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 811-7456
Name of Fund: Senior High Income Portfolio, 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, Senior High Income Portfolio, 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: 02/28/2007
Date of reporting period: 03/01/06 - 05/31/06
Item 1 - Schedule of Investments
Senior High Income Portfolio, Inc.
Schedule of Investments as of May 31, 2006 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
Aerospace & Defense - 1.2% $ 4,510,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 $ 4,239,400
Automotive - 4.9% 5,550,000 Advanced Accessory Systems LLC, 10.75%
due 6/15/2011 5,605,500
1,300,000 Cooper-Standard Automotive, Inc., 8.375%
due 12/15/2014 1,077,368
1,350,000 Delco Remy International, Inc., 9.068%
due 4/15/2009 (f) 1,317,937
2,425,000 Exide Technologies, 10.50% due 3/15/2013 (j) 2,103,687
5,000,000 General Motors Acceptance Corp., 5.968%
due 1/16/2007 (f) 4,951,420
1,175,000 Metaldyne Corp., 11% due 6/15/2012 1,010,500
475,000 Tenneco Automotive, Inc. Series B, 10.25%
due 7/15/2013 522,500
700,000 Venture Holdings Co. LLC, 12% due 6/01/2009 (c) 0
3,325,000 Venture Holdings Co. LLC Series B, 9.50%
due 7/01/2005 (b) 4,156
---------------
16,593,068
Broadcasting - 1.3% 500,000 LIN Television Corp. Series B, 6.50% due 5/15/2013 463,750
1,325,000 Paxson Communications Corp., 8.318%
due 1/15/2012 (f)(j) 1,351,500
2,625,000 Paxson Communications Corp., 11.318%
due 1/15/2013 (f)(j) 2,654,531
---------------
4,469,781
Cable - International - 1.3% 350,000 NTL Cable Plc, 8.75% due 4/15/2014 351,750
1,550,000 New Skies Satellites NV, 10.414% due 11/01/2011 (f) 1,600,375
2,450,000 New Skies Satellites NV, 9.125% due 11/01/2012 2,621,500
---------------
4,573,625
Cable - U.S. - 8.4% 1,800,000 CSC Holdings, Inc., 7.25% due 7/15/2008 1,813,500
2,275,000 Cablevision Systems Corp. Series B, 9.62%
due 4/01/2009 (f) 2,417,187
1,750,000 Charter Communications Holdings LLC, 10%
due 4/01/2009 1,347,500
1,000,000 Charter Communications Holdings LLC, 11.75%
due 1/15/2010 665,000
2,000,000 Charter Communications Holdings LLC, 11.125%
due 1/15/2011 1,260,000
550,000 Charter Communications Holdings LLC, 9.92%
due 4/01/2011 330,000
1,000,000 Charter Communications Holdings LLC, 10%
due 5/15/2011 600,000
5,000,000 EchoStar DBS Corp., 8.24% due 10/01/2008 (f) 5,081,250
1,925,000 Intelsat Subsidiary Holding Co. Ltd., 9.614%
due 1/15/2012 (f) 1,951,469
1,675,000 Intelsat Subsidiary Holding Co. Ltd., 8.25%
due 1/15/2013 1,681,281
2,400,000 Intelsat Subsidiary Holding Co. Ltd., 8.625%
due 1/15/2015 2,430,000
1,400,000 Mediacom Broadband LLC, 11% due 7/15/2013 1,477,000
1,875,000 Mediacom LLC, 9.50% due 1/15/2013 1,884,375
5,250,000 Rainbow National Services LLC, 8.75%
due 9/01/2012 (j) 5,565,000
---------------
28,503,562
Chemicals - 8.5% 1,350,000 ArCo Chemical Co., 9.80% due 2/01/2020 1,620,000
