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: 11/30/2010

 

Item 1 – Schedule of Investments

 

 

 

 

Schedule of Investments November 30, 2010 (Unaudited)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Automobiles — 0.1%

 

 

 

 

 

 

 

General Motors Co. (a)

 

 

11,370

 

$

388,854

 

Building Products — 0.1%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

5,365

 

 

198,505

 

Nortek, Inc. (a)

 

 

2,145

 

 

87,945

 

 

 

 

 

 

 

 

 

 

 

 

286,450

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

29,600

 

 

436,600

 

Chemicals — 0.1%

 

 

 

 

 

 

 

LyondellBasell Industries NV,
Class B (a)

 

 

4,885

 

 

142,642

 

Wellman Holdings, Inc. (a)

 

 

1,522

 

 

76

 

 

 

 

 

 

 

 

 

 

 

 

142,718

 

Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

Air Lease Corp. (a)(b)

 

 

12,900

 

 

264,450

 

Communications Equipment — 0.6%

 

 

 

 

 

 

 

Loral Space & Communications
Ltd. (a)

 

 

20,518

 

 

1,499,456

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

Bank of America Corp.

 

 

57,000

 

 

624,150

 

Citigroup, Inc. (a)

 

 

1

 

 

4

 

 

 

 

 

 

 

 

 

 

 

 

624,154

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

70,784

 

 

1,416

 

Food Products — 0.1%

 

 

 

 

 

 

 

Zhongpin, Inc. (a)

 

 

7,156

 

 

136,751

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings,
Inc. (a)

 

 

1,099

 

 

4,011

 

Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc. (a)

 

 

94,500

 

 

393,120

 

Machinery — 0.0%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

2,271

 

 

26,342

 

Media — 0.5%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

16,555

 

 

554,924

 

Gray Television, Inc. (a)

 

 

162,000

 

 

322,380

 

Sinclair Broadcast Group, Inc.,
Class A (a)

 

 

50,000

 

 

387,500

 

 

 

 

 

 

 

 

 

 

 

 

1,264,804

 

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

122,117

 

$

299,776

 

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

 

 

140,415

 

 

344,694

 

Western Forest Products, Inc. (a)

 

 

158,023

 

 

78,507

 

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

 

 

45,762

 

 

22,735

 

 

 

 

 

 

 

 

 

 

 

 

745,712

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group,
Inc. (a)

 

 

10,500

 

 

482,160

 

Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

45,165

 

 

892,912

 

SunPower Corp., Class B (a)

 

 

778

 

 

8,928

 

 

 

 

 

 

 

 

 

 

 

 

901,840

 

Software — 0.2%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc. (a)

 

 

501

 

 

250

 

HMH Holdings/EduMedia (a)

 

 

91,749

 

 

458,743

 

TiVo, Inc. (a)

 

 

20,295

 

 

166,825

 

 

 

 

 

 

 

 

 

 

 

 

625,818

 

Wireless Telecommunication
Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

76,542

 

 

333,723

 

Total Common Stocks – 3.2%

 

 

 

 

 

8,558,379

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

DynCorp International, Inc.,
10.38%, 7/01/17 (b)

 

USD

230

 

 

233,450

 

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

 

 

540

 

 

602,775

 

 

 

 

 

 

 

 

 

 

 

 

836,225

 

Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

748

 

 

748,079

 

Series 2, 12.38%, 10/08/15

 

 

748

 

 

748,079

 

 

 

 

 

 

 

 

 

 

 

 

1,496,158

 

Airlines — 3.0%

 

 

 

 

 

 

 

Air Canada, 9.25%, 8/01/15 (b)

 

 

1,060

 

 

1,107,700

 

 

Portfolio Abbreviations

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:

 

 

CAD

Canadian Dollar

ETN

Exchange Traded Notes

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

MTN

Medium Term Notes

USD

US Dollar

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

1

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Airlines (concluded)

 

 

 

 

 

 

 

American Airlines Pass-Through
Trust, Series 2001-02, 7.86%,
4/01/13

 

USD

400

 

$

419,000

 

American Airlines, Inc., 10.50%,
10/15/12

 

 

940

 

 

1,026,950

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

630

 

 

648,112

 

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

 

 

522

 

 

517,960

 

Series 2001-1-C, 7.03%,
12/15/12

 

 

250

 

 

254,246

 

Series 2010-1-B, 6.00%,
7/12/20 (c)

 

 

500

 

 

505,000

 

Delta Air Lines, Inc., Series B,
9.75%, 12/17/16

 

 

1,045

 

 

1,136,723

 

United Air Lines, Inc., 12.75%,
7/15/12

 

 

2,082

 

 

2,336,506

 

 

 

 

 

 

 

 

 

 

 

 

7,952,197

 

Auto Components — 1.4%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

230

 

 

248,975

 

11.25%, 11/01/15 (d)

 

 

177

 

 

192,045

 

Delphi International Holdings
Unsecured, 12.00%, 10/06/14

 

 

91

 

 

94,293

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

4.00%, 8/15/13 (b)(e)(f)

 

 

255

 

 

246,713

 

8.00%, 1/15/18

 

 

3,035

 

 

3,012,237

 

 

 

 

 

 

 

 

 

 

 

 

3,794,263

 

Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%,
9/01/18

 

 

264

 

 

282,480

 

Crown European Holdings SA,
7.13%, 8/15/18 (b)

 

EUR

245

 

 

325,176

 

 

 

 

 

 

 

 

 

 

 

 

607,656

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

QHP Pharma, 10.25%,
3/15/15 (b)

 

USD

533

 

 

537,545

 

Building Products — 3.0%

 

 

 

 

 

 

 

Associated Materials LLC, 9.13%,
11/01/17 (b)

 

 

490

 

 

499,800

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

530

 

 

519,400

 

7.00%, 2/15/20

 

 

620

 

 

638,600

 

Momentive Performance
Materials, Inc., 9.00%,
1/15/21 (b)

 

 

1,280

 

 

1,273,600

 

Nortek, Inc.:

 

 

 

 

 

 

 

11.00%, 12/01/13

 

 

2,395

 

 

2,520,246

 

10.00%, 12/01/18 (b)

 

 

1,060

 

 

1,060,000

 

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

 

 

1,490

 

 

1,579,400

 

 

 

 

 

 

 

 

 

 

 

 

8,091,046

 

Capital Markets — 0.6%

 

 

 

 

 

 

 

American Capital Ltd., 8.96%,
12/31/13

 

 

510

 

 

529,921

 

E*Trade Financial Corp. (e)(g):

 

 

 

 

 

 

 

3.43%, 8/31/19 (b)

 

 

244

 

 

348,005

 

Series A, 3.65%, 8/31/19

 

 

7

 

 

9,984

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Capital Markets (concluded)

 

 

 

 

 

 

 

KKR Group Finance Co., 6.38%,
9/29/20 (b)

 

USD

650

 

$

660,831

 

 

 

 

 

 

 

 

 

 

 

 

1,548,741

 

Chemicals — 3.7%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%,
2/01/15

 

