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: John M. Perlowski, Chief Executive Officer, BlackRock Senior High Income Fund, 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: 02/28/2013

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Consolidated Schedule of Investments May 31, 2012 (Unaudited)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

American Airlines Pass-Through
Trust, Series 2011-2, Class A,
8.63%, 4/15/23

 

USD

325

 

$

341,366

 

CSAM Funding, Series 2A,
Class B1, 7.05%, 10/15/16

 

 

500

 

 

503,900

 

Fraser Sullivan CLO Ltd., Series
2012-7A, Class C, 4.47%,
4/20/23 (a)(b)

 

 

405

 

 

359,843

 

Gannett Peak CLO Ltd., Series
2006-1X, Class A2, 0.83%,
10/27/20 (b)

 

 

495

 

 

403,425

 

Goldentree Loan Opportunities VI
Ltd., Series 2012-6A, Class D,
4.61%, 4/17/22 (a)(b)

 

 

650

 

 

601,055

 

Greyrock CDO Ltd., Series 2005-
1X, Class A2L, 0.89%,
11/15/17 (b)

 

 

1,025

 

 

893,390

 

LCM LP (a)(b):

 

 

 

 

 

 

 

Series 11A, Class D2, 4.28%,
4/19/22

 

 

700

 

 

624,400

 

Series 9A, Class E, 4.67%,
7/14/22

 

 

500

 

 

396,200

 

Symphony CLO Ltd., Series 2012-
9A, Class D, 4.62%,
4/16/22 (a)(b)

 

 

525

 

 

487,042

 

Total Asset-Backed Securities – 2.0%

 

 

 

 

 

4,610,621

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

 

Shares

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

142,466

 

 

65,534

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

18,171

 

 

114,550

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

935

 

 

271,121

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

562,190

 

 

664,058

 

Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

75,676

 

 

757

 

Total Common Stocks – 0.5%

 

 

 

 

 

1,116,020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.,
7.13%, 3/15/21

 

USD

425

 

$

440,938

 

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

 

 

692

 

 

733,520

 

 

 

 

 

 

 

1,174,458

 

Airlines — 0.3%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Series 2009-
1, Class B, 9.75%, 6/17/18

 

 

89

 

 

94,746

 

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

 

 

589

 

 

595,140

 

 

 

 

 

 

 

689,886

 

Auto Components — 1.7%

 

 

 

 

 

 

 

Delphi Corp., 6.13%, 5/15/21

 

 

290

 

 

308,850

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

110

 

 

115,500

 

8.00%, 1/15/18

 

 

2,740

 

 

2,900,975

 

Titan International, Inc., 7.88%,
10/01/17

 

 

490

 

 

507,150

 

Venture Holdings Co. LLC (c)(d):

 

 

 

 

 

 

 

12.00%, 7/01/49

 

 

700

 

 

—

 

Series B, 9.50%, 7/01/05

 

 

3,325

 

 

—

 

 

 

 

 

 

 

3,832,475

 

Biotechnology — 0.0%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%,
3/15/15 (a)

 

 

73

 

 

73,251

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

485

 

 

509,250

 

6.75%, 5/01/21

 

 

410

 

 

419,225

 

 

 

 

 

 

 

928,475

 

Capital Markets — 0.9%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%,
12/31/13 (e)

 

 

600

 

 

601,686

 

E*Trade Financial Corp., 12.50%,
11/30/17

 

 

935

 

 

1,072,913

 

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

 

 

280

 

 

301,372

 

 

 

 

 

 

 

1,975,971

 

Chemicals — 4.4%

 

 

 

 

 

 

 

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

 

 

610

 

 

606,950

 

Celanese US Holdings LLC, 5.88%,
6/15/21

 

 

745

 

 

776,663

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/31/15 (f)(g)

 

 

1,869

 

 

2,223,661

 

10.00%, 3/31/15

 

 

1,839

 

 

1,838,720

 

Hexion US Finance Corp., 6.63%,
4/15/20 (a)

 

 

905

 

 

916,312

 

Huntsman International LLC,
8.63%, 3/15/21

 

 

395

 

 

442,400

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

1


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Ineos Finance Plc (a):

 

 

 

 

 

 

 

8.38%, 2/15/19

 

USD

805

 

$

827,138

 

7.50%, 5/01/20

 

 

375

 

 

371,250

 

Kinove German Bondco GmbH,
9.63%, 6/15/18 (a)

 

 

400

 

 

409,000

 

LyondellBasell Industries NV (a):

 

 

 

 

 

 

 

6.00%, 11/15/21

 

 

535

 

 

572,450

 

5.75%, 4/15/24

 

 

935

 

 

958,375

 

NOVA Chemicals Corp., 8.63%,
11/01/19

 

 

300

 

 

335,250

 

 

 

 

 

 

 

10,278,169

 

Commercial Banks — 0.5%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

5.00%, 5/15/17

 

 

330

 

 

324,225

 

5.50%, 2/15/19 (a)

 

 

760

 

 

739,100

 

 

 

 

 

 

 

1,063,325

 

Commercial Services & Supplies — 1.4%

 

 

 

 

 

 

 

ARAMARK Holdings Corp., 8.63%,
5/01/16 (a)(f)

 

 

330

 

 

337,428

 

AWAS Aviation Capital Ltd., 7.00%,
10/17/16 (a)

 

 

500

 

 

516,151

 

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

 

 

25

 

 

24,000

 

Covanta Holding Corp., 6.38%,
10/01/22

 

 

420

 

 

435,489

 

The Geo Group, Inc., 7.75%,
10/15/17

 

 

450

 

 

480,375

 

Iron Mountain, Inc., 7.75%,
10/01/19

 

 

230

 

 

244,950

 

Mead Products LLC / ACCO Brands
Corp., 6.75%, 4/30/20 (a)

 

 

675

 

 

693,562

 

Mobile Mini, Inc., 7.88%,
12/01/20

 

 

335

 

 

351,750

 

West Corp., 8.63%, 10/01/18

 

 

165

 

 

172,013

 

 

 

 

 

 

 

3,255,718

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Hughes Satellite Systems Corp.,
6.50%, 6/15/19

 

 

320

 

 

324,800

 

Construction Materials — 0.4%

 

 

 

 

 

 

 

HD Supply, Inc., 8.13%,
4/15/19 (a)

 

 

810

 

 

844,425

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

140

 

 

157,150

 

6.63%, 8/15/17

 

 

300

 

 

348,342

 

 

 

 

 

 

 

505,492

 

Containers & Packaging — 1.0%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc,
9.13%, 10/15/20 (a)

 

 

300

 

 

309,000

 

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

 

 

325

 

 

352,625

 

Berry Plastics Corp., 8.25%,
11/15/15

 

 

540

 

 

571,050

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging (concluded)

 

 

 

 

 

 

 

Crown Americas LLC, 6.25%,
2/01/21

 

USD

535

 

$

579,137

 

Sealed Air Corp. (a):

 

 

 

 

 

 

 

8.13%, 9/15/19

 

 

405

 

 

439,425

 

8.38%, 9/15/21

 

 

110

 

 

121,000

 

 

 

 

 

 

 

2,372,237

 

Diversified Consumer Services — 0.2%

 

 

 

 

 

 

 

ServiceMaster Co., 8.00%,
2/15/20

 

 

435

 

 

456,206

 

Diversified Financial Services — 3.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

3,670

 

 

3,926,900

 

8.00%, 11/01/31

 

 

230

 

 

258,750

 

8.00%, 11/01/31

 

 

370

 

 

413,536

 

CNG Holdings, Inc., 9.38%,
5/15/20 (a)

 

 

260

 

 

261,300

 

DPL, Inc., 7.25%, 10/15/21 (a)

 

 

95

 

 

103,313

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.13%, 4/15/19

 

 

560

 

 

575,400

 

9.88%, 8/15/19

 

 

1,065

 

 

1,062,337

 

