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BLACKROCK CORPORATE HIGH YIELD FUND, INC.

Regulatory Filings Jul 23, 2015

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N-Q 1 e65201nq.htm QUARTERLY REPORT

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: 811-21318

Name of Fund: BlackRock Corporate High Yield Fund, Inc. (HYT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Corporate High Yield Fund, Inc., 55 East 52 nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2015

Date of reporting period: 05/31/2015

Item 1 – Schedule of Investments

Field: Page; Sequence: 1

Field: /Page

| Consolidated
Schedule of Investments May
31, 2015 (Unaudited) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Common Stocks Shares
Capital Markets — 1.8%
American Capital Ltd. (a) 1,434,697 $ 20,372,697
E*Trade Financial Corp. (a) 246,100 7,250,106
Uranium Participation Corp. (a) 176,860 763,701
28,386,504
Chemicals — 0.5%
Advanced Emissions Solutions, Inc. (a) 168,580 2,309,546
Huntsman Corp. 278,317 6,245,433
8,554,979
Communications Equipment — 0.3%
Nokia OYJ - ADR 643,970 4,694,541
Consumer Finance — 1.8%
Ally Financial, Inc. (a) 198,832 4,507,521
Ally Financial, Inc. 1,101,275 24,965,905
29,473,426
Diversified Consumer Services — 0.7%
Cengage Thomson Learning 211,142 5,806,405
Houghton Mifflin Harcourt Co. 206,188 5,439,239
11,245,644
Diversified Financial Services — 0.3%
Concrete Investments II S.C.A. 4,997
Kcad Holdings I Ltd. (a) 2,223,465,984 4,269,055
4,269,055
Diversified Telecommunication Services — 0.4%
Broadview Networks Holdings, Inc. (a) 192,400 327,079
Level 3 Communications, Inc. (a) 115,920 6,431,242
6,758,321
Energy Equipment & Services (b) — 0.2%
Laricina Energy Ltd. (a) 211,764 880,363
Osum Oil Sands Corp. (a) 400,000 2,640,721
3,521,084
Hotels, Restaurants & Leisure — 0.6%
Amaya, Inc. 118,172 3,249,825
Amaya, Inc. (a) 259,108 7,125,678
10,375,503
Insurance — 0.9%
American International Group, Inc. 256,865 15,054,858
Media — 0.2%
Time Warner Cable, Inc. 20,908 3,782,048
Metals & Mining — 0.1%
African Minerals Ltd. (a) 225,302 3

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Common Stocks Shares
Metals & Mining (concluded)
Constellium NV, Class A (a) 43,046 $ 586,287
Peninsula Energy Ltd. (a) 82,076,776 1,431,808
2,018,098
Oil, Gas & Consumable Fuels — 1.1%
General Maritime Corp. 953,381 14,720,203
Seven Generations Energy Ltd., (Acquired 3/25/14, cost $2,419,572) (a)(b)(c) 216,000 2,900,611
17,620,814
Paper & Forest Products — 0.2%
Norbord, Inc. 95,740 2,045,006
Western Forest Products, Inc. 543,106 953,527
2,998,533
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (a) 1,025 31,150
Trading Companies & Distributors — 0.3%
HD Supply Holdings, Inc. (a) 139,579 4,529,339
Wireless Telecommunication Services — 0.2%
T-Mobile U.S., Inc. (a) 59,550 2,315,304
Total Common Stocks — 9.6% 155,629,201
Asset-Backed Securities Par (000)
ALM Loan Funding, Series 2013-7RA (d):
Class C, 3.73%, 4/24/24 USD 2,840 2,803,299
Class D, 5.28%, 4/24/24 (e) 2,360 2,342,675
ALM XII, Ltd., Series 2015-12A, Class C1, 4.03%, 4/16/27 (d)(e) 1,500 1,449,375
ALM XIV Ltd., Series 2014-14A (d):
Class C, 3.73%, 7/28/26 750 731,205
Class D, 5.13%, 7/28/26 (e) 250 232,952
AMMC CLO 15 Ltd., Series 2014-15A (d)(e):
Class C1, 3.74%, 12/09/26 1,000 1,002,500
Class D, 4.48%, 12/09/26 1,000 995,000
Apidos CLO XVIII, Series 2014-18A, Class C, 3.93%, 7/22/26 (d)(e) 550 543,082
Ares CLO Ltd., Series 2014-32A, Class C, 4.47%, 11/15/25 (d)(e) 1,250 1,251,562
Atlas Senior Loan Fund V, Ltd., Series 2014-1A (d)(e):
Class C, 3.28%, 7/16/26 250 248,505
Class D, 3.73%, 7/16/26 250 243,177
Avalon IV Capital, Ltd., Series 2012-1AR, Class CR, 3.12%, 4/17/23 (d)(e) 850 851,582

