UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-08497
Name of Fund: BlackRock Corporate High Yield Fund III, Inc. (CYE)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive
Officer, BlackRock 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: (800) 882-0052, Option 4
Date of fiscal year end: 05/31/2009
Date of reporting period: 06/01/2008 - 08/31/2008
Item 1 - Schedule of Investments
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense - 2.8% Alliant Techsystems, Inc., 2.75%, 9/15/11 (a)(b) USD 1,947 $ 2,372,906
DRS Technologies, Inc., 6.875%, 11/01/13 1,425 1,442,812
Esterline Technologies Corp., 7.75%, 6/15/13 975 975,000
Hawker Beechcraft Acquisitions Co. LLC, 8.875%, 4/01/15 (c) 415 412,925
L-3 Communications Holdings, Inc., 3%, 8/01/35 (a) 1,380 1,626,675
TransDigm, Inc., 7.75%, 7/15/14 470 457,075
------------
7,287,393
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.4% Continental Airlines, Inc. Series 1997-4-B, 6.90%, 7/02/18 873 735,782
Continental Airlines, Inc. Series 1998-1-C, 6.541%, 9/15/09 20 19,305
Continental Airlines, Inc. Series 2001-1-C, 7.033%, 12/15/12 340 272,293
------------
1,027,380
-----------------------------------------------------------------------------------------------------------------------------------
Auto Components - 1.8% Allison Transmission, Inc., 11%, 11/01/15 (b) 625 575,000
Allison Transmission, Inc., 11.25%, 11/01/15 (b)(c) 1,780 1,566,400
The Goodyear Tire & Rubber Co., 7.857%, 8/15/11 875 879,375
The Goodyear Tire & Rubber Co., 8.625%, 12/01/11 1,122 1,155,660
Lear Corp., 8.75%, 12/01/16 875 658,437
------------
4,834,872
-----------------------------------------------------------------------------------------------------------------------------------
Automobiles - 0.4% Ford Capital BV, 9.50%, 6/01/10 785 653,512
Ford Motor Co., 8.90%, 1/15/32 700 371,000
------------
1,024,512
-----------------------------------------------------------------------------------------------------------------------------------
Building Products - 1.1% Momentive Performance Materials, Inc., 11.50%, 12/01/16 1,970 1,536,600
Ply Gem Industries, Inc., 11.75%, 6/15/13 (b) 1,410 1,283,100
------------
2,819,700
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 1.2% E*Trade Financial Corp., 12.50%, 11/30/17 (b) 1,520 1,626,400
Marsico Parent Co., LLC, 10.625%, 1/15/16 (b) 1,073 901,320
Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(c) 396 328,218
Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (b)(c) 266 220,991
------------
3,076,929
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.0% American Pacific Corp., 9%, 2/01/15 880 853,600
Hexion U.S. Finance Corp., 7.304%, 11/15/14 (d) 625 476,562
Hexion U.S. Finance Corp., 9.75%, 11/15/14 525 437,062
Innophos, Inc., 8.875%, 8/15/14 825 845,625
Key Plastics LLC, 11.75%, 3/15/13 (b) 455 159,250
MacDermid, Inc., 9.50%, 4/15/17 (b) 1,700 1,555,500
Nalco Finance Holdings, Inc., 10.078%, 2/01/14 (e) 724 651,600
Terra Capital, Inc. Series B, 7%, 2/01/17 280 272,300
------------
5,251,499
-----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & Aramark Corp., 8.50%, 2/01/15 245 246,837
Supplies - 4.2% Corrections Corp. of America, 7.50%, 5/01/11 3,000 3,022,500
DI Finance Series B, 9.50%, 2/15/13 283 280,877
Sally Holdings LLC, 9.25%, 11/15/14 210 212,363
Sally Holdings LLC, 10.50%, 11/15/16 769 772,845
US Investigations Services, Inc., 10.50%, 11/01/15 (b) 700 623,000
Waste Services, Inc., 9.50%, 4/15/14 3,000 3,030,000
West Corp., 9.50%, 10/15/14 750 639,375
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
West Corp., 11%, 10/15/16 USD 2,850 $ 2,230,125
------------
11,057,922
-----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.5% Nortel Networks Ltd., 7.041%, 7/15/11 (d) 1,545 1,432,988
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Construction & Engineering - 0.6% Dycom Industries, Inc., 8.125%, 10/15/15 1,750 1,636,250
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Construction Materials - 1.5% Nortek Holdings, Inc., 10%, 12/01/13 (b) 3,490 3,263,150
Texas Industries, Inc., 7.25%, 7/15/13 785 733,975
------------
3,997,125
-----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 4.0% Berry Plastics Holding Corp., 6.694%, 9/15/14 (d) 1,765 1,323,750
