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: 02/28/2011

 

Date of reporting period: 05/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

 

Schedule of Investments May 31, 2011 (Unaudited)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

ARES CLO Funds, Series 2005-
10A, Class B, 0.70%,
9/18/17 (a)(b)

 

USD

500

 

$

443,795

 

Canaras Summit CLO Ltd., Series
2007-1A, Class B, 0.79%,
6/19/21 (a)(b)

 

 

635

 

 

536,099

 

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

 

 

500

 

 

505,000

 

Frankin CLO Ltd., Series 6A, Class
B, 0.72%, 8/09/19 (a)(b)

 

 

810

 

 

703,485

 

Gannett Peak CLO Ltd., Series
2006-1X, Class A2, 0.66%,
10/27/20

 

 

495

 

 

425,700

 

Greyrock CDO Ltd., Series 2005-
1X, Class A2L, 0.68%, 11/15/17

 

 

1,025

 

 

900,257

 

Portola CLO Ltd., Series 2007-1X,
Class B1, 1.76%, 11/15/21

 

 

645

 

 

580,500

 

T2 Income Fund CLO Ltd., Series
2007-1A, Class B, 0.88%,
7/15/19 (a)(b)

 

 

560

 

 

506,677

 

Total Asset-Backed Securities – 1.9%

 

 

 

 

 

4,601,513

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c)

 

Shares

 

 

 

 

Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp.

 

 

27,100

 

 

428,451

 

Chemicals — 0.0%

 

 

 

 

 

 

 

GEO Specialty Chemicals, Inc.

 

 

142,466

 

 

54,692

 

Wellman Holdings, Inc.

 

 

1,557

 

 

5,060

 

Wellman, Inc. (acquired 1/30/09,
cost $822) (d)

 

 

3,574

 

 

11,616

 

 

 

 

 

 

 

71,368

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

CIT Group, Inc.

 

 

3,300

 

 

146,289

 

Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit Kappa Plc

 

 

18,171

 

 

225,412

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

Euramax International

 

 

935

 

 

294,494

 

Paper & Forest Products — 0.8%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

396,556

 

 

1,227,917

 

Ainsworth Lumber Co. Ltd.

 

 

215,634

 

 

667,701

 

 

 

 

 

 

 

1,895,618

 

Software — 0.1%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

75,676

 

 

378,380

 

Total Common Stocks – 1.4%

 

 

 

 

 

3,440,012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.8%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%,
3/15/20(a)

 

USD

900

 

$

1,017,000

 

Kratos Defense & Security Solutions,
Inc.:

 

 

 

 

 

 

 

10.00%, 6/01/17

 

 

520

 

 

572,000

 

10.00%, 6/01/17 (a)

 

 

342

 

 

376,200

 

 

 

 

 

 

 

1,965,200

 

Airlines — 0.7%

 

 

 

 

 

 

 

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

 

 

590

 

 

612,863

 

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

 

 

451

 

 

477,951

 

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

 

 

589

 

 

644,490

 

 

 

 

 

 

 

1,735,304

 

Auto Components — 1.4%

 

 

 

 

 

 

 

Delphi Corp., 6.13%, 5/15/21 (a)

 

 

290

 

 

290,000

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

160

 

 

164,400

 

8.00%, 1/15/18

 

 

2,690

 

 

2,770,700

 

Pittsburgh Glass Works LLC,
8.50%, 4/15/16 (a)

 

 

130

 

 

134,875

 

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

 

 

 

 

 

 

 

12.00%, 6/01/49

 

 

700

 

 

70

 

Series B, 9.50%, 7/01/65

 

 

3,325

 

 

332

 

 

 

 

 

 

 

3,360,377

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

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

 

 

193

 

 

197,067

 

Building Products — 0.5%

 

 

 

 

 

 

 

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

 

 

200

 

 

206,750

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

485

 

 

506,825

 

6.75%, 5/01/21

 

 

410

 

 

413,075

 

 

 

 

 

 

 

1,126,650

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

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

 

 

600

 

 

616,992

 

E*Trade Financial Corp., 12.50%,
11/30/17 (c)(g)

 

 

120

 

 

144,300

 

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

 

 

280

 

 

298,708

 

 

 

 

 

 

 

1,060,000

 

Chemicals — 4.4%

 

 

 

 

 

 

 

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

 

 

610

 

 

597,800

 

American Rock Salt Co. LLC,
8.25%, 5/01/18 (a)

 

 

116

 

 

117,450

 

 

 

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

FKA

Formerly Known As

USD

US Dollar

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

1


 

 

 

 

 

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)

 

 

 

 

 

 

 

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

 

USD

300

 

$

306,750

 

GEO Specialty Chemicals, Inc. (a):

 

 

 

 

 

 

 

7.50%, 3/31/15 (a)(g)(h)

 

 

1,869

 

 

1,868,623

 

10.00%, 3/31/15

 

 

1,839

 

 

1,700,816

 

Hexion U.S. Finance Corp., 8.88%,
2/01/18

 

 

480

 

 

515,400

 

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

 

 

320

 

 

358,000

 

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

 

 

380

 

 

384,275

 

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

 

 

240

 

 

265,500

 

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

 

 

 

 

 

 

 

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

 

 

2,383

 

 

3,312,370

 

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

 

 

1,722

 

 

1,222,707

 

 

 

 

 

 

 

10,649,691

 

Commercial Banks — 2.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/14

 

 

144

 

 

141,684

 

7.00%, 5/01/16

 

 

640

 

 

642,400

 

7.00%, 5/01/17

 

 

3,955

 

 

3,969,831

 

 

 

 

 

 

 

4,753,915

 

Commercial Services & Supplies —
1.1%

 

 

 

 

 

 

 

AWAS Aviation Capital Ltd., 7.00%,
10/15/16 (a)

 

 

556

 

 

576,817

 

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

 

 

455

 

 

472,062

 

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

 

 

335

 

 

354,263

 

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

 

 

550

 

 

623,562

 

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

 

 

450

 

 

482,625

 

West Corp., 8.63%, 10/01/18 (a)

 

 

165

 

 

173,869

 

 

 

 

 

 

 

2,683,198

 

Communications Equipment —
0.2%

 

 

 

 

 

 

 

Avaya, Inc., 7.00%, 4/01/19 (a)

 

 

200

 

 

195,500

 

EH Holding Corp., 6.50%,
6/15/19 (a)(e)

 

 

320

 

 

323,600

 

 

 

 

 

 

 

519,100

 