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

Field: Page; Sequence: 1

BLACKROCK CORPORATE HIGH YIELD FUND, INC. MAY 31, 2015 1

Field: /Page

| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Asset-Backed Securities — Benefit Street Partners CLO, Ltd., Series 2014-IVA, Class C, 3.78%, 7/20/26 (d)(e) Par (000) — 500 $ 484,297
BlueMountain CLO 2014-1, Ltd., Series 2014-1A, Class C, 3.03%, 4/30/26 (d)(e) 1,000 988,155
Carlyle Global Market Strategies CLO 2012-2, Ltd., Series 2012-2AR, Class ER, 6.38%, 7/20/23 (d)(e) 580 579,957
Carlyle Global Market Strategies CLO 2014-5, Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (d)(e) 1,000 1,000,632
Cedar Funding, Ltd., Series 2014-3A, Class D, 3.81%, 5/20/26 (d)(e) 535 511,588
CIFC Funding 2014-II, Ltd., Series 2014-2A, Class A3L, 3.13%, 5/24/26 (d)(e) 500 497,020
CIFC Funding 2014-V, Ltd., Series 2014-5A, Class C, 3.59%, 1/17/27 (d)(e) 1,000 1,000,363
CIFC Funding Ltd., Series 2014-3A (d)(e):
Class C1, 3.08%, 7/22/26 500 495,473
Class D, 3.68%, 7/22/26 250 240,589
Dryden Senior Loan Fund, Series 2014-36A, Class D, 4.02%, 11/09/25 (d)(e) 1,000 1,002,622
Galaxy CLO Ltd., Series 2014-18A, Class C1, 3.28%, 10/15/26 (d)(e) 500 501,005
Highbridge Loan Management 4-2014, Ltd., Series 4A-2014, Class B, 3.28%, 7/28/25 (d)(e) 820 810,050
ING IM CLO 2012-4, Ltd., Series 2012-4A, Class C, 4.78%, 10/15/23 (d)(e) 1,000 1,002,602
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.78%, 7/15/26 (d)(e) 250 242,102
LCM X LP, Series 10AR, Class ER, 5.77%, 4/15/22 (d)(e) 1,000 993,356
Madison Park Funding, Ltd. (d)(e):
Series 2012-8AR, Class CR, 3.08%, 4/22/22 500 500,056
Series 2012-8AR, Class DR, 4.13%, 4/22/22 250 251,000
Series 2014-14A,Class D, 3.88%, 7/20/26 500 495,332
Neuberger Berman CLO XVII, Ltd., Series 2014-17A, Class D, 3.83%, 8/04/25 (d)(e) 500 482,385

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Asset-Backed Securities — Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.03%, 11/14/25 (d)(e) Par (000) — 1,500 $ 1,477,619
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class B, 3.43%, 11/14/25 (d)(e) 1,250 1,251,875
Oaktree EIF II Series A2, Ltd., Series 2014-A2, Class C, 3.47%, 11/15/25 (d)(e) 2,000 2,000,079
Octagon Investment Partners XII, Ltd., Series 2012-1AR, Class ER, 5.78%, 5/05/23 (d)(e) 1,200 1,194,677
Octagon Investment Partners XX Ltd., Series 2014-1A, Class D, 3.93%, 8/12/26 (d)(e) 250 244,573
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class C1, 3.53%, 11/22/25 (d)(e) 1,000 1,001,244
Octagon Investment Partners XXII, Ltd., Series 2014-1A, Class D1, 4.18%, 11/22/25 (d)(e) 1,000 993,360
OneMain Financial Issuance Trust 2015-2, Series 2015-2A (e):
Class C, 4.32%, 7/18/25 200 199,963
Class D, 5.64%, 7/18/25 200 199,979
OZLM IX, Ltd., Series 2014-9A, Class C, 3.88%, 1/20/27 (d)(e) 1,250 1,229,411
Palmer Square CLO, Ltd., Series 2014-1A (d)(e):
Class B, 2.82%, 10/17/22 1,100 1,078,802
Class C, 4.12%, 10/17/22 845 843,011
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (d)(e) 1,500 1,446,000
TICP CLO II, Ltd., Series 2014-2A, Class A1A, 1.73%, 7/20/26 (d)(e) 1,000 997,720
TICP CLO III, Ltd., Series 2014-3A, Class C, 3.53%, 1/20/27 (d)(e) 1,000 1,000,771
Venture CDO, Ltd., Series 2014-17A, Class C, 3.13%, 7/15/26 (d)(e) 500 498,795
Venture XIII CLO, Ltd., Series 2013-13A, Class D, 3.81%, 6/10/25 (d)(e) 1,000 978,181
Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.55%, 1/15/27 (d)(e) 1,000 1,000,000
Voya CLO, Ltd., Series 2014-4A (d)(e):
Class C, 4.28%, 10/14/26 1,750 1,749,938
Class D, 5.78%, 10/14/26 1,000 971,863

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

Field: Page; Sequence: 2

BLACKROCK CORPORATE HIGH YIELD FUND, INC. MAY 31, 2015 2

Field: /Page

| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Asset-Backed Securities — WhiteHorse IX, Ltd., Series 2014-9A, Class C, 2.97%, 7/17/26 (d)(e) Par (000) — 250 $ 241,626
45,372,985
Total Asset-Backed Securities — 2.8% 45,372,985
Corporate Bonds
Aerospace & Defense — 1.5%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (e) 1,735 1,604,875
Bombardier, Inc., 7.50%, 3/15/25 (e) 1,450 1,386,563
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (e) 1,160 1,206,400
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (e) 1,140 1,254,000
Oshkosh Corp., 5.38%, 3/01/25 (e) 566 585,810
TransDigm, Inc.:
5.50%, 10/15/20 2,490 2,490,000
6.00%, 7/15/22 9,680 9,813,100
6.50%, 7/15/24 6,048 6,168,960
24,509,708
Air Freight & Logistics — 0.4%
Air Medical Merger Sub Corp., 6.38%, 5/15/23 (e) 1,321 1,271,463
National Air Cargo Group, Inc.:
12.38%, 8/16/15 1,007 1,006,541
1.00%, 9/02/15 988 987,933
XPO Logistics, Inc., 7.88%, 9/01/19 (e) 3,163 3,396,271
6,662,208
Airlines — 2.7%
American Airlines Group, Inc. (e):
5.50%, 10/01/19 750 757,500
4.63%, 3/01/20 1,450 1,410,125
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (e) 6,420 6,484,200
Continental Airlines Pass-Through Trust:
Series 1997-4, Class B, 6.90%, 7/02/18 222 231,000
Series 2012-3, Class C, 6.13%, 4/29/18 5,145 5,415,113
Delta Air Lines Pass-Through Trust, Class B:

