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 811-07456
Name of Fund: BlackRock Senior High Income Fund, Inc. (ARK)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Senior High Income Fund, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 02/28/2010
Date of reporting period: 05/31/2009
Item 1 – Schedule of Investments
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BlackRock Senior High Income Fund, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
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Corporate Bonds |
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Par |
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Value |
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Aerospace & Defense - 3.1% |
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Hawker Beechcraft Acquisition Co. LLC, 8.50%, 4/01/15 |
|
USD |
1,600 |
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$ |
672,000 |
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Moog, Inc., 7.25%, 6/15/18 (a) |
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5,000 |
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4,700,000 |
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5,372,000 |
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Auto Components - 2.4% |
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The Goodyear Tire & Rubber Co., 8.625%, 12/01/11 |
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4,000 |
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3,890,000 |
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Lear Corp., 8.75%, 12/01/16 |
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1,015 |
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263,900 |
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Venture Holdings Co. LLC 12%, 6/01/09 (b)(c) |
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|
700 |
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— |
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Venture Holdings Co. LLC Series B, 9.50%, 7/01/05 (b)(c) |
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3,325 |
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333 |
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4,154,233 |
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Building Products - 4.5% |
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Building Materials Corp. of America, 7.75%, 8/01/14 |
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4,000 |
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3,500,000 |
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CPG International I, Inc., 8.561%, 7/01/12 (d) |
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|
3,500 |
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1,855,000 |
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CPG International I, Inc., 10.50%, 7/01/13 |
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|
1,500 |
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787,500 |
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Momentive Performance Materials, Inc. Series WI, 9.75%, 12/01/14 |
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1,175 |
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446,500 |
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Ply Gem Industries, Inc., 11.75%, 6/15/13 |
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|
2,065 |
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1,321,600 |
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7,910,600 |
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Chemicals - 3.5% |
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American Pacific Corp., 9%, 2/01/15 |
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|
610 |
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532,225 |
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GEO Specialty Chemicals Corp., 7.50%, 3/31/15 (a)(e)(f) |
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|
1,822 |
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1,184,440 |
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GEO Specialty Chemicals, Inc., 10%, 3/31/15 |
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|
1,839 |
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1,195,168 |
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Wellman Holdings, Inc. Second Lien Subordinate Note, 10%, 1/29/19 (a)(e) |
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|
2,383 |
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2,383,000 |
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Wellman Holdings, Inc. Third Lien Subordinate Note, 5%, 1/29/19 (e) |
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|
1,557 |
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778,500 |
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6,073,333 |
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Commercial Services & Supplies - 0.5% |