Consumer Finance — 0.9%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%,
2/01/17

 

 

300

 

 

325,500

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.03%, 1/13/12 (b)

 

 

1,340

 

 

1,348,496

 

7.00%, 4/15/15

 

 

140

 

 

152,936

 

6.63%, 8/15/17

 

 

300

 

 

326,965

 

 

 

 

 

 

 

2,153,897

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 0.6%

 

 

 

 

 

 

 

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

 

USD

325

 

$

345,719

 

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

 

 

1,100

 

 

1,179,750

 

 

 

 

 

 

 

1,525,469

 

Diversified Financial Services —
4.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

3,670

 

 

4,092,050

 

7.50%, 9/15/20

 

 

630

 

 

678,037

 

8.00%, 11/01/31

 

 

480

 

 

526,699

 

8.00%, 11/01/31

 

 

1,740

 

 

1,927,050

 

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

 

 

350

 

 

385,875

 

Reynolds Group DL Escrow, Inc.,
8.50%, 10/15/16 (a)

 

 

850

 

 

909,500

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.13%, 4/15/19

 

 

105

 

 

109,200

 

6.88%, 2/15/21

 

 

480

 

 

495,000

 

8.25%, 2/15/21

 

 

1,210

 

 

1,231,175

 

 

 

 

 

 

 

10,354,586

 

Diversified Telecommunication
Services — 0.3%

 

 

 

 

 

 

 

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

 

 

520

 

 

561,600

 

tw telecom Holdings, Inc., 8.00%,
3/01/18

 

 

170

 

 

184,663

 

 

 

 

 

 

 

746,263

 

Electric Utilities — 0.2%

 

 

 

 

 

 

 

IPALLCO Enterprises, Inc., 7.25%,
4/01/16 (a)

 

 

405

 

 

454,613

 

Electronic Equipment, Instruments
& Components — 0.2%

 

 

 

 

 

 

 

CDW LLC, 8.00%, 12/15/18 (a)

 

 

430

 

 

461,175

 

Energy Equipment & Services —
0.8%

 

 

 

 

 

 

 

Compagnie Generale de
Geophysique-Veritas, 7.50%,
5/15/15

 

 

87

 

 

89,175

 

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

 

 

625

 

 

662,500

 

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

 

 

380

 

 

384,750

 

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

 

 

490

 

 

493,675

 

Oil States International, Inc.,
6.50%, 6/01/19 (a)(e)

 

 

340

 

 

342,125

 

 

 

 

 

 

 

1,972,225

 

Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

BI-LO LLC, 9.25%, 2/15/19 (a)

 

 

210

 

 

217,350

 

Rite Aid Corp., 9.75%, 6/12/16

 

 

825

 

 

921,937

 

 

 

 

 

 

 

1,139,287

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

2


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food Products — 0.4%

 

 

 

 

 

 

 

Blue Merger Sub, Inc., 7.63%,
2/15/19 (a)

 

USD

950

 

$

969,594

 

JBS USA LLC, 7.25%, 6/01/21 (a)

 

 

110

 

 

107,800

 

 

 

 

 

 

 

1,077,394

 

Gas Utilities — 0.1%

 

 

 

 

 

 

 

Targa Resources Partners LP,
6.88%, 2/01/21 (a)

 

 

250

 

 

249,063

 

Health Care Equipment & Supplies
— 0.4%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

670

 

 

723,600

 

7.75%, 4/15/18 (a)

 

 

40

 

 

41,100

 

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

 

 

150

 

 

146,437

 

 

 

 

 

 

 

911,137

 

Health Care Providers & Services —
3.0%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP,
7.75%, 2/15/19 (a)

 

 

235

 

 

240,288

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

65

 

 

72,719

 

7.88%, 2/15/20

 

 

1,924

 

 

2,115,197

 

7.25%, 9/15/20

 

 

525

 

 

572,250

 

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

 

 

210

 

 

218,663

 

Omnicare, Inc., 6.88%, 12/15/15

 

 

555

 

 

570,262

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

850

 

 

973,250

 

8.88%, 7/01/19

 

 

2,230

 

 

2,480,875

 

 

 

 

 

 

 

7,243,504

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

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

 

 

1,730

 

 

2,058,700

 

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

 

 

325

 

 

335,156

 

 

 

 

 

 

 

2,393,856

 

Hotels, Restaurants & Leisure —
1.1%

 

 

 

 

 

 

 

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

 

 

540

 

 

581,850

 

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

 

 

282

 

 

253,800

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

720

 

 

831,600

 

11.13%, 11/15/17

 

 

750

 

 

870,000

 

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

 

 

220

 

 

22

 

 

 

 

 

 

 

2,537,272

 

Household Durables — 1.3%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,130,000

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Household Durables (concluded)

 

 

 

 

 

 

 

Jarden Corp., 7.50%, 5/01/17

 

USD

435

 

$

463,275

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

8.38%, 5/15/18

 

 

345

 

 

351,037

 

8.38%, 1/15/21

 

 

1,170

 

 

1,172,925

 

 

 

 

 

 

 

3,117,237

 

Independent Power Producers &
Energy Traders — 2.6%

 

 

 

 

 

 

 

AES Corp., 9.75%, 4/15/16

 

 

415

 

 

480,362

 

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

 

 

495

 

 

514,800

 

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

 

 

1,065

 

 

1,153,031

 

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

 

 

2,135

 

 

2,322,150

 

NRG Energy, Inc., 7.63%,
1/15/18 (a)

 

 

1,645

 

 

1,661,450

 

 

 

 

 

 

 

6,131,793

 

Industrial Conglomerates — 1.5%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,430

 

 

1,530,100

 

13.50%, 12/01/15 (g)

 

 

1,930

 

 

2,065,075

 

 

 

 

 

 

 

3,595,175

 

Insurance — 0.6%

 

 

 

 

 

 

 

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

 

 

901

 

 

973,080

 

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

 

 

370

 

 

385,998

 

 

 

 

 

 

 

1,359,078

 

IT Services — 0.7%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

805

 

 

819,087

 

8.25%, 1/15/21

 

 

501

 

 

499,747

 

12.63%, 1/15/21

 

 

333

 

 

362,138

 

 

 

 

 

 

 

1,680,972

 

Machinery — 0.3%

 

 

 

 

 

 

 

Navistar International Corp.,
8.25%, 11/01/21

 

 

220

 

 

241,725

 

Titan International, Inc., 7.88%,
10/01/17 (a)

 

 

490

 

 

526,750

 

 