 

880

 

 

881,100

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

440

 

 

482,900

 

7.13%, 5/01/20

 

 

780

 

 

872,625

 

Chemtura Corp., 7.88%,
9/01/18 (b)

 

 

530

 

 

560,475

 

Georgia Gulf Corp., 9.00%,
1/15/17 (b)

 

 

165

 

 

174,900

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

8.88%, 2/01/18

 

 

765

 

 

787,950

 

9.00%, 11/15/20 (b)

 

 

370

 

 

367,225

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

280

 

 

367,087

 

8.63%, 3/15/21

 

USD

500

 

 

530,000

 

Ineos Finance Plc, 9.00%,
5/15/15 (b)

 

 

420

 

 

434,700

 

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

 

 

1,260

 

 

1,319,850

 

OXEA Finance/Cy SCA, 9.50%,
7/15/17 (b)

 

 

555

 

 

597,319

 

Omnova Solutions, Inc., 7.88%,
11/01/18 (b)

 

 

275

 

 

273,625

 

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

 

 

215

 

 

219,837

 

Rhodia SA, 6.88%, 9/15/20 (b)

 

 

765

 

 

780,300

 

TPC Group LLC, 8.25%,
10/01/17 (b)

 

 

335

 

 

344,212

 

Wellman Holdings, Inc., Subordinate
Note (e):

 

 

 

 

 

 

 

(Second Lien), 10.00%,
1/29/19 (b)

 

 

844

 

 

734,280

 

(Third Lien), 5.00%,
1/29/19 (d)

 

 

276

 

 

107,749

 

 

 

 

 

 

 

 

 

 

 

 

9,836,134

 

Commercial Banks — 2.9%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

3,066

 

 

3,012,822

 

7.00%, 5/01/17

 

 

4,760

 

 

4,641,078

 

Glitnir Banki HF (a)(h):

 

 

 

 

 

 

 

4.76%, 4/20/10 (b)

 

 

111

 

 

33,577

 

6.38%, 9/25/12 (b)

 

 

500

 

 

151,250

 

Series EMTN, 5.07%, 1/27/10

 

EUR

50

 

 

19,471

 

Series EMTN, 3.00%, 6/30/10

 

 

45

 

 

17,524

 

Series GMTN, 4.38%,
2/05/10

 

 

50

 

 

19,471

 

 

 

 

 

 

 

 

 

 

 

 

7,895,193

 

Commercial Services & Supplies — 1.3%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%,
3/15/15

 

USD

755

 

 

839,937

 

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

 

 

305

 

 

308,813

 

Mobile Mini, Inc., 7.88%,
12/01/20 (b)

 

 

230

 

 

235,463

 

RSC Equipment Rental, Inc.,
10.00%, 7/15/17 (b)

 

 

585

 

 

646,425

 

 

 

 

2

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Services & Supplies
(concluded)

 

 

 

 

 

 

 

West Corp. (b):

 

 

 

 

 

 

 

8.63%, 10/01/18

 

USD

980

 

$

1,019,200

 

7.88%, 1/15/19

 

 

390

 

 

385,125

 

 

 

 

 

 

 

 

 

 

 

 

3,434,963

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%,
8/15/17 (e)

 

 

380

 

 

406,125

 

Consumer Finance — 0.7%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%,
2/01/17 (b)

 

 

680

 

 

710,600

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.04%, 1/13/12 (f)

 

 

215

 

 

215,000

 

7.80%, 6/01/12

 

 

200

 

 

212,024

 

6.63%, 8/15/17

 

 

840

 

 

865,805

 

 

 

 

 

 

 

 

 

 

 

 

2,003,429

 

Containers & Packaging — 2.5%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc,
7.38%, 10/15/17 (b)

 

EUR

475

 

 

607,322

 

Ball Corp., 6.75%, 9/15/20

 

USD

525

 

 

559,125

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.25%, 11/15/15

 

 

135

 

 

140,400

 

9.75%, 1/15/21 (b)

 

 

705

 

 

675,037

 

Graham Packaging Co. LP, 8.25%,
10/01/18

 

 

250

 

 

253,750

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/17

 

 

840

 

 

911,400

 

7.88%, 10/01/18

 

 

400

 

 

415,000

 

Impress Holdings BV, 3.41%,
9/15/13 (b)(f)

 

 

420

 

 

416,850

 

OI European Group BV, 6.88%,
3/31/17

 

EUR

155

 

 

205,724

 

Pregis Corp., 12.38%, 10/15/13

 

USD

1,200

 

 

1,194,000

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

495

 

 

648,957

 

7.75%, 11/15/19

 

 

470

 

 

626,858

 

 

 

 

 

 

 

 

 

 

 

 

6,654,423

 

Diversified Consumer Services — 1.1%

 

 

 

 

 

 

 

Service Corp. International, 7.00%,
6/15/17

 

USD

3,000

 

 

3,086,250

 

Diversified Financial Services —6.0%

 

 

 

 

 

 

 

Ally Financial Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

280

 

 

294,700

 

2.50%, 12/01/14 (f)

 

 

394

 

 

352,643

 

8.30%, 2/12/15

 

 

1,990

 

 

2,094,475

 

6.25%, 12/01/17 (b)

 

 

980

 

 

940,800

 

8.00%, 3/15/20 (b)

 

 

2,290

 

 

2,358,700

 

7.50%, 9/15/20 (b)

 

 

1,970

 

 

1,930,600

 

8.00%, 11/01/31

 

 

310

 

 

316,632

 

8.00%, 11/01/31

 

 

600

 

 

621,000

 

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

 

 

450

 

 

469,125

 

FCE Bank Plc, 7.13%, 1/15/13

 

EUR

1,050

 

 

1,400,427

 

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

 

USD

1,175

 

 

1,274,875

 

Reynolds Group DL Escrow, Inc.,
7.75%, 10/15/16 (b)

 

 

1,300

 

 

1,355,250

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

400

 

$

534,794

 

7.13%, 4/15/19

 

USD

580

 

 

590,150

 

9.00%, 4/15/19

 

 

1,450

 

 

1,475,375

 

 

 

 

 

 

 

 

 

 

 

 

16,009,546

 

Diversified Telecommunication
Services — 3.7%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc.,
11.38%, 9/01/12

 

 

1,035

 

 

1,014,300

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

8.25%, 4/15/17

 

 

493

 

 

542,300

 

8.50%, 4/15/20

 

 

350

 

 

385,000

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,200

 

 

1,305,000

 

ITC Deltacom, Inc., 10.50%,
4/01/16

 

 

350

 

 

375,375

 

Level 3 Communications, Inc.,
6.50%, 10/01/16 (e)

 

 

130

 

 

141,863

 

Nordic Telephone Co. Holdings
ApS, 8.88%, 5/01/16 (b)

 

 

215

 

 

228,975

 

Qwest Communications International,
Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,020

 

 

2,040,200

 

8.00%, 10/01/15

 

 

600

 

 

637,500

 

Series B, 7.50%, 2/15/14

 

 