2,250,000 Compass Minerals International, Inc. Series B, 12% due
6/01/2013 (g) 2,070,000
4,382,000 GEO Specialty Chemicals, Inc., 13.50%
due 12/31/2009 (i) 3,812,340
1,000,000 Huntsman International, LLC, 9.875% due 3/01/2009 1,042,500
1,219,000 Huntsman International, LLC, 10.125% due 7/01/2009 1,240,333
1,708,000 Koppers, Inc., 9.875% due 10/15/2013 1,878,800
1,650,000 Lyondell Chemical Co., 11.125% due 7/15/2012 1,815,000
1,200,000 Millennium America, Inc., 7.625% due 11/15/2026 1,035,000
6,000,000 Nova Chemicals Corp., 8.405% due 11/15/2013 (f) 6,045,000
5,350,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 5,711,125
1,000,000 PolyOne Corp., 6.89% due 9/22/2008 950,000
1,322,000 Rockwood Specialties Group, Inc., 10.625%
due 5/15/2011 1,427,760
250,000 Rockwood Specialties Group, Inc., 7.50%
due 11/15/2014 248,750
---------------
28,896,608
Consumer - Durables - 1.3% 4,450,000 Simmons Bedding Co., 7.875% due 1/15/2014 4,327,625
Consumer - Non-Durables - 2.8% 4,725,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 4,536,000
2,125,000 North Atlantic Trading Co., 9.25% due 3/01/2012 1,710,625
3,525,000 Quiksilver, Inc., 6.875% due 4/15/2015 3,331,125
---------------
9,577,750
Diversified Media - 1.1% 1,000,000 AMC Entertainment, Inc., 11% due 2/01/2016 (j) 1,080,000
175,000 Universal City Florida Holding Co. I, 8.375%
due 5/01/2010 178,500
2,450,000 Universal City Florida Holding Co. I, 9.899%
due 5/01/2010 (f) 2,529,625
---------------
3,788,125
Energy - Exploration 1,500,000 Chaparral Energy, Inc., 8.50% due 12/01/2015 (j) 1,518,750
& Production - 2.2% 3,000,000 Compton Petroleum Finance Corp., 7.625%
due 12/01/2013 2,925,000
3,000,000 Tronox Worldwide LLC, 9.50% due 12/01/2012 (j) 3,112,500
---------------
7,556,250
Energy - Other - 3.7% 1,000,000 Dresser, Inc., 9.375% due 4/15/2011 1,035,000
974,000 Dresser-Rand Group, Inc., 7.375% due 11/01/2014 978,870
5,000,000 Ocean RIG ASA, 8.99% due 4/04/2011 4,975,000
3,325,000 SemGroup LP, 8.75% due 11/15/2015 (j) 3,374,875
2,000,000 VeraSun Energy Corp., 9.875% due 12/15/2012 (j) 2,150,000
---------------
12,513,745
Financial - 1.5% 4,000,000 Highland Legacy Ltd CLO, 9.943% due 6/01/2011 (f) 3,976,800
500,000 Investcorp SA, 7.54% due 10/21/2008 507,244
1,000,000 Pennant CBO Ltd., 13.43% due 3/14/2011 680,000
---------------
5,164,044
Food & Drug - 0.2% 500,000 Stripes Acquisition LLC, 10.625% due 12/15/2013 (j) 542,500
Gaming - 5.8% 5,925,000 CCM Merger, Inc., 8% due 8/01/2013 (j) 5,688,000
5,450,000 Galaxy Entertainment Finance Co. Ltd., 10.42%
due 12/15/2010 (f)(j) 5,695,250
550,000 Galaxy Entertainment Finance Co. Ltd., 9.875%
due 12/15/2012 (j) 574,750
2,000,000 Inn of the Mountain Gods Resort & Casino, 12%
due 11/15/2010 2,140,000
2,000,000 Jacobs Entertainment, Inc., 11.875% due 2/01/2009 2,122,500
1,550,000 Little Traverse Bay Bands of Odawa Indians, 10.25% due