 

 

 

 

 

768,475

 

Media — 7.1%

 

 

 

 

 

 

 

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

 

 

800

 

 

952,000

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.25%, 10/30/17

 

 

260

 

 

270,400

 

7.88%, 4/30/18

 

 

565

 

 

598,900

 

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

 

 

390

 

 

436,800

 

Checkout Holding Corp., 10.98%,
11/15/15 (a)(j)

 

 

745

 

 

489,838

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

340

 

 

370,600

 

Series B, 9.25%, 12/15/17

 

 

4,326

 

 

4,726,155

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

3


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

USD

850

 

$

915,875

 

6.63%, 10/01/14

 

 

750

 

 

798,750

 

6.75%, 6/01/21 (a)

 

 

360

 

 

363,600

 

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

 

 

900

 

 

1,001,250

 

Kabel BW Erste Beteiligungs
GmbH, 7.50%, 3/15/19 (a)

 

 

540

 

 

562,275

 

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

 

 

530

 

 

572,400

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

636

 

 

748,890

 

7.75%, 10/15/18 (a)

 

 

640

 

 

686,400

 

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

 

 

220

 

 

227,975

 

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

 

 

290

 

 

308,125

 

UPC Germany GmbH, 8.13%,
12/01/17 (a)

 

 

1,500

 

 

1,593,750

 

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

 

 

1,250

 

 

1,376,562

 

 

 

 

 

 

 

17,000,545

 

Metals & Mining — 1.8%

 

 

 

 

 

 

 

Drummond Co., Inc., 9.00%,
10/15/14 (a)

 

 

553

 

 

580,650

 

FMG Resources August 2006
Property Ltd., 7.00%,
11/01/15 (a)

 

 

1,080

 

 

1,123,200

 

JMC Steel Group, 8.25%,
3/15/18 (a)

 

 

325

 

 

335,562

 

Novelis, Inc., 8.75%, 12/15/20 (a)

 

 

2,015

 

 

2,226,575

 

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

 

 

2,175

 

 

218

 

 

 

 

 

 

 

4,266,205

 

Multiline Retail — 0.5%

 

 

 

 

 

 

 

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

 

 

948

 

 

1,083,090

 

Oil, Gas & Consumable Fuels —
6.6%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc. (i):

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

305

 

 

306,906

 

6.25%, 6/01/21

 

 

380

 

 

386,650

 

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

 

 

863

 

 

910,465

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

1,122

 

 

1,179,503

 

6.13%, 2/15/21

 

 

690

 

 

702,075

 

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

 

 

240

 

 

260,400

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.25%, 4/01/20

 

 

900

 

 

999,000

 

6.38%, 3/01/21 (a)

 

 

425

 

 

429,250

 

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

 

 

55

 

 

59,675

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

9.75%, 3/01/16

 

USD

520

 

$

585,000

 

8.25%, 2/15/20

 

 

351

 

 

387,855

 

6.38%, 8/15/21 (a)

 

 

295

 

 

298,688

 

El Paso Corp., 7.00%, 6/15/17

 

 

825

 

 

956,496

 

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

 

 

125

 

 

136,250

 

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

 

 

665

 

 

668,325

 

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

 

 

280

 

 

310,100

 

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

 

 

1,140

 

 

1,202,700

 

Linn Energy LLC:

 

 

 

 

 

 

 

8.63%, 4/15/20 (a)

 

 

580

 

 

635,100

 

7.75%, 2/01/21

 

 

1,125

 

 

1,186,875

 

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

 

 

815

 

 

876,125

 

OGX Petroleo e Gas Participacoes
SA, 8.50%, 6/01/18 (a)(i)

 

 

1,595

 

 

1,632,482

 

Oasis Petroleum, Inc., 7.25%,
2/01/19 (a)

 

 

190

 

 

191,425

 

Petrohawk Energy Corp., 6.25%,
6/01/19 (a)

 

 

480

 

 

474,000

 

Range Resources Corp., 5.75%,
6/01/21

 

 

645

 

 

642,581

 

SandRidge Energy, Inc., 7.50%,
3/15/21 (a)

 

 

435

 

 

450,225

 

 

 

 

 

 

 

15,868,151

 

Paper & Forest Products — 1.8%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.,
11.00%, 7/29/15 (a)(g)

 

 

1,390

 

 

1,376,177

 

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

 

 

365

 

 

413,363

 

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

 

 

1,630

 

 

1,850,050

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14

 

 

289

 

 

313,565

 

Series B, 4.02%, 8/01/14 (b)

 

 

485

 

 

466,812

 

 

 

 

 

 

 

4,419,967

 

Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Valeant Pharmaceuticals
International (a):

 

 

 

 

 

 

 

6.50%, 7/15/16

 

 

705

 

 

701,475

 

6.75%, 10/01/17

 

 

90

 

 

89,100

 

7.00%, 10/01/20

 

 

85

 

 

83,300

 

 

 

 

 

 

 

873,875

 

Professional Services — 0.1%

 

 

 

 

 

 

 

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

 

 

295

 

 

300,900

 

Real Estate Investment Trusts
(REITs) — 0.8%

 

 

 

 

 

 

 

FelCor Lodging LP, 6.75%,
6/01/19 (a)

 

 

950

 

 

945,250

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

4


 

 

 

Schedule of Investments (continued)

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


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

Real Estate Investment Trusts (REITs)
(concluded)

 

 

 

 

 

 

 

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

 

USD

145

 

$

147,175

 

Omega Healthcare Investors, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/20

 

 

530

 

 

564,450

 

6.75%, 10/15/22 (a)

 

 

235

 

 

234,412

 

 

 

 

 

 

 

1,891,287

 

Real Estate Management &
Development — 0.1%

 

 

 

 

 

 

 

Shea Homes LP, 8.63%,
5/15/19 (a)

 

 

320

 

 

323,600

 

Road & Rail — 1.5%

 

 

 

 

 

 

 

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

 

 

975

 

 

1,010,344

 

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

 

 

200

 

 

208,500

 

The Hertz Corp. (a):

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

915

 

 

960,750

 

6.75%, 4/15/19

 

 

375

 

 

378,750

 

7.38%, 1/15/21

 

 

925

 

 

957,375

 

 

 

 

 

 

 

3,515,719

 

Specialty Retail — 0.4%

 

 

 

 

 

 

 

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

 

 

845

 

 

870,350

 

Textiles, Apparel & Luxury Goods —
0.1%

 

 

 

 

 

 

 