Graphic Packaging International Corp., 8.50%, 8/15/11 1,240 1,221,400
Graphic Packaging International Corp., 9.50%, 8/15/13 640 601,600
Impress Holdings BV, 5.916%, 9/15/13 (b)(d) 420 378,000
Owens-Brockway Glass Container, Inc., 8.25%, 5/15/13 1,000 1,030,000
Packaging Dynamics Finance Corp., 10%, 5/01/16 (b) 1,355 914,625
Pregis Corp., 12.375%, 10/15/13 1,200 1,146,000
Rock-Tenn Co., 8.20%, 8/15/11 2,000 2,050,000
Smurfit-Stone Container Enterprises, Inc., 8%, 3/15/17 2,375 1,900,000
------------
10,565,375
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer Service Corp. International, 7%, 6/15/17 3,000 2,797,500
Services - 1.1%
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16 (b) 520 522,600
Services - 3.0% FCE Bank Plc, 7.125%, 1/16/12 EUR 2,500 3,059,013
Ford Motor Credit Co. LLC, 5.538%, 1/13/12 (d) USD 435 321,163
Ford Motor Credit Co. LLC, 7.80%, 6/01/12 200 148,533
GMAC LLC, 7.25%, 3/02/11 600 400,339
GMAC LLC, 5.011%, 12/01/14 (d) 1,420 745,709
GMAC LLC, 6.75%, 12/01/14 1,340 727,574
GMAC LLC, 8%, 11/01/31 1,485 800,933
Leucadia National Corp., 8.125%, 9/15/15 1,325 1,333,281
------------
8,059,145
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Broadview Networks Holdings, Inc., 11.375%, 9/01/12 950 817,000
Telecommunication Services - 3.3% Cincinnati Bell, Inc., 7.25%, 7/15/13 260 249,925
Qwest Communications International, Inc., 7.50%, 2/15/14 3,170 2,884,700
Qwest Corp., 6.069%, 6/15/13 (d) 1,550 1,433,750
Qwest Corp., 7.625%, 6/15/15 525 486,938
Windstream Corp., 8.125%, 8/01/13 3,000 2,970,000
------------
8,842,313
-----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 1.8% Edison Mission Energy, 7.50%, 6/15/13 1,875 1,879,687
NSG Holdings LLC, 7.75%, 12/15/25 (b) 1,030 988,800
Tenaska Alabama Partners LP, 7%, 6/30/21 (b) 1,948 1,832,406
------------
4,700,893
-----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.4% Coleman Cable, Inc., 9.875%, 10/01/12 1,025 953,250
UCAR Finance, Inc., 10.25%, 2/15/12 110 113,300
------------
1,066,550
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & NXP BV, 5.541%, 10/15/13 (d) USD 1,315 $ 1,022,413
Instruments - 0.9% Sanmina-SCI Corp., 8.125%, 3/01/16 1,565 1,412,413
------------
2,434,826
-----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Compagnie Generale de Geophysique-Veritas, 7.50%, 5/15/15 215 213,925
Services - 0.5% Compagnie Generale de Geophysique-Veritas, 7.75%, 5/15/17 320 318,400
North American Energy Partners, Inc., 8.75%, 12/01/11 720 716,400
------------
1,248,725
-----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing - AmeriQual Group LLC, 9%, 4/01/12 (b) 800 520,000
0.5% Rite Aid Corp., 7.50%, 3/01/17 1,155 958,650
------------
1,478,650
-----------------------------------------------------------------------------------------------------------------------------------
Food Products - 0.6% Del Monte Corp., 8.625%, 12/15/12 1,694 1,710,940
-----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.5% El Paso Performance-Linked Trust, 7.75%, 7/15/11 (b) 1,320 1,334,517
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & Biomet, Inc., 10.375%, 10/15/17 (c) 270 284,850
Supplies - 2.8% Biomet, Inc., 11.625%, 10/15/17 270 283,837
Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (c) 930 776,550
DJO Finance LLC, 10.875%, 11/15/14 5,300 5,313,250
Hologic, Inc., 2%, 12/15/37 (a)(e) 870 710,138
------------
7,368,625
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Community Health Systems, Inc. Series WI, 8.875%, 7/15/15 585 590,850
Services - 3.1% Omnicare, Inc., 6.75%, 12/15/13 725 679,688
Tenet Healthcare Corp., 6.375%, 12/01/11 275 265,375
Tenet Healthcare Corp., 6.50%, 6/01/12 4,215 4,078,013
United Surgical Partners International, Inc., 8.875%, 5/01/17 756 650,160
Vanguard Health Holding Co. II, LLC, 9%, 10/01/14 2,000 1,965,000
------------
8,229,086
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & American Real Estate Partners LP, 7.125%, 2/15/13 2,800 2,446,500
Leisure - 6.7% Caesars Entertainment, Inc., 7.875%, 3/15/10 1,350 1,150,875
Galaxy Entertainment Finance Co. Ltd., 8.133%,
12/15/10 (b)(d) 300 288,000
Galaxy Entertainment Finance Co. Ltd., 9.875%, 12/15/12 (b) 550 517,000
Gaylord Entertainment Co., 8%, 11/15/13 400 367,000
Great Canadian Gaming Corp., 7.25%, 2/15/15 (b) 2,000 1,885,000
Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(f) 559 422,045
Harrah's Operating Co., Inc., 10.75%, 2/01/18 (b)(c) 3,250 1,919,620
Inn of the Mountain Gods Resort & Casino, 12%, 11/15/10 1,550 1,104,375
Landry's Restaurants, Inc., 9.50%, 12/15/14 245 242,550
Little Traverse Bay Bands of Odawa Indians, 10.25%, 2/15/14 (b) 1,290 1,073,925
Penn National Gaming, Inc., 6.875%, 12/01/11 2,025 1,923,750
San Pasqual Casino, 8%, 9/15/13 (b) 975 887,250
Shingle Springs Tribal Gaming Authority, 9.375%, 6/15/15 (b) 360 292,500
Station Casinos, Inc., 7.75%, 8/15/16 1,625 1,096,875
Travelport LLC, 7.436%, 9/01/14 (d) 370 291,375
Tropicana Entertainment LLC Series WI, 9.625%, 12/15/14 (f) 305 97,600
Virgin River Casino Corp., 9%, 1/15/12 940 660,350
Wynn Las Vegas LLC, 6.625%, 12/01/14 1,200 1,093,500
------------
17,760,090
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Household Durables - 0.7% American Greetings Corp., 7.375%, 6/01/16 USD 1,020 $ 969,000
Jarden Corp., 7.50%, 5/01/17 1,015 903,350
The Yankee Candle Co., Inc., 9.75%, 2/15/17 205 130,175
------------
2,002,525
-----------------------------------------------------------------------------------------------------------------------------------
IT Services - 1.3% First Data Corp., 9.875%, 9/24/15 (b) 1,330 1,147,125
SunGard Data Systems, Inc., 9.125%, 8/15/13 2,380 2,415,700
------------
3,562,825
-----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & The AES Corp., 8.75%, 5/15/13 (b) 1,070 1,107,450
Energy Traders - 3.5% Energy Future Holding Corp., 11.25%, 11/01/17 (b)(c) 3,550 3,496,750
NRG Energy, Inc., 7.25%, 2/01/14 1,625 1,602,656
NRG Energy, Inc., 7.375%, 2/01/16 1,475 1,456,563
Texas Competitive Electric Holdings Co. LLC, 10.50%,
11/01/16 (b)(c) 960 916,800
Texas Competitive Electric Holdings Co. LLC Series B,
10.25%, 11/01/15 (b) 830 827,925
------------
9,408,144
-----------------------------------------------------------------------------------------------------------------------------------
Industrial Conglomerates - Sequa Corp., 11.75%, 12/01/15 (b) 2,540 2,235,200
1.9% Sequa Corp., 13.50%, 12/01/15 (b)(c) 3,349 2,728,495
------------
4,963,695
-----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.8% Alliant Holdings I, Inc., 11%, 5/01/15 (b) 1,700 1,513,000
USI Holdings Corp., 6.679%, 11/15/14 (b)(d) 680 542,300
------------
2,055,300
-----------------------------------------------------------------------------------------------------------------------------------
Life Sciences Tools & Invitrogen Corp., 2%, 8/01/23 (a) 725 950,656
Services - 0.4%
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Machinery - 1.1% AGY Holding Corp., 11%, 11/15/14 1,280 1,190,400
Accuride Corp., 8.50%, 2/01/15 555 357,975
RBS Global, Inc., 8.875%, 9/01/16 560 522,200
Terex Corp., 8%, 11/15/17 735 725,813
------------
2,796,388
-----------------------------------------------------------------------------------------------------------------------------------
Marine - 1.2% Horizon Lines, Inc., 4.25%, 8/15/12 (a) 360 295,650
Navios Maritime Holdings, Inc., 9.50%, 12/15/14 477 455,535
Teekay Shipping Corp., 8.875%, 7/15/11 2,325 2,415,094
------------
3,166,279
-----------------------------------------------------------------------------------------------------------------------------------
Media - 13.5% Affinion Group, Inc., 10.125%, 10/15/13 1,340 1,319,900
Allbritton Communications Co., 7.75%, 12/15/12 1,850 1,655,750
Barrington Broadcasting Group LLC, 10.50%, 8/15/14 1,125 950,625
CMP Susquehanna Corp., 9.875%, 5/15/14 2,000 1,250,000
CSC Holdings, Inc. Series B, 7.625%, 4/01/11 2,275 2,286,375
Cablevision Systems Corp. Series B, 7.133%, 4/01/09 (d) 520 522,600
Cablevision Systems Corp. Series B, 8%, 4/15/12 475 470,250
Cadmus Communications Corp., 8.375%, 6/15/14 1,600 1,240,000
Charter Communications Holdings I, LLC, 11%, 10/01/15 1,280 976,924
Charter Communications Holdings II, LLC, 10.25%, 9/15/10 3,875 3,720,000
Dex Media West LLC, 9.875%, 8/15/13 1,307 1,006,390
DirecTV Holdings LLC, 7.625%, 5/15/16 (b) 1,435 1,431,412
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 7%, 10/01/13 USD 90 $ 85,500
EchoStar DBS Corp., 7.125%, 2/01/16 1,225 1,127,000
Harland Clarke Holdings Corp., 7.554%, 5/15/15 (d) 350 246,750