2/15/2014 (j) 1,534,500
300,000 Penn National Gaming, Inc., 6.75% due 3/01/2015 286,875
1,500,000 Tunica-Biloxi Gaming Authority, 9% due 11/15/2015 (j) 1,558,125
---------------
19,600,000
Health Care - 2.6% 1,875,000 CDRV Investors, Inc., 9.75% due 1/01/2015 (g) 1,350,000
1,650,000 Elan Finance Plc, 7.75% due 11/15/2011 1,608,750
2,325,000 Elan Finance Plc, 9.17% due 11/15/2011 (f) 2,354,062
3,000,000 Tenet Healthcare Corp., 7.375% due 2/01/2013 2,775,000
700,000 VWR International, Inc., 8% due 4/15/2014 703,500
---------------
8,791,312
Housing - 3.0% 500,000 Compression Polymers Corp., 10.50% due 7/01/2013 (j) 520,000
2,555,000 Goodman Global Holding Co., Inc., 8.329%
due 6/15/2012 (f) 2,586,937
4,750,000 Goodman Global Holding Co., Inc., 7.875%
due 12/15/2012 4,655,000
2,500,000 Technical Olympic USA, Inc., 8.25% due 4/01/2011 (j) 2,443,750
---------------
10,205,687
Information Technology - 4.8% 3,800,000 Amkor Technology, Inc., 9.25% due 2/15/2008 3,990,000
2,450,000 Freescale Semiconductor, Inc., 7.818%
due 7/15/2009 (f) 2,499,000
1,375,000 MagnaChip Semiconductor SA, 8.579%
due 12/15/2011 (f) 1,364,688
5,250,000 Sungard Data Systems, Inc., 9.125% due 8/15/2013 (j) 5,505,938
1,750,000 Sungard Data Systems, Inc., 9.431%
due 8/15/2013 (f)(j) 1,841,875
1,075,000 Telcordia Technologies Inc., 10% due 3/15/2013 (j) 1,013,188
---------------
16,214,689
Leisure - 1.4% 3,000,000 Felcor Lodging LP, 9.57% due 6/01/2011 (f) 3,093,750
2,000,000 True Temper Sports, Inc., 8.375% due 9/15/2011 1,870,000
---------------
4,963,750
Manufacturing - 3.0% 1,750,000 Columbus McKinnon Corp., 8.875% due 11/01/2013 1,798,125
3,000,000 Communications & Power Industries, Inc., 8%
due 2/01/2012 3,120,000
2,250,000 EaglePicher Inc., 9.75% due 9/01/2013 (c) 1,490,625
2,825,000 Invensys Plc, 9.875% due 3/15/2011 (j) 3,065,125
750,000 Propex Fabrics, Inc., 10% due 12/01/2012 705,000
---------------
10,178,875
Metal - Other - 3.3% 500,000 Aleris International, Inc., 9% due 11/15/2014 518,750
2,950,000 Indalex Holding Corp., 11.50% due 2/01/2014 (j) 3,097,500
5,000,000 James River Coal Co., 9.375% due 6/01/2012 5,162,500
2,225,000 RathGibson, Inc., 11.25% due 2/15/2014 (j) 2,386,313
---------------
11,165,063
Packaging - 1.1% 2,000,000 Packaging Dynamics Finance Corp., 10%
due 5/01/2016 (j) 2,015,000
2,000,000 Wise Metals Group LLC, 10.25% due 5/15/2012 1,675,000
---------------
3,690,000
Paper - 9.7% 3,275,000 Abitibi-Consolidated, Inc., 8.829% due 6/15/2011 (f) 3,283,187
4,975,000 Ainsworth Lumber Co. Ltd., 8.71% due 10/01/2010 (f) 4,975,000
2,500,000 Ainsworth Lumber Co. Ltd., 9.068% due 4/01/2013 (f)(j) 2,481,250
1,100,000 Boise Cascade LLC, 7.943% due 10/15/2012 (f) 1,105,500
350,000 Boise Cascade LLC, 7.125% due 10/15/2014 316,750
7,475,000 Bowater, Inc., 8.329% due 3/15/2010 (f) 7,549,750
1,775,000 Domtar, Inc., 7.125% due 8/15/2015 1,544,250