Phillips-Van Heusen Corp., 7.75%,
11/15/23

 

 

215

 

 

240,623

 

Transportation Infrastructure —
0.1%

 

 

 

 

 

 

 

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

 

 

176

 

 

179,960

 

Wireless Telecommunication
Services — 2.8%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

90

 

 

97,988

 

7.75%, 5/15/16

 

 

1,770

 

 

1,880,625

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

12.00%, 4/01/14

 

 

800

 

 

930,000

 

8.25%, 9/01/17

 

 

270

 

 

283,500

 

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

 

 

505

 

 

506,262

 

Nextel Communications, Inc.,
Series E, 6.88%, 10/31/13

 

 

415

 

 

418,631

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

8.38%, 3/15/12

 

 

325

 

 

340,438

 

6.88%, 11/15/28

 

 

2,310

 

 

2,240,700

 

 

 

 

 

 

 

6,698,144

 

Total Corporate Bonds – 56.5%

 

 

 

 

 

135,455,389

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC:

 

 

 

 

 

 

 

Letter of Credit Linked
Deposit, 2.31%, 3/26/14

 

USD

28

 

$

24,955

 

Term Loan, 2.19%, 3/26/14

 

 

462

 

 

405,578

 

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

 

 

748

 

 

750,930

 

 

 

 

 

 

 

1,181,463

 

Airlines — 0.7%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,583,000

 

Auto Components — 0.9%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term
Loan, 2.96%, 8/07/14

 

 

1,199

 

 

1,190,417

 

Armored Auto Group, Inc. (FKA
Viking Acquisition, Inc.), Term
Loan B, 6.00%, 11/04/16

 

 

943

 

 

942,638

 

 

 

 

 

 

 

2,133,055

 

Automobiles — 0.4%

 

 

 

 

 

 

 

Ford Motor Co.:

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
2.95%, 12/15/13

 

 

906

 

 

906,316

 

Tranche B-2 Term Loan,
2.95%, 12/15/13

 

 

102

 

 

101,875

 

 

 

 

 

 

 

1,008,191

 

Biotechnology — 0.2%

 

 

 

 

 

 

 

Grifols SA, Term Loan B, 6.00%,
11/23/16

 

 

455

 

 

458,507

 

Building Products — 1.2%

 

 

 

 

 

 

 

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

 

 

599

 

 

599,622

 

Goodman Global, Inc.:

 

 

 

 

 

 

 

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

 

 

1,741

 

 

1,751,882

 

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

 

 

600

 

 

617,850

 

 

 

 

 

 

 

2,969,354

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

HarbourVest Partners, Term Loan
(First Lien), 6.25%, 12/14/16

 

 

948

 

 

952,552

 

Nuveen Investments, Inc.:

 

 

 

 

 

 

 

Extended Term Loan (First
Lien), 3.27%, 11/13/14

 

 

646

 

 

634,863

 

Non-Extended Term Loan (First
Lien), 5.76%, 5/13/17

 

 

754

 

 

757,362

 

 

 

 

 

 

 

2,344,777

 

Chemicals — 4.7%

 

 

 

 

 

 

 

AZ Chemical Inc.,, Term Loan B,
4.75%, 11/21/16

 

 

532

 

 

534,672

 

American Rock Salt Holdings LLC,
Term Loan, 5.50%, 4/19/17

 

 

1,195

 

 

1,201,722

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

5


 

 

 

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

 

Chemicals (concluded)

 

 

 

 

 

 

 

Chemtura Corp., Exit term
LoanTerm Facility, 5.50%,
8/27/16

 

USD

800

 

$

804,000

 

Gentek, Inc., Tranche B Term Loan,
6.75%, 3/03/17

 

 

1,393

 

 

1,394,160

 

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

 

 

875

 

 

874,727

 

PQ Corp. (FKA Niagara Acquisition,
Inc.), Original Term Loan (First
Lien), 3.53%, 7/30/14

 

 

1,295

 

 

1,262,955

 

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

 

 

1,596

 

 

1,604,550

 

Tronox Worldwide LLC, Exit Term
Loan, 7.00%, 10/15/15

 

 

2,324

 

 

2,340,637

 

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

 

 

1,297

 

 

1,296,055

 

 

 

 

 

 

 

11,313,478

 

Commercial Banks — 0.5%

 

 

 

 

 

 

 

CIT Group Inc., Tranche 3 Term
Loan, 6.25%, 8/11/15

 

 

1,213

 

 

1,224,056

 

Commercial Services & Supplies —
2.8%

 

 

 

 

 

 

 

ARAMARK Corp.:

 

 

 

 

 

 

 

Letter of Credit - 1 Facility,
2.12%, 1/27/14

 

 

17

 

 

16,301

 

Letter of Credit - 2 Facility,
3.49%, 7/26/16

 

 

19

 

 

18,628

 

US Term Loan, 2.18%,
1/27/14

 

 

205

 

 

202,362

 

US Term Loan B, 3.56%,
7/26/16

 

 

284

 

 

283,250

 

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

 

 

419

 

 

426,802

 

Adesa, Inc. (KAR Holdings, Inc.),
Initial Term Loan B, 5.00%,
5/19/17

 

 

1,250

 

 

1,253,750

 

Altegrity, Inc. (FKA US
Investigations Services, Inc.),
Tranche D Term Loan, 7.75%,
2/21/15

 

 

1,489

 

 

1,500,846

 

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

 

 

1,075

 

 

1,076,920

 

Quad/Graphics, Inc., Term Loan,
5.50%, 4/14/16

 

 

496

 

 

495,837

 

Synagro Technologies, Inc., Term
Loan (First Lien), 2.20%,
4/02/14

 

 

496

 

 

467,382

 

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

 

 

995

 

 

1,001,219

 

 

 

 

 

 

 

6,743,297

 

Communications Equipment —
1.3%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

Term Loan B, 3.01%,
10/24/14

 

 

964

 

 

930,155

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

 

Par
(000)

 

Value

 

Communications Equipment (concluded)

 

 

 

 

 

 

 

Avaya, Inc. (concluded):

 

 

 

 

 

 

 

Term Loan B-3, 4.76%,
10/26/17

 

USD

1,546

 

$

1,504,164

 

CommScope, Inc., Term Loan B,
5.00%, 1/14/18

 

 

750

 

 

753,750

 

 

 

 

 

 

 

3,188,069

 

Construction & Engineering — 1.1%

 

 

 

 

 

 

 

BakerCorp., Inc., Term Loan B,
5.00%, 6/08/17

 