6.88%, 2/15/21

 

 

695

 

 

705,425

 

8.50%, 2/15/21

 

 

100

 

 

92,750

 

WMG Acquisition Corp., 9.50%,
6/15/16 (a)

 

 

105

 

 

112,087

 

 

 

 

 

 

 

7,511,798

 

Diversified Telecommunication Services — 1.3%

 

 

 

 

 

 

 

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

 

 

520

 

 

547,300

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

4.51%, 2/15/15 (b)

 

 

1,295

 

 

1,233,487

 

8.13%, 7/01/19

 

 

1,130

 

 

1,130,000

 

 

 

 

 

 

 

2,910,787

 

Energy Equipment & Services — 2.4%

 

 

 

 

 

 

 

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

 

 

920

 

 

864,800

 

Cie Generale de Geophysique -
Veritas, 6.50%, 6/01/21

 

 

1,105

 

 

1,082,900

 

Frac Tech Services LLC, 8.13%,
11/15/18 (a)

 

 

625

 

 

618,750

 

Gulfmark Offshore, Inc., 6.38%,
3/15/22 (a)

 

 

70

 

 

70,350

 

Hornbeck Offshore Services, Inc.,
5.88%, 4/01/20 (a)

 

 

140

 

 

137,200

 

Key Energy Services, Inc., 6.75%,
3/01/21

 

 

380

 

 

381,425

 

MEG Energy Corp., 6.50%,
3/15/21 (a)

 

 

490

 

 

499,800

 

Oil States International, Inc.,
6.50%, 6/01/19

 

 

270

 

 

278,775

 

Peabody Energy Corp., 6.25%,
11/15/21 (a)

 

 

1,090

 

 

1,087,275

 

Precision Drilling Corp.:

 

 

 

 

 

 

 

6.63%, 11/15/20

 

 

130

 

 

131,950

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

2


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

Precision Drilling Corp. (concluded):

 

 

 

 

 

 

 

6.50%, 12/15/21

 

USD

445

 

$

448,337

 

 

 

 

 

 

 

5,601,562

 

Food Products — 0.2%

 

 

 

 

 

 

 

Constellation Brands, Inc.,
6.00%, 5/01/22

 

 

245

 

 

260,313

 

Post Holdings, Inc., 7.38%,
2/15/22 (a)

 

 

140

 

 

142,450

 

 

 

 

 

 

 

402,763

 

Health Care Equipment & Supplies — 0.8%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., 9.88%,
11/01/15

 

 

65

 

 

68,088

 

Biomet, Inc., 10.38%, 10/15/17 (f)

 

 

435

 

 

463,003

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

150

 

 

152,625

 

8.75%, 3/15/18 (a)

 

 

115

 

 

115,575

 

7.75%, 4/15/18

 

 

30

 

 

24,225

 

Fresenius Medical Care US Finance II,
Inc. (a):

 

 

 

 

 

 

 

5.63%, 7/31/19

 

 

360

 

 

357,300

 

5.88%, 1/31/22

 

 

340

 

 

338,300

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

250

 

 

265,000

 

 

 

 

 

 

 

1,784,116

 

Health Care Providers & Services — 2.7%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP:

 

 

 

 

 

 

 

7.75%, 2/15/19

 

 

235

 

 

244,400

 

7.75%, 2/15/19 (a)

 

 

130

 

 

133,900

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

25

 

 

27,594

 

6.50%, 2/15/20

 

 

1,030

 

 

1,087,937

 

7.88%, 2/15/20

 

 

1,174

 

 

1,288,465

 

5.88%, 3/15/22

 

 

785

 

 

779,113

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

695

 

 

762,763

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

430

 

 

490,200

 

8.88%, 7/01/19

 

 

1,015

 

 

1,129,187

 

Vanguard Health Holding Co. II
LLC, 7.75%, 2/01/19 (a)

 

 

300

 

 

294,000

 

 

 

 

 

 

 

6,237,559

 

Health Care Technology — 0.9%

 

 

 

 

 

 

 

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

 

 

1,730

 

 

2,024,100

 

Hotels, Restaurants & Leisure — 1.1%

 

 

 

 

 

 

 

Affinity Gaming LLC/Affinity
Gaming Finance Corp., 9.00%,
5/15/18 (a)

 

 

125

 

 

125,000

 

Caesars Entertainment Operating Co.,
Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

75

 

 

79,688

 

8.50%, 2/15/20 (a)

 

 

905

 

 

901,606

 

Carlson Wagonlit BV, 6.88%,
6/15/19 (a)

 

 

200

 

 

199,000

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%,
8/15/18

 

USD

540

 

$

581,850

 

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

 

 

282

 

 

256,620

 

Tropicana Entertainment LLC,
9.63%, 12/15/14 (c)(d)

 

 

220

 

 

—

 

Wynn Las Vegas LLC, 5.38%,
3/15/22 (a)

 

 

525

 

 

508,594

 

 

 

 

 

 

 

2,652,358

 

Household Durables — 1.0%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%,
10/15/17

 

 

860

 

 

926,650

 

Libbey Glass, Inc., 6.88%,
5/15/20 (a)

 

 

90

 

 

90,225

 

Standard Pacific Corp., 8.38%,
1/15/21

 

 

1,120

 

 

1,198,400

 

 

 

 

 

 

 

2,215,275

 

Independent Power Producers & Energy Traders — 3.4%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

7.75%, 10/15/15

 

 

155

 

 

172,050

 

9.75%, 4/15/16

 

 

674

 

 

790,265

 

The, 7.38%, 7/01/21 (a)

 

 

70

 

 

75,600

 

Calpine Corp. (a):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

350

 

 

369,250

 

7.50%, 2/15/21

 

 

190

 

 

198,550

 

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

 

 

775

 

 

823,437

 

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

 

 

4,160

 

 

4,482,400

 

Laredo Petroleum, Inc.:

 

 

 

 

 

 

 

9.50%, 2/15/19

 

 

520

 

 

577,200

 

7.38%, 5/01/22 (a)

 

 

215

 

 

219,838

 

QEP Resources, Inc., 5.38%,
10/01/22

 

 

178

 

 

173,995

 

 

 

 

 

 

 

7,882,585

 

Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,430

 

 

1,517,588

 

13.50%, 12/01/15

 

 

1,930

 

 

2,048,188

 

 

 

 

 

 

 

3,565,776

 

Insurance — 0.6%

 

 

 

 

 

 

 

CNO Financial Group, Inc., 9.00%,
1/15/18 (a)

 

 

851

 

 

902,060

 

Genworth Financial, Inc., 7.63%,
9/24/21

 

 

370

 

 

359,070

 

MPL 2 Acquisition Canco, Inc.,
9.88%, 8/15/18 (a)

 

 

220

 

 

189,200

 

 

 

 

 

 

 

1,450,330

 

IT Services — 0.7%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (a)

 

 

445

 

 

445,000

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

3


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

IT Services (concluded)

 

 

 

 

 

 

 

First Data Corp. (concluded):

 

 

 

 

 

 

 

8.25%, 1/15/21 (a)

 

USD

651

 

$

631,470

 

12.63%, 1/15/21

 

 

288

 

 

271,440

 

SunGard Data Systems, Inc.,
7.63%, 11/15/20

 

 

315

 

 

322,875

 

 

 

 

 

 

 

1,670,785

 

Machinery — 0.9%

 

 

 

 

 

 

 

UR Financing Escrow Corp. (a):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

462

 

 

470,085

 

7.38%, 5/15/20

 

 

300

 

 

307,500

 

7.63%, 4/15/22

 

 

1,245

 

 

1,273,012

 

 

 

 

 

 

 

2,050,597

 

Media — 6.1%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%,
7/15/21 (a)

 

 

190

 

 

210,900

 

CCO Holdings LLC, 7.88%,
4/30/18

 

 

405

 

 

434,362

 

Cengage Learning Acquisitions,
Inc., 11.50%, 4/15/20 (a)