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ARAMARK Corp., 8.50%, 2/01/15 |
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|
970 |
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925,137 |
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Construction Materials - 1.0% |
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Nortek, Inc., 10%, 12/01/13 |
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2,630 |
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1,702,925 |
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Containers & Packaging - 2.8% |
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Berry Plastics Holding Corp., 4.504%, 9/15/14 (d) |
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|
100 |
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65,500 |
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Clondalkin Acquisition BV, 2.629%, 12/15/13 (a)(d) |
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|
2,000 |
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1,320,000 |
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Packaging Dynamics Finance Corp., 10%, 5/01/16 (a) |
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|
4,285 |
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1,435,475 |
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Smurfit Kappa Funding Plc, 7.75%, 4/01/15 |
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|
1,050 |
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714,000 |
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Smurfit-Stone Container Enterprises, Inc., 8.375%, 7/01/12 (b)(c) |
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|
800 |
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252,000 |
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Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 (b)(c) |
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1,300 |
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422,500 |
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Wise Metals Group LLC, 10.25%, 5/15/12 |
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2,000 |
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665,000 |
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4,874,475 |
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Diversified Financial Services - 0.9% |
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Ford Motor Credit Co. LLC, 3.889%, 1/13/12 (d) |
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|
1,340 |
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1,058,600 |
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Highland Legacy Ltd., 7.278%, 6/01/11 (a)(d) |
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|
4,076 |
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611,377 |
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1,669,977 |
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Diversified Telecommunication Services - 2.4% |
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Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (a) |
|
|
1,200 |
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1,200,000 |
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Qwest Corp., 8.375%, 5/01/16 (a) |
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|
3,000 |
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2,947,500 |
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4,147,500 |
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Electric Utilities - 0.4% |
|
NSG Holdings LLC, 7.75%, 12/15/25 (a) |
|
|
1,000 |
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805,000 |
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1
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BlackRock Senior High Income Fund, Inc. |
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|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
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|
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|
|
|
|
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Industry |
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Corporate Bonds |
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Par |
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Value |
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Food & Staples Retailing - 0.2% |
|
SUPERVALU, Inc., 8%, 5/01/16 |
|
USD |
370 |
|
$ |
362,600 |
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Food Products - 0.8% |
|
Tyson Foods, Inc., 10.50%, 3/01/14 (a) |
|
|
1,340 |
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1,420,400 |
|
|
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|
|
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Health Care Providers & Services - 1.0% |
|
Community Health Systems, Inc. Series WI, 8.875%, 7/15/15 |
|
|
1,880 |
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1,858,850 |