 

600

 

 

601,500

 

Brand Energy & Infrastructure
Services, Inc. (FR Brand
Acquisition Corp.), Synthetic
Letter of Credit, Term Loan (First
Lien), 2.56%, 2/20/14

 

 

500

 

 

476,250

 

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

 

 

1,500

 

 

1,500,000

 

 

 

 

 

 

 

2,577,750

 

Consumer Finance — 0.9%

 

 

 

 

 

 

 

Springleaf Financial Funding Co.
(FKA AGFS Funding Co.), Term
Loan, 5.50%, 5/05/17

 

 

2,200

 

 

2,196,564

 

Containers & Packaging — 0.6%

 

 

 

 

 

 

 

Anchor Glass Container Corp.,
Term Loan (First Lien), 6.00%,
3/02/16

 

 

134

 

 

134,378

 

Berry Plastics Holding Corp., Term
Loan C, 2.23%, 4/03/15

 

 

492

 

 

472,985

 

Graham Packaging Co., LP, Term
Loan D, 6.00%, 9/23/16

 

 

896

 

 

897,982

 

 

 

 

 

 

 

1,505,345

 

Diversified Consumer Services —
2.8%

 

 

 

 

 

 

 

Coinmach Service Corp., Term
Loan, 3.26%, 11/20/14

 

 

2,182

 

 

2,100,494

 

Laureate Education:

 

 

 

 

 

 

 

Closing Date Term Loan,
3.52%, 8/17/14

 

 

737

 

 

731,183

 

Delayed Draw Term Loan,
3.55%, 8/17/14

 

 

110

 

 

109,477

 

Series A New Term Loan,
7.00%, 8/17/14

 

 

2,240

 

 

2,245,659

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Closing Date Term Loan,
2.81%, 7/24/14

 

 

1,395

 

 

1,360,615

 

Delayed Draw Term Loan,
2.75%, 7/24/14

 

 

139

 

 

135,497

 

 

 

 

 

 

 

6,682,925

 

Diversified Financial Services —
0.7%

 

 

 

 

 

 

 

Reynolds Group Holdings, Inc.,
Term Loan E, 4.25%, 2/09/18

 

 

1,550

 

 

1,549,031

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

6


 

 

 

 

 

 

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

 

Diversified Telecommunication Services — 1.4%

 

 

 

 

 

 

 

Hawaiian Telcom Communications,
Inc., Term Loan, 9.00%,
11/01/15

 

USD

1,350

 

$

1,384,714

 

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

 

 

918

 

 

920,165

 

Level 3 Financing, Inc., Tranche A
Incremental Term Loan, 2.53%,
3/13/14

 

 

1,100

 

 

1,075,421

 

 

 

 

 

 

 

3,380,300

 

Electronic Equipment, Instruments & Components — 1.2%

 

 

 

 

 

 

 

Aeroflex Inc., Term Loan B, 4.25%,
5/09/18

 

 

950

 

 

950,000

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan B, 4.50%,
7/14/17

 

 

944

 

 

940,450

 

Non-Extended Term Loan,
3.95%, 10/10/14

 

 

1,101

 

 

1,097,075

 

 

 

 

 

 

 

2,987,525

 

Energy Equipment & Services — 0.6%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,402,843

 

Food & Staples Retailing — 1.1%

 

 

 

 

 

 

 

Pilot Travel Centers LLC, Initial
Tranche B Term Loan, 4.25%,
3/30/18

 

 

800

 

 

802,751

 

U.S. Foodservice, Inc.:

 

 

 

 

 

 

 

New Term Loan B, 5.75%,
5/25/17

 

 

400

 

 

393,333

 

Term Loan B, 2.70%, 7/03/14

 

 

1,528

 

 

1,446,356

 

 

 

 

 

 

 

2,642,440

 

Food Products — 3.4%

 

 

 

 

 

 

 

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

 

 

2,353

 

 

2,365,922

 

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

 

 

2,650

 

 

2,649,155

 

Green Mountain Coffee Roasters,
Inc., Term B Facility, 5.50%,
12/16/16

 

 

253

 

 

252,953

 

Michaels Foods Group, Inc. (FKA
M-Foods Holdings, Inc.), (Second
Lien) Term Loan B, 4.25%,
2/23/18

 

 

587

 

 

589,394

 

Pinnacle Foods Finance LLC,
Tranche D Term Loan, 6.00%,
4/02/14

 

 

800

 

 

807,703

 

Solvest, Ltd. (Dole):

 

 

 

 

 

 

 

Tranche B-1 Term Loan,
5.00%, 3/02/17

 

 

425

 

 

426,650

 

Tranche C-1 Term Loan,
5.00%, 3/02/17

 

 

1,052

 

 

1,056,699

 

 

 

 

 

 

 

8,148,476

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies — 0.9%

 

 

 

 

 

 

 

DJO Finance LLC (FKA ReAble
Therapeutics Finance LLC), Term
Loan, 3.19%, 5/20/14

 

USD

798

 

$

791,942

 

Iasis Healthcare LLC, Term Loan,
5.00%, 5/03/18

 

 

1,300

 

 

1,300,975

 

 

 

 

 

 

 

2,092,917

 

Health Care Providers & Services — 3.8%

 

 

 

 

 

 

 

CHS/Community Health Systems, Inc.:

 

 

 

 

 

 

 

Non-Extended Delayed Draw
Term Loan, 2.50%, 7/25/14

 

 

36

 

 

35,194

 

Non-Extended Term Loan,
2.50%, 7/25/14

 

 

679

 

 

656,115

 

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

 

 

698

 

 

699,996

 

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

 

 

1,097

 

 

1,103,422

 

Emergency Medical Services, Term
Loan, 5.25%, 5/02/18

 

 

1,100

 

 

1,097,447

 

HCA, Inc.:

 

 

 

 

 

 

 

Tranche A-1 Term Loan,
1.56%, 11/19/12

 

 

731

 

 

727,369

 

Tranche B-1 Term Loan,
2.56%, 11/18/13

 

 

125

 

 

124,270

 

Harden Healthcare, Inc.:

 

 

 

 

 

 

 

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

 

 

1,299

 

 

1,273,078

 

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

 

 

352

 

 

344,680

 

inVentiv Health, Inc. (FKA Ventive
Health, Inc.), Term Loan B,
4.75%, 8/04/16

 

 

1,574

 

 

1,576,861

 

Renal Advantage Holdings, Inc.,
Tranche B Term Loan, 5.75%,
12/16/16

 

