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: 05/31/2008
Date of reporting period: 12/01/2007 - 02/29/2008
Item 1 - Schedule of Investments
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Aerospace & Defense - 4.8% $ 1,947 Alliant Techsystems, Inc., 2.75% due 9/15/2011 (a)(b) $ 2,433,750
1,425 DRS Technologies, Inc., 6.875% due 11/01/2013 1,396,500
975 Esterline Technologies Corp., 7.75% due 6/15/2013 987,187
615 Hawker Beechcraft Acquisitions Co. LLC, 8.875% due 4/01/2015 (c) 604,341
1,425 L-3 Communications Corp., 7.625% due 6/15/2012 1,460,625
1,625 L-3 Communications Corp., 5.875% due 1/15/2015 1,580,312
1,380 L-3 Communications Corp., 3% due 8/01/2035 (a)(b) 1,707,750
1,375 L-3 Communications Corp. Series B, 6.375% due 10/15/2015 1,364,687
470 TransDigm, Inc., 7.75% due 7/15/2014 467,650
1,410 Vought Aircraft Industries, Inc., 8% due 7/15/2011 1,306,013
-------------
13,308,815
-----------------------------------------------------------------------------------------------------------------------------------
Airlines - 0.4% 873 Continental Airlines, Inc. Series 1997-4-B, 6.90%
due 7/02/2018 (d) 816,566
36 Continental Airlines, Inc. Series 1998-1-C, 6.541%
due 9/15/2009 (d) 35,716
344 Continental Airlines, Inc. Series 2001-1-C, 7.033%
due 12/15/2012 (d) 327,025
-------------
1,179,307
-----------------------------------------------------------------------------------------------------------------------------------
Auto Components - 1.5% 300 Allison Transmission, 11% due 11/01/2015 (a) 256,500
2,120 Allison Transmission, 11.25% due 11/01/2015 (a)(c) 1,680,896
290 The Goodyear Tire & Rubber Co., 7.857% due 8/15/2011 293,625
692 The Goodyear Tire & Rubber Co., 8.625% due 12/01/2011 719,680
1,285 Lear Corp., 8.75% due 12/01/2016 1,108,312
-------------
4,059,013
-----------------------------------------------------------------------------------------------------------------------------------
Automobiles - 0.5% 785 Ford Capital BV, 9.50% due 6/01/2010 737,900
700 Ford Motor Co., 8.90% due 1/15/2032 532,000
-------------
1,269,900
-----------------------------------------------------------------------------------------------------------------------------------
Biotechnology - 0.4% 1,390 Angiotech Pharmaceuticals, Inc., 6.826% due 12/01/2013 (e) 1,098,100
-----------------------------------------------------------------------------------------------------------------------------------
Building Products - 0.7% 500 Masonite International Corp., 11% due 4/06/2015 345,000
1,970 Momentive Performance Materials, Inc., 11.50% due 12/01/2016 1,507,050
-------------
1,852,050
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 1.1% 1,520 E*Trade Financial Corp., 12.50% due 11/30/2017 (a) 1,447,800
1,073 Marsico Parent Co., LLC, 10.625% due 1/15/2016 (a) 965,700
368 Marsico Parent Holdco, LLC, 12.50% due 7/15/2016 (a)(c) 342,240
245 Marsico Parent Superholdco, LLC, 14.50% due 1/15/2018 (a)(c) 240,100
-------------
2,995,840
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 2.3% 880 American Pacific Corp., 9% due 2/01/2015 853,600
625 Hexion U.S. Finance Corp., 7.565% due 11/15/2014 (e) 559,375
525 Hexion U.S. Finance Corp., 9.75% due 11/15/2014 543,375
440 Ineos Group Holdings Plc, 8.50% due 2/15/2016 (a) 330,000
825 Innophos, Inc., 8.875% due 8/15/2014 804,375
455 Key Plastics LLC, 11.75% due 3/15/2013 (a) 341,250
1,700 MacDermid, Inc., 9.50% due 4/15/2017 (a) 1,496,000
480 NOVA Chemicals Corp., 7.863% due 11/15/2013 (e) 408,000
724 Nalco Finance Holdings, Inc., 10.065% due 2/01/2014 (f) 651,600
280 Terra Capital, Inc. Series B, 7% due 2/01/2017 275,100
-------------
6,262,675
-----------------------------------------------------------------------------------------------------------------------------------
Commercial Services & 615 ARAMARK Corp., 8.50% due 2/01/2015 605,775
Supplies - 4.8% 485 Ashtead Capital, Inc., 9% due 8/15/2016 (a) 400,125
3,000 Corrections Corp. of America, 7.50% due 5/01/2011 3,060,000
363 DI Finance Series B, 9.50% due 2/15/2013 376,613
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 1,385 PNA Intermediate Holding Corp., 10.065% due 2/15/2013 (a)(c)(e) $ 1,222,605
210 Sally Holdings LLC, 9.25% due 11/15/2014 203,175
769 Sally Holdings LLC, 10.50% due 11/15/2016 699,790
700 US Investigations Services, Inc., 10.50% due 11/01/2015 (a) 581,000