Harland Clarke Holdings Corp., 9.50%, 5/15/15 420 329,700
Liberty Media Corp., 0.75%, 3/30/23 (a) 1,113 1,192,301
Mediacom LLC, 9.50%, 1/15/13 2,425 2,346,188
Network Communications, Inc., 10.75%, 12/01/13 30 21,563
Nielsen Finance LLC, 10%, 8/01/14 3,810 3,857,625
ProtoStar I Ltd., 12.50%, 10/15/12 (a)(b)(d) 823 798,314
R.H. Donnelley Corp., 11.75%, 5/15/15 (b) 1,670 1,227,450
Rainbow National Services LLC, 10.375%, 9/01/14 (b) 1,232 1,310,540
Salem Communications Corp., 7.75%, 12/15/10 2,475 2,079,000
TL Acquisitions, Inc., 10.50%, 1/15/15 (b) 3,970 3,394,350
Virgin Media, Inc., 6.50%, 11/15/16 (a)(b) 425 389,938
Windstream Regatta Holdings, Inc., 11%, 12/01/17 (b) 748 433,840
------------
35,670,285
-----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 5.2% Aleris International, Inc., 9%, 12/15/14 (c) 1,035 807,300
Aleris International, Inc., 10%, 12/15/16 800 558,000
FMG Finance Property Ltd., 10%, 9/01/13 (b) 535 572,450
FMG Finance Property Ltd., 10.625%, 9/01/16 (b) 1,295 1,450,400
Foundation PA Coal Co., 7.25%, 8/01/14 1,975 1,979,937
Freeport-McMoRan Copper & Gold, Inc., 5.883%, 4/01/15 (d) 1,895 1,900,003
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 4/01/17 2,690 2,851,400
Novelis, Inc., 7.25%, 2/15/15 1,975 1,831,813
Ryerson, Inc., 10.176%, 11/01/14 (b)(d) 400 382,000
Ryerson, Inc., 12%, 11/01/15 (b) 330 323,400
Steel Dynamics, Inc., 7.375%, 11/01/12 520 514,800
Vedanta Resources Plc, 9.50%, 7/18/18 (b) 640 639,102
------------
13,810,605
-----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.5% Neiman Marcus Group, Inc., 9%, 10/15/15 (c) 1,475 1,434,438
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels - Atlas Energy Resources LLC, 10.75%, 2/01/18 (b) 1,275 1,281,375
8.4% Berry Petroleum Co., 8.25%, 11/01/16 510 487,050
Chaparral Energy, Inc., 8.50%, 12/01/15 635 552,450
Chesapeake Energy Corp., 7.25%, 12/15/18 2,500 2,437,500
Chesapeake Energy Corp., 2.25%, 12/15/38 (a) 800 750,000
Compton Petroleum Finance Corp., 7.625%, 12/01/13 1,610 1,511,387
Connacher Oil and Gas Ltd., 10.25%, 12/15/15 (b) 1,325 1,368,062
Copano Energy LLC, 8.125%, 3/01/16 695 674,150
Corral Finans AB, 7.713%, 4/15/10 (b)(c) 2,082 1,926,545
EXCO Resources, Inc., 7.25%, 1/15/11 2,800 2,772,000
Encore Acquisition Co., 6.25%, 4/15/14 2,000 1,790,000
Forest Oil Corp., 7.25%, 6/15/19 1,220 1,122,400
Forest Oil Corp., 7.25%, 6/15/19 (b) 1,055 970,600
OPTI Canada, Inc., 8.25%, 12/15/14 1,725 1,722,844
PetroHawk Energy Corp., 7.875%, 6/01/15 (b) 650 606,125
Sabine Pass LNG LP, 7.50%, 11/30/16 390 341,250
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
SandRidge Energy, Inc., 8.625%, 4/01/15 (b)(c) USD 1,000 $ 967,500
SandRidge Energy, Inc., 8%, 6/01/18 (b) 990 928,125
------------
22,209,363
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 4.9% Abitibi-Consolidated, Inc., 6.319%, 6/15/11 (d) 1,380 631,350
Abitibi-Consolidated, Inc., 8.85%, 8/01/30 195 72,150
Ainsworth Lumber Co. Ltd., 11%, 7/29/15 (b) 1,032 827,787
Bowater, Inc., 5.819%, 3/15/10 (d) 2,825 2,316,500
Domtar Corp., 7.125%, 8/15/15 2,750 2,653,750
NewPage Corp., 10%, 5/01/12 2,710 2,628,700
NewPage Corp., 12%, 5/01/13 1,180 1,103,300
Norske Skog Canada Ltd. Series D, 8.625%, 6/15/11 885 724,594
Verso Paper Holdings LLC Series B, 6.551%, 8/01/14 (d) 280 249,200
Verso Paper Holdings LLC Series B, 9.125%, 8/01/14 1,820 1,710,800
------------
12,918,131
-----------------------------------------------------------------------------------------------------------------------------------
Personal Products - 0.5% Chattem, Inc., 7%, 3/01/14 1,400 1,365,000
-----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.5% Angiotech Pharmaceuticals, Inc., 6.56%, 12/01/13 (d) 1,390 1,230,150
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Real Estate Investment Trusts FelCor Lodging LP, 8.50%, 6/01/11 1,175 1,133,875
(REITs) - 0.4%
-----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & Forest City Enterprises, Inc., 7.625%, 6/01/15 3,025 2,722,500
Development - 1.9% Realogy Corp., 10.50%, 4/15/14 1,280 755,200
Realogy Corp., 11%, 4/15/14 (c) 1,615 759,050
Realogy Corp., 12.375%, 4/15/15 1,610 740,600
------------
4,977,350
-----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Amkor Technology, Inc., 7.75%, 5/15/13 280 262,500