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Hotels, Restaurants & Leisure - 7.0% |
|
American Real Estate Partners LP, 7.125%, 2/15/13 |
|
|
3,000 |
|
|
2,565,000 |
|
|
|
|
CCM Merger, Inc., 8%, 8/01/13 (a) |
|
|
4,125 |
|
|
2,846,250 |
|
|
|
|
Harrah’s Operating Co., Inc., 10%, 12/15/18 (a) |
|
|
4,674 |
|
|
3,119,895 |
|
|
|
|
Little Traverse Bay Bands of Odawa Indians, 10.25%, 2/15/14 (a) |
|
|
1,210 |
|
|
523,325 |
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|
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MGM Mirage, 10.375%, 5/15/14 (a) |
|
|
400 |
|
|
412,000 |
|
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|
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MGM Mirage, 11.125%, 11/15/17 (a) |
|
|
750 |
|
|
785,625 |
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|
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Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (a) |
|
|
690 |
|
|
400,200 |
|
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Snoqualmie Entertainment Authority, 5.384%, 2/01/14 (a)(d) |
|
|
500 |
|
|
261,250 |
|
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Tropicana Entertainment LLC Series WI, 9.625%, 12/15/14 (b)(c) |
|
|
220 |
|
|
1,100 |
|
|
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Tunica-Biloxi Gaming Authority, 9%, 11/15/15 (a) |
|
|
845 |
|
|
733,037 |
|
|
|
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Universal City Florida Holding Co. I, 5.778%, 5/01/10 (d) |
|
|
1,000 |
|
|
715,000 |
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12,362,682 |
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Household Durables - 0.4% |
|
KB Home, 6.375%, 8/15/11 |
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|
695 |
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|
667,200 |
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IT Services - 1.9% |
|
First Data Corp., 9.875%, 9/24/15 |
|
|
5,000 |
|
|
3,400,000 |
|
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|
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|
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|
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Independent Power Producers & Energy Traders - 4.3% |
|
Calpine Construction Finance Co. LP, 8%, 6/01/16 (a) |
|
|
750 |
|
|
713,437 |
|
|
|
|
Dynegy Holdings, Inc., 8.375%, 5/01/16 |
|
|
2,000 |
|
|
1,610,000 |
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Energy Future Holdings Corp., 11.25%, 11/01/17 (f) |
|
|
1,590 |
|
|
819,682 |
|
|
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|
Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 |
|
|
6,510 |
|
|
3,857,175 |
|
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Texas Competitive Electric Holdings Co. LLC, 11.25%, 11/01/16 (f) |
|
|
1,267 |
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|
495,789 |
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7,496,083 |
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Industrial Conglomerates - 1.3% |
|
Sequa Corp., 11.75%, 12/01/15 (a) |
|
|
2,550 |
|
|
1,134,750 |
|
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|
Sequa Corp., 13.50%, 12/01/15 (a)(f) |
|
|
3,590 |
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|
1,162,357 |
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2,297,107 |
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Machinery - 1.7% |
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ESCO Corp., 4.504%, 12/15/13 (a)(d) |
|
|
1,540 |
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|
1,108,800 |
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Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 |
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|
550 |
|
|
596,120 |
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|
RBS Global, Inc., 8.875%, 9/01/16 |
|
|
835 |
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|
605,375 |
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Titan International, Inc., 8%, 1/15/12 |
|
|
770 |
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|
662,200 |
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2,972,495 |
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Marine - 0.1% |
|
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 |
|
|
324 |
|
|
247,860 |
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Media - 4.1% |
|
Affinion Group, Inc., 10.125%, 10/15/13 |
|
|
515 |
|
|
484,100 |
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CSC Holdings, Inc., 8.50%, 4/15/14 (a) |
|
|
390 |
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|
388,050 |
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|
Charter Communications Holdings LLC, 10%, 4/01/09 (b)(c) |
|
|
1,121 |
|
|
5,605 |
|
2
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BlackRock Senior High Income Fund, Inc. |
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|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
|
Corporate Bonds |