3,000 Waste Services, Inc., 9.50% due 4/15/2014 2,842,500
750 West Corp., 9.50% due 10/15/2014 656,250
2,850 West Corp., 11% due 10/15/2016 2,386,875
345 The Yankee Candle Company, Inc., 9.75% due 2/15/2017 279,450
-------------
13,314,158
-----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment 1,750 Dycom Industries, Inc., 8.125% due 10/15/2015 1,645,000
- 1.4% 2,585 Nortel Networks Ltd., 8.508% due 7/15/2011 (e) 2,236,025
-------------
3,881,025
-----------------------------------------------------------------------------------------------------------------------------------
Computers & Peripherals 750 Viasystems, Inc., 10.50% due 1/15/2011 727,500
- 0.3%
-----------------------------------------------------------------------------------------------------------------------------------
Construction Materials 1,000 Texas Industries, Inc., 7.25% due 7/15/2013 955,000
- 0.4%
-----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging 1,915 Berry Plastics Holding Corp., 6.675% due 9/15/2014 (e) 1,512,850
- 4.4% 1,370 Berry Plastics Holding Corp., 8.875% due 9/15/2014 1,209,025
1,050 Graphic Packaging International Corp., 8.50% due 8/15/2011 1,013,250
640 Graphic Packaging International Corp., 9.50% due 8/15/2013 603,200
420 Impress Holdings BV, 7.383% due 9/15/2013 (a)(e) 352,800
1,000 Owens-Brockway Glass Container, Inc., 8.25% due 5/15/2013 1,035,000
1,355 Packaging Dynamics Finance Corp., 10% due 5/01/2016 (a) 1,070,450
1,200 Pregis Corp., 12.375% due 10/15/2013 1,200,000
2,000 Rock-Tenn Co., 8.20% due 8/15/2011 2,040,000
2,375 Smurfit-Stone Container Enterprises, Inc., 8% due 3/15/2017 2,101,875
-------------
12,138,450
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Consumer 3,000 Service Corp. International, 7% due 6/15/2017 2,977,500
Services - 1.1%
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial 435 Ford Motor Credit Co. LLC, 7.127% due 1/13/2012 (e) 342,316
Services - 1.4% 200 Ford Motor Credit Co. LLC, 7.80% due 6/01/2012 172,450
600 GMAC LLC, 7.25% due 3/02/2011 506,392
980 GMAC LLC, 6.75% due 12/01/2014 738,144
1,050 GMAC LLC, 8% due 11/01/2031 793,792
1,325 Leucadia National Corp., 8.125% due 9/15/2015 1,334,937
-------------
3,888,031
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Telecommunication 2,370 Qwest Communications International, Inc., 7.50% due 2/15/2014 2,304,825
Services - 2.7% 1,550 Qwest Corp., 6.05% due 6/15/2013 (e) 1,491,875
525 Qwest Corp., 7.625% due 6/15/2015 521,063
3,000 Windstream Corp., 8.125% due 8/01/2013 2,992,500
-------------
7,310,263
-----------------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 1.6% 1,875 Edison Mission Energy, 7.50% due 6/15/2013 1,921,875
420 NSG Holdings LLC, 7.75% due 12/15/2025 (a)(d) 406,875
1,987 Tenaska Alabama Partners LP, 7% due 6/30/2021 (a)(d) 1,948,554
-------------
4,277,304
-----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.4% 1,025 Coleman Cable, Inc., 9.875% due 10/01/2012 902,000
206 UCAR Finance, Inc., 10.25% due 2/15/2012 212,695
-------------
1,114,695
-----------------------------------------------------------------------------------------------------------------------------------
Electronic Equipment & 1,315 NXP BV, 7.008% due 10/15/2013 (e) 1,061,862
Instruments - 0.9% 170 Sanmina-SCI Corp., 6.75% due 3/01/2013 147,900
1,395 Sanmina-SCI Corp., 8.125% due 3/01/2016 1,241,550
-------------
2,451,312
-----------------------------------------------------------------------------------------------------------------------------------
Energy Equipment & Services 215 Compagnie Generale de Geophysique-Veritas, 7.50%
- 2.1% due 5/15/2015 216,075
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 320 Compagnie Generale de Geophysique-Veritas, 7.75%
due 5/15/2017 $ 322,400
720 North American Energy Partners, Inc., 8.75% due 12/01/2011 709,200
2,000 Ocean RIG ASA, 8.681% due 4/04/2011 (e) 1,960,000
2,690 SemGroup LP, 8.75% due 11/15/2015 (a) 2,501,700
-------------
5,709,375
-----------------------------------------------------------------------------------------------------------------------------------
Food & Staples Retailing 800 AmeriQual Group LLC, 9.50% due 4/01/2012 (a) 536,000
- 1.5% 2,000 National Beef Packing Co. LLC, 10.50% due 8/01/2011 1,760,000
2,055 Rite Aid Corp., 7.50% due 3/01/2017 1,798,125
-------------
4,094,125
-----------------------------------------------------------------------------------------------------------------------------------
