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 811-8497
Name of Fund: Corporate High Yield Fund III, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, Corporate High Yield Fund III, Inc., 800 Scudders Mill Road,
Plainsboro, NJ 08536. Mailing address: P.O. Box 9011, Princeton, NJ
08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 5/31/05
Date of reporting period: 12/01/04 - 2/28/05
Item 1 - Schedule of Investments
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
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Industry+ Face Amount Corporate Bonds Value
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Aerospace & Defense - 4.8% $ 2,275,000 Alliant Techsystems, Inc., 3% due 8/15/2024 (b)(i) $ 2,559,375
2,175,000 CPI Holdco, Inc., 8.83% due 2/01/2015 (d)(i) 2,185,875
2,275,000 DRS Technologies, Inc., 6.875% due 11/01/2013 (i) 2,388,750
975,000 Esterline Technologies Corp., 7.75% due 6/15/2013 1,060,312
775,000 K&F Acquisition, Inc., 7.75% due 11/15/2014 (i) 784,688
1,750,000 Standard Aero Holdings, Inc., 8.25% due 9/01/2014 (i) 1,881,250
2,000,000 Titan Corp., 8% due 5/15/2011 2,150,000
1,400,000 Transdigm, Inc., 8.375% due 7/15/2011 1,487,500
1,700,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 1,717,000
-------------
16,214,750
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Airlines - 2.0% 1,300,000 American Airlines, Inc. Series 2001-2, 7.80% due 4/01/2008 1,163,783
Continental Airlines, Inc.:
950,000 8% due 12/15/2005 928,625
1,209,126 Series 1997-4-B, 6.90% due 1/02/2017 971,049
482,836 Series 1998-1-C, 6.541% due 9/15/2009 441,646
750,000 Series 1998-3, 7.25% due 11/01/2005 700,834
1,239,207 Series 2001-1 Class C, 7.033% due 6/15/2011 1,034,589
Delta Air Lines, Inc.:
1,225,000 7.90% due 12/15/2009 575,750
1,930,000 2.875% due 2/18/2024 (b)(i) 996,363
-------------
6,812,639
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Automotive - 1.5% 1,850,000 Autocam Corp., 10.875% due 6/15/2014 1,776,000
Metaldyne Corp.:
2,625,000 11% due 6/15/2012 2,296,875
1,165,000 10% due 11/01/2013 (i) 1,147,525
-------------
5,220,400
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Broadcasting - 4.8% 2,675,000 Granite Broadcasting Corp., 9.75% due 12/01/2010 2,561,312
1,375,000 Nextmedia Operating, Inc., 10.75% due 7/01/2011 1,529,688
Paxson Communications Corp.:
2,125,000 10.75% due 7/15/2008 2,231,250
550,000 12.121% due 1/15/2009 (h) 537,625
1,700,000 Radio One, Inc., 6.375% due 2/15/2013 (i) 1,734,000
1,175,000 Salem Communications Corp., 7.75% due 12/15/2010 1,251,375
1,364,000 Salem Communications Holding Corp. Series B,
9% due 7/01/2011 1,493,580
3,005,000 Sinclair Broadcast Group, Inc., 4.875% due 7/15/2018 (b) 2,787,138
2,300,000 Young Broadcasting, Inc., 8.75% due 1/15/2014 2,277,000
-------------
16,402,968
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Cable - International - 0.8% 2,450,000 NTL Cable Plc, 7.66% due 10/15/2012 (d)(i) 2,526,563
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Cable - U.S. - 9.3% 750,000 Adelphia Communications Corp., 6% due 2/15/2006 (b)(e) 58,125
236,329 Avalon Cable LLC, 11.875% due 12/01/2008 246,077
2,075,000 CSC Holdings, Inc. Series B, 7.625% due 4/01/2011 2,308,437
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. (concluded) $ 4,850,000 Century Cable Holdings LLC Discretionary Term Loan, due 12/31/2009 (a) $ 4,831,813
1,900,000 Century Communications Series B, 9.05% due 1/15/2008 (e) 1,192,250
Charter Communications Holdings LLC:
3,500,000 8.625% due 4/01/2009 2,861,250
2,000,000 9.625% due 11/15/2009 1,655,000
945,000 Charter Communications, Inc., 5.875% due 11/16/2009 (b)(i) 926,100
Intelsat Bermuda Ltd. (i):
2,675,000 7.794% due 1/15/2012 (d) 2,748,562
2,775,000 8.625% due 1/15/2015 2,962,313
3,494,000 Loral Cyberstar, Inc., 10% due 7/15/2006 (e) 2,598,663
3,775,000 Mediacom Broadband LLC, 11% due 7/15/2013 4,176,094
450,000 Mediacom LLC, 9.50% due 1/15/2013 469,125