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Airlines (concluded)
Delta Air Lines Pass-Through Trust, Class B (concluded):
Series 2009-1, 9.75%, 6/17/18 USD 828 $ 919,113
Series 2010-1, 6.38%, 7/02/17 (e) 2,647 2,719,263
US Airways Pass-Through Trust:
Series 2012-1, Class C, 9.13%, 10/01/15 989 1,008,650
Series 2012-2, Class C, 5.45%, 6/03/18 5,720 5,820,100
Series 2013-1, Class B, 5.38%, 5/15/23 5,081 5,284,334
Virgin Australia Trust, Series 2013-1 (e):
Class C, 7.13%, 10/23/18 6,983 7,140,361
Class D, 8.50%, 10/23/16 6,138 6,275,740
43,465,499
Auto Components — 3.4%
Affinia Group, Inc., 7.75%, 5/01/21 3,109 3,241,132
Autodis SA, 6.50%, 2/01/19 EUR 147 168,738
CNH Industrial Finance Europe SA, 2.75%, 3/18/19 1,422 1,588,886
Dana Holding Corp., 6.75%, 2/15/21 USD 200 211,750
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17 352 355,960
6.00%, 8/01/20 10,743 11,548,725
5.88%, 2/01/22 2,797 2,933,354
IDQ Holdings, Inc., 11.50%, 4/01/17 (e) 2,155 2,289,687
Rhino Bondco SpA, 7.25%, 11/15/20 EUR 490 577,184
Schaeffler Finance BV:
4.75%, 5/15/23 (e) USD 1,440 1,456,200
3.25%, 5/15/25 EUR 217 236,544
Schaeffler Holding Finance BV (f):
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21 800 949,590
(6.25% Cash or 0.00% PIK), 6.25%, 11/15/19 (e) USD 2,130 2,265,809
(6.75% Cash or 0.00% PIK), 6.75%, 11/15/22 (e) 6,753 7,360,770
(6.88% Cash or 7.63% PIK), 6.88%, 8/15/18 (e) 2,400 2,496,000
(6.88% Cash), 6.88%, 8/15/18 EUR 1,660 1,899,132
The Goodyear Tire & Rubber Co., 6.50%, 3/01/21 USD 1,510 1,608,150

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

Field: Page; Sequence: 3

BLACKROCK CORPORATE HIGH YIELD FUND, INC. MAY 31, 2015 3

Field: /Page

| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Auto Components (concluded)
UCI International, Inc., 8.63%, 2/15/19 USD 7,080 $ 6,372,000
ZF North America Capital, Inc.:
2.25%, 4/26/19 EUR 300 333,889
4.00%, 4/29/20 (e) USD 1,397 1,421,447
4.50%, 4/29/22 (e) 1,121 1,140,617
2.75%, 4/27/23 EUR 1,400 1,510,712
4.75%, 4/29/25 (e) USD 2,695 2,695,000
54,661,276
Automobiles — 0.7%
General Motors Co.:
4.88%, 10/02/23 940 1,001,731
6.25%, 10/02/43 3,705 4,286,340
5.20%, 4/01/45 4,015 4,096,766
Jaguar Land Rover Automotive PLC, 5.00%, 2/15/22 GBP 1,053 1,709,188
11,094,025
Banks — 1.5%
Banco Bilbao Vizcaya Argentaria SA (d)(g):
6.75% EUR 400 444,811
7.00% 1,000 1,120,595
Banco Espirito Santo SA:
4.75%, 1/15/18 1,900 2,131,081
4.00%, 1/21/19 100 110,514
Bankia SA, 4.00%, 5/22/24 (d) 1,000 1,090,063
CIT Group, Inc.:
5.25%, 3/15/18 USD 4,320 4,514,400
6.63%, 4/01/18 (e) 1,400 1,506,680
5.50%, 2/15/19 (e) 6,919 7,308,194
5.00%, 8/01/23 560 573,272
6.00%, 4/01/36 2,800 2,800,000
Citigroup, Inc., 5.95% (d)(g) 2,675 2,678,344
HSH Nordbank AG, 0.79%, 2/14/17 (d) EUR 665 588,313
24,866,267
Beverages — 0.0%
Hydra Dutch Holdings 2BV, 5.51%, 4/15/19 (d) 610 624,781
Building Products — 1.7%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (e) USD 1,315 1,344,588
Builders FirstSource, Inc., 7.63%, 6/01/21 (e) 1,503 1,570,635
Building Materials Corp. of America, 6.75%, 5/01/21 (e) 2,490 2,636,287
Cemex SAB de CV:
5.88%, 3/25/19 (e) 1,335 1,378,388
4.38%, 3/05/23 EUR 455 493,480