Food Products - 1.1% 3,024 Del Monte Corp., 8.625% due 12/15/2012 3,069,360
-----------------------------------------------------------------------------------------------------------------------------------
Gas Utilities - 0.5% 1,320 El Paso Performance-Linked Trust, 7.75% due 7/15/2011 (a) 1,369,266
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Equipment & 5,300 ReAble Therapeutics Finance LLC, 10.875% due 11/15/2014 (a) 5,008,500
Supplies - 1.8%
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 1,020 Accellent, Inc., 10.50% due 12/01/2013 805,800
Services - 4.7% 425 Community Health Systems, Inc. Series WI, 8.875%
due 7/15/2015 417,031
725 Omnicare, Inc., 6.75% due 12/15/2013 645,250
800 Omnicare, Inc. Series OCR, 3.25% due 12/15/2035 (b) 546,000
4,215 Tenet Healthcare Corp., 6.50% due 6/01/2012 3,645,975
3,000 US Oncology, Inc., 9% due 8/15/2012 2,985,000
1,550 United Surgical Partners International, Inc., 8.875% due 5/01/2017 1,457,000
310 Universal Hospital Services, Inc., 8.288% due 6/01/2015 (e) 291,400
330 Universal Hospital Services, Inc., 8.50% due 6/01/2015 (c) 322,872
2,000 Vanguard Health Holding Co. II, LLC, 9% due 10/01/2014 1,910,000
-------------
13,026,328
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & Leisure 1,450 American Real Estate Partners LP, 7.125% due 2/15/2013 1,377,500
- 8.1% 1,350 Caesars Entertainment, Inc., 7.875% due 3/15/2010 1,262,250
785 French Lick Resorts & Casino LLC, 10.75% due 4/15/2014 (a) 474,925
300 Galaxy Entertainment Finance Co. Ltd., 9.829%
due 12/15/2010 (a)(e) 298,500
550 Galaxy Entertainment Finance Co. Ltd., 9.875% due 12/15/2012 (a) 547,250
2,000 Great Canadian Gaming Corp., 7.25% due 2/15/2015 (a) 1,890,000
595 Greektown Holdings, LLC, 10.75% due 12/01/2013 (a) 562,275
3,250 Harrah's Operating Co., Inc., 10.75% due 2/01/2018 (a)(c) 2,586,165
1,550 Inn of the Mountain Gods Resort & Casino, 12% due 11/15/2010 1,526,750
245 Landry's Restaurants, Inc., 9.50% due 12/15/2014 236,425
1,290 Little Traverse Bay Bands of Odawa Indians, 10.25%
due 2/15/2014 (a) 1,291,612
2,025 Penn National Gaming, Inc., 6.875% due 12/01/2011 1,923,750
1,340 Pinnacle Entertainment, Inc., 7.50% due 6/15/2015 (a) 1,031,800
975 San Pasqual Casino, 8% due 9/15/2013 (a) 897,000
360 Shingle Springs Tribal Gaming Authority, 9.375%
due 6/15/2015 (a) 320,400
495 Station Casinos, Inc., 6.50% due 2/01/2014 330,413
1,625 Station Casinos, Inc., 7.75% due 8/15/2016 1,352,813
110 Station Casinos, Inc., 6.625% due 3/15/2018 67,375
370 Travelport LLC, 7.701% due 9/01/2014 (e) 296,000
1,255 Tropicana Entertainment LLC Series WI, 9.625% due 12/15/2014 602,400
1,660 Universal City Florida Holding Co. I, 7.989% due 5/01/2010 (e) 1,595,675
810 Virgin River Casino Corp., 9% due 1/15/2012 631,800
1,200 Wynn Las Vegas LLC, 6.625% due 12/01/2014 1,152,000
-------------
22,255,078
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
Household Durables - 0.9% $ 1,575 American Greetings Corp., 7.375% due 6/01/2016 $ 1,555,312
1,015 Jarden Corp., 7.50% due 5/01/2017 889,394
-------------
2,444,706
-----------------------------------------------------------------------------------------------------------------------------------
IT Services - 1.8% 2,490 First Data Corp., 9.875% due 9/24/2015 (a) 2,160,075
2,380 SunGard Data Systems, Inc., 9.125% due 8/15/2013 2,397,850
480 SunGard Data Systems, Inc., 10.25% due 8/15/2015 477,600
-------------
5,035,525
-----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers & 1,309 The AES Corp., 8.75% due 5/15/2013 (a) 1,367,905
Energy Traders - 3.4% 3,000 Energy Future Holding Corp., 11.25% due 11/01/2017 (a)(c) 2,855,656
1,625 NRG Energy, Inc., 7.25% due 2/01/2014 1,586,406
1,475 NRG Energy, Inc., 7.375% due 2/01/2016 1,421,531
1,130 Texas Competitive Electric Holdings Co. LLC, 10.25%
due 11/01/2015 (a) 1,101,750
960 Texas Competitive Electric Holdings Co. LLC, 10.50%
due 11/01/2016 (a)(c) 902,095
-------------
9,235,343
-----------------------------------------------------------------------------------------------------------------------------------
Insurance - 0.7% 1,700 Alliant Holdings I, Inc., 11% due 5/01/2015 (a) 1,479,000
680 USI Holdings Corp., 6.94% due 11/15/2014 (a)(e) 531,250
-------------
2,010,250
-----------------------------------------------------------------------------------------------------------------------------------