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Par |
|
Value |
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Charter Communications Holdings LLC, 11.125%, 1/15/11 (b)(c) |
|
USD |
1,319 |
|
$ |
65,950 |
|
|
|
|
Charter Communications Holdings LLC, 10%, 5/15/11 (b)(c) |
|
|
660 |
|
|
3,300 |
|
|
|
|
Intelsat Corp., 9.25%, 8/15/14 (a) |
|
|
3,500 |
|
|
3,377,500 |
|
|
|
|
Local Insight Regatta Holdings, Inc., 11%, 12/01/17 |
|
|
1,244 |
|
|
335,880 |
|
|
|
|
Nielsen Finance LLC, 11.625%, 2/01/14 (a) |
|
|
2,500 |
|
|
2,475,000 |
|
|
|
|
|
|
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|
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|
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7,135,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 2.0% |
|
Aleris International, Inc., 9%, 12/15/14 (b)(c)(f) |
|
|
840 |
|
|
8,400 |
|
|
|
|
RathGibson, Inc., 11.25%, 2/15/14 |
|
|
2,175 |
|
|
576,375 |
|
|
|
|
Ryerson, Inc., 8.403%, 11/01/14 (a)(d) |
|
|
3,360 |
|
|
1,852,200 |
|
|
|
|
Teck Resources Ltd., 10.75%, 5/15/19 (a) |
|
|
1,075 |
|
|
1,105,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,542,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 6.9% |
|
Chesapeake Energy Corp., 9.50%, 2/15/15 |
|
|
935 |
|
|
923,312 |
|
|
|
|
Chesapeake Energy Corp., 6.875%, 1/15/16 |
|
|
4,000 |
|
|
3,450,000 |
|
|
|
|
Compton Petroleum Finance Corp., 7.625%, 12/01/13 |
|
|
1,475 |
|
|
737,500 |
|
|
|
|
Denbury Resources, Inc., 9.75%, 3/01/16 |
|
|
2,500 |
|
|
2,550,000 |
|
|
|
|
Forest Oil Corp., 8.50%, 2/15/14 (a) |
|
|
1,285 |
|
|
1,240,025 |
|
|
|
|
Sabine Pass LNG LP, 7.50%, 11/30/16 |
|
|
2,985 |
|
|
2,417,850 |
|
|
|
|
SandRidge Energy, Inc., 4.833%, 4/01/14 (d) |
|
|
1,000 |
|
|
790,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,108,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 4.2% |
|
Abitibi-Consolidated, Inc., 0%, 6/15/11 (b)(c)(d) |
|
|
2,755 |
|
|
261,725 |
|
|
|
|
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (a) |
|
|
3,162 |
|
|
865,581 |
|
|
|
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (a) |
|
|
1,630 |
|
|
1,605,550 |
|
|
|
|
NewPage Corp., 7.278%, 5/01/12 (d) |
|
|
5,175 |
|
|
2,509,875 |
|
|
|
|
Verso Paper Holdings LLC, 11.50%, 7/01/14 (a) |
|
|
315 |
|
|
289,699 |
|
|
|
|
Verso Paper Holdings LLC Series B, 4.778%, 8/01/14 (d) |
|
|
3,300 |
|
|
1,782,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,314,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 2.0% |
|
Angiotech Pharmaceuticals, Inc., 4.418%, 12/01/13 (d) |
|
|
2,690 |
|
|
1,936,800 |
|
|
|
|
Elan Finance Plc, 7.75%, 11/15/11 |
|
|
1,650 |
|
|
1,485,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,421,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development - 0.3% |
|
Realogy Corp., 10.50%, 4/15/14 |
|
|
1,200 |
|
|
441,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment - 1.2% |
|
Avago Technologies Finance Pte. Ltd., 6.168%, 6/01/13 (d) |
|
|
766 |
|
|
647,270 |
|
|
|
|
Spansion, Inc., 4.386%, 6/01/13 (a)(b)(c) |
|
|
2,180 |
|
|
1,373,400 |
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
|
|
|
2,020,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.8% |
|
Michaels Stores, Inc., 10%, 11/01/14 |
|
|
1,055 |
|
|
759,600 |
|
|
|
|
United Auto Group, Inc., 7.75%, 12/15/16 |
|
|
915 |
|
|
704,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,464,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles, Apparel & Luxury Goods - 1.3% |
|
Quiksilver, Inc., 6.875%, 4/15/15 |
|
|
3,525 |
|
|
2,344,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 3.3% |
|
Cricket Communications, Inc., 7.75%, 5/15/16 (a) |
|
|
1,250 |
|
|
1,207,812 |
|
|
|
|
Crown Castle International Corp., 9%, 1/15/15 |
|
|
225 |
|
|
227,250 |
|
|
|
|
MetroPCS Wireless, Inc., 9.25%, 11/01/14 (a) |
|
|
2,000 |
|
|
2,000,000 |
|
3
|
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Corporate Bonds |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Orascom Telecom Finance SCA, 7.875%, 2/08/14 (a) |
|
USD |
395 |
|
$ |
323,900 |
|
|
|
|
Sprint Capital Corp., 7.625%, 1/30/11 |
|
|
2,000 |
|
|
1,975,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,733,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds - 66.3% |
|
|
|
|
|
116,247,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense - 2.0% |
|
Hawker Beechcraft Acquisition Co. LLC Letter of Credit Facility Deposit, 1.12% - 2.10%, 3/26/14 |
|
|
294 |
|
|
168,600 |
|
|
|
|
Hawker Beechcraft Acquisition Co. LLC Term Loan, 2.319% - 3.22%, 3/26/14 |
|
|
4,990 |
|
|
2,863,951 |
|
|
|
|
IAP Worldwide Services, Inc. Term Loan (First-Lien), 7.25%, 12/30/12 |
|
|
791 |
|
|
482,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,514,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines - 0.6% |
|
Delta Air Lines, Inc. Credit-Linked Deposit Loan, 0.261% - 2.414%, 4/30/12 |
|
|
1,225 |
|
|
1,037,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Components - 3.1% |
|