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Building Products (concluded)
Cemex SAB de CV:
5.70%, 1/11/25 (e) USD 2,215 $ 2,178,342
CPG Merger Sub LLC, 8.00%, 10/01/21 (e) 3,590 3,769,500
Masonite International Corp., 5.63%, 3/15/23 (e) 1,520 1,573,200
Momentive Performance Materials, Inc., 3.88%, 10/24/21 3,738 3,368,872
Ply Gem Industries, Inc., 6.50%, 2/01/22 3,550 3,523,375
USG Corp.:
9.75%, 1/15/18 3,935 4,525,683
5.50%, 3/01/25 (e) 1,234 1,277,190
27,639,540
Capital Markets — 2.1%
American Capital Ltd., 6.50%, 9/15/18 (e) 3,840 3,988,800
Blackstone CQP Holdco LP, 9.30%, 3/18/19 18,615 18,429,155
E*Trade Financial Corp.:
0.00%, 8/31/19 (e)(h)(i) 1,206 3,425,558
5.38%, 11/15/22 2,857 2,985,565
4.63%, 9/15/23 2,549 2,561,745
Series A, 0.00%, 8/31/19 (h)(i) 373 1,059,480
State Street Corp., Series F, 5.25% (d)(g) 184 186,070
UBS Group AG (d)(g):
5.75% EUR 800 907,196
7.00% USD 725 756,719
34,300,288
Chemicals — 1.6%
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV:
5.75%, 2/01/21 EUR 500 582,099
7.38%, 5/01/21 (e) USD 1,760 1,909,600
Axiall Corp., 4.88%, 5/15/23 629 619,565
Celanese US Holdings LLC:
5.88%, 6/15/21 1,848 2,005,080
4.63%, 11/15/22 1,565 1,580,650
Huntsman International LLC:
8.63%, 3/15/21 381 402,908
5.13%, 4/15/21 EUR 1,779 2,066,224
INEOS Group Holdings SA:
6.13%, 8/15/18 (e) USD 1,015 1,042,912
6.50%, 8/15/18 EUR 378 429,169
5.75%, 2/15/19 400 450,303
5.88%, 2/15/19 (e) USD 413 420,227
Montichem Holdco SA, 5.25%, 6/15/21 EUR 311 348,403

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

Field: Page; Sequence: 4

BLACKROCK CORPORATE HIGH YIELD FUND, INC. MAY 31, 2015 4

Field: /Page

| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Chemicals (concluded)
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18 USD 510 $ 461,550
NOVA Chemicals Corp., 5.00%, 5/01/25 (e) 660 676,500
Platform Specialty Products Corp., 6.50%, 2/01/22 (e) 6,728 7,064,400
PSPC Escrow Corp., 6.00%, 2/01/23 EUR 394 447,876
The Chemours Co. (e):
6.63%, 5/15/23 USD 3,977 4,036,655
7.00%, 5/15/25 1,501 1,527,267
26,071,388
Commercial Services & Supplies — 2.7%
AA Bond Co., Ltd.:
9.50%, 7/31/19 GBP 447 751,077
5.50%, 7/31/22 500 776,618
Abengoa Greenfield SA, 6.50%, 10/01/19 (e) USD 3,326 3,126,440
ADS Waste Holdings, Inc., 8.25%, 10/01/20 1,546 1,629,098
ARAMARK Corp., 5.75%, 3/15/20 3,123 3,259,631
Aviation Capital Group Corp., 6.75%, 4/06/21 (e) 3,002 3,478,213
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.50%, 4/01/23 720 738,000
Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18 (f) EUR 423 495,632
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (e) USD 1,558 1,495,680
Covanta Holding Corp.:
6.38%, 10/01/22 2,300 2,449,500
5.88%, 3/01/24 1,180 1,215,400
Jurassic Holdings III, Inc., 6.88%, 2/15/21 (e) 2,738 2,279,385
Mobile Mini, Inc., 7.88%, 12/01/20 2,040 2,162,400
Mustang Merger Corp., 8.50%, 8/15/21 (e) 2,688 2,728,320
Silk Bidco, 7.50%, 2/01/22 EUR 667 760,953
United Rentals North America, Inc.:
7.38%, 5/15/20 USD 1,890 2,036,475
8.25%, 2/01/21 1,001 1,077,326
7.63%, 4/15/22 5,555 6,068,838
6.13%, 6/15/23 1,055 1,102,475
5.75%, 11/15/24 3,826 3,888,173
Verisure Holding AB:
8.75%, 9/01/18 EUR 790 921,886

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Commercial Services & Supplies (concluded)
Verisure Holding AB (concluded):
8.75%, 12/01/18 EUR 673 $ 783,786
43,225,306
Communications Equipment — 3.4%
Alcatel-Lucent USA, Inc.:
4.63%, 7/01/17 (e) USD 1,735 1,784,881
6.75%, 11/15/20 (e) 5,690 6,031,400
6.45%, 3/15/29 6,018 6,484,395
Avaya, Inc. (e):
7.00%, 4/01/19 4,080 4,080,000
10.50%, 3/01/21 4,505 3,851,775
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (e)(j) 2,257 2,285,213
CommScope, Inc. (e):
4.38%, 6/15/20 (j) 2,278 2,297,933
5.00%, 6/15/21 1,475 1,471,313
5.50%, 6/15/24 1,413 1,407,701
Nokia OYJ:
5.00%, 10/26/17 (i) EUR 800 2,445,167
6.63%, 5/15/39 USD 1,961 2,264,955
Plantronics, Inc., 5.50%, 5/31/23 (e) 1,137 1,154,055
Zayo Group LLC/Zayo Capital, Inc.:
10.13%, 7/01/20 7,677 8,675,010
6.00%, 4/01/23 (e) 7,430 7,481,936
6.38%, 5/15/25 (e) 2,765 2,771,912
54,487,646
Construction & Engineering — 0.9%
Abengoa Finance SAU, 7.00%, 4/15/20 EUR 461 494,873
AECOM Technology Corp. (e):
5.75%, 10/15/22 USD 716 741,060
5.88%, 10/15/24 2,662 2,768,480
Aldesa Financial Services SA, 7.25%, 4/01/21 EUR 960 970,019
Astaldi SpA, 7.13%, 12/01/20 2,273 2,683,669
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (e) USD 2,187 2,258,077
Novafives SAS, 4.50%, 6/30/21 EUR 320 349,699
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (e) USD 2,852 2,923,300
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 862 821,055
14,010,232
Construction Materials — 2.6%
American Tire Distributors, Inc., 10.25%, 3/01/22 (e) 4,805 5,081,288
HD Supply, Inc.:
11.00%, 4/15/20 9,123 10,331,797