 

698

 

 

702,178

 

Vanguard Health Holding Co. II,
LLC (Vanguard Health Systems,
Inc.), Initial Term Loan, 5.00%,
1/29/16

 

 

735

 

 

734,554

 

 

 

 

 

 

 

9,075,164

 

 

 

 

 

 

 

 

 

Health Care Technology — 0.7%

 

 

 

 

 

 

 

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

 

 

1,134

 

 

1,136,172

 

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

 

 

577

 

 

580,444

 

 

 

 

 

 

 

1,716,616

 

Hotels, Restaurants & Leisure — 5.5%

 

 

 

 

 

 

 

Blackstone UTP Capital LLC, Loan,
7.75%, 11/06/14

 

 

1,150

 

 

1,166,894

 

Dunkin’ Brands, Inc.:

 

 

 

 

 

 

 

New Term Loan B, 4.25%,
11/23/17

 

 

240

 

 

240,150

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

7


 

 

 

 

 

 

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

 

Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Dunkin’ Brands, Inc.:

 

 

 

 

 

 

 

Term Loan B, 4.25%,
11/23/17

 

USD

1,297

 

$

1,297,560

 

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

 

 

1,100

 

 

1,082,400

 

Harrah’s Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-2, 3.19%,
1/28/15

 

 

265

 

 

246,583

 

Term Loan B-3, 3.30%,
1/28/15

 

 

3,725

 

 

3,466,337

 

Term Loan B-4, 9.50%,
10/31/16

 

 

636

 

 

674,044

 

Seaworld Parks & Entertainment,
Inc. (FKA SW Acquisitions Co.,
Inc.), Term Loan B, 4.00%,
8/17/17

 

 

1,357

 

 

1,362,082

 

Six Flags Theme Parks, Inc.,
Tranche B Term Loan (First
Lien), 5.25%, 6/30/16

 

 

1,838

 

 

1,851,180

 

VML US Finance LLC (FKA Venetian
Macau):

 

 

 

 

 

 

 

New Project Term Loan,
4.70%, 5/27/13

 

 

817

 

 

814,615

 

Term B Delayed Draw Project
Loan, 4.70%, 5/25/12

 

 

538

 

 

537,326

 

Term B Funded Project Loan,
4.70%, 5/27/13

 

 

577

 

 

577,010

 

 

 

 

 

 

 

13,316,181

 

Household Durables — 0.3%

 

 

 

 

 

 

 

Visant Corp. (FKA Jostens), Term
Loan B, 5.25%, 12/22/16

 

 

783

 

 

782,140

 

IT Services — 3.7%

 

 

 

 

 

 

 

Ceridian Corp., US Term Loan,
3.19%, 11/10/14

 

 

1,556

 

$

1,512,500

 

First Data Corp.:

 

 

 

 

 

 

 

Extended Term Loan B, 4.19%,
3/23/18

 

 

3,711

 

 

3,461,225

 

Initial Tranche B-1 Term Loan,
2.94%, 9/24/14

 

 

98

 

 

91,566

 

Initial Tranche B-2 Term Loan,
2.94%, 9/24/14

 

 

221

 

 

206,464

 

Initial Tranche B-3 Term Loan,
2.94%, 9/24/14

 

 

141

 

 

131,935

 

infoGROUP, Inc., Term Loan,
5.75%, 5/22/18

 

 

535

 

 

530,987

 

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

 

 

650

 

 

652,979

 

SunGard Data Systems, Inc. (Solar
Capital Corp.), Tranche B US
Term Loan, 3.89%, 2/26/16

 

 

402

 

 

401,789

 

TransUnion LLC, Replacement
Term Loan, 4.75%, 2/12/18

 

 

1,964

 

 

1,971,193

 

 

 

 

 

 

 

8,960,638

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Independent Power Producers & Energy Traders — 1.8%

 

 

 

 

 

 

 

AES Corp., Term Loan B, 4.25%,
5/17/18

 

USD

950

 

$

949,110

 

Calpine Corp., Term Loan B,
4.50%, 4/02/18

 

 

1,600

 

 

1,603,200

 

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

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan,
3.73%, 10/10/14

 

 

478

 

 

406,699

 

Initial Tranche B-3 Term Loan,
3.76%, 10/10/14

 

 

1,472

 

 

1,253,624

 

 

 

 

 

 

 

4,212,633

 

Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp., Term Loan, 3.50%,
12/03/14

 

 

475

 

 

468,777

 

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

 

 

1,230

 

 

1,233,013

 

 

 

 

 

 

 

1,701,790

 

Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

FTD Group, Inc., Tranche B Term
Loan, 6.75%, 8/26/14

 

 

536

 

 

535,221

 

Media — 10.7%

 

 

 

 

 

 

 

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

 

 

900

 

 

900,900

 

Affinion Group, Inc., Tranche B
Term Loan, 5.00%, 10/09/16

 

 

743

 

 

741,946

 

Cengage Learning Acquisitions, Inc.
(Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.44%, 7/03/14

 

 

2,736

 

 

2,547,310

 

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

 

 

673

 

 

673,234

 

Charter Communications Operating,
LLC:

 

 

 

 

 

 

 

Term Loan B, 7.25%, 3/06/14

 

 

24

 

 

24,298

 

Term Loan C, 3.56%, 9/06/16

 

 

2,226

 

 

2,227,519

 

Ellis Communications KDOC, LLC,
Loan, 10.00%, 12/30/11

 

 

3,879

 

 

1,454,482

 

Getty Images, Inc., Initial Term
Loan, 5.25%, 11/07/16

 

 

1,727

 

 

1,736,625

 

HMH Publishing Co., Ltd., Tranche
A Term Loan, 6.03%, 6/12/14

 

 

1,360

 

 

1,281,583

 

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

 

 

600

 

 

603,750

 

Intelsat Jackson Holdings S. A.
(FKA Intelsat Jackson Holdings,
Ltd.), Tranche B Term Loan,
5.25%, 4/02/18

 

 

4,250

 

 

4,274,199

 

Interactive Data Corp., Term Loan,
4.75%, 2/12/18

 

 

900

 

 

902,245

 

Mediacom Illinois, LLC (FKA
Mediacom Communications,
LLC), Tranche D Term Loan,
5.50%, 3/31/17

 

 

493

 

 

493,731

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

8


 

 

 

 

 

 

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

 

Media (concluded)

 

 

 

 

 

 

 

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

 

USD $

3,250

 

$

3,453,125

 