Leisure Equipment & Products 1,750 Quiksilver, Inc., 6.875% due 4/15/2015 1,382,500
- 0.5%
-----------------------------------------------------------------------------------------------------------------------------------
Machinery - 1.6% 1,280 AGY Holding Corp., 11% due 11/15/2014 (a) 1,184,000
555 Accuride Corp., 8.50% due 2/01/2015 432,900
560 RBS Global, Inc., 8.875% due 9/01/2016 476,000
2,230 Terex Corp., 8% due 11/15/2017 2,218,850
-------------
4,311,750
-----------------------------------------------------------------------------------------------------------------------------------
Marine - 1.1% 582 Navios Maritime Holdings, Inc., 9.50% due 12/15/2014 560,175
2,325 Teekay Shipping Corp., 8.875% due 7/15/2011 2,476,125
-------------
3,036,300
-----------------------------------------------------------------------------------------------------------------------------------
Media - 16.3% 1,340 Affinion Group, Inc., 11.50% due 10/15/2015 1,232,800
1,850 Allbritton Communications Co., 7.75% due 12/15/2012 1,840,750
225 American Media Operations, Inc. Series B, 10.25% due 5/01/2009 154,125
8 American Media Operations, Inc. Series B, 10.25%
due 5/01/2009 (a) 5,604
1,125 Barrington Broadcasting Group LLC, 10.50% due 8/15/2014 1,018,125
510 Bonten Media Acquisition Co., 9% due 6/01/2015 (a)(c) 370,837
2,000 CMP Susquehanna Corp., 9.875% due 5/15/2014 1,322,500
2,275 CSC Holdings, Inc. Series B, 7.625% due 4/01/2011 2,260,781
520 Cablevision Systems Corp. Series B, 9.644% due 4/01/2009 (e) 520,000
475 Cablevision Systems Corp. Series B, 8% due 4/15/2012 457,187
1,600 Cadmus Communications Corp., 8.375% due 6/15/2014 1,280,000
5,495 Charter Communications Holdings I, LLC, 11% due 10/01/2015 3,805,575
2,320 Charter Communications Holdings II, LLC, 10.25% due 9/15/2010 2,122,800
1,367 Dex Media West LLC, 9.875% due 8/15/2013 1,148,280
1,225 Echostar DBS Corp., 7.125% due 2/01/2016 1,203,562
350 Harland Clarke Holdings Corp., 7.815% due 5/15/2015 (e) 226,625
420 Harland Clarke Holdings Corp., 9.50% due 5/15/2015 310,800
2,010 Idearc, Inc., 8% due 11/15/2016 1,185,900
1,125 Intelsat Corp., 9% due 6/15/2016 1,125,000
1,955 Intelsat Subsidiary Holding Co. Ltd., 8.625% due 1/15/2015 1,955,000
1,113 Liberty Media Corp., 0.75% due 3/30/2023 (b) 1,143,608
2,425 Mediacom LLC, 9.50% due 1/15/2013 2,121,875
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 30 Network Communications, Inc., 10.75% due 12/01/2013 $ 26,400
3,000 Nielsen Finance LLC, 10% due 8/01/2014 2,895,000
1,134 PanAmSat Corp., 9% due 8/15/2014 1,134,000
2,975 Paxson Communications Corp., 7.508% due 1/15/2012 (a)(e) 2,469,250
809 ProtoStar I Ltd., 12.50% due 10/15/2012 (a)(b)(e) 849,293
800 R.H. Donnelley Corp., 8.875% due 10/15/2017 (a) 468,000
1,400 R.H. Donnelley Corp. Series A-2, 6.875% due 1/15/2013 826,000
735 R.H. Donnelley Corp. Series A-3, 8.875% due 1/15/2016 437,325
1,232 Rainbow National Services LLC, 10.375% due 9/01/2014 (a) 1,312,080
2,475 Salem Communications Corp., 7.75% due 12/15/2010 2,437,875
500 Sirius Satellite Radio, Inc., 9.625% due 8/01/2013 412,500
3,970 TL Acquisitions, Inc., 10.50% due 1/15/2015 (a) 3,533,300
748 Windstream Regatta Holdings, Inc., 11% due 12/01/2017 (a) 583,440
880 Young Broadcasting, Inc., 10% due 3/01/2011 607,200
-------------
44,803,397
-----------------------------------------------------------------------------------------------------------------------------------
Metals & Mining - 5.5% 2,485 Aleris International, Inc., 9% due 12/15/2014 (c) 1,812,860
200 Blaze Recycling & Metals LLC, 10.875% due 7/15/2012 (a) 174,000
535 FMG Finance Property Ltd., 10% due 9/01/2013 (a) 580,475
1,295 FMG Finance Property Ltd., 10.625% due 9/01/2016 (a) 1,469,825
1,975 Foundation PA Coal Co., 7.25% due 8/01/2014 1,955,250
2,425 Freeport-McMoRan Copper & Gold, Inc., 8.394%
due 4/01/2015 (e) 2,331,031
2,590 Freeport-McMoRan Copper & Gold, Inc., 8.375% due 4/01/2017 2,745,400
1,018 Indalex Holding Corp. Series B, 11.50% due 2/01/2014 804,220
1,975 Novelis, Inc., 7.25% due 2/15/2015 1,777,500
400 Ryerson, Inc., 10.614% due 11/01/2014 (a)(e) 370,000
670 Ryerson, Inc., 12% due 11/01/2015 (a) 629,800
520 Steel Dynamics, Inc., 7.375% due 11/01/2012 (a) 526,500
-------------
15,176,861
-----------------------------------------------------------------------------------------------------------------------------------