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Construction Materials (concluded)
HD Supply, Inc. (concluded):
7.50%, 7/15/20 USD 14,575 $ 15,759,219
5.25%, 12/15/21 (e) 9,862 10,256,480
Kerneos Tech Group SAS, 5.75%, 3/01/21 EUR 262 304,660
Officine MaccaFerri SpA, 5.75%, 6/01/21 780 853,889
Rexel SA, 6.13%, 12/15/19 (e) USD 203 214,774
42,802,107
Consumer Finance — 1.7%
Ally Financial, Inc.:
5.13%, 9/30/24 2,366 2,419,235
4.63%, 3/30/25 785 769,300
8.00%, 11/01/31 19,178 23,588,940
IVS F. SpA, 7.13%, 4/01/20 EUR 262 305,739
27,083,214
Containers & Packaging — 1.3%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.25%, 1/31/19 (e) USD 1,504 1,530,320
6.00%, 6/30/21 (e) 1,825 1,834,125
4.25%, 1/15/22 EUR 1,855 2,083,187
Ball Corp., 4.00%, 11/15/23 USD 564 543,555
Beverage Packaging Holdings Luxembourg II SA (e):
5.63%, 12/15/16 483 486,019
6.00%, 6/15/17 2,137 2,158,370
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 93 97,650
Crown European Holdings SA, 4.00%, 7/15/22 EUR 758 881,421
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (f) 300 347,612
Pactiv LLC:
7.95%, 12/15/25 USD 4,267 4,320,337
8.38%, 4/15/27 736 750,720
Sealed Air Corp. (e):
8.38%, 9/15/21 150 168,750
4.88%, 12/01/22 709 714,318
5.13%, 12/01/24 1,941 1,974,967
SGD Group SAS, 5.63%, 5/15/19 EUR 405 457,044
Tekni-Plex, Inc., 9.75%, 6/01/19 (e) USD 1,907 2,046,459
20,394,854
Distributors — 0.3%
VWR Funding, Inc., 7.25%, 9/15/17 4,254 4,418,843

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Diversified Consumer Services — 0.2%
Constellis Holdings LLC/Constellis Finance Corp., 9.75%, 5/15/20 (e) USD 823 $ 815,799
Laureate Education, Inc., 10.00%, 9/01/19 (e) 3,065 2,965,387
3,781,186
Diversified Financial Services — 3.3%
AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust (e):
4.50%, 5/15/21 780 811,200
5.00%, 10/01/21 4,340 4,600,400
Aircastle, Ltd.:
7.63%, 4/15/20 128 148,160
5.13%, 3/15/21 1,387 1,447,681
5.50%, 2/15/22 880 930,600
Citigroup, Inc., 5.88% (d)(g) 2,405 2,438,069
DFC Finance Corp., 10.50%, 6/15/20 (e) 2,745 2,113,650
Gala Group Finance PLC, 8.88%, 9/01/18 GBP 2,437 3,911,342
General Motors Financial Co., Inc.:
3.15%, 1/15/20 USD 4,235 4,237,757
4.00%, 1/15/25 5,160 5,126,527
Horizon Pharma Financing, Inc., 6.63%, 5/01/23 (e) 1,893 1,947,424
HRG Group, Inc., 7.88%, 7/15/19 (e) 1,295 1,371,405
HSH Nordbank AG, 0.83%, 2/14/17 (d) EUR 313 276,733
International Lease Finance Corp.:
4.63%, 4/15/21 USD 687 716,197
5.88%, 8/15/22 4,010 4,431,050
Jarden Corp., 1.88%, 9/15/18 (i) 100 171,625
Jefferies Finance LLC/JFIN Co-Issuer Corp. (e):
7.38%, 4/01/20 3,410 3,418,525
6.88%, 4/15/22 2,987 2,886,189
Lehman Brother Holding Escrow, 1.00%, 9/22/18 430 48,977
Lehman Brothers Holdings, Inc.:
4.75%, 1/16/15 EUR 1,890 290,610
5.38%, 10/17/15 350 53,817
1.00%, 2/05/16 3,950 596,514
1.00%, 12/31/49 USD 1,535 174,837
Leucadia National Corp., 8.13%, 9/15/15 4,503 4,584,617
ProGroup AG, 5.13%, 5/01/22 EUR 206 234,734
Reynolds Group Issuer, Inc.:
9.88%, 8/15/19 USD 899 952,940