New Skies Satellites NV (i):
750,000 7.438% due 11/01/2011 (d) 786,563
1,150,000 9.125% due 11/01/2012 1,196,000
200,000 Quebecor Media, Inc., 9.99% due 7/15/2011 (h) 199,250
1,900,000 Rainbow National Services LLC, 10.375% due 9/01/2014 (i) 2,261,000
-------------
31,476,622
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 9.0% 1,519,000 BCP Caylux Holdings Luxembourg SCA, 9.625% due 6/15/2014 (i) 1,754,445
Crompton Corp.:
1,875,000 8.71% due 8/01/2010 (d) 2,034,375
1,375,000 9.875% due 8/01/2012 1,553,750
Huntsman International LLC:
525,000 9.875% due 3/01/2009 578,812
1,525,000 10.125% due 7/01/2009 1,603,156
1,025,000 ISP Chemco, Inc. Series B, 10.25% due 7/01/2011 1,148,000
1,075,000 ISP Holdings, Inc. Series B, 10.625% due 12/15/2009 1,171,750
1,950,000 Innophos, Inc., 8.875% due 8/15/2014 (i) 2,096,250
2,300,000 Millennium America, Inc., 7% due 11/15/2006 2,369,000
Nalco Co.:
450,000 7.75% due 11/15/2011 481,500
1,125,000 8.875% due 11/15/2013 1,243,125
1,324,000 Nalco Finance Holdings, Inc., 9.675% due 2/01/2014 (h) 1,012,860
3,125,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 3,343,750
725,000 PCI Chemicals Canada, Inc., 10% due 12/31/2008 775,750
600,000 PQ Corp., 7.50% due 2/15/2013 (i) 621,750
PolyOne Corp.:
2,625,000 10.625% due 5/15/2010 2,992,500
500,000 8.875% due 5/01/2012 557,500
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals (concluded) $ 1,966,000 Terra Capital, Inc., 11.50% due 6/01/2010 $ 2,290,390
2,830,000 Wellman, Inc. Second Lien Term Loan, due 2/10/2010 (a) 2,982,113
-------------
30,610,776
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Durables - 0.7% 1,350,000 Sealy Mattress Co., 8.25% due 6/15/2014 1,414,125
785,000 Tempur-Pedic, Inc., 10.25% due 8/15/2010 894,900
-------------
2,309,025
-----------------------------------------------------------------------------------------------------------------------------------
Consumer - Chattem, Inc.:
Non-Durables - 2.4% 650,000 5.91% due 3/01/2010 (d) 663,000
600,000 7% due 3/01/2014 618,000
1,175,000 Church & Dwight Co., Inc., 6% due 12/15/2012 (i) 1,195,562
3,100,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 3,386,750
2,200,000 Samsonite Corp., 8.875% due 6/01/2011 2,370,500
-------------
8,233,812
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Media - 6.9% 2,150,000 CBD Media, Inc., 8.625% due 6/01/2011 2,284,375
2,275,000 CanWest Media, Inc., 8% due 9/15/2012 (i) 2,451,313
1,367,000 Dex Media West LLC, 9.875% due 8/15/2013 1,568,632
2,650,000 Houghton Mifflin Co., 8.25% due 2/01/2011 2,795,750
5,600,000 Liberty Media Corp., 0.75% due 3/30/2023 (b) 6,083,000
Primedia, Inc.:
875,000 7.625% due 4/01/2008 888,125
1,225,000 8.875% due 5/15/2011 1,323,000
Universal City Florida Holding Co. (i):
1,125,000 7.493% due 5/01/2010 (d) 1,178,438
825,000 8.375% due 5/01/2010 868,313
525,000 WDAC Subsidiary Corp., 8.375% due 12/01/2014 (i) 534,188
3,302,000 Yell Finance BV, 12.52% due 8/01/2011 (h) 3,293,745
-------------
23,268,879
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Exploration & 2,525,000 Plains Exploration & Production Co. Series B, 8.75% due 7/01/2012 2,815,375
Production - 0.8%
-----------------------------------------------------------------------------------------------------------------------------------
Energy - Other - 3.4% 1,250,000 Aventine Renewable Energy Holdings, Inc., 9.01%
due 12/15/2011 (d)(i) 1,287,500
1,875,000 Dresser, Inc., 9.375% due 4/15/2011 2,025,000
650,000 Energy Corp. of America Series A, 9.50% due 5/15/2007 649,187
1,350,000 Inergy LP, 6.875% due 12/15/2014 (i) 1,370,250
3,700,000 Ocean Rig Norway AS, 10.25% due 6/01/2008 3,801,750
500,000 Star Gas Partners LP, 10.25% due 2/15/2013 (i) 456,250
2,000,000 Trico Marine Services, Inc., 8.875% due 5/15/2012 (e) 1,800,000
-------------
11,389,937
-----------------------------------------------------------------------------------------------------------------------------------