Equipment - 1.1% Amkor Technology, Inc., 9.25%, 6/01/16 810 781,650
Freescale Semiconductor, Inc., 8.875%, 12/15/14 370 299,700
Freescale Semiconductor, Inc., 9.125%, 12/15/14 (c) 835 651,300
Spansion, Inc., 5.935%, 6/01/13 (b)(d) 1,215 844,425
------------
2,839,575
-----------------------------------------------------------------------------------------------------------------------------------
Software - 0.1% BMS Holdings, Inc., 10.595%, 2/15/12 (b)(c)(d) 396 237,411
-----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 3.3% Asbury Automotive Group, Inc., 7.625%, 3/15/17 350 250,250
AutoNation, Inc., 4.791%, 4/15/13 (d) 2,875 2,371,875
AutoNation, Inc., 7%, 4/15/14 775 670,375
Buffets, Inc., 12.50%, 11/01/14 (f) 575 5,750
General Nutrition Centers, Inc., 7.584%, 3/15/14 (c)(d) 1,760 1,472,321
General Nutrition Centers, Inc., 10.75%, 3/15/15 1,420 1,231,850
Group 1 Automotive, Inc., 2.25%, 6/15/36 (a)(e) 1,055 629,044
Michaels Stores, Inc., 10%, 11/01/14 1,010 757,500
Michaels Stores, Inc., 11.375%, 11/01/16 805 515,200
United Auto Group, Inc., 7.75%, 12/15/16 1,110 900,488
------------
8,804,653
-----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury Levi Strauss & Co., 8.875%, 4/01/16 2,000 1,720,000
Goods - 1.2% Quiksilver, Inc., 6.875%, 4/15/15 1,750 1,404,375
------------
3,124,375
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication Centennial Cellular Operating Co. LLC, 10.125%, 6/15/13 1,650 1,720,125
Services - 6.4% Centennial Communications Corp., 8.541%, 1/01/13 (d) 1,370 1,363,150
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
-----------------------------------------------------------------------------------------------------------------------------------
Par
Industry Corporate Bonds (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Cricket Communications, Inc., 10.875%, 11/01/14 (e) USD 1,285 $ 1,273,756
Cricket Communications, Inc., 10%, 7/15/15 (b) 80 80,400
Digicel Group Ltd., 8.875%, 1/15/15 (b) 1,160 1,089,008
Digicel Group Ltd., 9.125%, 1/15/15 (b)(c) 1,983 1,792,136
FiberTower Corp., 9%, 11/15/12 (a) 600 396,000
iPCS, Inc., 4.926%, 5/01/13 (d) 620 550,250
MetroPCS Wireless, Inc., 9.25%, 11/01/14 3,040 3,013,400
Nordic Telephone Co. Holdings ApS, 8.875%, 5/01/16 (b) 2,400 2,310,000
Orascom Telecom Finance SCA, 7.875%, 2/08/14 (b) 275 251,955
Rural Cellular Corp., 8.25%, 3/15/12 910 947,538
Sprint Capital Corp., 7.625%, 1/30/11 2,270 2,270,000
------------
17,057,718
-----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds - 104.5% 276,762,546
-----------------------------------------------------------------------------------------------------------------------------------
Floating Rate Loan Interests
-----------------------------------------------------------------------------------------------------------------------------------
Auto Components - 0.7% Allison Transmission Term Loan, 5.22% - 5.56%, 8/07/14 245 219,469
Dana Corp. Term Advance, 6.75%, 1/31/15 1,846 1,697,234
------------
1,916,703
-----------------------------------------------------------------------------------------------------------------------------------
Automobiles - 0.5% Ford Motor Term Loan, 5.47%, 12/16/13 999 774,055
General Motors Corp. Secured Term Loan B, 5.163%, 11/29/13 823 607,540
------------
1,381,595
-----------------------------------------------------------------------------------------------------------------------------------
Building Products - 2.2% Building Material Corp. of America Term Loan Advance,
5.438% - 5.563%, 2/24/14 499 427,886
CPG International, I Inc. Term Loan B, 7.85%, 2/28/11 3,300 3,234,000
Masonite International Canadian Term Loan, 4.63% - 5.046%,
4/05/13 1,324 1,127,639
Masonite International U.S. Term Loan, 4.63% - 5.046%, 4/05/13 1,308 1,114,309
------------
5,903,834
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.2% Marsico Parent Co., LLC Term Loan, 5.50% - 7%, 12/15/14 497 425,362
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.6% PQ Corp. First Lien Term Loan, 5.92%, 7/30/14 750 701,719
PQ Corp. Second Lien Term Loan, 9.30%, 7/30/15 3,500 3,027,500
Wellman, Inc. Second Lien Term Loan, 9.989%, 2/10/10 (f)(g)(h) 2,830 566,000
------------
4,295,219
-----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.2% Berry Plastics Corp. Loan, 9.791%, 6/05/14 (c) 946 520,305