Multi-Utilities - 0.6% 1,327 CenterPoint Energy, Inc. Series B, 3.75% due 5/15/2023 (b) 1,746,664
-----------------------------------------------------------------------------------------------------------------------------------
Multiline Retail - 0.5% 1,475 Neiman Marcus Group, Inc., 9% due 10/15/2015 (c) 1,464,869
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable 540 Atlas Energy Resources LLC, 10.75% due 2/01/2018 (a) 550,800
Fuels - 5.6% 510 Berry Petroleum Co., 8.25% due 11/01/2016 518,925
1,550 Chaparral Energy, Inc., 8.50% due 12/01/2015 1,317,500
1,610 Compton Petroleum Finance Corp., 7.625% due 12/01/2013 1,497,300
695 Copano Energy LLC, 8.125% due 3/01/2016 708,900
2,517 Corral Finans AB, 5.758% due 4/15/2010 (a)(c) 2,265,665
2,800 EXCO Resources, Inc., 7.25% due 1/15/2011 2,695,000
2,000 Encore Acquisition Co., 6.25% due 4/15/2014 1,860,000
1,220 Forest Oil Corp., 7.25% due 6/15/2019 (a) 1,229,150
380 KCS Energy, Inc., 7.125% due 4/01/2012 359,100
1,725 OPTI Canada, Inc., 8.25% due 12/15/2014 (a) 1,703,437
780 Sabine Pass LNG LP, 7.50% due 11/30/2016 764,400
-------------
15,470,177
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products 2,000 Abitibi-Consolidated, Inc., 6.30% due 6/15/2011 (e) 1,040,000
- 5.1% 515 Abitibi-Consolidated, Inc., 6% due 6/20/2013 265,225
195 Abitibi-Consolidated, Inc., 8.85% due 8/01/2030 93,600
1,470 Ainsworth Lumber Co. Ltd., 8.58% due 10/01/2010 (e) 1,058,400
770 Ainsworth Lumber Co. Ltd., 8.83% due 4/01/2013 (e) 477,400
840 Bowater Canada Finance Corp., 7.95% due 11/15/2011 550,200
2,825 Bowater, Inc., 5.80% due 3/15/2010 (e) 2,048,125
2,750 Domtar Corp., 7.125% due 8/15/2015 2,585,000
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Corporate Bonds Value
-----------------------------------------------------------------------------------------------------------------------------------
$ 2,310 NewPage Corp., 10% due 5/01/2012 (a) $ 2,315,775
1,180 NewPage Corp., 12% due 5/01/2013 1,162,300
885 Norske Skog Canada Ltd. Series D, 8.625% due 6/15/2011 741,187
1,820 Verso Paper Holdings LLC Series B, 9.125% due 8/01/2014 1,715,350
-------------
14,052,562
-----------------------------------------------------------------------------------------------------------------------------------
Personal Products - 0.5% 1,400 Chattem, Inc., 7% due 3/01/2014 1,379,000
-----------------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals - 0.9% 2,000 Elan Finance Plc, 7.065% due 11/15/2011 (e) 1,835,000
930 PTS Acquisition Corp., 9.50% due 4/15/2015 (a)(c) 757,950
-------------
2,592,950
-----------------------------------------------------------------------------------------------------------------------------------
Real Estate Investment Trusts 1,175 FelCor Lodging LP, 8.50% due 6/01/2011 1,177,937
(REITs) - 0.4%
-----------------------------------------------------------------------------------------------------------------------------------
Real Estate Management & 3,025 Forest City Enterprises, Inc., 7.625% due 6/01/2015 2,843,500
Development - 2.3% 1,510 Realogy Corp., 10.50% due 4/15/2014 1,072,100
2,390 Realogy Corp., 11% due 4/15/2014 (c) 1,529,600
1,610 Realogy Corp., 12.375% due 4/15/2015 853,300
-------------
6,298,500
-----------------------------------------------------------------------------------------------------------------------------------
Road & Rail - 1.0% 2,800 Avis Budget Car Rental LLC, 5.565% due 5/15/2014 (e) 2,254,000
600 Avis Budget Car Rental LLC, 7.625% due 5/15/2014 522,000
-------------
2,776,000
-----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 280 Amkor Technology, Inc., 7.75% due 5/15/2013 260,400
Semiconductor Equipment 1,260 Amkor Technology, Inc., 9.25% due 6/01/2016 1,224,569
- 1.4% 1,950 Freescale Semiconductor, Inc., 6.675% due 12/15/2014 (c) 1,482,000
1,215 Spansion, Inc., 6.201% due 6/01/2013 (a)(e) 886,950
-------------
3,853,919
-----------------------------------------------------------------------------------------------------------------------------------
Software - 0.2% 677 BMS Holdings, Inc., 12.40% due 2/15/2012 (a)(c)(e) 490,423
-----------------------------------------------------------------------------------------------------------------------------------
Specialty Retail - 3.7% 350 Asbury Automotive Group, Inc., 7.625% due 3/15/2017 276,500