Financial - 0.9% 2,850,000 Refco Finance Holdings LLC, 9% due 8/01/2012 (i) 3,106,500
-----------------------------------------------------------------------------------------------------------------------------------
Food & Drug - 0.4% 1,375,000 Duane Reade Inc., 7.51% due 12/15/2010 (d)(i) 1,375,000
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Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Food & Tobacco - 5.4% $ 750,000 American Seafoods Group LLC, 10.125% due 4/15/2010 $ 817,500
Commonwealth Brands, Inc. (i):
1,975,000 9.75% due 4/15/2008 2,113,250
1,525,000 10.625% due 9/01/2008 1,624,125
600,000 Cosan SA Industria e Comercio, 9% due 11/01/2009 (i) 624,000
2,725,000 Cott Beverages USA, Inc., 8% due 12/15/2011 2,925,968
Del Monte Corp.:
1,250,000 8.625% due 12/15/2012 1,393,750
475,000 6.75% due 2/15/2015 (i) 488,062
2,200,000 Doane Pet Care Co., 10.75% due 3/01/2010 2,337,500
1,275,000 Merisant Co., 10.25% due 7/15/2013 (i) 1,128,375
1,950,000 New World Pasta Co., 9.25% due 2/15/2009 (e) 136,500
2,100,000 Smithfield Foods, Inc. Series B, 8% due 10/15/2009 2,325,750
1,250,000 Tabletop Holdings, Inc., 12.25% due 5/15/2014 (h) 500,000
1,600,000 The Wornick Co., 10.875% due 7/15/2011 1,728,000
-------------
18,142,780
-----------------------------------------------------------------------------------------------------------------------------------
Gaming - 6.6% 3,225,000 Boyd Gaming Corp., 8.75% due 4/15/2012 3,555,562
2,325,000 Caesars Entertainment, Inc., 7.875% due 3/15/2010 2,615,625
1,925,000 Inn of the Mountain Gods Resort & Casino,
12% due 11/15/2010 2,281,125
1,550,000 MGM Mirage, 8.50% due 9/15/2010 1,770,875
3,625,000 Majestic Star Casino LLC, 9.50% due 10/15/2010 3,837,969
925,000 Penn National Gaming, Inc., 6.75% due 3/01/2015 (i) 943,500
1,425,000 Pinnacle Entertainment, Inc., 8.25% due 3/15/2012 1,521,188
2,575,000 Poster Financial Group, Inc., 8.75% due 12/01/2011 2,739,156
2,675,000 Resorts International Hotel and Casino, Inc., 11.50%
due 3/15/2009 3,156,500
-------------
22,421,500
-----------------------------------------------------------------------------------------------------------------------------------
Government - Foreign - 0.6% 1,225,000 Brazilian Government International Bond, 10.50%
0.4% due 7/14/2014 1,435,087
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Health Care - 7.4% Alpharma, Inc.:
2,950,000 3% due 6/01/2006 (b) 3,739,125
2,175,000 8.625% due 5/01/2011 (i) 2,218,500
Elan Finance Plc (i):
1,925,000 6.49% due 11/15/2011 (d) 1,674,750
1,950,000 7.75% due 11/15/2011 1,735,500
2,902,000 Fisher Scientific International, 8.125% due 5/01/2012 3,184,945
3,750,000 Fresenius Medical Care Capital Trust II, 7.875% due 2/01/2008 4,012,500
2,825,000 Healthsouth Corp., 8.375% due 10/01/2011 2,959,187
1,450,000 Select Medical Corp., 7.625% due 2/01/2015 (i) 1,498,938
2,675,000 U.S. Oncology, Inc., 9% due 8/15/2012 (i) 2,922,438
1,000,000 Vanguard Health Holding Co. II LLC, 9% due 10/01/2014 1,100,000
-------------
25,045,883
-----------------------------------------------------------------------------------------------------------------------------------
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Housing - 3.2% Building Materials Corp. of America:
$ 400,000 7.75% due 7/15/2005 $ 405,000
1,050,000 8% due 10/15/2007 1,086,750
5,325,000 8% due 12/01/2008 5,498,062
Goodman Global Holding Co., Inc. (i):
450,000 5.76% due 6/15/2012 (d) 461,250
1,700,000 7.875% due 12/15/2012 1,661,750
1,475,000 Texas Industries, Inc., 10.25% due 6/15/2011 1,711,000
-------------
10,823,812
-----------------------------------------------------------------------------------------------------------------------------------
Information 3,600,000 Advanced Micro Devices, Inc., 7.75% due 11/01/2012 (i) 3,672,000
Technology - 5.5% Amkor Technology, Inc.:
575,000 9.25% due 2/15/2008 563,500
1,925,000 7.125% due 3/15/2011 1,674,750
2,825,000 Cypress Semiconductor Corp., 1.25% due 6/15/2008 (b) 3,206,375