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication Wind Telecomunicazione SpA Euro Facility Second Lien,
Services - 0.8% 6.25% - 10.92%, 11/26/14 1,500 2,200,076
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & Community Health Systems, Inc. Term Loan, 5.06%, 7/25/14 1,728 1,633,013
Services - 1.2% Rotech Healthcare, Inc. Term Loan, 9.135%, 9/26/11 (c) 1,662 1,395,821
------------
3,028,834
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Travelport, Inc. Term Loan, 9.793%, 3/27/12 (c) 2,797 1,719,941
Leisure - 0.7%
-----------------------------------------------------------------------------------------------------------------------------------
Household Products - 0.2% Spectrum Brands, Inc. Dollar Term B Loan, 6.669% - 6.804%,
3/30/13 494 424,849
Spectrum Brands, Inc. Letter of Credit, 2.314%, 3/30/13 25 21,453
------------
446,302
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry Floating Rate Loan Interests (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & Calpine Corp. First Priority Term Loan, 5.685%, 3/31/14 USD 750 $ 696,563
Energy Traders - 1.7% TXU Corp. Initial Tranche Term Loan B-1, 5.963% - 6.303%,
10/10/14 219 204,243
TXU Corp. Initial Tranche Term Loan B-2, 5.963% - 6.303%,
10/10/14 496 462,477
TXU Corp. Initial Tranche Term Loan B-3, 5.963% - 6.303%,
10/10/14 3,474 3,230,588
------------
4,593,871
-----------------------------------------------------------------------------------------------------------------------------------
Machinery - 0.8% Navistar International Transportation Corp. Revolving Credit,
5.686%, 6/30/12 535 492,869
Navistar International Transportation Corp. Term Loan,
6.292%, 6/30/12 1,470 1,354,238
Rexnord Corp. Loan, 9.676%, 3/01/13 (c) 407 325,222
------------
2,172,329
-----------------------------------------------------------------------------------------------------------------------------------
Media - 4.9% Affinion Group, Inc. Loan, 9.368%, 3/01/12 400 335,500
Catalina Marketing Group Senior Unsecured Interim
Loan, 7.533%, 10/01/15 2,700 2,355,750
Education Media and Publishing Mezzanine, 11.964%, 11/14/14 6,207 4,965,565
Education Media and Publishing Tranche A Term Loan,
6.464%, 6/12/14 2,636 2,366,136
New Vision Television Second Lien, 9.19%, 10/26/14 1,500 1,080,000
Thomson Learning, Inc. Term Loan B-2, 7.50%, 7/05/14 1,750 1,732,500
------------
12,835,451
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Abbot Group Plc Dollar Facility, 14.50%, 3/15/18 (g) 2,208 2,163,343
Fuels - 0.8%
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - NewPage Corp. Term Loan, 6.563%, 3/15/18 498 484,689
0.6% Verso Paper Holdings LLC Loan, 9.033%, 2/01/13 1,169 1,096,200
------------
1,580,889
-----------------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests - 17.1% 45,184,054
-----------------------------------------------------------------------------------------------------------------------------------
Common Stocks Shares
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% E*Trade Financial Corp. (h) 73,574 235,437
-----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment - 0.6% Loral Space & Communications Ltd. (h) 82,907 1,523,002
-----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.1% Medis Technologies Ltd. (h) 70,784 221,554
-----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.2% CenterPoint Energy, Inc. 41,757 663,101
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable EXCO Resources, Inc. (h) 77,369 2,048,731
Fuels - 0.8%
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - 0.3% Ainsworth Lumber Co. Ltd. (b)(h) 140,415 404,082
Ainsworth Lumber Co. Ltd. (h) 125,117 359,396
Western Forest Products, Inc. (h) 158,023 127,990
Western Forest Products, Inc. Restricted Shares (h) 45,762 37,065
------------
928,533
-----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & Semiconductor Cypress Semiconductor Corp. (h) 31,642 1,025,834
Equipment - 0.4%
-----------------------------------------------------------------------------------------------------------------------------------
Industry Common Stocks Shares Value
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication American Tower Corp. Class A (h) 11,625 $ 480,461
Services - 0.2%
-----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks - 2.7% 7,126,653