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

 

 

840

 

 

839,527

 

Sunshine Acquisition Ltd. (FKA HIT
Entertainment), Term Facility,
5.52%, 6/01/12

 

 

965

 

 

953,057

 

UPC Financing Partnership, Facility
Term Loan T, 3.71%, 12/30/16

 

 

425

 

 

425,351

 

Univision Communications, Inc.,
Extended First Lien Term Loan,
4.44%, 3/31/17

 

 

1,398

 

 

1,349,713

 

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

 

 

898

 

 

902,613

 

 

 

 

 

 

 

25,785,210

 

Metals & Mining — 1.8%

 

 

 

 

 

 

 

Novelis Inc., Term Loan, 4.00%,
3/10/17

 

 

1,646

 

 

1,652,562

 

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

 

 

2,600

 

 

2,605,317

 

 

 

 

 

 

 

4,257,879

 

Multi-Utilities — 0.2%

 

 

 

 

 

 

 

FirstLight Power Resources, Inc.
(FKA NE Energy, Inc.), Term B
Advance (First Lien), 2.81%,
11/01/13

 

 

354

 

 

349,630

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp., Tranche B-2
Term Loan, 2.94%, 7/07/14

 

 

598

 

 

596,109

 

Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,030,000

 

Personal Products — 0.1%

 

 

 

 

 

 

 

NBTY, Inc., Term Loan B, 4.25%,
10/02/17

 

 

203

 

 

202,685

 

Pharmaceuticals — 1.2%

 

 

 

 

 

 

 

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

 

 

948

 

 

942,887

 

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

 

 

900

 

 

893,813

 

Warner Chilcott Co. LLC:

 

 

 

 

 

 

 

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

 

 

503

 

 

503,797

 

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

 

 

346

 

 

346,360

 

Warner Chilcott Corp., Term Loan
B-2, 4.25%, 3/15/18

 

 

251

 

 

251,898

 

 

 

 

 

 

 

2,938,755

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (b)

 

Par
(000)

 

Value

 

Professional Services — 0.8%

 

 

 

 

 

 

 

Booz Allen Hamilton, Inc., Tranche
B Term Loan, 4.00%, 8/03/17

 

USD

850

 

$

853,794

 

Fifth Third Processing Solutions,
LLC, Term Loan B (First Lien),
4.75%, 11/03/16

 

 

1,097

 

 

1,097,799

 

 

 

 

 

 

 

1,951,593

 

Real Estate Investment Trusts (REITs) — 1.0%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan
(Second Lien), 5.00%, 6/28/13

 

 

2,284

 

 

2,272,517

 

Real Estate Management & Development — 2.0%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Synthetic Letter of
Credit Loan, 4.64%, 10/10/16

 

 

1,581

 

 

1,469,381

 

Extended Term Loan B, 4.52%,
10/10/16

 

 

3,653

 

 

3,395,023

 

 

 

 

 

 

 

4,864,404

 

Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

Freescale Semiconductor, Inc.,
Extended Maturity Term Loan,
4.46%, 12/01/16

 

 

586

 

 

583,762

 

Microsemi Corp., Term Loan B,
4.00%, 11/02/17

 

 

698

 

 

700,577

 

 

 

 

 

 

 

1,284,339

 

Software — 0.1%

 

 

 

 

 

 

 

Telcordia Technologies, Inc., Term
Loan, 6.75%, 4/09/16

 

 

226

 

 

225,372

 

Specialty Retail — 3.4%

 

 

 

 

 

 

 

Burlington Coat Factory
Warehouse Corp., Term Loan B,
6.25%, 2/18/17

 

 

798

 

 

797,601

 

General Nutrition Centers, Inc.,
Term Loan B, 4.25%, 3/03/18

 

 

1,125

 

 

1,125,844

 

J. Crew Group, Inc., Term Loan B,
4.75%, 3/07/18

 

 

340

 

 

333,306

 

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

 

 

400

 

 

395,700

 

Michaels Stores, Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 2.56%,
10/31/13

 

 

239

 

 

235,897

 

Term Loan B-2, 4.81%,
7/31/16

 

 

739

 

 

740,335

 

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

 

 

1,520

 

 

1,518,293

 

Sensata Technologies Finance
Company, LLC, New Term Loan,
4.00%, 5/11/18

 

 

1,440

 

 

1,442,100

 

 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

9


 

 

 

 

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)

 

 

 

 

 

 

 

Toys ‘R’ Us Delaware, Inc.:

 

 

 

 

 

 

 

Initial Loan, 6.00%, 9/01/16

 

USD

1,117

 

$

1,118,107

 

Term Loan B, 5.25%, 6/14/18

 

 

400

 

 

396,596

 

 

 

 

 

 

 

8,103,779

 

Wireless Telecommunication
Services — 1.9%

 

 

 

 

 

 

 

Digicel International Finance Ltd.,,
US Term Loan (Non-Rollover),
2.81%, 3/30/12

 

 

876

 

 

860,681

 

MetroPCS Wireless, Inc., Term
Loan B, 4.25%, 3/16/18

 

 

748

 

 

744,696

 

Vodafone Americas Finance 2 Inc.,
Initial Loan, 6.88%, 8/11/15

 

 

2,847

 

 

2,932,572

 

 

 

 

 

 

 

4,537,949

 

Total Floating Rate Loan Interests – 70.4%

 

 

 

 

 

169,013,967

 

 

 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Intermet Liquidating Trust Class A

 

 

320

 

 

3

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

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

 

 

—

 

 

1,054,539

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Preferred Escrow

 

 

3

 

 

0

 

Adelphia Recovery Trust, Series
ACC-6B INT

 

 

250

 

 

25

 

 

 

 

 

 

 

25

 

Metals & Mining — 0.5%

 

 

 

 

 

 

 

RathGibson Acquisition Corp., LLC (l)

 

 

137

 

 

1,196,677

 

Total Other Interests – 0.9%

 

 

 

 

 

2,251,244

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Trust Preferred

 

Par
(000)

 

 

 

 

Diversified Financial Services — 0.5%

 

 

 

 

 

 

 

GMAC Capital Trust I (b)

 

USD

1,182,000

 

 

1,242,046

 

Total Preferred Securities– 0.5%

 

 

 

 

 

1,242,046

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (m)

 

Shares

 

Value

 

Media — 0.0%

 

 

 

 

 

 

 

Charter Communications, Inc.
(Expires 11/30/14)

 

 

6,862

 

$

89,206

 

Total Warrants – 0.0%

 