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Diversified Financial Services (concluded)
Reynolds Group Issuer, Inc.: (concluded)
5.75%, 10/15/20 USD 4,884 $ 5,085,465
53,007,045
Diversified Telecommunication Services — 2.8%
CenturyLink, Inc.:
6.45%, 6/15/21 1,125 1,199,531
Series V, 5.63%, 4/01/20 5,420 5,657,125
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (e) 1,025 971,187
Frontier Communications Corp.:
8.50%, 4/15/20 2,275 2,434,250
6.25%, 9/15/21 2,750 2,648,594
7.13%, 1/15/23 1,615 1,546,362
7.63%, 4/15/24 735 707,438
6.88%, 1/15/25 1,425 1,300,312
Level 3 Financing, Inc.:
7.00%, 6/01/20 2,395 2,565,644
5.63%, 2/01/23 (e) 2,917 3,011,802
5.13%, 5/01/23 (e) 4,092 4,102,230
5.38%, 5/01/25 (e) 4,912 4,887,440
Series TIT, 6.00%, 7/24/17 (i) EUR 600 794,730
Telecom Italia Capital SA:
6.38%, 11/15/33 USD 745 784,113
6.00%, 9/30/34 2,890 2,875,550
Telecom Italia Finance SA, 7.75%, 1/24/33 EUR 380 588,569
Telecom Italia SpA:
6.38%, 6/24/19 GBP 900 1,526,250
3.25%, 1/16/23 EUR 500 570,703
5.88%, 5/19/23 GBP 1,900 3,201,529
Telefonica Europe BV, 4.20% (d)(g) EUR 700 800,216
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22 1,362 1,624,905
6.75%, 8/15/24 1,982 2,427,166
46,225,646
Electric Utilities — 0.5%
Homer City Generation LP (f):
(8.14% Cash), 8.14%, 10/01/19 USD 747 755,813
(8.73% Cash), 8.73%, 10/01/26 2,079 2,110,016
Mirant Mid Atlantic Pass-Through Trust:
Series B, 9.13%, 6/30/17 989 1,048,114
Series C, 10.06%, 12/30/28 2,237 2,449,493
Talen Energy Supply LLC, 6.50%, 6/01/25 (e) 1,096 1,118,368

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Electric Utilities (concluded)
Viridian Group FundCo II Ltd., 7.50%, 3/01/20 EUR 624 $ 702,473
8,184,277
Electrical Equipment — 0.3%
Areva SA, 4.88%, 9/23/24 50 61,180
Belden, Inc., 5.50%, 4/15/23 1,602 1,854,049
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (e) USD 1,421 1,481,392
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20 EUR 210 252,679
Trionista Holdco GmbH, 5.00%, 4/30/20 1,405 1,604,836
Trionista TopCo GmbH, 6.88%, 4/30/21 418 492,373
5,746,509
Electronic Equipment, Instruments & Components — 0.1%
Jabil Circuit, Inc., 8.25%, 3/15/18 USD 1,310 1,508,138
Energy Equipment & Services — 1.9%
Atwood Oceanics, Inc., 6.50%, 2/01/20 780 760,500
Calfrac Holdings LP, 7.50%, 12/01/20 (e) 3,862 3,610,970
Gates Global LLC/Gates Global Co., 5.75%, 7/15/22 110 112,566
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21 USD 283 283,000
MEG Energy Corp. (e):
6.50%, 3/15/21 4,781 4,637,570
6.38%, 1/30/23 575 543,375
7.00%, 3/31/24 8,599 8,298,035
Peabody Energy Corp.:
6.00%, 11/15/18 1,000 710,000
7.88%, 11/01/26 2,795 1,355,575
Pioneer Energy Services Corp., 6.13%, 3/15/22 163 132,030
Precision Drilling Corp.:
6.63%, 11/15/20 425 420,750
5.25%, 11/15/24 4,147 3,654,544
Transocean, Inc.:
3.00%, 10/15/17 1,914 1,867,346
6.00%, 3/15/18 2,520 2,564,100
6.50%, 11/15/20 1,365 1,300,163
30,250,524
Food & Staples Retailing — 1.8%
Bakkavor Finance 2 PLC:
8.25%, 2/15/18 GBP 825 1,314,694
8.75%, 6/15/20 795 1,341,446
Brakes Capital, 7.13%, 12/15/18 830 1,314,976
Family Dollar Stores, Inc., 5.00%, 2/01/21 USD 1,344 1,425,445

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Food & Staples Retailing (concluded)
Family Tree Escrow LLC (e):
5.25%, 3/01/20 USD 817 $ 856,829
5.75%, 3/01/23 10,549 11,129,195
R&R Ice Cream PLC:
4.75%, 5/15/20 EUR 745 847,895
(9.25% Cash or 10.00% PIK), 9.25%, 5/15/18 (f) 823 915,773
Rite Aid Corp.:
9.25%, 3/15/20 USD 2,080 2,281,760
Rite Aid Corp. (concluded):
6.75%, 6/15/21 1,536 1,616,640
6.13%, 4/01/23 (e) 6,432 6,689,280
29,733,933
Food Products — 0.4%
Anna Merger Sub, Inc., 7.75%, 10/01/22 (e) 2,155 2,200,794
Boparan Finance PLC:
4.38%, 7/15/21 EUR 249 255,017
5.50%, 7/15/21 GBP 522 739,783
Findus Bondco SA, 9.13%, 7/01/18 EUR 437 503,955
Smithfield Foods, Inc.:
5.88%, 8/01/21 (e) USD 891 933,322
6.63%, 8/15/22 1,516 1,638,417
The WhiteWave Foods Co., 5.38%, 10/01/22 950 1,026,000
7,297,288
Forest Products — 0.1%
JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (e)(j) 1,280 1,292,800
Health Care Equipment & Supplies — 1.1%
3AB Optique Development SAS, 5.63%, 4/15/19 EUR 900 966,230
Biomet, Inc., 6.50%, 10/01/20 USD 2,801 2,941,890
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (e) 933 819,874
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (e) 4,447 4,580,410
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (e) 1,580 1,706,400
IDH Finance PLC:
6.00%, 12/01/18 GBP 614 957,206
6.00%, 12/01/18 (e) 200 311,794
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (e) USD 1,690 1,770,275
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (e):
4.88%, 4/15/20 980 1,003,275
5.50%, 4/15/25 1,101 1,107,331