1,450

 

 

1,464,500

 

Qwest Corp., 7.63%, 6/15/15

 

 

525

 

 

605,062

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

460

 

 

502,550

 

7.88%, 11/01/17

 

 

630

 

 

661,500

 

 

 

 

 

 

 

 

 

 

 

 

9,904,125

 

Electronic Equipment, Instruments
& Components — 0.1%

 

 

 

 

 

 

 

NXP BV, 3.05%, 10/15/13 (f)

 

 

440

 

 

415,800

 

Energy Equipment & Services — 1.7%

 

 

 

 

 

 

 

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

 

 

245

 

 

243,775

 

Compagnie Generale de Geophysique-
Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

985

 

 

1,009,625

 

7.75%, 5/15/17

 

 

250

 

 

262,500

 

Exterran Holdings, Inc., 7.25%,
12/01/18 (b)

 

 

445

 

 

445,000

 

Frac Tech Services LLC, 7.13%,
11/15/18 (b)

 

 

620

 

 

615,350

 

Global Geophysical Services, Inc.,
10.50%, 5/01/17

 

 

255

 

 

252,450

 

North American Energy Alliance
LLC, 10.88%, 6/01/16 (b)

 

 

665

 

 

738,150

 

Precision Drilling Corp., 6.63%,
11/15/20 (b)

 

 

375

 

 

378,750

 

Thermon Industries, Inc., 9.50%,
5/01/17 (b)

 

 

555

 

 

591,075

 

 

 

 

 

 

 

 

 

 

 

 

4,536,675

 

Food & Staples Retailing — 0.8%

 

 

 

 

 

 

 

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

 

 

560

 

 

548,800

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

410

 

 

440,238

 

7.50%, 3/01/17

 

 

670

 

 

631,475

 

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

3

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food & Staples Retailing (concluded)

 

 

 

 

 

 

 

Rite Aid Corp. (concluded):

 

 

 

 

 

 

 

8.00%, 8/15/20 (b)

 

USD

530

 

$

545,900

 

 

 

 

 

 

 

 

 

 

 

 

2,166,413

 

Food Products — 0.4%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

220

 

 

227,975

 

Reddy Ice Corp., 11.25%,
3/15/15 (b)

 

 

440

 

 

444,400

 

Smithfield Foods, Inc., 10.00%,
7/15/14 (b)

 

 

130

 

 

146,900

 

TreeHouse Foods, Inc., 7.75%,
3/01/18

 

 

160

 

 

173,600

 

 

 

 

 

 

 

 

 

 

 

 

992,875

 

Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%,
11/15/14

 

 

2,455

 

 

2,675,950

 

Hologic, Inc., 2.00%, 12/15/37 (e)(h)

 

 

1,375

 

 

1,275,312

 

 

 

 

 

 

 

 

 

 

 

 

3,951,262

 

Health Care Providers &
Services — 5.0%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%,
5/15/18 (b)

 

 

280

 

 

289,800

 

DaVita, Inc., 6.38%, 11/01/18

 

 

400

 

 

396,500

 

Gentiva Health Services, Inc.,
11.50%, 9/01/18 (b)

 

 

710

 

 

778,338

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

1,785

 

 

1,860,862

 

8.50%, 4/15/19

 

 

1,020

 

 

1,111,800

 

7.25%, 9/15/20

 

 

2,315

 

 

2,427,856

 

inVentiv Health Inc., 10.00%,
8/15/18 (b)

 

 

650

 

 

638,625

 

Omnicare, Inc.:

 

 

 

 

 

 

 

6.13%, 6/01/13

 

 

255

 

 

253,088

 

7.75%, 6/01/20

 

 

625

 

 

640,625

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,799

 

 

1,929,427

 

10.00%, 5/01/18

 

 

644

 

 

719,670

 

8.88%, 7/01/19

 

 

2,279

 

 

2,427,135

 

 

 

 

 

 

 

 

 

 

 

 

13,473,726

 

Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%,
3/01/18 (b)

 

 

2,405

 

 

2,801,825

 

MedAssets, Inc., 8.00%,
11/15/18 (b)

 

 

165

 

 

166,238

 

 

 

 

 

 

 

 

 

 

 

 

2,968,063

 

Hotels, Restaurants & Leisure — 3.0%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%,
8/15/18 (b)

 

 

1,190

 

 

1,213,800

 

Dunkin Finance Corp., 9.63%,
12/01/18 (b)

 

 

520

 

 

523,250

 

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

 

GBP

425

 

 

562,096

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

USD

660

 

 

719,400

 

10.00%, 12/15/18

 

 

1,990

 

 

1,681,550

 

Inn of the Mountain Gods Resort &
Casino, 12.00%,
11/15/10 (a)(i)

 

 

1,550

 

 

625,812

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure
(concluded)

 

 

 

 

 

 

 

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

 

USD

423

 

$

348,975

 

MGM Mirage, 13.00%, 11/15/13

 

 

110

 

 

129,250

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

255

 

 

283,050

 

11.13%, 11/15/17

 

 

820

 

 

926,600

 

Marina District Finance Co., Inc.,
9.88%, 8/15/18 (b)

 

 

235

 

 

225,013

 

Travelport LLC:

 

 

 

 

 

 

 

4.92%, 9/01/14 (f)

 

 

160

 

 

144,800

 

9.88%, 9/01/14

 

 

210

 

 

207,900

 

9.00%, 3/01/16 (b)

 

 

120

 

 

119,100

 

Tropicana Entertainment LLC,
Series WI, 9.63%,
12/15/14 (a)(i)

 

 

305

 

 

732

 

Virgin River Casino Corp., 9.00%,
1/15/12 (a)(i)

 

 

940

 

 

399,500

 

 

 

 

 

 

 

 

 

 

 

 

8,110,828

 

Household Durables — 3.4%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.13%, 6/15/16

 

 

315

 

 

303,975

 

12.00%, 10/15/17

 

 

1,345

 

 

1,540,025

 

9.13%, 6/15/18

 

 

1,770

 

 

1,699,200

 

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

 

EUR

305

 

 

406,791

 

K. Hovnanian Enterprises, Inc.,
10.63%, 10/15/16

 

USD

1,725

 

 

1,744,406

 

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

 

 

675

 

 

651,375

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

135

 

 

145,800

 

6.25%, 4/01/14

 

 

365

 

 

379,600

 

7.00%, 8/15/15

 

 

265

 

 

272,950

 

10.75%, 9/15/16

 

 

1,390

 

 

1,584,600

 

8.38%, 5/15/18

 

 

475

 

 

489,250

 

 

 

 

 

 

 

 

 

 

 

 

9,217,972

 

Household Products — 0.1%

 

 

 

 

 

 

 

Viking Acquisition, Inc., 9.25%,
11/01/18 (b)

 

 

250

 

 

249,375

 

IT Services — 1.3%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

115

 

 

97,750

 

10.55%, 9/24/15 (d)

 

 

1,130

 

 

954,457

 

8.88%, 8/15/20 (b)

 

 