625,000 Graphic Packaging International Corp., 9.50%
due 8/15/2013 628,125
5,150,000 JSG Funding Plc, 7.75% due 4/01/2015 4,712,250
5,175,000 NewPage Corp., 11.399% due 5/01/2012 (f) 5,627,813
800,000 Smurfit-Stone Container Enterprises, Inc., 8.375%
due 7/01/2012 756,000
---------------
32,979,875
Retail - 1.3% 2,250,000 Neiman-Marcus Group, Inc., 9% due 10/15/2015 (j) 2,342,813
2,000,000 Neiman-Marcus Group, Inc., 10.375% due 10/15/2015 (j) 2,105,000
---------------
4,447,813
Service - 5.0% 2,700,000 Ahern Rentals, Inc., 9.25% due 8/15/2013 2,774,250
250,000 Avis Budget Car Rental LLC, 7.576%
due 5/15/2014 (f)(j) 253,750
4,000,000 HydroChem Industrial Services, Inc., 9.25%
due 2/15/2013 (j) 3,980,000
2,325,000 MSW Energy Holdings LLC, 8.50% due 9/01/2010 2,412,188
2,000,000 Neff Rental LLC, 11.25% due 6/15/2012 (j) 2,210,000
5,450,000 United Rentals North America, Inc., 7.75%
due 11/15/2013 5,341,000
---------------
16,971,188
Telecommunications - 4.2% 2,045,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 2,065,450
1,200,000 Nordic Telephone Co. Holdings ApS, 8.875%
due 5/01/2016 (j) 1,239,000
4,000,000 Qwest Communications International, Inc., 8.67%
due 2/15/2009 (f) 4,070,000
1,025,000 Qwest Corp., 8.579% due 6/15/2013 (f) 1,105,719
3,500,000 Time Warner Telecom Holdings, Inc., 9.17%
due 2/15/2011 (f) 3,552,500
2,000,000 Time Warner Telecom Holdings, Inc., 9.25%
due 2/15/2014 2,132,500
---------------
14,165,169
Transportation - 0.5% 1,500,000 Progress Rail Services Corp., 7.75% due 4/01/2012 (j) 1,650,000
Utility - 0.7% 1,600,000 Dynegy Holdings, Inc., 8.375% due 5/01/2016 (j) 1,592,000
725,000 Williams Cos., Inc., 8.625% due 6/01/2010 764,875
---------------
2,356,875
Wireless Communications - 1.0% 1,550,000 Digicel Ltd., 9.25% due 9/01/2012 (j) 1,627,500
1,000,000 Rural Cellular Corp., 9.41% due 3/15/2010 (f) 1,020,000
800,000 US Unwired, Inc., 9.579% due 6/15/2010 (f) 820,000
---------------
3,467,500
Total Corporate Bonds
(Cost - $295,261,544) - 85.8% 291,593,879
Floating Rate Loan Interests (a)
Aerospace & Defense - 1.5% 5,092,593 Standard Aero Holdings Term Loan, 6.96% - 7.35%
due 8/24/2012 5,092,593
Airlines - 0.1% 500,000 Delta Air Lines Term Loan B, 10.023% due 3/16/2008 507,902
Automotive - 1.8% 1,851,852 Intermet Corp. First Lien Term Loan, 9.87%
due 11/08/2010 1,722,222
648,148 Intermet Corp. Letter of Credit, 8.49% due 11/08/2010 599,537
1,852,550 Metaldyne Corp. Term Loan D, 9.50% due 12/31/2009 1,889,890
270,000 Metaldyne Term Loan D, 9.50% due 12/31/2009 274,219
1,092,618 Tenneco Automotive, Inc. Term Loan B, 7.19%
due 12/12/2010 1,102,042
479,968 Tenneco Automotive, Inc. Tranche B-1 Credit Linked
Deposit, 7.052% due 12/12/2010 484,107
---------------
6,072,017
Cable - U.S. - 9.0% 5,000,000 Adelphia Communications Corp. Term Loan B, 10% due
6/30/2009 4,872,915
2,155,172 Cebridge Connections Term Loan B, 7.319%
due 11/05/2013 2,146,513