Allison Transmission, Inc. Term Loan, 3.12% - 3.15%, 8/07/14 |
|
|
5,080 |
|
|
3,917,781 |
|
|
|
|
Dana Holding Corp. Term Advance, 7.25%, 1/31/15 |
|
|
1,527 |
|
|
722,155 |
|
|
|
|
The Goodyear Tire & Rubber Co. Loan (Second Lien), 2.07%, 4/30/14 |
|
|
500 |
|
|
418,047 |
|
|
|
|
Intermet Corp. Synth LC, 5.12%, 11/09/10 (b)(c) |
|
|
378 |
|
|
151,341 |
|
|
|
|
Intermet Corp. Synth LC PIK, 6.293%, 11/09/10 (b)(c) |
|
|
32 |
|
|
12,769 |
|
|
|
|
Intermet Corp. Term Loan B, 6.293%, 11/08/10 (b)(c) |
|
|
508 |
|
|
203,062 |
|
|
|
|
Intermet Corp. Term Loan B PIK, 6.293%, 11/08/10 (b)(c)(f) |
|
|
138 |
|
|
55,333 |
|
|
|
|
Metaldyne Co. LLC DF Loan, 0.166% - 8.75%, 1/11/12 (b)(c) |
|
|
58 |
|
|
6,865 |
|
|
|
|
Metaldyne Co. LLC Initial Tranche B Term Loan, 6.188%, 1/13/14 (b)(c) |
|
|
393 |
|
|
46,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,534,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles - 0.2% |
|
General Motors Corp. Secured Term Loan, 8%, 11/29/13 |
|
|
371 |
|
|
347,693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products - 1.6% |
|
Building Materials Corp. of America Term Loan Advance, 3.063%, 2/22/14 |
|
|
1,984 |
|
|
1,673,279 |
|
|
|
|
Stile Acquisition Corp. Canadian Term Loan, 4.75%, 4/06/13 |
|
|
1,086 |
|
|
555,910 |
|
|
|
|
Stile U.S. Acquisition Corp. U.S. Term Loan, 4.25%, 4/06/13 |
|
|
1,105 |
|
|
565,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,794,822 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 3.7% |
|
Ashland, Inc. Term Loan B, 7.65%, 5/13/14 |
|
|
496 |
|
|
495,889 |
|
|
|
|
Nalco Co. Term Loan B, 6.50%, 5/06/16 |
|
|
1,025 |
|
|
1,026,922 |
|
|
|
|
PQ Corp. (fka Niagara Acquisition, Inc.) Term Loan (First Lien), 4.29% - 4.47%, 7/31/14 |
|
|
4,963 |
|
|
3,746,688 |
|
|
|
|
Solutia Inc. Loan, 7.25%, 2/28/14 |
|
|
1,489 |
|
|
1,198,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,468,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies - 0.4% |
|
John Maneely Co. Term Loan, 3.599% - 4.389%, 12/09/13 |
|
|
871 |
|
|
681,558 |
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Construction & Engineering - 0.2% |
|
Brand Energy & Infrastructure Services, Inc. (FR Brand Acquisition Corp.) Synthetic L/C Term Loan (First Lien), 1.125%, 2/07/14 |
|
USD |
500 |
|
$ |
390,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction Materials - 0.3% |
|
Headwaters Inc. Term Loan B1 (First Lien), 6.22%, 4/30/11 |
|
|
735 |
|
|
477,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.3% |
|
Smurfit-Stone Container DIP Term Loan, 10%, 7/28/10 |
|
|
602 |
|
|
607,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributors - 0.4% |
|
Keystone Automotive Operations, Inc. Loan, 0.335% - 3.25%, 1/12/12 |
|
|
1,423 |
|
|
640,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services - 0.9% |
|
Coinmach Corp. Term Loan, 3.31% - 3.76%, 11/14/14 |
|
|
1,980 |
|
|
1,504,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.1% |
|
J.G. Wentworth, LLC Loan (First Lien), 3.47%, 4/04/14 (b)(c) |
|
|
3,200 |
|
|
277,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 0.2% |
|
Paetec Communications Term Loan, 2.819%, 2/28/13 |
|
|
350 |
|
|
316,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment - 0.2% |
|
Generac Acquisition Corp. First Lien Term Loan, 2.911%, 11/10/13 |
|
|
554 |
|
|
380,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - 0.9% |
|
Dresser, Inc. Term B Loan, 3.104%, 5/04/14 |
|
|
206 |
|
|
178,515 |
|
|
|
|
Dresser, Inc. Term Loan (Second Lien), 6.085%, 5/04/15 |
|
|
1,000 |
|
|
608,750 |
|
|
|
|
MEG Energy Corp. Delayed Draw Term Loan, 3.22%, 4/02/13 |
|
|
494 |
|
|
425,780 |
|
|
|
|
MEG Energy Corp. Initial Term Loan, 3.22%, 4/03/13 |
|
|
485 |
|
|
417,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,630,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing - 0.2% |
|
McJunkin Corp. Term Loan, 4.47%, 1/31/14 |
|
|
350 |
|
|
311,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Tobacco - 0.2% |
|
WM. Bolthouse Farms, Inc. Second Lien Term Loan, 5.819%, 12/16/13 |
|
|
375 |
|
|
285,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products - 0.9% |
|
Dole Food Co., Inc. Credit-Linked Deposit, 1.139%, 4/12/13 |
|
|
828 |
|
|
821,288 |
|
|
|
|
Solvest, Ltd. (Dole) Tranche C Term Loan, 8%, 4/12/13 |
|
|
705 |
|
|
699,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,520,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 0.5% |
|
DJO Finance LLC (ReAble Therapeutics Finance LLC) Term Loan, 3.319% - 4.22%, 5/20/14 |
|
|
987 |
|
|
871,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 3.3% |
|
CHS/Community Health Systems, Inc. Funded Term Loan, 2.569%, 7/25/14 |
|
|
1,397 |
|
|
1,239,211 |
|
|
|
|
DaVita, Inc. Term Loan B, 1.82%, 10/05/12 |
|
|
550 |
|
|
513,648 |
|
|
|
|
Fresenius AG Term Loan B1, 6.75%, 7/06/14 |
|
|
650 |
|
|
649,407 |
|
|
|
|
Fresenius AG Term Loan B2, 6.75%, 7/06/14 |
|
|
350 |
|
|
349,843 |
|
|
|
|
HCA Inc. Tranche A-1 Term Loan, 2.97% - 3.22%, 11/17/12 |