1,275

 

 

1,326,000

 

SunGard Data Systems, Inc. (b):

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

480

 

 

475,200

 

7.63%, 11/15/20

 

 

600

 

 

600,000

 

 

 

 

 

 

 

 

 

 

 

 

3,453,407

 

Independent Power Producers &
Energy Traders — 2.8%

 

 

 

 

 

 

 

Calpine Construction Finance Co.
LP, 8.00%, 6/01/16 (b)

 

 

1,260

 

 

1,326,150

 

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

 

 

475

 

 

466,687

 

Energy Future Holdings Corp.,
10.00%, 1/15/20 (b)

 

 

3,395

 

 

3,473,608

 

Energy Future Intermediate
Holding Co. LLC, 10.00%,
12/01/20

 

 

174

 

 

178,464

 

 

 

 

4

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders (concluded)

 

 

 

 

 

 

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

USD

1,275

 

$

1,300,500

 

7.38%, 2/01/16

 

 

670

 

 

673,350

 

 

 

 

 

 

 

 

 

 

 

 

7,418,759

 

Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

2,340

 

 

2,497,950

 

13.50%, 12/01/15 (d)

 

 

3,954

 

 

4,290,102

 

 

 

 

 

 

 

 

 

 

 

 

6,788,052

 

Insurance — 0.9%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%,
5/01/15 (b)

 

 

1,700

 

 

1,755,250

 

USI Holdings Corp., 4.16%,
11/15/14 (b)(f)

 

 

680

 

 

581,400

 

 

 

 

 

 

 

 

 

 

 

 

2,336,650

 

Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

585

 

 

587,925

 

Machinery — 1.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%,
11/15/14

 

 

980

 

 

883,225

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (e)

 

 

1,820

 

 

2,245,425

 

8.25%, 11/01/21

 

 

840

 

 

900,900

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

140

 

 

150,500

 

Titan International, Inc. (b):

 

 

 

 

 

 

 

5.63%, 1/15/17 (e)

 

 

240

 

 

430,800

 

7.88%, 10/01/17

 

 

400

 

 

416,000

 

 

 

 

 

 

 

 

 

 

 

 

5,026,850

 

Marine — 0.8%

 

 

 

 

 

 

 

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

 

 

2,230

 

 

2,032,088

 

Media — 10.7%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%,
12/15/18 (b)

 

 

85

 

 

78,413

 

CCH II LLC, 13.50%, 11/30/16

 

 

543

 

 

638,350

 

CCO Holdings LLC (b):

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

470

 

 

486,450

 

8.13%, 4/30/20

 

 

470

 

 

493,500

 

CMP Susquehanna Corp., 3.44%,
5/15/14 (b)(f)

 

 

160

 

 

3,200

 

CSC Holdings, Inc., 8.50%,
4/15/14

 

 

390

 

 

427,537

 

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

 

 

610

 

 

649,650

 

Checkout Holding Corp., 10.99%,
11/15/15 (b)(g)

 

 

875

 

 

529,375

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

835

 

 

885,100

 

Series B, 9.25%, 12/15/17

 

 

4,240

 

 

4,526,200

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

636

 

 

635,530

 

Loan Close 3, 12.00%,
8/15/18

 

 

735

 

 

735,000

 

Shares Loan, 4.00%, 8/15/18

 

 

749

 

 

749,372

 

DISH DBS Corp., 7.00%,
10/01/13

 

 

90

 

 

95,850

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Gray Television, Inc., 10.50%,
6/29/15

 

USD

455

 

$

455,000

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

350

 

 

283,500

 

9.50%, 5/15/15

 

 

420

 

 

388,500

 

Intelsat Corp., 9.25%, 6/15/16

 

 

1,370

 

 

1,441,925

 

Interactive Data Corp., 10.25%,
8/01/18 (b)

 

 

1,030

 

 

1,112,400

 

Liberty Global, Inc., 4.50%,
11/15/16 (e)

 

 

400

 

 

592,000

 

Liberty Media Corp., 3.13%,
3/30/23 (e)

 

 

1,113

 

 

1,224,300

 

Live Nation Entertainment, Inc.,
8.13%, 5/15/18 (b)

 

 

1,055

 

 

1,065,550

 

The McClatchy Co., 11.50%,
2/15/17

 

 

370

 

 

387,575

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

180

 

 

205,200

 

7.75%, 10/15/18 (b)

 

 

2,145

 

 

2,182,537

 

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

 

 

500

 

 

515,000

 

ProtoStar I Ltd., 18.00%,
10/15/12 (b)

 

 

850

 

 

8,499

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

440

 

 

441,650

 

10.38%, 9/01/14

 

 

1,582

 

 

1,643,302

 

Regal Entertainment Group,
9.13%, 8/15/18

 

 

335

 

 

353,425

 

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

 

 

635

 

 

635,000

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

EUR

441

 

 

592,473

 

8.13%, 12/01/17

 

USD

755

 

 

785,200

 

9.63%, 12/01/19

 

EUR

570

 

 

784,278

 

UPC Holding BV, 9.88%,
4/15/18 (b)

 

USD

500

 

 

537,500

 

Unitymedia GmbH, 9.63%,
12/01/19

 

EUR

168

 

 

231,156

 

Univision Communications, Inc.,
7.88%, 11/01/20 (b)

 

USD

460

 

 

470,350

 

Ziggo Bond Co. BV, 8.00%,
5/15/18 (b)

 

EUR

388

 

 

501,123

 

Ziggo Finance BV, 6.13%,
11/15/17 (b)

 

 

800

 

 

1,012,474

 

 

 

 

 

 

 

 

 

 

 

 

28,783,444

 

Metals & Mining — 3.4%

 

 

 

 

 

 

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

USD

875

 

 

923,125

 

7.38%, 2/15/16

 

 

225

 

 

229,500

 

FMG Resources August 2006 Pty
Ltd., 7.00%, 11/01/15 (b)

 

 

1,580

 

 

1,599,750

 

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

 

 

1,975

 

 

2,014,508

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

595

 

 

722,181

 

New World Resources NV:

 

 

 

 

 

 

 

7.38%, 5/15/15

 

EUR

255

 

 

326,864

 

7.88%, 5/01/18

 

 

400

 

 

521,866

 

Newmont Mining Corp., Series A,
1.25%, 7/15/14 (e)

 

USD

430

 

 

597,700

 

Novelis, Inc., 11.50%, 2/15/15

 

 

430

 

 

528,900

 

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

5

 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining (concluded)

 

 

 

 

 

 

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.66%, 11/01/14 (f)

 

USD

400

 

$

373,000

 

12.00%, 11/01/15

 

 

265

 

 

271,956

 

Steel Dynamics, Inc., 7.38%,
11/01/12

 

 

205

 

 

218,325

 

United States Steel Corp., 7.38%,
4/01/20

 

 

230

 

 

229,712

 

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

 

 

640

 

 

678,400

 

 

 

 

 

 

 

 

 

 

 

 

9,235,787

 

Multiline Retail — 1.9%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%,
7/15/17 (d)