3,000,000 Century Cable Holdings LLC, Discretionary Term Loan,
10% due 12/31/2009 2,920,140
8,000,000 Charter Communications, Inc. Term Loan B, 7.755% due
4/28/2013 8,046,768
3,910,000 Insight Midwest Holdings LLC Term Loan C, 7%
due 12/31/2009 3,933,992
1,997,647 Mediacom Communications Term Loan D, 6.809% - 7.002%
due 1/31/2015 1,997,647
2,567,500 Mediacom LLC Term Loan C, 6.809% - 7.002%
due 1/31/2015 2,567,500
4,000,000 Olympus Cable Holdings LLC Term Loan B, 10%
due 9/30/2010 3,904,284
---------------
30,389,759
Chemicals - 4.9% 2,679,750 CII Carbon Term Loan B, 7.125% due 8/23/2012 2,711,572
2,576,351 Celanese Holdings LLC Term Loan B, 6.98%
due 4/06/2011 2,591,487
1,577,265 Huntsman ICI Holdings Term Loan B, 6.831%
due 8/16/2012 1,579,854
1,592,000 Rockwood Specialties Group, Inc. Tranche D Term Loan,
6.466% due 12/10/2012 1,605,059
8,000,000 Wellman, Inc. First Lien Term Loan, 9.149%
due 2/10/2009 8,086,248
---------------
16,574,220
Consumer - Non-Durables - 2.3% 4,640,278 American Safety Razor Co. Tranche B Term Loan, 7.97%
due 2/28/2012 4,675,080
1,485,000 Culligan International Co. Term Loan, 7.081%
due 9/30/2011 1,493,353
1,466,250 Solo Cup Co. Term Loan, 7.479% - 7.61% due 2/27/2011 1,479,844
---------------
7,648,277
Energy - Exploration & 500,000 MEG Energy Corp. Term Loan B, 7% due 4/03/2013 503,705
Production - 0.1%
Energy - Other - 2.7% 2,985,000 Cheniere Energy, Inc. Term Loan B, 7.729%
due 8/31/2012 3,013,919
236,197 Dresser, Inc. Term Loan C, 7.60% due 4/10/2009 239,740
1,250,000 Dresser, Inc. Term Loan Unsecured, 8.65%
due 2/25/2010 1,278,125
2,493,750 Key Energy Services, Inc. Term Loan B, 8.25% - 8.40%
due 6/30/2012 2,514,792
2,000,000 Scorpion Drilling Ltd. Second Lien Term Loan, 12.581%
due 5/05/2015 2,080,000
---------------
9,126,576
Financial - 1.3% 2,000,000 JG Wentworth Manufacturing Term Loan, 8.545%
due 4/12/2011 2,026,250
2,250,000 JG Wentworth Manufacturing Term Loan, 8.545%
due 4/14/2011 2,279,531
---------------
4,305,781
Food & Tobacco - 3.0% 750,000 Bolthouse Farms, Inc. Second Lien Term Loan, 10.37%
due 12/01/2013 766,875
1,906,667 Commonwealth Brands Term Loan, 7.438%
due 12/22/2012 1,920,728
465,116 Dole Food Co., Inc. Letter of Credit, 4.92%
due 4/12/2013 462,754
1,046,512 Dole Food Co., Inc. Term Loan B, 6.688% - 8.75%
due 4/12/2013 1,041,197
3,488,372 Dole Food Co., Inc. Term Loan C, 6.875% - 8.75%
due 4/04/2013 3,470,658
1,426,667 Pierre Foods, Inc. Term Loan B, 6.93% due 6/30/2010 1,436,922
1,000,000 QCE LLC First Lien Term Loan, 7.31% due 5/05/2013 1,001,458
---------------
10,100,592
Gaming - 1.5% 4,987,621 Resorts International First Lien Term Loan, 7.98%
due 4/26/2012 5,049,966
Health Care - 1.0% 3,359,633 VWR International, Inc. Tranche B Term Loan,
7.34% due 4/07/2011 3,390,431
Housing - 2.6% 2,336,169 Headwaters, Inc. Term Loan B-1, 7.08% due 4/30/2011 2,350,770