2,875 AutoNation, Inc., 6.258% due 4/15/2013 (e) 2,357,500
775 AutoNation, Inc., 7% due 4/15/2014 705,250
310 Beverages & More, Inc., 9.25% due 3/01/2012 (a) 291,400
575 Buffets, Inc., 12.50% due 11/01/2014 (g) 14,375
1,760 General Nutrition Centers, Inc., 7.199% due 3/15/2014 (c)(e) 1,403,600
1,420 General Nutrition Centers, Inc., 10.75% due 3/15/2015 1,153,750
900 Group 1 Automotive, Inc., 2.25% due 6/15/2036 (b)(h) 585,000
1,700 Michaels Stores, Inc., 10% due 11/01/2014 1,485,375
1,205 Michaels Stores, Inc., 11.375% due 11/01/2016 997,137
1,110 United Auto Group, Inc., 7.75% due 12/15/2016 949,050
-------------
10,218,937
-----------------------------------------------------------------------------------------------------------------------------------
Textiles, Apparel & Luxury 2,000 Levi Strauss & Co., 8.875% due 4/01/2016 1,905,000
Goods - 0.7%
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 1,650 Centennial Cellular Operating Co. LLC, 10.125% due 6/15/2013 1,666,500
Services - 5.6% 1,370 Centennial Communications Corp., 10.479% due 1/01/2013 (e) 1,260,400
1,285 Cricket Communications, Inc., 9.375% due 11/01/2014 (a) 1,143,650
850 Digicel Group Ltd., 8.875% due 1/15/2015 (a) 743,750
1,983 Digicel Group Ltd., 9.125% due 1/15/2015 (a)(c) 1,690,216
600 FiberTower Corp., 9% due 11/15/2012 (b) 525,750
620 iPCS, Inc., 5.364% due 5/01/2013 (e) 496,000
2,990 MetroPCS Wireless, Inc., 9.25% due 11/01/2014 2,631,200
2,400 Nordic Telephone Co. Holdings ApS, 8.875% due 5/01/2016 (a) 2,364,000
275 Orascom Telecom Finance SCA, 7.875% due 2/08/2014 (a) 256,768
2,600 Rural Cellular Corp., 8.25% due 3/15/2012 2,678,000
-------------
15,456,234
-----------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (Cost - $338,185,273) - 111.2% 305,912,774
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Par
Industry (000) Floating Rate Loan Interests (i) Value
-----------------------------------------------------------------------------------------------------------------------------------
Auto Components - 0.1% $ 250 Allison Transmission Term Loan B, 5.75% due 8/07/2014 $ 220,070
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.2% 500 Marsico Parent Company, LLC Term Loan B, 3.813% - 7.438%
due 11/14/2014 480,000
-----------------------------------------------------------------------------------------------------------------------------------
Chemicals - 0.3% 2,830 Wellman, Inc. Second Lien Term Loan, 9.989% due 2/10/2010 896,168
-----------------------------------------------------------------------------------------------------------------------------------
Containers & Packaging - 0.2% 897 Berry Plastics Corp. Term Loan B, 11.646% due 6/15/2014 627,831
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 1,582 Rotech Healthcare, Inc. Term Loan B, 10.832% due 9/26/2011 1,376,185
Services - 0.5%
-----------------------------------------------------------------------------------------------------------------------------------
Hotels, Restaurants & 2,683 Travelport, Inc. Term Loan, 10.095% due 3/22/2012 2,005,652
Leisure - 0.7%
-----------------------------------------------------------------------------------------------------------------------------------
Household Products - 0.2% 25 Spectrum Brands, Inc. Letter of Credit, 2.994% due 4/15/2013 22,311
497 Spectrum Brands, Inc. Term Loan B-1, 7.065% - 8.620%
due 4/15/2013 444,095
-------------
466,406
-----------------------------------------------------------------------------------------------------------------------------------
IT Services - 0.7% 2,000 Alliance Data Systems Term Loan, 8.058% due 12/15/2014 1,860,000
-----------------------------------------------------------------------------------------------------------------------------------
Independent Power Producers 499 TXU Corp. Term Loan B-2, 6.478% - 6.596% due 10/14/2029 454,901
& Energy Traders - 1.3% 3,491 TXU Corp. Term Loan B-3, 6.478% - 6.596% due 10/10/2014 3,182,990
-------------
3,637,891
-----------------------------------------------------------------------------------------------------------------------------------
Machinery - 0.1% 385 Rexnord Corp. Payment In Kind Term Loan, 12.131%
due 3/02/2013 269,184
-----------------------------------------------------------------------------------------------------------------------------------
Media - 4.4% 400 Affinion Group, Inc. Term Loan, 9.267% due 3/01/2012 328,000