 

 

4,351

 

 

5,047,160

 

Oil, Gas & Consumable Fuels —
8.5%

 

 

 

 

 

 

 

Arch Coal, Inc., 7.25%, 10/01/20

 

 

855

 

 

936,225

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

500

 

 

655,000

 

10.75%, 2/01/18

 

 

100

 

 

121,875

 

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

 

 

510

 

 

529,125

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

45

 

 

49,050

 

Carrizo Oil & Gas, Inc., 8.63%,
10/15/18 (b)

 

 

230

 

 

228,850

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

1,860

 

 

1,873,950

 

2.25%, 12/15/38 (e)

 

 

800

 

 

602,000

 

Coffeyville Resources LLC, 9.00%,
4/01/15 (b)

 

 

295

 

 

314,175

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

175

 

 

188,125

 

10.25%, 12/15/15

 

 

1,145

 

 

1,127,825

 

Consol Energy, Inc., 8.25%,
4/01/20 (b)

 

 

1,990

 

 

2,154,175

 

Continental Resources Inc.,
7.13%, 4/01/21 (b)

 

 

370

 

 

388,500

 

Crosstex Energy LP, 8.88%,
2/15/18

 

 

180

 

 

187,650

 

Denbury Resources, Inc., 8.25%,
2/15/20

 

 

737

 

 

803,330

 

Energy Transfer Equity LP, 7.50%,
10/15/20

 

 

675

 

 

698,625

 

Harvest Operations Corp., 6.88%,
10/01/17 (b)

 

 

100

 

 

103,250

 

Hilcorp Energy I LP, 7.63%,
4/15/21 (b)

 

 

770

 

 

789,250

 

Linn Energy LLC (b):

 

 

 

 

 

 

 

8.63%, 4/15/20

 

 

1,100

 

 

1,166,000

 

7.75%, 2/01/21

 

 

590

 

 

598,850

 

MarkWest Energy Partners LP,
6.75%, 11/01/20

 

 

260

 

 

259,350

 

Massey Energy Co., 6.88%,
12/15/13

 

 

945

 

 

952,087

 

Niska Gas Storage US LLC, 8.88%,
3/15/18 (b)

 

 

1,870

 

 

1,963,500

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

1,735

 

 

1,726,325

 

9.75%, 8/15/13

 

 

975

 

 

970,125

 

Patriot Coal Corp., 8.25%,
4/30/18

 

 

230

 

 

230,000

 

Peabody Energy Corp., 6.50%,
9/15/20

 

 

1,100

 

 

1,188,000

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

USD

370

 

$

417,175

 

7.88%, 6/01/15

 

 

460

 

 

473,800

 

Range Resources Corp., 8.00%,
5/15/19

 

 

400

 

 

436,000

 

Teekay Corp., 8.50%, 1/15/20

 

 

660

 

 

719,400

 

 

 

 

 

 

 

 

 

 

 

 

22,851,592

 

Paper & Forest Products — 3.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (b)(d)

 

 

1,134

 

 

1,015,036

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

330

 

 

363,825

 

8.00%, 4/01/20

 

 

165

 

 

178,613

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

390

 

 

447,525

 

7.13%, 11/01/18 (b)

 

 

585

 

 

595,237

 

Georgia-Pacific LLC, 8.25%,
5/01/16 (b)

 

 

1,600

 

 

1,768,000

 

NewPage Corp., 11.38%,
12/31/14

 

 

3,150

 

 

2,850,750

 

PH Glatfelter Co., 7.13%, 5/01/16

 

 

210

 

 

216,825

 

Verso Paper Holdings LLC,
11.50%, 7/01/14

 

 

840

 

 

911,400

 

 

 

 

 

 

 

 

 

 

 

 

8,347,211

 

Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc.,
4.05%, 12/01/13 (f)

 

 

890

 

 

727,575

 

Novasep Holding SAS, 9.63%,
12/15/16 (b)

 

EUR

630

 

 

539,727

 

Valeant Pharmaceuticals
International (b):

 

 

 

 

 

 

 

6.75%, 10/01/17

 

USD

380

 

 

375,250

 

7.00%, 10/01/20

 

 

480

 

 

468,000

 

 

 

 

 

 

 

 

 

 

 

 

2,110,552

 

Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%,
10/01/20 (b)

 

 

920

 

 

929,200

 

Real Estate Investment Trusts
(REITs) — 0.4%

 

 

 

 

 

 

 

Omega Healthcare Investors, Inc.,
6.75%, 10/15/22 (b)

 

 

540

 

 

538,650

 

The Rouse Co. LP, 6.75%,
11/09/15

 

 

520

 

 

533,000

 

 

 

 

 

 

 

 

 

 

 

 

1,071,650

 

Real Estate Management &
Development — 0.7%

 

 

 

 

 

 

 

CB Richard Ellis Services, Inc.,
6.63%, 10/15/20 (b)

 

 

335

 

 

335,000

 

Forest City Enterprises, Inc.,
7.63%, 6/01/15

 

 

1,425

 

 

1,328,813

 

IVG Immobilien AG, 8.00%,
5/29/49 (f)

 

EUR

100

 

 

96,704

 

 

 

 

 

 

 

 

 

 

 

 

1,760,517

 

Road & Rail — 1.5%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC:

 

 

 

 

 

 

 

9.63%, 3/15/18

 

USD

510

 

 

534,225

 

8.25%, 1/15/19 (b)

 

 

570

 

 

557,175

 

The Hertz Corp., 7.50%,
10/15/18 (b)

 

 

1,040

 

 

1,050,400

 

 

 

 

6

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

Hertz Holdings Netherlands BV,
8.50%, 7/31/15 (b)

 

EUR

710

 

$

976,908

 

Syncreon Global Ireland Ltd.,
9.50%, 5/01/18 (b)

 

USD

820

 

 

838,450

 

 

 

 

 

 

 

 

 

 

 

 

3,957,158

 

Semiconductors & Semiconductor
Equipment — 0.4%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.,
7.75%, 8/01/20 (b)

 

 

285

 

 

292,125

 

Linear Technology Corp., Series A,
3.00%, 5/01/27 (e)

 

 

435

 

 

450,225

 

Spansion LLC, 7.88%,
11/15/17 (b)

 

 

280

 

 

285,250

 

 

 

 

 

 

 

 

 

 

 

 

1,027,600

 

Specialty Retail — 2.1%

 

 

 

 

 

 

 

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

 

 

330

 

 

333,300

 

Group 1 Automotive, Inc., 2.25%,
6/15/36 (e)(h)

 

 

1,055

 

 

964,006

 

Hillman Group, Inc., 10.88%,
6/01/18 (b)

 

 

530

 

 

583,000

 

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

 

 

785

 

 

904,712

 

Michaels Stores, Inc., 7.75%,
11/01/18 (b)

 

 

285

 

 

277,163

 

Petco Animal Supplies, Inc.,
9.25%, 12/01/18 (b)

 

 

515

 

 

518,863

 