1,100,559 LIONS Gables Realty Term Loan B, 6.82% - 6.86%
due 9/30/2006 1,103,425
1,438,073 LNR Property Corp. Tranche B Term Loan,
7.85% - 8.08% due 2/03/2008 1,441,220
4,000,000 Stile U.S. Acquisition Corp. Bridge Loan, 11.362%
due 4/06/2015 3,955,000
---------------
8,850,415
Information Technology - 1.5% 1,760,000 Activant Solutions Term Loan B, 7.188% due 5/02/2013 1,766,051
1,755,000 Fidelity National Information Solutions, Inc. Term Loan B,
6.83% due 3/09/2013 1,759,798
1,670,625 Telcordia Technologies, Inc. Term Loan, 7.31%
due 9/15/2012 1,668,884
---------------
5,194,733
Manufacturing - 1.4% 1,390,844 Invensys International Holdings Ltd. First Lien Term Loan,
8.501% due 9/04/2009 1,397,798
3,465,000 Metokote Corp. Second Lien Term Loan, 8.31% - 8.42%
due 11/27/2011 3,501,816
---------------
4,899,614
Metal - Other - 1.4% 994,737 Euramax International Plc Second Lien Term Loan,
11.544% due 6/29/2013 1,009,658
1,700,843 Euramax International Plc Tranche 3 Term Loan B,
7.25% due 6/29/2012 1,716,789
2,005,263 Euramax International Plc Tranche 4 Second Lien Term Loan,
12% due 6/29/2013 2,035,342
---------------
4,761,789
Packaging - 2.3% 2,142,857 Anchor Glass Container Corp. Term Loan B, 7.309%
due 5/03/2013 2,148,214
2,000,000 Graham Packaging Co. LP Second Lien Term Loan,
9.25% due 4/07/2012 2,040,834
3,534,686 Owens-Illinois Group, Inc. Tranche Term Loan C, 6.85%
due 4/01/2008 3,536,895
---------------
7,725,943
Paper - 0.7% 2,500,000 Georgia Pacific Corp. Second Lien Term Loan C, 7.88% - 8.081%
due 2/14/2014 2,535,698
Retail - 0.1% 302,916 General Nutrition Centers, Inc. Tranche B Term Loan,
7.85% - 7.97% due 12/05/2009 305,377
Service - 2.8% 992,832 Allied Waste North America, Inc. Term Loan, 6.73% - 6.97%
due 1/15/2012 993,970
385,956 Allied Waste North America, Inc. Tranche A Credit Linked
Deposit, 6.38% due 1/15/2012 386,307
1,633,333 United Rentals, Inc. Term Loan, 7.10% due 2/14/2011 1,644,393
333,333 United Rentals, Inc. Tranche B Credit Linked Deposit,
6.64% due 2/14/2011 335,590
2,160,000 Waste Services, Inc. Term Loan B, 8.29% - 8.34%
due 3/31/2011 2,184,300
3,930,000 Waste Services, Inc. Term Loan B, 8.33% - 10.25%
due 3/31/2011 3,981,581
---------------
9,526,141
Telecommunications - 0.7% 1,702,542 Winstar Communications Debtor in Possession, 6.366%
due 12/31/2006 (c) 2,508,411
Utility - 1.5% 1,500,000 Calpine Corp. Delay Draw Term Loan, 8.979%
due 12/20/2007 1,538,749
1,700,000 Covanta Energy Corp. Second Lien Term Loan, 10.46% - 10.581%
due 6/24/2013 1,738,250
750,000 El Paso Corp. Deposit Account, 4.29% due 11/23/2009 755,052
970,000 El Paso Corp. Term Loan, 7.75% due 11/23/2009 976,938
---------------
5,008,989
Wireless Communications - 0.8% 2,750,000 Centennial Cellular Operating Co. Term Loan,
6.45% - 7.57% due 2/09/2011 2,770,666
Total Floating Rate Loan Interests
(Cost - $149,810,946) - 45.0% 152,849,595
Shares
Held Common Stocks