2,700 Catalina Marketing Group Term Loan, 8.479% due 10/09/2017 2,452,499
364 Education Media and Publishing First Lien Term Loan, 9.141%
due 5/15/2009 347,727
2,636 Education Media and Publishing First Lien Term Loan B, 9.141%
due 11/14/2014 2,372,727
6,000 Education Media and Publishing Second Lien Term Loan, 13.641%
due 11/14/2014 5,220,000
1,500 New Vision First Lien Term Loan, 11.630% due 10/26/2014 1,260,000
-------------
11,980,953
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 1,000 SandRidge Energy, Inc. Term Loan, 8.625% due 3/01/2015 965,000
- 0.4%
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products 500 NewPage Corp. Tem Loan B, 8.688% due 12/07/2014 484,792
- 0.8% 1,960 Verso Paper Holdings LLC Term Loan B, 9.489% due 2/01/2013 1,734,600
-------------
2,219,392
-----------------------------------------------------------------------------------------------------------------------------------
Total Floating Rate Loan Interests
(Cost - $31,716,128) - 9.9% 27,004,732
-----------------------------------------------------------------------------------------------------------------------------------
Shares Common Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.1% 73,574 E*Trade Financial Corp. 314,161
-----------------------------------------------------------------------------------------------------------------------------------
Communications Equipment 82,907 Loral Space & Communications Ltd. (j) 2,011,324
- 0.7%
-----------------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3% 70,784 Medis Technologies Ltd. (j) 766,591
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products 203,785 Western Forest Products, Inc. (j) 339,556
- 0.1%
-----------------------------------------------------------------------------------------------------------------------------------
Semiconductors & 85,295 Cypress Semiconductor Corp. (j) 1,854,313
Semiconductor Equipment
- 0.7%
-----------------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost - $8,330,815) - 1.9% 5,285,945
-----------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks
-----------------------------------------------------------------------------------------------------------------------------------
Capital Markets - 0.0% 72 Marsico Parent Superholdco, LLC, 16.75% (a) 71,928
-----------------------------------------------------------------------------------------------------------------------------------
Diversified Financial 17,000 Citigroup, Inc. Series T, 6.50% (b) 845,750
Services - 0.3%
-----------------------------------------------------------------------------------------------------------------------------------
Oil, Gas & Consumable Fuels 43 EXCO Resources, Inc., 7% (b) 473,000
- 0.9% 175 EXCO Resources, Inc., 11% 1,925,000
-------------
2,398,000
-----------------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost - $3,097,886) - 1.2% 3,315,678
-----------------------------------------------------------------------------------------------------------------------------------
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
Industry Shares Warrants (k) Value
-----------------------------------------------------------------------------------------------------------------------------------
Health Care Providers & 32,042 HealthSouth Corp. (expires 1/16/2014) $ 8,011
Services - 0.0%
-----------------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products 700 MDP Acquisitions Plc (expires 10/01/2013) 90,699
- 0.0%
-----------------------------------------------------------------------------------------------------------------------------------
Wireless Telecommunication 825 American Tower Corp. (expires 8/01/2008) 445,500
Services - 0.2%
-----------------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $53,675) - 0.2% 544,210
-----------------------------------------------------------------------------------------------------------------------------------
Beneficial
Interest
(000) Other Interests (l)
-----------------------------------------------------------------------------------------------------------------------------------
Media - 0.0% $ 750 Adelphia Escrow 75
941 Adelphia Recovery Trust 3,762
-----------------------------------------------------------------------------------------------------------------------------------