 

 

500

 

 

498,750

 

Checkout Holding Corp., 0.01%,
11/15/15 (a)(h)

 

 

570

 

 

222,300

 

Cinemark USA, Inc., 8.63%,
6/15/19

 

 

195

 

 

212,063

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

340

 

 

363,800

 

7.63%, 3/15/20 (a)

 

 

1,195

 

 

1,141,225

 

Series B, 9.25%, 12/15/17

 

 

4,301

 

 

4,623,575

 

DISH DBS Corp., 5.88%,
7/15/22 (a)

 

 

335

 

 

326,625

 

Interactive Data Corp., 10.25%,
8/01/18

 

 

810

 

 

897,075

 

Lamar Media Corp., 5.88%,
2/01/22 (a)

 

 

255

 

 

256,594

 

NAI Entertainment Holdings LLC,
8.25%, 12/15/17 (a)

 

 

530

 

 

577,700

 

Nielsen Finance LLC, 7.75%,
10/15/18

 

 

640

 

 

688,000

 

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

 

 

220

 

 

189,200

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17 (a)

 

 

1,500

 

 

1,582,500

 

7.50%, 3/15/19

 

 

540

 

 

569,708

 

Virgin Media Secured Finance Plc,
6.50%, 1/15/18

 

 

1,250

 

 

1,362,500

 

 

 

 

 

 

 

14,156,877

 

Metals & Mining — 1.4%

 

 

 

 

 

 

 

FMG Resources August 2006 Property
Ltd. (a):

 

 

 

 

 

 

 

6.88%, 2/01/18

 

 

230

 

 

225,975

 

6.88%, 4/01/22

 

 

425

 

 

409,063

 

Global Brass and Copper, Inc.,
9.50%, 6/01/19 (a)

 

 

255

 

 

257,550

 

Kaiser Aluminum Corp., 8.25%,
6/01/20 (a)

 

 

190

 

 

190,950

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining (concluded)

 

 

 

 

 

 

 

New Gold, Inc., 7.00%,
4/15/20 (a)

 

USD

65

 

$

66,300

 

Novelis, Inc., 8.75%, 12/15/20

 

 

1,895

 

 

2,003,962

 

RathGibson, Inc., 11.25%,
2/15/14 (c)(d)

 

 

2,175

 

 

—

 

 

 

 

 

 

 

3,153,800

 

Oil, Gas & Consumable Fuels — 7.2%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

115

 

 

102,925

 

6.25%, 6/01/21

 

 

310

 

 

275,900

 

Berry Petroleum Co., 6.38%,
9/15/22

 

 

180

 

 

183,600

 

Chaparral Energy, Inc., 7.63%,
11/15/22 (a)

 

 

115

 

 

117,588

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

290

 

 

272,600

 

6.88%, 11/15/20

 

 

150

 

 

142,125

 

6.13%, 2/15/21

 

 

235

 

 

220,900

 

Chesapeake Midstream Partners
LP, 6.13%, 7/15/22

 

 

415

 

 

394,250

 

Chesapeake Oilfield Operating LLC,
6.63%, 11/15/19 (a)

 

 

5

 

 

4,325

 

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

 

 

105

 

 

111,825

 

Concho Resources, Inc., 5.50%,
10/01/22

 

 

210

 

 

206,325

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

1,110

 

 

1,110,000

 

6.38%, 3/01/21

 

 

230

 

 

210,450

 

Crosstex Energy LP:

 

 

 

 

 

 

 

8.88%, 2/15/18

 

 

55

 

 

57,750

 

7.13%, 6/01/22 (a)

 

 

195

 

 

193,538

 

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

 

 

26

 

 

28,080

 

Energy XXI Gulf Coast, Inc., 7.75%,
6/15/19

 

 

665

 

 

671,650

 

Everest Acquisition LLC / Everest
Acquisition Finance, Inc. (a):

 

 

 

 

 

 

 

6.88%, 5/01/19

 

 

170

 

 

174,250

 

9.38%, 5/01/20

 

 

125

 

 

128,125

 

Forest Oil Corp., 8.50%, 2/15/14

 

 

110

 

 

115,500

 

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

 

 

1,105

 

 

1,154,725

 

Holly Energy Partners LP, 6.50%,
3/01/20 (a)

 

 

80

 

 

79,600

 

Kodiak Oil & Gas Corp., 8.13%,
12/01/19 (a)

 

 

385

 

 

396,550

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.25%, 11/01/19 (a)

 

 

1,460

 

 

1,390,650

 

8.63%, 4/15/20

 

 

190

 

 

201,400

 

7.75%, 2/01/21

 

 

485

 

 

495,912

 

Newfield Exploration Co., 5.75%,
1/30/22

 

 

540

 

 

568,350

 

Northern Oil and Gas, Inc., 8.00%,
6/01/20 (a)

 

 

265

 

 

263,675

 

       

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

4


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

USD

170

 

$

175,100

 

6.50%, 11/01/21

 

 

155

 

 

155,000

 

Offshore Group Investments Ltd.:

 

 

 

 

 

 

 

11.50%, 8/01/15 (a)

 

 

210

 

 

223,650

 

11.50%, 8/01/15

 

 

165

 

 

175,725

 

OGX Petroleo e Gas Participacoes SA
(a):

 

 

 

 

 

 

 

8.50%, 6/01/18

 

 

2,695

 

 

2,593,937

 

8.38%, 4/01/22

 

 

295

 

 

279,513

 

Petrohawk Energy Corp., 7.25%,
8/15/18

 

 

275

 

 

313,423

 

Pioneer Natural Resources Co.,
7.20%, 1/15/28

 

 

570

 

 

703,545

 

Plains Exploration & Production
Co., 6.75%, 2/01/22

 

 

90

 

 

89,100

 

Range Resources Corp.:

 

 

 

 

 

 

 

5.75%, 6/01/21

 

 

645

 

 

664,350

 

5.00%, 8/15/22

 

 

298

 

 

286,080

 

Samson Investment Co., 9.75%,
2/15/20 (a)

 

 

370

 

 

368,150

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

7.50%, 3/15/21

 

 

120

 

 

116,400

 

8.13%, 10/15/22 (a)

 

 

110

 

 

108,350

 

SESI LLC:

 

 

 

 

 

 

 

6.38%, 5/01/19

 

 

280

 

 

294,000

 

7.13%, 12/15/21 (a)

 

 

275

 

 

299,750

 

SM Energy Co., 6.50%, 11/15/21

 

 

225

 

 

230,063

 

Targa Resources Partners LP,
6.88%, 2/01/21

 

 

250

 

 

257,500

 

 

 

 

 

 

 

16,606,204

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Clearwater Paper Corp., 10.63%,
6/15/16

 

 

365

 

 

406,975

 

Longview Fibre Paper & Packaging,
Inc., 8.00%, 6/01/16 (a)

 

 

145

 

 

143,913

 

 

 

 

 

 

 

550,888

 

Pharmaceuticals — 0.3%

 

 

 

 

 

 

 

Valeant Pharmaceuticals
International (a):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

380

 

 

387,600

 

7.25%, 7/15/22

 

 

350

 

 

329,000

 

 

 

 

 

 

 

716,600

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%,
6/01/19

 

 

950

 

 

952,375

 

Real Estate Management & Development — 0.8%

 

 

 

 

 

 

 

Realogy Corp., 7.63%, 1/15/20 (a)

 

 

1,130

 

 

1,161,075

 

Shea Homes LP, 8.63%, 5/15/19

 

 

655

 

 

682,838

 

 

 

 

 

 

 

1,843,913

 

Road & Rail — 1.1%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
8.25%, 1/15/19

 

 

160

 

 

165,600

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

Florida East Coast Railway Corp.,
8.13%, 2/01/17

 

USD

200

 

$

205,000

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

780

 

 

812,175

 

6.75%, 4/15/19

 

 

135

 

 

138,038

 