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Health Care Providers & Services (concluded)
Teleflex, Inc., 6.88%, 6/01/19 USD 1,635 $ 1,691,211
17,855,896
Health Care Providers & Services — 6.8%
Acadia Healthcare Co., Inc.:
5.13%, 7/01/22 1,145 1,145,000
5.63%, 2/15/23 (e) 468 478,530
Alere, Inc.:
7.25%, 7/01/18 2,449 2,599,001
8.63%, 10/01/18 2,834 2,942,046
Amsurg Corp., 5.63%, 7/15/22 5,428 5,556,915
Care UK Health & Social Care PLC, 5.57%, 7/15/19 (d) GBP 1,253 1,843,269
Centene Corp., 4.75%, 5/15/22 USD 2,427 2,548,350
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18 2,125 2,186,094
6.88%, 2/01/22 3,948 4,214,529
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (e) EUR 1,907 2,172,791
DaVita HealthCare Partners, Inc.:
5.13%, 7/15/24 USD 5,166 5,220,889
5.00%, 5/01/25 4,606 4,577,212
ExamWorks Group, Inc., 5.63%, 4/15/23 1,741 1,780,173
HCA Holdings, Inc., 7.75%, 5/15/21 6,486 6,940,150
HCA, Inc.:
3.75%, 3/15/19 2,911 2,954,665
6.50%, 2/15/20 6,125 6,837,031
7.50%, 2/15/22 3,226 3,774,420
5.88%, 3/15/22 3,565 3,983,887
4.75%, 5/01/23 1,487 1,539,045
5.88%, 5/01/23 4,096 4,423,680
5.00%, 3/15/24 1,955 2,038,088
5.38%, 2/01/25 6,636 6,835,080
HealthSouth Corp.:
5.13%, 3/15/23 1,310 1,342,750
5.75%, 11/01/24 2,442 2,521,365
Hologic, Inc., 6.25%, 8/01/20 6,719 6,962,564
Kindred Healthcare, Inc., 6.38%, 4/15/22 931 949,620
MPH Acquisition Holdings LLC, 6.63%, 4/01/22 (e) 1,280 1,353,600
Omnicare, Inc.:
4.75%, 12/01/22 793 860,405
5.00%, 12/01/24 631 698,044
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (e) 424 427,180
Surgical Care Affiliates, Inc., 6.00%, 4/01/23 (e) 1,161 1,190,025
Tenet Healthcare Corp.:
6.25%, 11/01/18 1,308 1,424,896

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Health Care Providers & Services (concluded)
Tenet Healthcare Corp.: (concluded)
4.75%, 6/01/20 USD 1,805 $ 1,836,588
6.00%, 10/01/20 3,835 4,103,450
4.50%, 4/01/21 74 73,260
4.38%, 10/01/21 4,005 3,924,900
8.13%, 4/01/22 3,258 3,551,220
Voyage Care Bondco PLC, 6.50%, 8/01/18 GBP 786 1,249,375
WellCare Health Plans, Inc., 5.75%, 11/15/20 1,066 1,121,299
110,181,386
Health Care Technology — 0.1%
IMS Health, Inc., 6.00%, 11/01/20 (e) 795 826,800
Hotels, Restaurants & Leisure — 4.0%
Boyd Gaming Corp., 6.88%, 5/15/23 3,664 3,728,120
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 4,330 4,384,125
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (e)(f) 654 663,810
CDW LLC/CDW Finance Corp.:
5.00%, 9/01/23 3,545 3,636,248
5.50%, 12/01/24 4,652 4,872,970
Cedar Fair LP/Canada's Wonderland Co., 5.38%, 6/01/24 1,070 1,115,475
Cirsa Funding Luxembourg SA, 5.88%, 5/15/23 EUR 1,175 1,287,276
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (i) GBP 400 575,595
ESH Hospitality, Inc., 5.25%, 5/01/25 (e) USD 1,708 1,720,810
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 EUR 1,507 1,738,286
International Game Technology PLC:
4.13%, 2/15/20 355 393,795
6.25%, 2/15/22 (e) USD 400 388,000
4.75%, 2/15/23 EUR 825 902,700
6.50%, 2/15/25 (e) USD 200 187,500
Intralot Capital Luxembourg SA, 6.00%, 5/15/21 EUR 613 596,170
Intralot Finance Luxembourg SA, 9.75%, 8/15/18 2,140 2,403,245
Merlin Entertainments PLC, 2.75%, 3/15/22 289 313,441