1,925,000 Freescale Semiconductor, Inc., 5.41% due 7/15/2009 (d) 2,009,218
600,000 MagnaChip SemiConductor SA, 6.26% due 12/15/2011 (d)(i) 618,000
1,835,000 Quantum Corp., 4.375% due 8/01/2010 (b) 1,796,006
575,000 TTI Holding Corp., 8.875% due 3/01/2013 (i) 593,688
1,150,000 UGS Corp., 10% due 6/01/2012 (i) 1,299,500
3,400,000 Viasystems, Inc., 10.50% due 1/15/2011 3,349,000
-------------
18,782,037
-----------------------------------------------------------------------------------------------------------------------------------
Leisure - 1.9% Felcor Lodging LP:
2,850,000 6.874% due 6/01/2011 (d) 3,024,562
1,550,000 9% due 6/01/2011 1,753,437
825,000 Intrawest Corp., 7.50% due 10/15/2013 875,531
975,000 True Temper Sports, Inc., 8.375% due 9/15/2011 938,438
-------------
6,591,968
-----------------------------------------------------------------------------------------------------------------------------------
Manufacturing - 6.2% 800,000 Columbus McKinnon Corp., 8.50% due 4/01/2008 812,000
1,000,000 EaglePicher Holdings, Inc., Tranche B Term Loan,
due 8/07/2009 (a) 998,333
3,725,000 Eagle Picher Industries, Inc., 9.75% due 9/01/2013 3,054,500
3,450,000 Invensys Plc, 9.875% due 3/15/2011 (i) 3,726,000
2,475,000 Johnsondiversey, Inc. Series B, 9.625% due 5/15/2012 2,772,000
1,175,000 Mueller Group, Inc., 10% due 5/01/2012 1,292,500
775,000 Rexnord Corp., 10.125% due 12/15/2012 875,750
1,750,000 Superior Essex Communications LLC, 9% due 4/15/2012 1,863,750
3,125,000 Trimas Corp., 9.875% due 6/15/2012 3,234,375
1,555,000 Tyco International Group SA, 2.75% due 1/15/2018 (b) 2,303,344
-------------
20,932,552
-----------------------------------------------------------------------------------------------------------------------------------
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Metal - Other - 2.9% $ 1,675,000 Asia Aluminum Holdings Ltd., 8% due 12/23/2011 (i) $ 1,695,937
1,200,000 Century Aluminum Co., 7.50% due 8/15/2014 (i) 1,290,000
1,150,000 Foundation PA Coal Co., 7.25% due 8/01/2014 1,219,000
2,925,000 Luscar Coal Ltd, 9.75% due 10/15/2011 3,268,688
2,150,000 Novelis, Inc., 7.25% due 2/15/2015 (i) 2,225,250
-------------
9,698,875
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 4.8% 1,400,000 Consolidated Container Co. LLC, 10.75% due 6/15/2009 (h) 1,225,000
Crown European Holdings SA:
950,000 9.50% due 3/01/2011 1,068,750
500,000 10.875% due 3/01/2013 593,750
3,325,000 Owens-Brockway, 8.875% due 2/15/2009 3,591,000
Pliant Corp.:
2,200,000 11.125% due 6/15/2009 (h) 2,068,000
1,475,000 13% due 6/01/2010 1,441,813
Tekni-Plex, Inc.:
2,300,000 12.75% due 6/15/2010 2,047,000
400,000 8.75% due 11/15/2013 (i) 392,000
U.S. Can Corp.:
375,000 10.875% due 7/15/2010 405,000
2,825,000 12.375% due 10/01/2010 2,754,375
650,000 Wise Metals Group LLC, 10.25% due 5/15/2012 663,000
-------------
16,249,688
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 6.2% 3,400,000 Abitibi-Consolidated, Inc., 6.51% due 6/15/2011 (d) 3,502,000
Ainsworth Lumber Co. Ltd. (i):
1,900,000 6.30% due 10/01/2010 (d) 1,957,000
1,150,000 7.25% due 10/01/2012 1,178,750
250,000 Boise Cascade LLC, 5.535% due 10/15/2012 (d)(i) 258,125
3,025,000 Bowater, Inc., 6.01% due 3/15/2010 (d) 3,123,312
2,125,000 Caraustar Industries, Inc., 9.875% due 4/01/2011 2,326,875
Graphic Packaging International Corp.:
825,000 8.50% due 8/15/2011 897,187
950,000 9.50% due 8/15/2013 1,075,875
1,900,000 JSG Funding Plc, 9.625% due 10/01/2012 2,104,250
875,000 Jefferson Smurfit Corp. US, 8.25% due 10/01/2012 945,000
2,450,000 Norske Skog Canada Ltd. Series D, 8.625% due 6/15/2011 2,621,500
1,003,000 Western Forest Products, Inc., 15% due 7/28/2009 (g)(i) 1,093,409
-------------
21,083,283
-----------------------------------------------------------------------------------------------------------------------------------
Retail - 0.4% 1,250,000 Jean Coutu Group, Inc., 8.50% due 8/01/2014 1,281,250
