost - $89,751) - 0.0% 89,751
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $442,182,188*) - 140.6% 442,286,339
Liabilities in Excess of Other Assets - (40.6%) (127,723,260)
-------------
Net Assets - 100.0% $ 314,563,079
=============
* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2006, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 442,855,712
=============
Gross unrealized appreciation $ 10,045,160
Gross unrealized depreciation (10,614,533)
-------------
Net unrealized depreciation $ (569,373)
=============
(a) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(b) Convertible security.
(c) Non-income producing security.
(d) Floating rate security.
(e) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(f) Represents the current yield as of August 31, 2006.
(g) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(h) Warrants entitle the Fund to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(i) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(j) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
--------------------------------------------------------------------------
Net Interest
Affiliate Activity Income
--------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I $ (67,367) $ 8,144
--------------------------------------------------------------------------
(k) As a result of bankruptcy proceedings, the company did not repay the
principal amount of the security upon maturity.
(l) Floating rate loan interests in which the Fund invests generally pay
interest at rates that are periodically redetermined by reference to a
base lending rate plus a premium. The base lending rates are generally (i)
the lending rate offered by one or more major European banks, such as
LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one
or more major U.S. banks or (iii) the certificate of deposit rate.
o For Fund compliance purposes, the Fund's industry classifications refer to
any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes of
this report which may combine industry sub-classifications for reporting
ease. Industries are shown as percent of net assets.
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of August 31, 2006 (in U.S. dollars)
o Swaps outstanding as of August 31, 2006 were as follows:
--------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
--------------------------------------------------------------------------------------------
Sold credit default protection on General Motors
Acceptance Corp. and receive 3.50%
Broker, JPMorgan Chase
Expires March 2007 $ 800,000 $ 11,341
Sold credit default protection on General Motors
Acceptance Corp. and receive 4.50%
Broker, Morgan Stanley Capital Group, Inc.
Expires March 2007 $ 800,000 15,706
Sold credit default protection on General Motors Corp.
and receive 4.40%
Broker, Morgan Stanley Capital Services, Inc.
Expires June 2007 $ 400,000 6,423
Sold credit default protection on General Motors Corp.
and receive 8.00%
Broker, Morgan Stanley Capital Services, Inc.
Expires June 2007 $ 400,000 17,688
Sold credit default protection on Dow Jones CDX North
American High Yield 100 Index Series 6 and receive 3.45%
Broker, UBS Warburg
Expires June 2011 $1,000,000 (1,814)
Sold credit default protection on Dow Jones CDX North
American High Yield 100 Index Series 6 and receive 3.45%
Broker, UBS Warburg
Expires June 2011 $2,950,000 (8,756)
Sold credit default protection on Dow Jones CDX North
American High Yield B Index Series 6 and receive 3.00%
Broker, UBS Warburg
Expires June 2011 $2,950,000 11,265
--------------------------------------------------------------------------------------------
Total $ 51,853
==========
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
2(b) - There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the last fiscal quarter of the period
covered by this report that has materially affected, or is 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/ Robert C. Doll, Jr.
--------------------------------
Robert C. Doll, Jr.
Chief Executive Officer
BlackRock Corporate High Yield Fund III, Inc.
Date: October 19, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Robert C. Doll, Jr.
--------------------------------
Robert C. Doll, Jr.
Chief Executive Officer
BlackRock Corporate High Yield Fund III, Inc.
Date: October 19, 2006
By: /s/ Donald C. Burke
--------------------------------
Donald C. Burke
Chief Financial Officer
BlackRock Corporate High Yield Fund III, Inc.
Date: October 19, 2006