6.75%, 4/15/19 (a)

 

 

150

 

 

153,375

 

7.38%, 1/15/21

 

 

1,095

 

 

1,148,381

 

 

 

 

 

 

 

2,622,569

 

Software — 0.6%

 

 

 

 

 

 

 

Lawson Software, Inc., 9.38%,
4/01/19 (a)

 

 

1,335

 

 

1,375,050

 

Specialty Retail — 0.7%

 

 

 

 

 

 

 

Claire’s Stores, Inc., 9.00%,
3/15/19 (a)

 

 

225

 

 

225,000

 

Penske Automotive Group, Inc.,
7.75%, 12/15/16

 

 

845

 

 

874,575

 

Sally Holdings LLC:

 

 

 

 

 

 

 

6.88%, 11/15/19 (a)

 

 

350

 

 

372,750

 

5.75%, 6/01/22

 

 

160

 

 

161,800

 

 

 

 

 

 

 

1,634,125

 

Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Levi Strauss & Co., 6.88%,
5/01/22 (a)

 

 

140

 

 

138,950

 

PVH Corp., 7.75%, 11/15/23

 

 

215

 

 

246,175

 

 

 

 

 

 

 

385,125

 

Transportation Infrastructure — 0.1%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (a)

 

 

176

 

 

179,520

 

Wireless Telecommunication Services — 4.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.,
7.75%, 5/15/16

 

 

1,770

 

 

1,867,350

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

12.00%, 4/01/14

 

 

800

 

 

880,000

 

8.25%, 9/01/17

 

 

270

 

 

271,350

 

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

 

 

1,450

 

 

1,439,125

 

MetroPCS Wireless, Inc., 6.63%,
11/15/20

 

 

460

 

 

445,050

 

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

 

 

2,440

 

 

1,811,700

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

1,150

 

 

1,244,875

 

7.00%, 3/01/20

 

 

1,725

 

 

1,737,937

 

 

 

 

 

 

 

9,697,387

 

Total Corporate Bonds – 56.1%

 

 

 

 

 

129,609,712

 

 

 

Floating Rate Loan Interests (b)

 

 

 

 

 

 

 

Aerospace & Defense — 0.3%

 

 

 

 

 

 

 

TransDigm, Inc.:

 

 

 

 

 

 

 

Add on Term Loan B2, 4.00%,
2/14/17

 

 

189

 

 

187,868

 

       

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

5


 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Aerospace & Defense (concluded)

 

 

 

 

 

 

 

TransDigm, Inc. (concluded):

 

 

 

 

 

 

 

Term Loan (First Lien), 4.00%,
2/14/17

 

USD

601

 

$

595,496

 

 

 

 

 

 

 

783,364

 

Airlines — 0.4%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit - New
Term Loan B, 5.50%, 4/20/17

 

 

1,006

 

 

1,000,337

 

Auto Components — 2.3%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan B, 2.75%, 8/07/14

 

 

1,775

 

 

1,741,089

 

August LuxUK Holding Co. Sarl,
Luxco Term Loan, 6.25%,
4/27/18

 

 

105

 

 

104,826

 

Autoparts Holdings Ltd.:

 

 

 

 

 

 

 

First Lien Term Loan, 6.50%,
7/28/17

 

 

861

 

 

832,703

 

Second Lien Term Loan,
10.50%, 1/29/18

 

 

900

 

 

814,500

 

Federal-Mogul Corp., Term Loan B,
2.18%, 12/29/14

 

 

499

 

 

468,776

 

TheGoodyear Tire & Rubber
Company, Term Loan (Second
Lien), 4.75%, 4/30/19

 

 

950

 

 

919,724

 

Schaeffler AG, Term Loan C2,
6.00%, 1/27/17

 

 

495

 

 

492,525

 

 

 

 

 

 

 

5,374,143

 

Biotechnology — 0.3%

 

 

 

 

 

 

 

Grifols, Inc., Term Loan B, 4.50%,
6/01/17

 

 

655

 

 

645,743

 

Building Products — 1.3%

 

 

 

 

 

 

 

Armstrong World Industries, Inc.,
Term Loan B, 4.00%, 3/09/18

 

 

474

 

 

468,399

 

CPG International, Inc., Term Loan
B, 6.00%, 2/18/17

 

 

593

 

 

570,281

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

Initial Term Loan (First Lien),
5.75%, 10/28/16

 

 

1,629

 

 

1,622,850

 

Term Loan (Second Lien),
9.00%, 10/30/17

 

 

382

 

 

385,064

 

 

 

 

 

 

 

3,046,594

 

Capital Markets — 1.1%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan
(First Lien), 6.25%, 12/16/16

 

 

799

 

 

799,363

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

(First Lien), Term Loan, 5.97%,
5/13/17

 

 

371

 

 

364,138

 

Incremental Term Loan,
7.25%, 5/13/17

 

 

295

 

 

294,262

 

Term Loan, 5.97%, 5/12/17

 

 

1,004

 

 

990,315

 

 

 

 

 

 

 

2,448,078

 

Chemicals — 4.3%

 

 

 

 

 

 

 

American Rock Salt Holdings LLC,
Term Loan, 5.50%, 4/25/17

 

 

1,183

 

 

1,121,437

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Chemtura Corp., Exit Term Loan B,
5.50%, 8/27/16

 

USD

800

 

$

799,336

 

Gentek, Inc., Term Loan B, 5.00% -
5.75%, 10/06/15

 

 

689

 

 

689,176

 

Ineos US Finance LLC, 6 year Term
Loan, 6.50%, 5/04/18

 

 

3,200

 

 

3,134,272

 

Nexeo Solutions LLC, Term Loan B,
5.00% - 5.75%, 9/08/17

 

 

866

 

 

843,511

 

PolyOne Corp., Term Loan, 5.00%,
12/20/17

 

 

349

 

 

348,144

 

PQ Corp., 3.99%, 7/30/14

 

 

1,735

 

 

1,663,711

 

Styron Sarl LLC, Term Loan B,
6.00% - 6.75%, 8/02/17

 

 

355

 

 

316,476

 

Tronox Worldwide LLC, Term Loan
B, 4.25%, 2/08/18

 

 

389

 

 

382,122

 

Univar, Inc., Term Loan B, 5.00%,
6/30/17

 

 

669

 

 

649,858

 

 

 

 

 

 

 

9,948,043

 

Commercial Services & Supplies — 2.9%

 

 

 

 

 

 

 

ACCO Brands Corp., Term Loan B,
4.25%, 4/30/19

 

 

711

 

 

710,536

 

Altegrity, Inc., Tranche D Term
Loan, 7.75%, 2/20/15

 

 

1,273

 

 

1,262,508

 

AWAS Finance Luxembourg Sarl,
Term Loan B, 5.25%, 6/10/16

 

 

575

 

 

572,306

 

Delos Aircraft, Inc., Term Loan B2,
4.75%, 4/12/16

 

 

1,075

 

 

1,073,656

 

KAR Auction Services, Inc., Term
Loan B, 5.00%, 5/19/17

 

 

1,241

 

 

1,237,523

 

Protection One Alarm Monitoring,
Inc., Term Loan, 5.75%,
3/16/19

 

 

510

 

 

505,961

 

Synagro Technologies, Inc., Term
Loan B, 2.24%, 4/02/14

 

 

490

 

 

427,947

 

Volume Services America, Inc.,
Term Loan B, 10.50%, 9/16/16

 

 

985

 

 

979,258

 

 

 

 

 

 

 

6,769,695

 

Communications Equipment — 1.4%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B1, 3.22%,
10/24/14

 

 

954

 

 

898,442

 

Term Loan B3, 4.97%,
10/26/17

 

 

175

 

 

153,813

 

CommScope, Inc., Term Loan B,
4.25%, 1/12/18

 

 

827

 

 

821,383

 

Telesat LLC, Term Loan B, 4.25%,
3/26/19

 

 

1,385

 

 