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Securities
-----------------------------------------------------------------------------------------------------------------------------------
Par
Capital Trusts (000)
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial Citigroup, Inc., 8.40%, 4/29/49 (d)(i) USD 2,470 2,097,079
Services - 1.1% JPMorgan Chase & Co., 7.90%, 4/29/49 (d)(i) 760 690,460
-----------------------------------------------------------------------------------------------------------------------------------
Total Capital Trusts - 1.1% 2,787,539
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks Shares
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.0% Marsico Parent Superholdco, LLC, 16.75% (b) 72 61,560
-----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.2% American International Group, Inc., 8.50% (a) 10,000 498,500
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks - 0.2% 560,060
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Securities - 1.3% 3,347,599
-----------------------------------------------------------------------------------------------------------------------------------
Warrants (j)
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & HealthSouth Corp. (expires 1/16/14) 32,042 8,011
Services - 0.0%
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products - MDP Acquisitions Plc (expires 10/01/13) 700 20,062
0.0%
-----------------------------------------------------------------------------------------------------------------------------------
Total Warrants - 0.0% 28,073
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest
Other Interests (k) (000)
-----------------------------------------------------------------------------------------------------------------------------------
Media - 0.0% Adelphia Escrow (g) USD 750 75
Adelphia Recovery Trust (g) 941 3,762
-----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests - 0.0% 3,837
-----------------------------------------------------------------------------------------------------------------------------------
Total Long-Term Investments
(Cost - $370,471,706) - 125.6% 332,452,762
-----------------------------------------------------------------------------------------------------------------------------------
Options Purchased Contracts
-----------------------------------------------------------------------------------------------------------------------------------
Call Options Marsico Parent Superholdco LLC, expiring December 2009
at $942.86 19 32,110
-----------------------------------------------------------------------------------------------------------------------------------
Total Options Purchased
(Cost - $18,578) - 0.0% 32,110
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest
Short-Term Securities (000)
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series, 2.41% (l)(m) USD 1,921 1,920,548
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities
(Cost - $1,920,548) - 0.7% 1,920,548
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $372,410,832*) - 126.3% 334,405,420
Liabilities in Excess of Other Assets - (26.3)% (69,625,285)
------------
Net Assets - 100.0% $264,780,135
============
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2008 as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 372,965,901
=============
Gross unrealized appreciation $ 4,014,532
Gross unrealized depreciation (42,575,013)
-------------
Net unrealized depreciation $ (38,560,481)
=============
(a) Convertible security.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration to qualified institutional investors.
(c) Represents a payment-in-kind security which may pay interest/dividends in
additional par/shares.
(d) Variable rate security. Rate shown is as of report date.
(e) Represents a step bond. Rate shown reflects the effective yield at the
time of purchase.
(f) Issuer filed for bankruptcy or is in default of interest payments.
(g) Security is fair valued.
(h) Non-income producing security.
(i) Security is a perpetual in nature and has no stated maturity date.
(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.
(k) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(l) Represents the current yield as of report date.