|
|
3,475 |
|
|
3,108,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,861,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 1.7% |
|
Harrah’s Operating Co., Inc. Term B-2 Loan, 3.319% - 4.092%, 1/28/15 |
|
|
990 |
|
|
758,725 |
|
|
|
|
Las Vegas Sands, LLC Delayed Draw I Term Loan, 2.07%, 5/23/14 |
|
|
172 |
|
|
122,813 |
|
|
|
|
Las Vegas Sands, LLC Tranche B Term Loan, 2.07%, 5/23/14 |
|
|
555 |
|
|
397,041 |
|
|
|
|
QCE, LLC (Quiznos) Term Loan (Second Lien), 3.50%, 11/05/13 |
|
|
973 |
|
|
620,455 |
|
5
|
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
VML US Finance LLC New Project Term Loan, 2.57%, 5/25/13 |
|
USD |
1,000 |
|
$ |
834,000 |
|
|
|
|
VML US Finance LLC Term B Delayed Draw Project Loan, 2.57%, 5/25/12 |
|
|
250 |
|
|
208,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,941,534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Services - 2.1% |
|
Audio Visual Services Group, Inc. Loan (Second Lien), 7.72%, 8/28/14 |
|
|
510 |
|
|
32,297 |
|
|
|
|
Audio Visual Services Group, Inc. Tranche B Term Loan (First Lien), 3.47%, 2/28/14 |
|
|
1,970 |
|
|
758,450 |
|
|
|
|
Ceridian Corp U.S. Term Loan, 3.316%, 11/09/14 |
|
|
1,483 |
|
|
1,091,809 |
|
|
|
|
First Data Corp. Initial Tranche B-2 Term Loan, 3.059% - 3.069%, 9/24/14 |
|
|
1,231 |
|
|
902,178 |
|
|
|
|
First Data Corp. Initial Tranche B-3 Term Loan, 3.059% - 3.069%, 9/24/14 |
|
|
392 |
|
|
287,632 |
|
|
|
|
RedPrairie Corp. Term Loan, 3.688%, 7/20/12 |
|
|
607 |
|
|
436,792 |
|
|
|
|
RedPrairie Corp. Term Loan, 5.25%, 7/20/12 |
|
|
260 |
|
|
187,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,696,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders - 0.3% |
|
Texas Competitive Electric Holdings Co., LLC (TXU) Initial Tranche B-2 Term Loan, 3.819% - 3.882%, 10/10/14 |
|
|
488 |
|
|
335,661 |
|
|
|
|
Texas Competitive Electric Holdings Co., LLC (TXU) Initial Tranche B-3 Term Loan, 3.819% - 3.882%, 10/10/14 |
|
|
229 |
|
|
156,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
492,072 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 0.1% |
|
Alliant Holdings I, Inc. Term Loan, 4.232%, 8/21/14 |
|
|
143 |
|
|
121,878 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail - 0.4% |
|
FTD Group, Inc. Tranche B Term Loan, 6.75%, 8/04/14 |
|
|
746 |
|
|
716,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products - 0.7% |
|
Fender Musical Instruments Corp. Delayed Draw Loan, 2.67%, 6/09/14 |
|
|
662 |
|
|
410,576 |
|
|
|
|
Fender Musical Instruments Corp. Initial Loan, 3.47%, 6/09/14 |
|
|
1,311 |
|
|
812,878 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,223,454 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 0.4% |
|
Life Technologies Corp. Term B Facility, 5.25%, 11/20/15 |
|
|
750 |
|
|
748,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery - 2.9% |
|
LN Acquisition Corp. (Lincoln Industrial) Initial Term Loan (Second Lien), 6.10%, 1/09/15 |
|
|
1,000 |
|
|
730,000 |
|
|
|
|
Navistar International Corp. Revolving Credit-Linked Deposit, 0.166% - 3.569%, 1/19/12 |
|
|
1,067 |
|
|
889,524 |
|
|
|
|
Navistar International Corp. Term Advance, 3.569%, 1/19/12 |
|
|
2,933 |
|
|
2,446,192 |
|
|
|
|
Oshkosh Truck Corp. Term B Loan, 7.15% - 7.32%, 12/06/13 |
|
|
1,195 |
|
|
1,022,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,088,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 12.0% |
|
Affinion Group Holdings, Inc. Loan, 9.273%, 3/01/12 |
|
|
2,000 |
|
|
1,300,000 |
|
|
|
|
Cengage Learning Acquisitions, Inc. (Thomson Learning) Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 |
|
|
5,709 |
|
|
5,472,451 |
|
|
|
|
Cequel Communications, LLC (aka Cebridge) Term Loan, 2.349% - 2.401%, 11/05/13 |
|
|
1,618 |
|
|
1,458,794 |
|
6
|
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Floating Rate Loan Interests |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Cequel Communications, LLC Tranche B Term Loan (Second Lien), 6.411%, 5/05/14 |
|
USD |
4,243 |
|
$ |
3,541,019 |
|
|
|
|
Ellis Communications KDOC, LLC Loan, 10%, 12/30/11 |
|
|
3,879 |
|
|
1,086,013 |
|
|
|
|
HMH Publishing Co. Ltd. (fka Education Media) Tranche A Term Loan, 7.66%, 6/12/14 |
|
|
4,642 |
|
|
3,307,722 |
|
|
|
|
Hanley-Wood, LLC (FSC Acquisition) Term Loan, 2.563% - 2.599%, 3/08/14 |
|
|
986 |
|
|
351,160 |
|
|
|
|
MCC Iowa LLC (Mediacom Broadband Group) Tranche D-1 Term Loan, 2.04%, 1/31/15 |
|
|
955 |
|
|
869,756 |
|
|
|
|
Newsday, LLC Fixed Rate Term Loan, 9.75%, 8/01/13 |
|
|
3,250 |
|
|
3,241,875 |
|
|
|
|
Penton Media, Inc. Term Loan (First Lien), 2.569% - 3.289%, 2/01/13 |
|
|
735 |
|
|
433,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,062,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 0.3% |
|
Euramax International, Inc. Domestic Loan (Second Lien), 13%, 6/29/13 |
|
|
692 |
|
|
20,769 |
|
|
|
|
Euramax International, Inc. Domestic Loan (Second Lien), 13%, 6/29/13 |
|
|
343 |
|
|
10,303 |
|
|
|
|