1,366,455

 

 

 

 

 

 

 

3,240,093

 

Construction & Engineering — 0.9%

 

 

 

 

 

 

 

BakerCorp. International, Inc.,
Term Loan B, 4.75%, 6/01/18

 

 

680

 

 

672,339

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

6


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Construction & Engineering (concluded)

 

 

 

 

 

 

 

Safway Services LLC, First Out
Tranche Loan, 9.00%, 12/16/17

 

USD

1,500

 

$

1,500,000

 

 

 

 

 

 

 

2,172,339

 

Construction Materials — 0.9%

 

 

 

 

 

 

 

HD Supply, Inc., Senior Debt B,
7.25%, 10/12/17

 

 

2,115

 

 

2,123,460

 

Consumer Finance — 0.6%

 

 

 

 

 

 

 

Springleaf Finance Corp., Term
Loan, 5.50%, 5/10/17

 

 

1,610

 

 

1,484,549

 

Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Sealed Air Corp., Term Loan B,
4.75%, 10/03/18

 

 

909

 

 

909,494

 

Diversified Consumer Services — 2.7%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan, 3.24%, 11/20/14

 

 

2,160

 

 

2,008,591

 

Education Management LLC, Term
Loan C3, 8.25%, 3/29/18

 

 

575

 

 

562,925

 

Laureate Education, Inc., Extended
Term Loan, 5.25%, 8/15/18

 

 

2,142

 

 

2,052,308

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
2.74%, 7/24/14

 

 

86

 

 

84,147

 

Term Loan, 2.79%, 7/24/14

 

 

868

 

 

845,019

 

Weight Watchers International,
Inc., Term Loan F, 4.00%,
3/12/19

 

 

630

 

 

618,345

 

 

 

 

 

 

 

6,171,335

 

Diversified Financial Services — 1.2%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.:

 

 

 

 

 

 

 

Tranche B Term Loan, 6.50%,
2/09/18

 

 

450

 

 

450,677

 

Tranche C Term Loan, 6.50%,
8/09/18

 

 

2,198

 

 

2,203,940

 

 

 

 

 

 

 

2,654,617

 

Diversified Telecommunication Services — 3.0%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan B, 7.00%,
2/28/17

 

 

870

 

 

858,037

 

Integra Telecom Holdings, Inc.,
Term Loan B, 9.25%, 4/15/15

 

 

909

 

 

880,221

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B2, 5.75%,
9/03/18

 

 

2,050

 

 

2,030,607

 

Term Loan B3, 5.75%,
8/31/18

 

 

775

 

 

767,669

 

Tranche A Term Loan, 2.49% -
2.72%, 3/13/14

 

 

1,100

 

 

1,070,212

 

US Telepacific Corp., Term Loan B,
5.75%, 2/23/17

 

 

1,368

 

 

1,288,020

 

 

 

 

 

 

 

6,894,766

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Electronic Equipment, Instruments & Components — 0.5%

 

 

 

 

 

 

 

CDW LLC, Extended Term Loan,
4.00%, 7/14/17

 

USD

431

 

$

411,869

 

Sensata Technologies Finance Co.
LLC, Term Loan, 4.00%,
5/11/18

 

 

775

 

 

762,260

 

 

 

 

 

 

 

1,174,129

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC,
Coal Co. Term Loan, 9.25%,
8/04/16

 

 

861

 

 

878,031

 

Dynegy Power LLC, Gas Co. Term
Loan, 9.25%, 8/04/16

 

 

1,576

 

 

1,624,366

 

MEG Energy Corp., Term Loan B,
4.00%, 3/16/18

 

 

1,552

 

 

1,533,636

 

Tervita Corp., Term Loan B, 3.24%,
11/14/14

 

 

1,203

 

 

1,153,659

 

 

 

 

 

 

 

5,189,692

 

Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

US Foods, Inc. (FKA US
Foodservice, Inc.), Term Loan B,
2.74%, 7/03/14

 

 

643

 

 

621,048

 

Food Products — 2.0%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan
(First Lien), 7.00%, 9/30/16

 

 

2,278

 

 

2,279,913

 

Del Monte Corp., Term Loan,
4.50%, 3/08/18

 

 

1,042

 

 

1,015,100

 

Pinnacle Foods Finance LLC:

 

 

 

 

 

 

 

Term Loan E, 4.75%,
10/17/18

 

 

733

 

 

726,515

 

Tranche B Term Loan, 3.97%,
10/03/16

 

 

119

 

 

117,830

 

Solvest Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-2 Term Loan,
5.00% - 6.00%, 7/06/18

 

 

203

 

 

202,367

 

Tranche C-2 Term Loan,
5.00% - 6.00%, 7/06/18

 

 

364

 

 

362,131

 

 

 

 

 

 

 

4,703,856

 

Health Care Equipment & Supplies — 1.9%

 

 

 

 

 

 

 

Bausch & Lomb, Inc., Term Loan B,
5.25%, 5/17/19

 

 

1,135

 

 

1,114,525

 

DJO Finance LLC:

 

 

 

 

 

 

 

Term Loan B2, 5.24%,
11/01/16

 

 

356

 

 

352,820

 

Term Loan B3, 6.25%,
9/15/17

 

 

1,235

 

 

1,220,081

 

Hupah Finance Inc., Term Loan B,
6.25%, 1/21/19

 

 

675

 

 

677,113

 

Immucor, Inc., Term Loan B,
7.25%, 8/17/18

 

 

975

 

 

973,276

 

 

 

 

 

 

 

4,337,815

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

7


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
 (Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Health Care Providers & Services — 2.9%

 

 

 

 

 

 

 

ConvaTec, Inc., Term Loan, 5.75%,
12/22/16

 

USD

1,068

 

$

1,059,454

 

DaVita, Inc., Term Loan B, 4.50%,
10/20/16

 

 

1,086

 

 

1,079,222

 

Emergency Medical Services, Term
Loan, 5.25% - 6.00%, 5/25/18

 

 

863

 

 

851,061

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan A, 8.50%, 3/02/15

 

 

304

 

 

298,217

 

Tranche A Additional Term
Loan, 7.75%, 3/02/15

 

 

1,070

 

 

1,048,524

 

inVentiv Health, Inc.:

 

 

 

 

 

 

 

Combined Term Loan B,
6.50%, 8/04/16

 

 

140

 

 

131,268

 

Incremental Term Loan B-3,
6.75%, 5/15/18

 

 

620

 

 

588,293

 

Medpace, Inc., Term Loan,
6.50% - 7.25%, 6/16/17

 

 

1,042

 

 

1,000,440

 

Wolverine Healthcare, Term Loan B,
6.75%, 5/12/17

 

 

560

 

 

550,900

 

 

 

 

 

 

 

6,607,379

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., Term Loan B,
4.50%, 8/25/17

 

 

1,028

 

 

1,019,105

 

Kinetic Concepts, Inc., Term
Loan B, 7.00%, 5/04/18

 

 

698

 

 

702,181

 

MedAssets, Inc., Term Loan,
5.25%, 11/16/16

 

 

548

 

 

545,105

 

 

 

 

 

 

 

2,266,391

 

Hotels, Restaurants & Leisure — 3.9%

 

 

 

 

 

 

 

Alpha D2 Ltd.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 4/28/17

 

 

365

 

 

364,011

 

Term Loan B, 6/08/18

 

 

225

 

 

222,656

 

Caesars Entertainment Operating
Co., Inc.:

 

 

 

 

 

 

 

Extended Term Loan B6,
5.49%, 1/26/18

 

 

175

 

 

154,028

 

Incremental Term Loan B4,
9.50%, 10/31/16

 

 

729

 

 

733,481

 

Term Loan B1, 3.24%,
1/28/15

 

 

536

 

 

489,292

 

Term Loan B3, 3.24% - 3.47%,
1/28/15

 

 

2,942

 

 

2,684,938

 

Dunkin’ Brands, Inc., Term Loan B,
4.00%, 11/23/17

 