(m) Investments in companies considered to be an affiliate of the Fund, for
purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as
follows:
-----------------------------------------------------------------------
Net Activity
Affiliate (000) Income
-----------------------------------------------------------------------
BlackRock Liquidity Series, LLC
Cash Sweep Series USD 1,921 $ 11,906
-----------------------------------------------------------------------
o For Fund compliance purposes, the Fund's industry classifications refer to
any one or more of the industry sub-classifications used by one or more
widely recognized market indexes or ratings group indexes, and/or as
defined by Fund management. This definition may not apply for purposes of
this report which may combine industry sub-classifications for reporting
ease.
o Foreign currency exchange contracts as of August 31, 2008 were as follows:
-------------------------------------------------------------------------
Unrealized
Currency Currency Settlement Appreciation
Purchased Sold Date (Depreciation)
-------------------------------------------------------------------------
USD 467,357 CAD 500,000 10/23/08 $ (3,215)
USD 2,306,898 EUR 1,474,000 10/23/08 150,876
USD 3,116,516 EUR 2,128,000 10/23/08 3,886
-------------------------------------------------------------------------
Total $ 151,547
===========
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
o Swaps outstanding as of August 31, 2008 were as follows:
-------------------------------------------------------------------------------------------------------------
Notional Unrealized
Amount Appreciation
(000) (Depreciation)
-------------------------------------------------------------------------------------------------------------
Sold credit default protection on Ford Motor Co. and receive 3.80%
Broker, JPMorgan Chase
Expires March 2010
USD 3,000 $ (616,764)
Sold credit default protection on Ford Motor Co. and receive 3.80%
Broker, UBS Warburg
Expires March 2010
USD 1,000 (205,588)
Sold credit default protection on Ford Motor
Co. and receive 5%
Broker, Goldman Sachs & Co.
Expires June 2010
USD 4,000 (887,224)
Sold credit default protection on Ford Motor
Co. and receive 7.70%
Broker, Lehman Brothers Special Financing
Expires September 2013
USD 1,200 364
-------------------------------------------------------------------------------------------------------------
Total $(1,709,212)
===========
o Currency Abbreviations:
CAD Canadian Dollar
EUR Euro
USD U.S. Dollar
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments August 31, 2008 (Unaudited)
o Effective June 1, 2008, the Fund adopted Financial Accounting Standards
Board Statement of Financial Accounting Standards No. 157, "Fair Value
Measurements" ("FAS 157"). FAS 157 clarifies the definition of fair value,
establishes a framework for measuring fair values and requires additional
disclosures about the use of fair value measurements. Various inputs are
used in determining the fair value of investments, which are as follows:
o Level 1 - price quotations in active markets/exchanges for
identical securities
o Level 2 - other observable inputs (including, but not limited
to: quoted prices for 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)
o Level 3 - unobservable inputs based on the best information
available in the circumstance, to the extent observable inputs
are not available (including the Fund's own assumption used in
determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.
For information about the Fund's policy regarding valuation of investments
and other significant accounting policies, please refer to the Fund's most
recent financial statements as contained in its annual report.
The following table summarizes the inputs used as of August 31, 2008 in
determining the fair valuation of the Fund's investments:
-------------------------------------------------------------------------
Valuation Investments in Other Financial
Inputs Securities Instruments*
-------------------------------------------------------------------------
Level 1 $ 7,221,070 $ 183,657
Level 2 324,419,060 (1,709,212)
Level 3 2,733,180 --
-------------------------------------------------------------------------
Total $334,373,310 $ (1,525,555)
================================
* Other financial instruments are forward foreign currency exchange
contracts, swaps and options.
The following is a reconciliation of investments for unobservable inputs
(Level 3) were used in determining fair value:
-------------------------------------------------------------------------
Investments in
Securities
-------------------------------------------------------------------------
Balance, as of June 1, 2008 $ 3,837
Accrued discounts/premiums --
Realized gain (loss) --
Change in unrealized appreciation (depreciation) (2,239,191)
Net purchases (sales) 2,163,343
Net transfers in 2,805,191
-------------------------------------------------------------------------
Balance, as of August 31, 2008 $ 2,733,180
===========
Item 2 - Controls and Procedures
2(a) - The registrant's principal executive and principal financial officers
or persons performing similar functions have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act")) are effective as of a date within 90 days of the filing of
this report based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under
the Securities Exchange Act of 1934, as amended.
2(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the registrant's last fiscal quarter that have
materially affected, or are reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 3 - Exhibits
Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Corporate High Yield Fund III, Inc.
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Executive Officer of
BlackRock Corporate High Yield Fund III, Inc.
Date: October 20, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Donald C. Burke
-----------------------
Donald C. Burke
Chief Executive Officer (principal executive officer) of
BlackRock Corporate High Yield Fund III, Inc.
Date: October 20, 2008
By: /s/ Neal J. Andrews
-----------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Corporate High Yield Fund III, Inc.
Date: October 20, 2008