Euramax International, Inc. Domestic Term Loan, 8.75%, 6/29/12 |
|
|
1,632 |
|
|
413,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
444,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail - 0.4% |
|
Dollar General Corp. Tranche B-2 Term Loan, 3.068% - 3.07%, 7/07/14 |
|
|
750 |
|
|
685,715 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels - 1.3% |
|
Big West Oil, LLC Delayed Advance Loan, 6.50%, 5/15/14 |
|
|
550 |
|
|
431,750 |
|
|
|
|
Big West Oil, LLC Initial Advance Loan, 6.50%, 5/15/14 |
|
|
437 |
|
|
343,438 |
|
|
|
|
ScorpionDrilling Ltd. Second Lien, 8.72%, 5/08/14 |
|
|
2,000 |
|
|
1,600,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,375,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 0.3% |
|
Georgia-Pacific LLC Term B Loan, 2.323%, 12/20/12 |
|
|
600 |
|
|
555,975 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 0.3% |
|
Warner Chilcott Co., Inc. Tranche B Acquisition Date Term Loan, 2.319%, 1/18/12 |
|
|
370 |
|
|
349,999 |
|
|
|
|
Warner Chilcott Corp. Tranche C Acquisition Date Term Loan, 2.139%, 1/18/12 |
|
|
130 |
|
|
122,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
472,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development - 1.8% |
|
LNR Property Corp. Initial Tranche B Term Loan, 3.91%, 7/12/11 |
|
|
2,400 |
|
|
1,170,000 |
|
|
|
|
Realogy Corp. Synthetic LC, 0.166% - 3.15%, 10/10/13 |
|
|
2,947 |
|
|
2,048,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,218,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail - 0.4% |
|
Adesa, Inc. (KAR Holdings, Inc.) Initial Term Loan, 2.57% - 3.47%, 10/20/13 |
|
|
750 |
|
|
642,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.8% |
|
Cricket Communications, Inc. (aka Leap Wireless) Term B Loan, 5.75%, 6/16/13 |
|
|
425 |
|
|
426,771 |
|
|
|
|
Digicel Group Term Loan B, 3.75%, 3/01/12 |
|
|
1,000 |
|
|
907,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,334,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests - 46.4% |
|
|
|
|
|
81,275,162 |
|
|
|
|
|
|
|
|
|
|
|
|
7
|
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industry |
|
Non-U.S.
Government Agency |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
Commercial Mortgage-Backed Securities - 2.0% |
|
Crown Castle Towers LLC Series 2005-1A Class AFL, 0.699%, 6/15/35 (a)(d) |
|
USD |
1,680 |
|
$ |
1,596,000 |
|
|
|
|
Crown Castle Towers LLC Series 2005-1A Class AFX, 4.643%, 6/15/35 (a) |
|
|
2,035 |
|
|
1,984,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-U.S. Government Agency Mortgage-Backed Securities - 2.0% |
|
|
|
|
|
3,580,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 0.0% |
|
GEO Specialty Chemicals, Inc. (b) |
|
|
142,466 |
|
|
54,693 |
|
|
|
|
Wellman Holdings, Inc. (b) |
|
|
5,131 |
|
|
1,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 0.1% |
|
Smurfit Kappa Plc (b) |
|
|
18,171 |
|
|
101,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure - 0.0% |
|
Lodgian, Inc. (b) |
|
|
41,866 |
|
|
79,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 0.6% |
|
Ainsworth Lumber Co. Ltd. (b) |
|
|
375,634 |
|
|
533,302 |
|
|
|
|
Ainsworth Lumber Co. Ltd. (a)(b) |
|
|
421,556 |
|
|
596,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,129,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks - 0.7% |
|
|
|
|
|
1,366,994 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts |
|
Par |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 0.2% |
|
Citigroup, Inc. Series E, 8.40% (b)(c)(d)(g) |
|
USD |
425 |
|
|
371,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Capital Trusts - 0.2% |
|
|
|
|
|
371,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Interests (h) |
|
Beneficial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 0.0% |
|
Adelphia Preferred Escrow |
|
|
3 |
|
|
— |
|
|
|
|
Adelphia Recovery Trust Series ACC-6B INT |
|
|
250 |
|
|
25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests - 0.0% |
|
|
|
|
|
25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments |
|
|
|
|
|
202,842,033 |
|
|
|
|
Liabilities in Excess of Other Assets - (15.6)% |
|
|
|
|
|
(27,393,539 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets - 100.0% |
|
|
|
|
$ |
175,448,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of May 31, 2009, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
296,907,541 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
4,862,442 |
|
|
Gross unrealized depreciation |
|
|
(98,927,950 |
) |
|
|
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(94,065,508 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
|
|
(b) |
Non-income producing security. |
|
|
|
|
|
|
(c) |
Issuer filed for bankruptcy and/or is in default of interest payments. |
|
|
|
|
|
|
(d) |
Variable rate security. Rate shown is as of report date. |
8
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
(e) |
Convertible security. |
|
|
||
|
|
(f) |
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
|
|
||
|
|
(g) |