 

1,344

 

 

1,327,764

 

Golden Living, Term Loan, 5.00%,
5/04/18

 

 

141

 

 

131,295

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.72% – 4.50%,
6/14/13

 

 

8

 

 

7,891

 

Term Loan B, 2.56% - 4.50%,
6/14/14

 

 

82

 

 

79,793

 

Sabre, Inc., Non Extended Initial
Term Loan, 2.24%, 9/30/14

 

 

310

 

 

294,565

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

SeaWorld Parks & Entertainment,
Inc., Term Loan B, 4.00%,
8/17/17

 

USD

900

 

$

886,266

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan (First
Lien), 4.25%, 12/20/18

 

 

420

 

 

415,502

 

Wendy’s International, Inc.:

 

 

 

 

 

 

 

Delayed Draw Term Loan,
0.50%, 5/15/19

 

 

502

 

 

494,900

 

Term Loan B, 4.75%, 5/15/19

 

 

628

 

 

620,173

 

 

 

 

 

 

 

8,906,555

 

Household Products — 0.3%

 

 

 

 

 

 

 

Prestige Brands, Inc., Term Loan,
5.25% - 6.25%, 1/31/19

 

 

733

 

 

732,928

 

Independent Power Producers & Energy Traders — 0.4%

 

 

 

 

 

 

 

AES Corp., Term Loan, 4.25%,
6/01/18

 

 

941

 

 

929,101

 

Industrial Conglomerates — 1.2%

 

 

 

 

 

 

 

Schrader International, Term
Loan B, 6.25%, 4/27/18

 

 

80

 

 

80,637

 

Sequa Corp.:

 

 

 

 

 

 

 

Incremental Term Loan,
6.25%, 12/03/14

 

 

304

 

 

303,477

 

Term Loan, 3.72%, 12/03/14

 

 

1,225

 

 

1,200,939

 

Tomkins Plc, Term Loan B, 4.25%,
9/29/16

 

 

1,121

 

 

1,114,840

 

 

 

 

 

 

 

2,699,893

 

Insurance — 0.2%

 

 

 

 

 

 

 

Asurion LLC, Term Loan (First
Lien), 5.50%, 5/24/18

 

 

564

 

 

554,696

 

Internet Software & Services — 0.3%

 

 

 

 

 

 

 

Web.com Group, Inc., Term Loan B,
7.00%, 10/27/17

 

 

613

 

 

606,124

 

IT Services — 4.0%

 

 

 

 

 

 

 

Ceridian Corp., Term Loan, 3.24%,
11/10/14

 

 

1,220

 

 

1,153,261

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.24%,
3/23/18

 

 

4,159

 

 

3,756,804

 

Term Loan B-1, 2.99%,
9/24/14

 

 

333

 

 

314,819

 

Term Loan B-3, 2.99%,
9/24/14

 

 

141

 

 

133,511

 

InfoGroup Inc., Term Loan B,
5.75%, 5/25/18

 

 

473

 

 

420,958

 

iPayment, Inc., Term Loan B,
5.75%, 5/08/17

 

 

511

 

 

509,723

 

NeuStar, Inc., Term Loan B, 5.00%,
11/08/18

 

 

771

 

 

773,053

 

SunGard Data Systems, Inc. (Solar
Capital Corp.), Tranche B Term
Loan, 3.86% - 4.09%, 2/26/16

 

 

287

 

 

283,706

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

8


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
 (Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

IT Services (concluded)

 

 

 

 

 

 

 

TransUnion LLC, Term Loan B,
5.50%, 2/12/18

 

USD

1,945

 

$

1,953,060

 

 

 

 

 

 

 

9,298,895

 

Leisure Equipment & Products — 0.4%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term
Loan B, 8.50%, 7/19/13

 

 

726

 

 

726,023

 

Freedom Group, Inc., Term Loan,
5.50%, 4/12/19

 

 

300

 

 

298,875

 

 

 

 

 

 

 

1,024,898

 

Machinery — 1.3%

 

 

 

 

 

 

 

Harbor Freight Tools USA, Inc.,
Term Loan B, 5.50%, 11/10/17

 

 

450

 

 

445,725

 

Rexnord Corp., Term Loan B,
5.00%, 4/02/18

 

 

349

 

 

347,030

 

Terex Corp., Term Loan B, 5.50%,
4/28/17

 

 

1,130

 

 

1,129,335

 

Wabash National Corp., Term
Loan B, 6.00%, 5/02/19

 

 

1,025

 

 

1,014,750

 

 

 

 

 

 

 

2,936,840

 

Media — 11.0%

 

 

 

 

 

 

 

Acosta, Inc., Term Loan, 4.75%,
3/01/18

 

 

305

 

 

301,340

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 7/16/15

 

 

265

 

 

244,975

 

AMC Networks, Inc., Term Loan B,
4.00%, 12/31/18

 

 

717

 

 

710,034

 

Capsugel Healthcare Ltd., Term
Loan, 5.25%, 8/01/18

 

 

779

 

 

778,925

 

Cengage Learning Acquisitions, Inc.:

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

753

 

 

680,126

 

Tranche 1 Incremental Term
Loan, 7.50%, 7/03/14

 

 

666

 

 

637,314

 

Charter Communications Operating LLC:

 

 

 

 

 

 

 

Term Loan C, 3.72%, 9/06/16

 

 

1,632

 

 

1,607,227

 

Term Loan D, 4.00%, 5/15/19

 

 

636

 

 

626,457

 

Cumulus Media, Inc., Term Loan,
5.75%, 9/17/18

 

 

1,152

 

 

1,142,520

 

EMI Music Publishing Ltd., Term
Loan B, 11/14/17

 

 

475

 

 

472,031

 

Gray Television, Inc., Term Loan B,
3.74%, 12/31/14

 

 

869

 

 

859,840

 

HMH Publishing Co. Ltd., Term
Loan, 0.00%, 6/12/14

 

 

1,338

 

 

741,614

 

Hubbard Broadcasting, Term Loan
B (Second Lien), 5.25%,
4/28/17

 

 

557

 

 

552,331

 

Intelsat Jackson Holdings SA,
Tranche B Term Loan, 5.25%,
4/02/18

 

 

5,824

 

 

5,772,148

 

Interactive Data Corp., Term
Loan B, 4.50%, 2/12/18

 

 

891

 

 

875,407

 

Kabel Deutschland GmbH, Term
Loan F, 4.25%, 2/01/19

 

 

1,200

 

 

1,179,756

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Newsday LLC, Fixed Rate Term
Loan, 10.50%, 8/01/13

 

USD

3,250

 

$

3,312,985

 

Nielsen Finance LLC, Class C Term
Loan, 3.49%, 5/02/16

 

 

223

 

 

219,667

 

Sinclair Television Group, Inc.,
Tranche B Term Loan, 4.00%,
10/28/16

 

 

1,217

 

 

1,206,309

 

Univision Communications, Inc.,
Extended First Lien Term Loan,
4.49%, 3/31/17

 

 

1,708

 

 

1,565,018

 

UPC Financing Partnership:

 

 

 

 

 

 

 

Term Loan, 4.75%, 12/29/17

 

 

350

 

 

344,575

 

Term Loan T, 3.74%,
12/30/16

 

 

425

 

 

419,109

 

WC Luxco Sarl, Term Loan B3,
4.25%, 3/15/18

 

 

311

 

 

308,759

 

Weather Channel, Term Loan B,
4.25%, 2/13/17

 

 

844

 

 

838,108

 

 

 

 

 

 

 

25,396,575

 

Metals & Mining — 2.2%

 

 

 

 

 

 

 

Constellium Holding Co. BV, Term
Loan B, 9.25%, 5/22/18

 

 

230

 

 

224,250

 

Novelis, Inc.:

 

 

 

 

 

 

 

Incremental Term Loan B2,
4.00%, 3/10/17

 

 

893

 