-----------------------------------------------------------------------------------------------------------------------------------
Service - 6.2% 2,625,000 Allied Waste North America Series B, 8.875% due 4/01/2008 2,828,438
1,040,000 Coinmach Corp., 9% due 2/01/2010 1,086,800
2,725,000 Corrections Corp. of America, 7.50% due 5/01/2011 2,888,500
1,050,000 Knowledge Learning Corp., Inc., 7.75% due 2/01/2015 (i) 1,055,250
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Service (concluded) $ 1,500,000 MSW Energy Holdings LLC, 8.50% due 9/01/2010 $ 1,635,000
875,000 MSW Energy Holdings II LLC, 7.375% due 9/01/2010 914,375
3,125,000 United Rentals North America, Inc., 7.75% due 11/15/2013 3,132,813
3,100,000 Waste Services, Inc., 9.50% due 4/15/2014 (i) 3,185,250
Williams Scotsman, Inc.:
3,700,000 9.875% due 6/01/2007 3,709,250
375,000 10% due 8/15/2008 409,688
-------------
20,845,364
-----------------------------------------------------------------------------------------------------------------------------------
Steel - 0.4% 1,200,000 Ucar Finance, Inc., 10.25% due 2/15/2012 1,335,000
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Telecommunications - 5.0% ADC Telecommunications, Inc. (b):
2,200,000 1% due 6/15/2008 2,068,000
750,000 3.065% due 6/15/2013 (d) 721,875
1,616,000 Alaska Communications Systems Holdings, Inc., 9.875% due 8/15/2011 1,749,320
2,850,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 2,946,187
2,550,000 LCI International, Inc., 7.25% due 6/15/2007 2,486,250
675,000 Qwest Capital Funding, Inc., 7.25% due 2/15/2011 661,500
1,000,000 Terremark Worldwide, Inc., 9% due 6/15/2009 (b)(i) 927,500
850,000 Time Warner Telecom Holdings, Inc., 6.794% due 2/15/2011 (d) 881,875
Time Warner Telecom, Inc.:
500,000 9.75% due 7/15/2008 511,250
3,875,000 10.125% due 2/01/2011 3,962,188
-------------
16,915,945
-----------------------------------------------------------------------------------------------------------------------------------
Transportation - 1.4% 1,850,000 Laidlaw International, Inc., 10.75% due 6/15/2011 2,120,563
2,325,000 Teekay Shipping Corp., 8.875% due 7/15/2011 2,679,563
-------------
4,800,126
-----------------------------------------------------------------------------------------------------------------------------------
Utility - 11.7% The AES Corp.:
4,458,000 9.375% due 9/15/2010 5,193,570
2,100,000 8.75% due 5/15/2013 (i) 2,388,750
850,000 AES Drax Energy Ltd Series B, 11.50% due 8/30/2010 (e) 4,250
6,825,000 Calpine Canada Energy Finance Ulc, 8.50% due 5/01/2008 5,118,750
Calpine Corp.:
1,500,000 8.25% due 8/15/2005 1,515,000
950,000 8.75% due 7/15/2007 798,000
4,575,000 Centerpoint Energy, Inc., 3.75% due 5/15/2023 (b) 5,215,500
2,025,000 ESI Tractebel Acquisition Corp. Series B, 7.99% due 12/30/2011 2,145,110
1,900,000 Edison Mission Energy, 9.875% due 4/15/2011 2,270,500
2,350,000 El Paso CGP Co., 7.75% due 6/15/2010 2,473,375
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Face Amount Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Utility (concluded) Nevada Power Co.:
$ 600,000 9% due 8/15/2013 $ 693,000
3,300,000 Series E, 10.875% due 10/15/2009 3,770,250
1,650,000 Reliant Energy, Inc., 6.75% due 12/15/2014 1,637,625
1,650,000 Sierra Pacific Power Co. Series A, 8% due 6/01/2008 1,794,375
1,200,000 Sierra Pacific Resources, 8.625% due 3/15/2014 1,326,000
925,000 Southern Natural Gas Co., 8.875% due 3/15/2010 1,024,438
2,000,000 Texas Genco LLC, 6.875% due 12/15/2014 (i) 2,135,000
-------------
39,503,493
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 825,000 American Tower Escrow Corp., 14.877% due 8/01/2008 (h) 618,750
Communications - 4.4% 2,000,000 Centennial Cellular Operating Co. LLC, 10.125% due 6/15/2013 2,320,000
2,800,000 Crown Castle International Corp., 9.375% due 8/01/2011 (b) 3,108,000
975,000 Iwo Escrow Co., 6.32% due 1/15/2012 (d)(i) 1,009,125
Rogers Wireless Communications, Inc.:
250,000 6.135% due 12/15/2010 (d) 263,750