Security is perpetual in nature and has no stated maturity date. |
|
|
||
|
|
(h) |
Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing. |
|
|
||
|
|
• |
Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
Net Activity |
|
Income |
|
||
|
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Series, LLC |
|
|
|
|
|
|
|
|
Cash Sweep Series |
|
|
USD (4,346,896 |
) |
$ |
4,490 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
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. |
|
|
|
|
|
|
• |
Foreign currency exchange contracts as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Currency |
|
Currency |
|
Counterparty |
|
Settlement |
|
Unrealized |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
USD 817,266 |
|
|
CAD |
|
|
990,000 |
|
|
Citibank, NA |
|
|
6/10/09 |
|
$ |
(89,599 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single-name issues - buy protection outstanding as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Issuer |
|
Pay |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
First Data Corp. |
|
|
5% |
|
|
JPMorgan
Chase |
|
|
December 2013 |
|
|
USD |
|
|
5,000 |
|
$ |
208,859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Host Hotels & |
|
|
5% |
|
|
Goldman
Sachs |
|
|
March 2014 |
|
|
USD |
|
|
2,500 |
|
|
(308,770 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Masco Corp. |
|
|
5.30% |
|
|
JPMorgan
Chase |
|
|
March 2014 |
|
|
USD |
|
|
1,000 |
|
|
(81,238 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mohawk Industries, Inc. |
|
|
4.45% |
|
|
JPMorgan
Chase |
|
|
March 2014 |
|
|
USD |
|
|
1,000 |
|
|
(70,014 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lennar Corp. |
|
|
5.75% |
|
|
JPMorgan
Chase |
|
|
June 2014 |
|
|
USD |
|
|
1,100 |
|
|
(103,705 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(354,868 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
• |
Credit default swaps on single-name issues - sold protection outstanding as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Issuer |
|
Receive |
|
Counterparty |
|
Expiration |
|
Credit |
|
Notional |
|
Unrealized |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Ford Motor Co. |
|
|
2.05% |
|
Deutsche Bank AG |
|
March 2010 |
|
|
CCC+ |
|
USD5,000 |
|
$ |
(341,494 |
) |
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
1 Using Standard and Poor’s ratings of the issuer. |
|
|
|
|||
|
|
|
2 The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
|
|
|
|
|
|
|
|
• |
Currency Abbreviations: |
|
10
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
• |
Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”) clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows: |
|
|
|
||
|
|
• |
Level 1 - price quotations in active markets/exchanges for identical securities |
|
|
||
|
|
• |
Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are 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) |
|
|
|
|
|
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report. |
|
|
|
|
|
|
|
The following table summarizes the inputs used as of May 31, 2009 in determining the fair valuation of the Fund’s investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Valuation |
|
Investments in |
|
Other Financial |
|
|||||
|
|
|
|
|
|
|
|
|
|||
|
|
|
Assets |
|
Assets |
|
Liabilities |
|
|||
|
|
|
|
|
|
|
|
|
|||
|
Level 1 |
|
$ |
612,848 |
|
|
— |
|
|
— |
|
|
Level 2 |
|
|
157,578,970 |
|
$ |
208,859 |
|
$ |
(994,820 |
) |
|
Level 3 |
|
|
44,650,215 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
202,842,033 |
|
$ |
208,859 |
|
$ |
(994,820 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Other financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument. |
11
|
|
|
BlackRock Senior High Income Fund, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
Balance, as of February 28, 2009 |
|
$ |
52,636,697 |
|
|
Realized gain (loss) |
|
|
(3,884,608 |
) |
|
Change in unrealized appreciation (depreciation) |
|
|
8,066,512 |
|
|
Net purchases (sales) |
|
|
(12,538,407 |
) |
|
Net transfers in/out of Level 3 |
|
|
370,021 |
|
|
|
|
|
|
|
|
Balance as of May 31, 2009 |
|
$ |
44,650,215 |
|
|
|
|
|
|
|
12
| Item 2 – | Controls and Procedures |
|
2(a) – |
The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended. |
|
2(b) – |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
||
| Item 3 – | Exhibits | ||
| Certifications – Attached hereto | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | |||
| BlackRock Senior High Income Fund, Inc. | |||
|
By: |
/s/ Donald C. Burke | ||
| Donald C. Burke | |||
| Chief Executive Officer of | |||
| BlackRock Senior High Income Fund, Inc. | |||
| Date: July 15, 2009 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
|
By: |
/s/ Donald C. Burke | ||
| Donald C. Burke | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Senior High Income Fund, Inc. | |||
| Date: July 15, 2009 | |||
|
By: |
/s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Senior High Income Fund, Inc. | |||
| Date: July 15, 2009 | |||