Chemicals - 0.1% 142,466 GEO Specialty Chemicals, Inc. (e) 284,932
Leisure - 0.1% 41,866 Lodgian, Inc. (e) 481,878
Total Common Stocks
(Cost - $2,818,936) - 0.2% 766,810
Preferred Stocks
Cable - U.S. - 0.0% 2,500 Adelphia Communications Corp. Series B, 13% (e) 625
Total Preferred Stocks
(Cost - $225,000) - 0.0% 625
Warrants (h)
Paper - 0.0% 3,500 MDP Acquisitions Plc (expires 10/01/2013) 35,000
Wireless Communications - 0.1% 600 American Tower Corp. (expires 8/01/2008) 261,581
Total Warrants
(Cost - $39,036) - 0.1% 296,581
Beneficial
Interest Other Interests (d)
Automotive - 0.0% $ 4,130,972 Cambridge Industries, Inc. (Litigation Trust
Certificates) 0
Health Care - 0.0% 10,284 MEDIQ Inc. (Preferred Stock Escrow due 2/01/2006) 0
Total Other Interests
(Cost - $0) - 0.0% 0
Short-Term Securities
$ 563,379 Merrill Lynch Liquidity Series, LLC Cash Sweep
Series I, 4.85% (k)(l) 563,379
Total Short-Term Securities
(Cost - $563,379) - 0.2% 563,379
Total Investments (Cost - $448,718,841*) - 131.3% 446,070,869
Liabilities in Excess of Other Assets - (31.3%) (106,323,987)
---------------
Net Assets - 100.0% $ 339,746,882
===============
* The cost and unrealized appreciation (depreciation) of investments
as of May 31, 2006, as computed for federal income tax purposes,
were as follows:
Aggregate cost $ 448,388,503
================
Gross unrealized appreciation $ 11,432,831
Gross unrealized depreciation (13,750,465)
----------------
Net unrealized depreciation $ (2,317,634)
================
(a) Floating rate loan interests 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.
(b) As a result of bankruptcy proceedings, the company did not repay the
principal amount of the security upon maturity and is non-income producing.
(c) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(d) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(e) Non-income producing security.
(f) Floating rate note.
(g) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(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) Convertible security.
(j) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(k) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940,
were as follows:
Net Interest
Affiliate Activity Income
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I $ 563,379 $ 11,415
(l) Represents the current yield as of 5/31/2006.
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 a percent of net assets.
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.
Senior High Income Portfolio, Inc.
By: /s/ Robert C. Doll, Jr.
-----------------------
Robert C. Doll, Jr.
Chief Executive Officer
Senior High Income Portfolio, Inc.
Date: July 21, 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
Senior High Income Portfolio, Inc.
Date: July 21, 2006
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Financial Officer
Senior High Income Portfolio, Inc.
Date: July 21, 2006