Rent-A-Center Inc., 6.63%,
11/15/20 (b)

 

 

240

 

 

236,400

 

Sonic Automotive, Inc., 9.00%,
3/15/18

 

 

370

 

 

382,025

 

Toys ‘R’ US-Delaware, Inc., 7.38%,
9/01/16 (b)

 

 

420

 

 

438,375

 

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

 

 

1,025

 

 

1,007,062

 

 

 

 

 

 

 

 

 

 

 

 

5,644,906

 

Thrifts & Mortgage Finance — 0.2%

 

 

 

 

 

 

 

Radian Group, Inc., 3.00%,
11/15/17 (e)

 

 

500

 

 

456,250

 

Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%,
8/15/15

 

 

325

 

 

332,313

 

Wireless Telecommunication
Services — 4.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

1,260

 

 

1,329,300

 

7.75%, 5/15/16

 

 

220

 

 

224,950

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

700

 

 

707,000

 

9.13%, 1/15/15 (d)

 

 

1,783

 

 

1,800,830

 

8.25%, 9/01/17

 

 

870

 

 

913,500

 

10.50%, 4/15/18

 

 

500

 

 

550,000

 

FiberTower Corp., 9.00%,
1/01/16 (d)

 

 

293

 

 

252,804

 

iPCS, Inc., 2.41%, 5/01/13 (f)

 

 

815

 

 

778,325

 

Intelsat Jackson Holdings SA,
7.25%, 10/15/20 (b)

 

 

655

 

 

653,363

 

MetroPCS Wireless, Inc.:

 

 

 

 

 

 

 

7.88%, 9/01/18

 

 

520

 

 

538,850

 

6.63%, 11/15/20

 

 

760

 

 

723,900

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Wireless Telecommunication Services
(concluded)

 

 

 

 

 

 

 

NII Holdings, Inc., 3.13%,
6/15/12 (e)

 

USD

370

 

$

359,363

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

1,170

 

 

1,168,537

 

Series F, 5.95%, 3/15/14

 

 

110

 

 

106,150

 

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

 

 

1,400

 

 

1,190,000

 

 

 

 

 

 

 

 

 

 

 

 

11,296,872

 

Total Corporate Bonds – 97.1%

 

 

 

 

 

260,672,951

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 

Building Products — 1.4%

 

 

 

 

 

 

 

CPG International I, Inc., Term
Loan, 7.25%, 2/28/11

 

 

3,225

 

 

3,225,377

 

Goodman Global, Inc., Term Loan
(Second Lien), 9.00%,
10/13/17

 

 

625

 

 

639,219

 

 

 

 

 

 

 

 

 

 

 

 

3,864,596

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term
Loan, 5.31%, 12/15/14

 

 

376

 

 

278,804

 

Chemicals — 0.1%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Term Loan (First Lien),
3.51% - 3.73%, 7/30/14

 

 

375

 

 

356,397

 

Commercial Services & Supplies —
1.3%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl,
Term Loan B, 7.75%, 6/10/16

 

 

1,000

 

 

1,018,333

 

Delos Aircraft, Inc., Term Loan 2,
7.00%, 3/17/16

 

 

550

 

 

558,348

 

International Lease Finance Corp.,
Term Loan 1, 6.75%, 3/17/15

 

 

750

 

 

759,643

 

Volume Services America, Inc.
(Centerplate), Term Loan B,
10.75%, 8/24/16

 

 

1,000

 

 

997,500

 

 

 

 

 

 

 

 

 

 

 

 

3,333,824

 

Construction & Engineering —
0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out
Term Loan, 15.63%, 12/14/17

 

 

2,000

 

 

2,000,000

 

Consumer Finance — 1.6%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan,
7.25%, 4/21/15

 

 

4,250

 

 

4,281,212

 

Electric Utilities — 0.5%

 

 

 

 

 

 

 

New Development Holdings LLC,
Term Loan, 7.00%, 7/03/17

 

 

1,347

 

 

1,368,009

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan
(Second Lien), 11.25%,
9/29/17

 

 

900

 

 

906,750

 

 

 

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 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
(000)

 

Value

 

Health Care Providers &
Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

Add-on Term Loan, 7.00%,
3/02/15

 

USD

512

 

$

501,637

 

Tranche A Term Loan, 8.50%,
2/22/15

 

 

481

 

 

471,180

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.), Term Loan B,
6.50%, 7/31/16

 

 

898

 

 

902,239

 

 

 

 

 

 

 

 

 

 

 

 

1,875,056

 

Hotels, Restaurants & Leisure —
1.2%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport,
Inc.), Loan, 8.28%, 3/27/12

 

 

3,405

 

 

3,158,202

 

Household Durables — 0.4%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens), Term
Loan B, 7.00%, 12/20/16

 

 

1,000

 

 

1,008,125

 

IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.00%, 9/24/14

 

 

283

 

 

254,869

 

Initial Tranche B-2 Term Loan,
3.00%, 9/24/14

 

 

407

 

 

366,397

 

Initial Tranche B-3 Term Loan,
3.00%, 9/24/14

 

 

593

 

 

534,681

 

 

 

 

 

 

 

 

 

 

 

 

1,155,947

 

Independent Power Producers &
Energy Traders — 0.9%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.75% - 3.79%, 10/10/14

 

 

214

 

 

165,572

 

Initial Tranche B-2 Term Loan,
3.75% - 3.79%, 10/10/14

 

 

254

 

 

196,343

 

Initial Tranche B-3 Term Loan,
3.75% - 3.79%, 10/10/14

 

 

2,800

 

 

2,154,645

 

 

 

 

 

 

 

 

 

 

 

 

2,516,560

 

Media — 1.5%

 

 

 

 

 

 

 

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

 

 

1,711

 

 

1,714,902

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 5.75%, 6/12/14

 

 

970

 

 

896,489

 

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

 

 

1,325

 

 

1,404,500

 

 

 

 

 

 

 

 

 

 

 

 

4,015,891

 

Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group, Inc.,
Term Loan B, 4.29%, 4/06/16

 

 

243

 

 

237,896

 

Oil, Gas & Consumable Fuels —
1.5%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term
Loan, 7.00%, 11/30/15

 

 

2,440

 

 

2,488,800

 

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

 

 

2,322

 

 

1,625,148

 

 

 

 

 

 

 

 

 

 

 

 

4,113,948

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 

Paper & Forest Products — 0.4%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC,
6.54% - 7.29%, 2/01/13 (d)

 

USD

1,363

 

$

1,090,076

 

Real Estate Investment Trusts
(REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan
(Second Lien), 1.75% 6/28/11

 

 

225

 

 

215,312

 

Real Estate Management &
Development — 0.8%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.29%,
10/10/13

 

 

1,057

 

 

970,395

 

Synthetic Letter of Credit,
0.11%, 10/10/13

 

 

154

 

 

141,821

 

Term Loan (Second Lien),
13.50%, 10/15/17

 

 

1,000

 

 

1,083,750

 

 

 

 

 

 

 

 

 

 

 

 