250,000 8% due 12/15/2012 270,938
3,400,000 6.375% due 3/01/2014 3,489,250
625,000 Rural Cellular Corp., 7.51% due 3/15/2010 (d) 656,250
1,375,000 SBA Communications Corp., 8.50% due 12/01/2012 (i) 1,485,000
1,925,000 SBA Telecommunications, Inc., 7.432% due 12/15/2011 (h) 1,684,375
-------------
14,905,438
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Corporate Bonds
(Cost - $411,599,318) - 127.7% 432,557,327
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Shares Held Common Stocks
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Airlines - 0.2% 81,243 ABX Air, Inc. (c) 654,819
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Cable - International - 0.9% 178,100 Telewest Global, Inc. (c) 2,972,489
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Paper - 0.4% 203,785 Western Forest Products, Inc. (c) 1,309,715
-----------------------------------------------------------------------------------------------------------------------------------
Telecommunications - 0.1% 16,244 MCI, Inc. (e) 369,551
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Total Investments in Common Stocks
(Cost - $4,683,857) - 1.6% 5,306,574
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-----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Automotive - 0.9% 128,000 General Motors Corp. Series C 16.25% (b) 3,133,440
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Preferred Stocks (Cost - $3,199,472) - 0.9% 3,133,440
-----------------------------------------------------------------------------------------------------------------------------------
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
-----------------------------------------------------------------------------------------------------------------------------------
Industry+ Shares Held Warrants (j) Value
-----------------------------------------------------------------------------------------------------------------------------------
Cable - U.S. - 0.0% 32,981 Loral Space & Communications (expires 12/26/2006) $ 330
-----------------------------------------------------------------------------------------------------------------------------------
Health Care - 0.0% 32,042 HealthSouth Corp. (expires 1/23/2014) 80,105
-----------------------------------------------------------------------------------------------------------------------------------
Packaging - 0.0% 4,000 Pliant Corp. (expires 6/01/2010) 40
-----------------------------------------------------------------------------------------------------------------------------------
Paper - 0.0% 700 MDP Acquistions Plc (expires 10/01/2013) 7,000
-----------------------------------------------------------------------------------------------------------------------------------
Wireless 825 American Tower Corp. (expires 8/01/2008) 193,050
Communications - 0.1%
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Warrants (Cost - $112,171) - 0.1% 280,525
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial Interest Other Interests (f)
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.3% $ 3,780,240 US Airways Group, Inc. - Certificate of Beneficial Interest 1,058,467
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Other Interests 1,058,467
(Cost - $1,020,665) - 0.3%
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $420,615,483*) - 130.6% 442,336,333
Liabilities in Excess of Other Assets - (30.6%) (103,636,591)
-------------
Net Assets - 100.0% $ 338,699,742
=============
(a) Floating rate corporate debt in which the Fund invests generally pays
interest at rates that are periodically redetermined by reference to a
base lending rate plus a premium. The base lending rates are generally (i)
the lending rate offered by one or more major European banks, such as
LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one
or more U.S. banks or (iii) the certificate of deposit rate. Corporate
loans represent 2.6% of the Fund's net assets.