 

 

 

 

89,206

 

Total Long-Term Investments
(Cost – $325,113,086) – 131.6%

 

 

 

 

 

316,093,377

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.10% (n)(o)

 

 

1,906,377

 

$

1,906,377

 

Total Short-Term Securities
(Cost – $1,906,377) – 0.8%

 

 

 

 

 

1,906,377

 

Total Investments
(Cost – $327,019,463*) – 132.4%

 

 

 

 

 

317,999,754

 

Liabilities in Excess of Other Assets – (32.4)%

 

 

 

 

 

(77,781,892

)

Net Assets – 100.0%

 

 

 

 

$

240,217,862

 

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of May 31, 2011, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

 

Aggregate cost

 

$

327,019,463

 

 

Gross unrealized appreciation

 

$

13,399,000

 

 

Gross unrealized depreciation

 

 

(22,418,709

)

 

Net unrealized depreciation

 

$

(9,019,709

)

 

 

(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)

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

 

 

(c)

Non-income producing security.

 

 

(d)

Retricted security as to resale. As of report date the Fund held less than 0.1% of its net assets, with a current market value of $11,616 and original cost of $822, in this security.

 

 

(e)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Morgan Stanley Co.

 

$

693,556

 

$

8,556

 

Deutsche Bank

 

$

323,600

 

$

3,600

 

AG Credit Suisse International

 

$

342,125

 

$

2,125

 

 

 

(f)

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.

 

 

(g)

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

 

 

(h)

Convertible security.

 

 

(i)

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

 

 

(j)

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


 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

10


 

 

 

Schedule of Investments (continued)

BlackRock Senior High Income Fund, Inc. (ARK)

 

 

(k)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(l)

The investment is held by a wholly-owned taxable subsidiary of the Fund.

 

 

(m)

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

 

 

(n)

Represents the current yield as of report date.

 

 

(o)

Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
February 28,
2011

 

Net
Activity

 

Shares
Held at
May 31, 2011

 

Income

 

 

 

BlackRock Liquidity
Fund, Temp Fund,
Institutional Class

 

 

270,650

 

 

1,635,727

 

 

1,906,377

 

$

596

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Foreign currency exchange contracts as of May 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

 

Unrealized
Appreciation

 

 

USD 487,472

 

CAD   471,000

 

Citibank NA

 

7/07/11

 

$

1,753

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Credit default swaps on single-name issues – buy protection outstanding as of May 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

 

National
Amount
(000)

 

 

Unrealized
Depreciation

 

 

K. Hovnanian

 

5.00

%

Goldman Sachs

 

9/20/13

 

$

200

 

$

(400

)

 

Enterprises, Inc.

 

 

 

International

 

 

 

 

 

 

 

 

 

 

 

 

•

Fair Value Measurements – Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are summarized in three broad levels for financial reporting purposes as follows

 

 

 

 

•

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

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

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

 

 

 

 

The following tables summarize the inputs used as of May 31, 2011 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

 

—

 

$

1,486,571

 

$

3,114,942

 

$

4,601,513

 

Common Stocks

 

$

1,467,852

 

 

1,522,412

 

 

449,748

 

 

3,440,012

 

Corporate Bonds

 

 

—

 

 

127,096,649

 

 

8,358,740

 

 

135,455,389

 

Floating Rate
Loan Interests

 

 

—

 

 

147,517,255

 

 

21,496,712

 

 

169,013,967

 

Other Interests

 

 

25

 

 

—

 

 

2,251,219

 

 

2,251,244

 

Preferred
Securities

 

 

1,242,046

 

 

—

 

 

 

 

 

1,242,046

 

Warrants

 

 

89,206

 

 

—

 

 

—

 

 

89,206

 

Short- Term
Securities

 

 

1,906,377

 

 

—

 

 

—

 

 

1,906,377

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan
Commitments

 

 

—

 

 

—

 

 

(1,500

)

 

(1,500

)

Total

 

$

4,705,506

 

$

277,622,887

 

$

35,669,861

 

$

317,998,254

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange
contracts

 

 

—

 

$

1,753

 

 

—

 

$

1,753

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Contracts

 

 

—

 

 

(400

)

 

—

 

 

(400

)

Total

 

 

—

 

$

1,353

 

 

—

 

$

1,353

 

 

 

 

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


 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

11


 

 

 

 

Schedule of Investments (concluded)

BlackRock Senior High Income Fund, Inc. (ARK)

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

 

Unfunded Loan
Commitments
(Liabilities)

 

Total

 

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of February 28, 2011

 

$

3,467,413

 

$

433,333

 

$

6,609,156

 

$

18,685,436

 

$

2,125,823

 

 

—

 

$

31,321,161

 

 

Accrued discounts/premiums

 

 

4,553

 

 

—

 

 

45,016

 

 

40,101

 

 

—

 

 

—

 

 

89,670

 

 

Net realized gain (loss)

 

 

50,449

 

 

—

 

 

5,282

 

 

11,760

 

 

—

 

 

—

 

 

67,491

 

 

Net change in unrealized appreciation/depreciation2

 

 

(82,986

)

 

16,415

 

 

1,766,786

 

 

696,114

 

 

125,396

 

$

(1,500

)

 

2,520,225

 

 

Purchases

 

 

1,586,263

 

 

—

 

 

—

 

 

2,573,950

 

 

—

 

 

—

 

 

4,160,213

 

 

Sales

 

 

(1,470,750

)

 

—

 

 

(67,500

)

 

(2,641,129

)

 

—

 

 

—

 

 

(4,179,379

)

 

Transfers in3

 

 

—

 

 

—

 

 

—

 

 

5,086,433

 

 

—

 

 

—

 

 

5,086,433

 

 

Transfers out3

 

 

(440,000

)

 

—

 

 

—

 

 

(2,955,953

)

 

—

 

 

—

 

 

(3,395,953

)

 

Balance, as of May 31, 2011

 

$

3,114,942

 

$

449,748

 

$

8,358,740

 

$

21,496,712

 

$

2,251,219

 

$

(1,500

)

$

35,669,861

 

 

2 The net change in unrealized appreciation/depreciation on the securities still held at May 31, 2011 was $2,627,561.

 

3 The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

 

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


 

 

 

 

 

 

BLACKROCK SENIOR HIGH INCOME FUND, INC.

MAY 31, 2011

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 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 26, 2011
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Senior High Income Fund, Inc.
   
  Date: July 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Senior High Income Fund, Inc.
     
  Date: July 26, 2011