2,195,966

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B,
3.01%, 5/29/14

 

 

137

 

 

119,738

 

Michaels Stores, Inc., Term
Loan B-1, 2.56%, 10/31/13

 

 

355

 

 

341,722

 

 

 

 

 

 

 

 

 

 

 

 

461,460

 

Wireless Telecommunication
Services — 0.7%

 

 

 

 

 

 

 

Vodafone Americas Finance 2 Inc.,
Initial Loan, 6.88%, 7/30/15

 

 

1,750

 

 

1,776,250

 

Total Floating Rate Loan Interests – 15.0%

 

 

 

 

 

40,210,281

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Companies

 

Shares

 

 

 

 

iPATH S&P 500 VIX Mid-Term
Futures ETN (a)

 

 

6,870

 

 

512,227

 

Total Investment Companies – 0.2%

 

 

 

 

 

512,227

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 2.5%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession
Holding Co. LLP, Class B
Membership Interests

 

USD

—

(k)

 

6,613,747

 

Lear Corp. Escrow

 

 

460

 

 

12,650

 

 

 

 

 

 

 

 

 

 

 

 

6,626,397

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

575

 

 

58

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

750

 

 

75

 

Adelphia Recovery Trust

 

 

941

 

 

3,762

 

 

 

 

 

 

 

 

 

 

 

 

3,837

 

Total Other Interests – 2.5%

 

 

 

 

 

6,630,292

 

 

 

 

 

 

 

 

 

 

 

 

8

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Corporate High Yield Fund III, Inc. (CYE)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Preferred Securities

 

Par
(000)

 

Value

 

Capital Trusts

 

 

 

 

 

 

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Royal Bank of Scotland Group Plc,
Series MTN, 7.64% (a)(i)(l)

 

USD

300

 

$

198,000

 

Total Capital Trusts – 0.1%

 

 

 

 

 

198,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.3%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(e)

 

 

6,800

 

 

878,900

 

Automobiles — 1.0%

 

 

 

 

 

 

 

General Motors Co., 4.75% (a)

 

 

54,200

 

 

2,747,940

 

Diversified Financial Services —
0.8%

 

 

 

 

 

 

 

Citigroup, Inc., 7.50% (e)

 

 

16,300

 

 

2,037,500

 

Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 7.50% (e)

 

 

10,132

 

 

228,477

 

Insurance — 0.0%

 

 

 

 

 

 

 

Assured Guaranty Ltd., 8.50%

 

 

1,232

 

 

88,459

 

Media — 0.2%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings
Corp. (a)(b)

 

 

37,314

 

 

—

 

TRA Global, Inc. (a)

 

 

286,652

 

 

463,144

 

 

 

 

 

 

 

 

 

 

 

 

463,144

 

Real Estate Investment Trusts
(REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A,
7.63% (a)(e)

 

 

8,994

 

 

117,911

 

Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O (a)

 

 

30,000

 

 

17,250

 

Freddie Mac, Series Z (a)

 

 

75,961

 

 

41,019

 

 

 

 

 

 

 

 

 

 

 

 

58,269

 

Total Preferred Stocks – 2.4%

 

 

 

 

 

6,620,600

 

Total Preferred Securities – 2.5%

 

 

 

 

 

6,818,600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (m)

 

 

 

 

 

 

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires
10/01/13)

 

 

700

 

 

32,297

 

Health Care Providers &
Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires
1/16/14)

 

 

32,042

 

 

—

 

Hotels, Restaurants & Leisure —
0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.
(Expires 4/29/14)

 

 

485

 

 

5

 

 

 

 

 

 

 

 

 

Warrants (m)

 

Shares

 

Value

 

Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings
Corp. (Expires 3/26/19) (b)

 

 

42,640

 

$

1

 

New Vision Holdings LLC
(Expires 9/30/14)

 

 

22,447

 

 

224

 

 

 

 

 

 

 

 

 

 

 

 

225

 

Oil, Gas & Consumable Fuels —
0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

1

 

 

—

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management
Solutions, Inc. (Expires
9/29/17)

 

 

334

 

 

3

 

HMH Holdings/EduMedia (Expires
3/09/17)

 

 

11,225

 

 

—

 

 

 

 

 

 

 

 

 

 

 

 

3

 

Total Warrants – 0.0%

 

 

 

 

 

32,530

 

Total Long-Term Investments
(Cost – $319,820,570) – 120.5%

 

 

 

 

 

323,435,260

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.18% (n)(o)

 

 

323,237

 

 

323,237

 

Total Short-Term Securities
(Cost – $323,237) – 0.1%

 

 

 

 

 

323,237

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts

 

 

 

 

Over-the-Counter Call Options —
0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC,
Strike Price USD 942.86, Expires
12/21/19, Broker Goldman Sachs
Bank USA

 

 

19

 

 

—

 

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

 

 

 

 

 

—

 

Total Investments
(Cost – $320,162,385*) – 120.6%

 

 

 

 

 

323,758,497

 

Liabilities in Excess of Other Assets – (20.6)%

 

 

 

 

 

(55,445,449

)

 

 

 

 

 

Net Assets – 100.0%

 

 

 

 

$

268,313,048

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2010, as computed for federal income tax purposes were as follows:

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

321,335,730

 

 

 

 

 

 

Gross unrealized appreciation

 

 

 

 

$

19,536,387

 

Gross unrealized depreciation

 

 

 

 

 

(17,113,620

)

 

 

 

 

 

Net unrealized appreciation

 

 

 

 

$

2,422,767

 

 

 

 

 

 

 

 

(a)

Non-income producing security.

 

 

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

9


 

 

 

 

Schedule of Investments (continued)

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

 

 

(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)

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

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Morgan Stanley & Co., Inc.

 

$

505,000

 

$

5,000

 

 

 

(d)

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

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.

 

 

(i)

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

 

 

(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)

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

 

 

(m)

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

 

 

(n)

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 at
February 28,
2010

 

Net
Activity

 

Shares
Held at
November 30,
2010

 

Income

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

3,276,755

 

 

(2,953,518

)

 

323,237

 

$

2,935

 

 

 

(o)

Represents the current yield as of report date.

 

 

•

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

 

 

•

Foreign currency exchange contracts as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counter-
party

 

Settlement
Date

 

 

Unrealized
Appreciation

 

USD

445,436

 

CAD

449,000

 

Citibank NA

 

1/19/11

 

$

8,500

 

USD

432,849

 

GBP

272,500

 

Citibank NA

 

1/19/11

 

 

9,133

 

USD

16,229,457

 

EUR

11,853,500

 

Deutsche Bank AG

 

1/28/11

 

 

846,422

 

Total

 

$

864,055

 

 

 

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

10


 

 

 

 

Schedule of Investments (continued)

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

 

 

•

Financial futures contracts sold as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 

153

 

S&P 500 Index

 

Chicago Mercantile

 

December 2010

 

$

9,047,402

 

$

23,462

 

 

 

•

Credit default swaps on single-name issuers - buy protection outstanding as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs International

 

December 2011

 

$

510

 

$

6,951

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs Bank USA

 

December 2013

 

$

1,000

 

 

117,362

 

Louisiana-Pacific Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

March 2014

 

$

500

 

 

(108,239

)

Harrah’s Operating
Company, Inc.