(b) Convertible security.
(c) Non-income producing security.
(d) Floating rate note.
(e) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(f) Other Interests represent beneficial interest in liquidation trusts and
other reorganization entities.
(g) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(h) Represents a zero coupon or step bond; the interest rate shown reflects
the effective yield at the time of purchase by the Fund.
(i) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(j) 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.
+ For Fund compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease.
* The cost and unrealized appreciation (depreciation) of investments as of
February 28, 2005, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 420,893,776
=============
Gross unrealized appreciation $ 30,526,192
Gross unrealized depreciation (9,083,635)
-------------
Net unrealized appreciation $ 21,442,557
=============
Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 28, 2005 (in U.S. dollars)
Investments in companies considered to be an affiliate of the Fund (such
companies are defined as "Affiliated Companies" in Section 2(a)(3) of the
Investment Company Act of 1940) were as follows:
--------------------------------------------------------------------------
Affiliate Net Activity Interest Income
--------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC
Cash Sweep Series I $(82,499) $ 3,846
--------------------------------------------------------------------------
Financial futures contracts sold as of February 28, 2005 were as follows:
--------------------------------------------------------------------------------------------------
Expiration Unrealized
Number of Contracts Issue Date Face Value Appreciation
--------------------------------------------------------------------------------------------------
49 10 - Year U.S. Treasury Notes March 2005 $ 5,553,707 $120,832
--------------------------------------------------------------------------------------------------
Swaps outstanding as of February 28, 2005 were as follows:
-------------------------------------------------------------------------
Unrealized
Notional Appreciation
Amount (Depreciation)
-------------------------------------------------------------------------
Receive a variable rate return
based on 1-month USD
LIBOR and pay a fixed rate
of 1.56%
Broker, UBS Warburg
Expires June 2005 $30,000,000 $ 203,855
Sold credit default
protection on Dow Jones
CDX North America
Series 3 High Yield Single
B and receive 4%
Broker, JPMorgan Chase Bank
Expires December 2009 $ 2,018,800 (4,900)
Sold credit default
protection on Dow Jones
CDX North America
Series 3 High Yield Single
B and receive 4%
Broker, Morgan Stanley
Capital Services., Inc.
Expires December 2009 $ 3,028,200 (7,350)
-------------------------------------------------------------------------
Total $ 191,605
===========
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our evaluation
of these controls and procedures as of a date within 90 days prior to the
filing date of this report.
2(b) - There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the last fiscal quarter of the period
covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
Item 3 - Exhibits
Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Corporate High Yield Fund III, Inc.
By: /s/Robert C. Doll, Jr.
--------------------------
Robert C. Doll, Jr.
Chief Executive Officer
Corporate High Yield Fund III, Inc.
Date: April 22, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/Robert C. Doll, Jr.
--------------------------
Robert C. Doll, Jr.
Chief Executive Officer
Corporate High Yield Fund III, Inc.
Date: April 22, 2005
By: /s/ Donald C. Burke
--------------------------
Donald C. Burke
Chief Financial Officer
Corporate High Yield Fund III, Inc.
Date: April 22, 2005