 

873,587

 

Term Loan B2, 4.00%,
3/10/17

 

 

1,629

 

 

1,593,398

 

SunCoke Energy, Inc., Term
Loan B, 4.00%, 7/26/18

 

 

844

 

 

833,081

 

Walter Energy, Inc., Term Loan B,
4.00%, 4/02/18

 

 

1,629

 

 

1,563,936

 

 

 

 

 

 

 

5,088,252

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

99 Cents Only Stores, Term Loan
B, 5.25%, 1/11/19

 

 

793

 

 

787,350

 

Oil, Gas & Consumable Fuels — 1.7%

 

 

 

 

 

 

 

Chesapeake Energy Corp.,
Unsecured Term Loan, 8.50%,
12/01/17

 

 

1,715

 

 

1,683,272

 

EP Energy LLC, Term Loan B,
6.50%, 4/24/18

 

 

455

 

 

455,287

 

Gibson Energy, Term Loan B,
4.75%, 6/15/18

 

 

794

 

 

789,037

 

Obsidian Natural Gas Trust,
Term Loan, 7.00%, 11/02/15

 

 

1,034

 

 

1,034,425

 

 

 

 

 

 

 

3,962,021

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan,
8.00%, 3/07/13

 

 

350

 

 

352,772

 

Pharmaceuticals — 2.2%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B,
5.50%, 2/10/17

 

 

938

 

 

907,167

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

9


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 

Pharmaceuticals (concluded)

 

 

 

 

 

 

 

Pharmaceutical Product
Development, Inc., Term Loan
Tranche 2, 6.25%, 12/05/18

 

USD

1,592

 

$

1,591,987

 

Quintiles Transnational Corp., Term
Loan, 5.00%, 6/08/18

 

 

700

 

 

689,000

 

RPI Finance Trust:

 

 

 

 

 

 

 

Incremental Tranche 2 Term
Loan, 4.00%, 11/09/18

 

 

170

 

 

168,513

 

Term Loan Tranche 2, 4.00%,
5/09/18

 

 

445

 

 

441,765

 

Valeant Pharmaceuticals
International, Add-On Term Loan
B, 4.75%, 2/13/19

 

 

730

 

 

713,392

 

Warner Chilcott Corp.:

 

 

 

 

 

 

 

Term Loan B-1, 4.25%,
3/15/18

 

 

453

 

 

449,105

 

Term Loan B-2, 4.25%,
3/15/18

 

 

226

 

 

224,552

 

 

 

 

 

 

 

5,185,481

 

Professional Services — 0.8%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche
B Term Loan, 3.75%, 8/03/17

 

 

345

 

 

343,706

 

Emdeon, Inc., Term Loan B, 6.75%,
11/02/18

 

 

1,321

 

 

1,317,516

 

ON Assignment, Inc., Term Loan B,
5.00%, 5/15/19

 

 

235

 

 

232,356

 

 

 

 

 

 

 

1,893,578

 

Real Estate Investment Trusts (REITs) — 1.0%

 

 

 

 

 

 

 

iStar Financial, Inc.:

 

 

 

 

 

 

 

Term Loan A1, 5.00%,
6/28/13

 

 

2,307

 

 

2,296,262

 

Term Loan A2, 7.00%,
6/30/14

 

 

80

 

 

79,800

 

 

 

 

 

 

 

2,376,062

 

Real Estate Management & Development — 1.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of
Credit Loan, 4.49%,
10/10/16

 

 

1,160

 

 

1,057,038

 

Extended Term Loan, 4.49%,
10/10/16

 

 

2,133

 

 

1,944,103

 

Stockbridge SBE Holdings LLC,
Term Loan BTerm Loan B,
13.00%, 5/02/17

 

 

160

 

 

157,600

 

 

 

 

 

 

 

3,158,741

 

Road & Rail — 0.7%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
Incremental Term Loan, 6.25%,
9/21/18

 

 

367

 

 

365,851

 

RailAmerica, Inc., Term Loan B,
4.00%, 3/01/19

 

 

830

 

 

826,198

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par 
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

Road Infrastructure Investment
LLC, Term Loan B, 6.25%,
3/30/18

 

USD

440

 

$

433,400

 

 

 

 

 

 

 

1,625,449

 

Semiconductors & Semiconductor Equipment — 0.6%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Term Loan B, 4.49%,
12/01/16

 

 

1,002

 

 

939,353

 

NXP B.V., Term Loan A-2, 5.50%,
3/03/17

 

 

507

 

 

499,178

 

 

 

 

 

 

 

1,438,531

 

Software — 1.7%

 

 

 

 

 

 

 

Blackboard, Inc., Term Loan B,
7.50%, 10/04/18

 

 

324

 

 

308,993

 

Lawson Software, Inc., Term
Loan B, 6.25%, 4/05/18

 

 

1,920

 

 

1,916,237

 

Sophia, LP, Term Loan B, 6.25%,
7/19/18

 

 

650

 

 

651,163

 

SS&C Technologies:

 

 

 

 

 

 

 

Term Loan B-1, 5.00%,
5/11/19

 

 

852

 

 

848,680

 

Term Loan B-2, 5.00%,
5/13/19

 

 

88

 

 

87,795

 

 

 

 

 

 

 

3,812,868

 

Specialty Retail — 3.6%

 

 

 

 

 

 

 

Academy Ltd., Term Loan, 6.00%,
8/03/18

 

 

998

 

 

997,500

 

Bass Pro Group LLC, Term Loan,
5.25%, 6/13/17

 

 

435

 

 

433,551

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
5.50%, 2/28/17

 

 

712

 

 

704,847

 

Claire’s Stores, Inc., Term Loan B,
2.99% - 3.22%, 5/29/14

 

 

542

 

 

503,585

 

General Nutrition Centers, Inc.,
Term Loan B, 4.25%, 3/02/18

 

 

705

 

 

696,568

 

Jo-Ann Stores, Inc., Term Loan B,
4.75%, 3/16/18

 

 

388

 

 

383,398

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Extended Term Loan B3,
5.00%, 7/29/16

 

 

239

 

 

237,921

 

Term Loan B2, 5.00%,
7/29/16

 

 

959

 

 

954,101

 

Petco Animal Supplies, Inc., Term
Loan B, 4.50%, 11/24/17

 

 

1,504

 

 

1,483,827

 

Things Remembered, Inc., New
Term Loan B, 8.00%, 5/30/18

 

 

580

 

 

568,400

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Term Loan, 6.00%, 9/01/16

 

 

381

 

 

372,473

 

Term Loan B2, 5.25%,
5/25/18

 

 

162

 

 

154,320

 

Term Loan B3, 5.25%,
5/25/18

 

 

190

 

 

180,025

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

10


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par  
(000)

 

Value

 

Specialty Retail (concluded)

 

 

 

 

 

 

 

The Yankee Candle Co., Inc.,
New Term Loan B, 5.25%, 4/02/19

 

USD

555

 

$

550,699

 

 

 

 

 

 

 

8,221,215

 

Textiles, Apparel & Luxury Goods — 0.3%

 

 

 

 

 

 

 

Ascend Performance Materials
LLC, Term Loan B, 6.75%,
4/10/18

 

 

755

 

 

733,611

 

Wireless Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Crown Castle International Corp.,
Term Loan B, 4.00%, 1/31/19

 

 

409

 

 

402,840

 

MetroPCS Wireless, Inc., Term
Loan B-3, 4.00%, 3/16/18

 

 

567

 

 

551,057

 

Vodafone Americas Finance 2, Inc.,
Term Loan, 6.88%, 8/11/15 (f)

 

 

3,046

 

 

3,091,386

 

 

 

 

 

 

 

4,045,283

 

Total Floating Rate Loan Interests – 76.3%

 

 

 

 

 

176,334,679

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust,
Class A (c)

 

 

320

 

 

—

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

J.G.Wentworth LLC Preferred
Equity Interests (c)

 