 

5.00%

 

Deutsche Bank AG

 

December 2015

 

$

1,300

 

 

(39,994

)

Republic of Hungary

 

1.00%

 

Deutsche Bank AG

 

December 2015

 

$

300

 

 

6,244

 

iStar Financial, Inc.

 

5.00%

 

Deutsche Bank AG

 

December 2016

 

$

225

 

 

(24,835

)

Total

 

 

 

 

 

 

 

 

 

 

$

(42,511

)

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Credit default swaps on single-name issuers – sold protection outstanding as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

 

Notional
Amount
(000)2

 

 

Unrealized
Appreciation
(Depreciation)

 

iStar Financial, Inc.

 

5.00%

 

Deutsche Bank AG

 

September 2011

 

CCC-

 

$

225

 

$

20,148

 

Texas Competitive
Electric Holdings Co.
LLC

 

5.00%

 

Goldman Sachs International

 

September 2012

 

CCC

 

$

500

 

 

(46,164

)

MBIA Insurance
Corp.

 

5.00%

 

Deutsche Bank AG

 

December 2012

 

BB+

 

$

65

 

 

(7,107

)

MBIA Insurance
Corp.

 

5.00%

 

Deutsche Bank AG

 

December 2012

 

BB+

 

$

170

 

 

(24,229

)

Advanced Micro
Devices, Inc.

 

5.00%

 

JPMorgan Chase Bank NA

 

March 2015

 

B+

 

$

600

 

 

25,091

 

Realogy Corp.

 

5.00%

 

Credit Suisse International

 

March 2015

 

C

 

$

100

 

 

2,603

 

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

March 2015

 

C

 

$

150

 

 

(8,358

)

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

March 2015

 

C

 

$

100

 

 

1,757

 

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

March 2015

 

C

 

$

225

 

 

702

 

Levi Strauss & Co.

 

5.00%

 

Goldman Sachs International

 

June 2015

 

B+

 

$

235

 

 

9,341

 

Levi Strauss & Co.

 

5.00%

 

Goldman Sachs International

 

September 2015

 

B+

 

$

560

 

 

19,998

 

Realogy Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

September 2015

 

C

 

$

125

 

 

1,336

 

Assured Guaranty
Ltd.

 

5.00%

 

Deutsche Bank AG

 

December 2015

 

A+

 

$

65

 

 

2,240

 

M.D.C. Holdings, Inc.

 

1.00%

 

Deutsche Bank AG

 

December 2015

 

BBB-

 

$

350

 

 

(2,830

)

M.D.C. Holdings, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

December 2015

 

BBB-

 

$

350

 

 

705

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(4,767

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Using Standard & Poor’s rating.

 

 

 

 

2

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

 

 

 

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 2010

11


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivatives, 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, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

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

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 semi-annual report.

The following tables summarize the inputs used as of November 30, 2010 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

7,490,166

 

$

344,944

 

$

723,269

 

$

8,558,379

 

Corporate Bonds

 

 

—

 

 

256,108,870

 

 

4,564,081

 

 

260,672,951

 

Floating Rate
Loan Interests

 

 

—

 

 

20,333,508

 

 

19,876,773

 

 

40,210,281

 

Investment

 

 

 

 

 

 

 

 

 

 

 

 

 

Companies

 

 

512,227

 

 

—

 

 

—

 

 

512,227

 

Other Interests

 

 

—

 

 

6,613,747

 

 

16,545

 

 

6,630,292

 

Capital Trusts

 

 

—

 

 

198,000

 

 

—

 

 

198,000

 

Preferred Stocks

 

 

5,278,556

 

 

878,900

 

 

463,144

 

 

6,620,600

 

Warrants

 

 

—

 

 

32,297

 

 

233

 

 

32,530

 

Short-Term
Securities

 

 

323,237

 

 

—

 

 

—

 

 

323,237

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan
Commitments

 

 

—

 

 

—

 

 

(17,310

)

 

(17,310

)

Total

 

$

13,604,186

 

$

284,510,266

 

$

25,626,735

 

$

323,741,187

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments1

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

214,478

 

 

—

 

$

214,478

 

Equity contracts

 

$

23,462

 

 

—

 

 

—

 

 

23,462

 

Foreign currency
exchange
contracts

 

 

—

 

 

864,055

 

 

—

 

 

864,055

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(261,756

)

 

—

 

 

(261,756

)

Total

 

$

23,462

 

$

816,777

 

 

—

 

$

840,239

 

 

 

 

 

1

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

 

 

 

12

BLACKROCK CORPORATE HIGH YIELD FUND III, INC.

NOVEMBER 30, 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 to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Stocks

 

Warrants

 

Unfunded Loan
Commitments

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of
February 28,
2010

 

$

79,746

 

$

4,246,019

 

$

21,135,986

 

$

4,699,133

 

$

1

 

$

230

 

$

(115,579

)

$

30,045,536

 

 

Accrued
discounts/
premiums

 

 

—

 

 

20,128

 

 

81,691

 

 

—

 

 

—

 

 

—

 

 

—

 

 

101,819

 

Net realized gain
(loss)

 

 

—

 

 

9,735

 

 

455,140

 

 

349,894

 

 

—

 

 

25,669

 

 

—

 

 

840,438

 

Net change in
unrealized
appreciation/
depreciation2

 

 

8,275

 

 

(971,624

)

 

441,711

 

 

1,934,815

 

 

—

 

 

—

 

 

98,269

 

 

1,511,446

 

Purchases

 

 

—

 

 

53,463

 

 

304,863

 

 

319,000

 

 

—

 

 

—

 

 

—

 

 

677,326

 

Sales

 

 

—

 

 

—

 

 

(10,025,558

)

 

(685,200

)

 

—

 

 

(25,669

)

 

—

 

 

(10,736,427

)

Transfers in3

 

 

723,193

 

 

1,496,158

 

 

10,641,142

 

 

12,650

 

 

463,143

 

 

3

 

 

—

 

 

13,336,289

 

Transfers out3

 

 

(87,945

)

 

(289,798

)

 

(3,158,202

)

 

(6,613,747

)

 

—

 

 

—

 

 

—

 

 

(10,149,692

)

Balance, as of
November 30,
2010

 

$

723,269

 

$

4,564,081

 

$

19,876,773

 

$

16,545

 

$

463,144

 

$

233

 

$

(17,310

)

$

25,626,735

 

 

 

 

 

2

The change in unrealized appreciation/depreciation on securities still held at November 30, 2010 was $(628,342).

 

 

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.

NOVEMBER 30, 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 13a-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 (principal executive officer) of
    BlackRock Corporate High Yield Fund III, Inc.
   
  Date: January 26, 2011
   
  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: January 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Corporate High Yield Fund III, Inc.
     
  Date: January 26, 2011