Total Other Interests (Cost - $3,075) - 0.0% 3,837
-----------------------------------------------------------------------------------------------------------------------------------
Short-Term Securities
-----------------------------------------------------------------------------------------------------------------------------------
1,744 BlackRock Liquidity Series, LLC
Cash Sweep Series, 3.76% (m)(n) 1,744,011
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost - $1,744,011) - 0.6% 1,744,011
-----------------------------------------------------------------------------------------------------------------------------------
Contracts Options Purchased
-----------------------------------------------------------------------------------------------------------------------------------
Call Options Purchased - 0.0% 19 Marsico Parent Superholdco LLC, expiring December 2009
at USD 942.86 (o) 33,250
-----------------------------------------------------------------------------------------------------------------------------------
Total Options Purchased (Premiums Paid - $18,578) - 0.0% 33,250
-----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $383,149,441*) - 125.0% 343,844,437
Liabilities in Excess of Other Assets - (25.0%) (68,764,714)
-------------
Net Assets - 100.0% $ 275,079,723
=============
* The cost and unrealized appreciation (depreciation) of investments as of
February 29, 2008, as computed for federal income tax purposes, were as
follows:
Aggregate cost $ 383,552,896
=============
Gross unrealized appreciation $ 2,706,105
Gross unrealized depreciation (42,414,564)
-------------
Net unrealized depreciation $ (39,708,459)
=============
(a) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(b) Convertible security.
(c) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(d) Subject to principal paydowns.
(e) Floating rate security.
(f) Represents a step bond; the interest rate shown reflects the effective
yield at the time of purchase.
(g) Non-income producing security; issuer filed for bankruptcy or is in
default of interest payments.
(h) Represents a step bond.
(i) Floating rate loan interests in which the Fund invests generally pay
interest at rates that are periodically determined 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 major U.S. banks or (iii) the certificate of deposit rate.
(j) Non-income producing security.
(k) Warrants entitle the Fund to purchase a predetermined number of shares of
common stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(l) Other interests represent beneficial interest in liquidation trusts and
other reorganization entities and are non-income producing.
(m) Represents the current yield as of February 29, 2008.
BlackRock Corporate High Yield Fund III, Inc.
Schedule of Investments as of February 29, 2008 (Unaudited)
(Percentages shown are based on Net Assets)
(n) 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 Interest
Affiliate (000) Income
--------------------------------------------------------------------------
BlackRock Liquidity Series, LLC Cash Sweep Series $ 174 $133,086
--------------------------------------------------------------------------
(o) Illiquid security.
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 Swaps outstanding as of February 29, 2008 were as follows:
----------------------------------------------------------------------------------------------------------
Notional
Amount Unrealized
(000) Depreciation
----------------------------------------------------------------------------------------------------------
Sold credit default protection on Ford Motor Company and receive 3.80%
Broker, JPMorgan Chase
Expires March 2010 $ 3,000 $ (312,492)
Sold credit default protection on Ford Motor Company and receive 3.80%
Broker, UBS Warburg
Expires March 2010 $ 1,000 (104,164)
Sold credit default protection on Ford Motor Company and receive 5.00%
Broker, Goldman Sachs
Expires June 2010 $ 4,000 (363,904)
----------------------------------------------------------------------------------------------------------
Total $ (780,560)
===========
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: April 23, 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: April 23, 2008
By: /s/ Neal J. Andrews
--------------------------------
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Corporate High Yield Fund III, Inc.
Date: April 23, 2008