 

—

(j)

 

1,033,025

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Preferred Escrow (c)

 

 

3

 

 

—

 

Adelphia Recovery Trust, Series
ACC-6B INT (c)

 

 

250

 

 

1,250

 

 

 

 

 

 

 

1,250

 

Total Other Interests – 0.4%

 

 

 

 

 

1,034,275

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks – 0.1%

 

Shares

 

 

 

 

Diversified Financial Services

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (a)

 

 

170

 

 

145,764

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

Shares

 

Value

 

Trust Preferreds– 0.2%

 

 

 

 

 

 

 

Diversified Financial Services

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2,
8.13%, 2/15/40 (b)

 

 

22,630

 

$

518,680

 

Total Preferred Securities – 0.3%

 

 

 

 

 

664,444

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (k)

 

 

 

 

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Charter Communications, Inc.
(Issued/exercisable 11/30/09,
1 Share for 1 warrant, Expires
11/30/14, Strike Price $51.28) (c)

 

 

6,862

 

 

116,654

 

Total Long-Term Investments
(Cost – $324,304,076) – 135.7%

 

 

 

 

 

313,486,405

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Beneficial
Interest
(000)

 

 

 

 

Bank of New York Cash Reserves,
0.01 (l)

 

USD

517

 

 

516,814

 

Total Short-Term Securities
(Cost – $516,814) – 0.2%

 

 

 

 

 

516,814

 

Total Investments (Cost - $324,820,890*) – 135.9%

 

 

 

 

 

314,003,219

 

Liabilities in Excess of Other Assets – (35.9)%

 

 

 

 

 

(82,954,659

)

Net Assets – 100.0%

 

 

 

 

$

231,048,560

 

 

 

 

 

 

 

 

 

 

 

*

As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

 

 

Tax cost

 

$

322,936,910

 

 

Gross unrealized appreciation

 

$

6,476,974

 

 

Gross unrealized depreciation

 

 

(15,410,665

)

 

Net unrealized depreciation

 

$

(8,933,691

)

 

 

(a)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

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.


 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

11


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

 

(f)

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

 

 

(g)

Convertible security.

 

 

(h)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(i)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(j)

Amount is less than $500.

 

 

(k)

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.

 

 

(l)

Represents the current yield as of report date.


 

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

DIP

Debtor-In-Possession

EBITDA

Earnings Before Interest, Taxes, Depreciation and Amortization

FKA

Formerly Known As

USD

US Dollar


 

 

•

Foreign currency exchange contracts as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

USD

384,081

 

CAD

381,500

 

Citibank

 

7/18/12

 

$

15,094

 

 

•

Credit default swaps on traded indexes - sold protection outstanding as of May 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

Counter-
party

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Depreciation

 

Dow Jones

 

5.00%

 

Deutsche

 

6/20/17

 

Not Rated

 

USD

3,500

 

$

(132,566

)

CDX North

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

 

America

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series 18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones

 

5.00%

 

JPMorgan

 

6/20/17

 

Not Rated

 

USD

5,950

 

 

(294,455

)

CDX North

 

 

 

Chase &

 

 

 

 

 

 

 

 

 

 

 

America

 

 

 

Co.

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series 18

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(427,021

)

 

 

1

Using Standard & Poor’s rating of the underlying securities.

 

 

2

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


 

 

 

•

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

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

 

•

Level 1 — unadjusted 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 derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

12


 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)
(Percentages shown are based on Net Assets)

The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

341,366

 

$

4,269,255

 

$

4,610,621

 

Common Stocks

 

$

664,058

 

 

114,550

 

 

337,412

 

 

1,116,020

 

Corporate Bonds

 

 

—

 

 

125,290,711

 

 

4,319,001

 

 

129,609,712

 

Floating Rate Loan Interests

 

 

—

 

 

166,117,093

 

 

10,217,586

 

 

176,334,679

 

Other Interests

 

 

1,250

 

 

—

 

 

1,033,025

 

 

1,034,275

 

Preferred Securities

 

 

518,680

 

 

145,764

 

 

—

 

 

664,444

 

Warrants

 

 

116,654

 

 

—

 

 

—

 

 

116,654

 

Short-Term Securities

 

 

—

 

 

516,814

 

 

—

 

 

516,814

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

—

 

 

(808

)

 

—

 

 

(808

)

Total

 

$

1,300,642

 

$

292,525,490

 

$

20,176,279

 

$

314,002,411

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

—

 

$

15,094

 

 

—

 

$

15,094

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

 

(427,021

)

 

 

 

 

(427,021

)

Total

 

 

—

 

$

(411,927

)

 

—

 

$

(411,927

)

 

 

1

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

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency

 

$

4,397

 

 

—

 

 

—

 

$

4,397

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan Payable

 

 

—

 

$

(76,000,000

)

 

—

 

 

(76,000,000

)

Total

 

$

4,397

 

$

(76,000,000

)

 

—

 

$

(75,995,603

)

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2012.

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

13


 

 
 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Senior High Income Fund (ARK)

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee to determine the fair value of certain of the Fund’s Level 3 investments as of May 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Valuation Techniques

 

Unobservable
Inputs1

 

Range of
Unobservable Inputs

 

Weighted Average of
Unobservable Inputs2

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

65,534

 

Market Comparable Companies

 

EBITDA Multiple

 

 

5.0x

 

 

5.0x

 

Corporate Bonds

 

 

4,062,381

 

Market Comparable Companies

 

EBITDA Multiple

 

 

5.0x

 

 

5.0x

 

Total3

 

$

4,127,915

 

 

 

 

 

 

 

 

 

 

 

 

 

1

A change to the unobservable input may result in a significant change to the value of the investment as follows:

 

 

 

 

 

Unobservable Input

 

Impact to Value if Input Increases

 

Impact to Value if Input Decreases

EBITDA Multiple

 

Increase

 

Decrease

 

 

2

Unobservable inputs are weighted based on the value of the investments included in the range.

 

 

3

Does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan
Interests

 

Other
Interests

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of February 29, 2012

 

$

3,022,303

 

$

355,574

 

$

4,310,541

 

$

12,348,294

 

$

989,983

 

$

21,026,695

 

Transfers into Level 31

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfers out of Level 31

 

 

—

 

 

—

 

 

—

 

 

(2,967,667

)

 

—

 

 

(2,967,667

)

Accrued discounts/premiums

 

 

11,479

 

 

—

 

 

44,729

 

 

3,216

 

 

—

 

 

59,424

 

Net realized gain (loss)

 

 

(37,006

)

 

—

 

 

—

 

 

(91

)

 

—

 

 

(37,097

)

Net change in unrealized appreciation/depreciation2

 

 

87,085

 

 

(18,162

)

 

(36,269

)

 

39,194

 

 

43,035

 

 

114,883

 

Purchases

 

 

2,463,289

 

 

—

 

 

—

 

 

1,653,525

 

 

7

 

 

4,116,821

 

Sales

 

 

(1,277,895

)

 

—

 

 

—

 

 

(858,885

)

 

—

 

 

(2,136,780

)

Closing balance, as of May 31, 2012

 

$

4,269,255

 

$

337,412

 

$

4,319,001

 

$

10,217,586

 

$

1,033,025

 

$

20,176,279

 

1 Transfers into and transfers out of Level 3 represent the beginning of the reporting period value. As of February 29, 2012, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2012, the Fund used observable inputs in determining the value on the same investments. As a result, investments with a beginning of period value of $2,967,667 transferred from Level 3 to Level 2 in the disclosure hierarchy.

2 The change in unrealized appreciation/depreciation on investments still held as of May 31, 2012 was $(1,736).

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2012

14

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 Senior High Income Fund, Inc.

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Senior High Income Fund, Inc.
   
  Date: July 25, 2012
   
  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/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Senior High Income Fund, Inc.
   
  Date: July 25, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Senior High Income Fund, Inc.
     
  Date: July 25, 2012