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Hotels, Restaurants & Leisure (concluded)
MGM Resorts International:
6.75%, 10/01/20 USD 1,062 $ 1,150,943
6.00%, 3/15/23 5,767 5,976,054
New Red Finance, Inc., 6.00%, 4/01/22 (e) 3,735 3,873,195
Pinnacle Entertainment, Inc., 6.38%, 8/01/21 2,405 2,567,338
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20 EUR 339 393,910
Regal Entertainment Group, 5.75%, 2/01/25 USD 489 491,445
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23 (e) 1,534 1,534,000
Sabre GLBL, Inc., 5.38%, 4/15/23 (e) 1,436 1,461,130
Six Flags Entertainment Corp., 5.25%, 1/15/21 (e) 3,247 3,352,527
Snai SpA, 7.63%, 6/15/18 EUR 866 991,551
Station Casinos LLC, 7.50%, 3/01/21 USD 5,095 5,426,175
Tropicana Entertainment LLC/Tropicana Finance Corp., 1.00%, 12/15/15 (a)(k) 1,850
The Unique Pub Finance Co. PLC:
Series A3, 6.54%, 3/30/21 GBP 2,007 3,229,122
Series A4, 5.66%, 6/30/27 829 1,291,671
Series N, 6.46%, 3/30/32 1,000 1,352,634
Vougeot Bidco PLC, 7.88%, 7/15/20 920 1,515,187
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22 USD 689 709,670
64,224,118
Household Durables — 2.9%
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (e) 1,262 1,186,280
Beazer Homes USA, Inc.:
6.63%, 4/15/18 215 222,256
5.75%, 6/15/19 3,638 3,556,145
7.50%, 9/15/21 2,710 2,723,550
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (e) 1,604 1,612,020
DR Horton, Inc., 4.00%, 2/15/20 2,408 2,420,040
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (e) 1,607 1,679,315
Lennar Corp., 4.50%, 11/15/19 2,482 2,525,435
Project Homestake Merger Co., 8.88%, 3/01/23 (e) 3,574 3,569,533
PulteGroup, Inc., 6.38%, 5/15/33 2,805 2,889,150

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Household Durables (concluded)
The Ryland Group, Inc., 6.63%, 5/01/20 USD 1,900 $ 2,061,500
Shea Homes LP/Shea Homes Funding Corp. (e):
5.88%, 4/01/23 2,283 2,351,490
6.13%, 4/01/25 2,308 2,377,240
Standard Pacific Corp.:
10.75%, 9/15/16 3,420 3,787,650
8.38%, 1/15/21 4,270 4,995,900
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (e) 744 747,720
Tri Pointe Holdings, Inc. (e):
4.38%, 6/15/19 2,270 2,235,950
5.88%, 6/15/24 1,540 1,514,975
William Lyon Homes, Inc., 8.50%, 11/15/20 4,579 4,979,662
47,435,811
Household Products — 0.5%
Spectrum Brands, Inc.:
6.38%, 11/15/20 2,125 2,268,437
6.63%, 11/15/22 1,385 1,485,413
6.13%, 12/15/24 (e) 1,290 1,370,625
5.75%, 7/15/25 (e) 2,521 2,596,630
7,721,105
Independent Power and Renewable Electricity Producers — 1.6%
Baytex Energy Corp., 5.13%, 6/01/21 (e) 944 918,040
Calpine Corp.:
6.00%, 1/15/22 (e) 1,321 1,413,470
5.38%, 1/15/23 2,089 2,099,445
5.88%, 1/15/24 (e) 1,999 2,138,930
5.50%, 2/01/24 2,344 2,338,140
5.75%, 1/15/25 2,894 2,912,088
Dynegy, Inc. (e):
6.75%, 11/01/19 4,785 5,060,137
7.38%, 11/01/22 1,235 1,315,275
MPM Escrow LLC, 8.88%, 10/15/20 (a)(k) 3,738
NRG Energy, Inc.:
7.88%, 5/15/21 1,190 1,274,788
6.25%, 5/01/24 1,800 1,840,500
NRG REMA LLC:
Series B, 9.24%, 7/02/17 117 123,046
Series C, 9.68%, 7/02/26 1,400 1,519,000
QEP Resources, Inc.:
5.38%, 10/01/22 1,843 1,852,215

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Independent Power and Renewable Electricity Producers (concluded)
QEP Resources, Inc.: (concluded)
5.25%, 5/01/23 USD 800 $ 800,000
25,605,074
Insurance — 1.3%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (e) 6,232 6,403,380
CNO Financial Group, Inc.:
4.50%, 5/30/20 593 612,984
6.38%, 10/01/20 (e) 1,244 1,325,731
5.25%, 5/30/25 1,224 1,269,900
Genworth Holdings, Inc., 4.80%, 2/15/24 1,120 963,200
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (e) 3,920 4,047,400
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (e) 3,650 3,859,875
Pension Insurance Corp. PLC, 6.50%, 7/03/24 GBP 775 1,212,521
TMF Group Holding BV, 9.88%, 12/01/19 EUR 1,140 1,364,172
21,059,163
Internet Software & Services — 0.9%
Blue Coat Holdings, Inc., 8.38%, 6/01/23 (e) USD 2,629 2,655,290
Cerved Group SpA:
6.38%, 1/15/20 EUR 601 694,732
8.00%, 1/15/21 400 478,859
Equinix, Inc.:
5.38%, 1/01/22 USD 1,110 1,155,094
5.75%, 1/01/25 1,172 1,207,160
Interactive Data Corp., 5.88%, 4/15/19 (e) 5,276 5,355,140
Netflix, Inc. (e):
5.50%, 2/15/22 1,992 2,076,660
5.88%, 2/15/25 960 1,003,200
14,626,135
IT Services — 2.5%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (e) 6,584 6,970,810
Epicor Software Corp., 8.63%, 5/01/19 3,077 3,215,465
First Data Corp.:
7.38%, 6/15/19 (e) 3,333 3,466,320
6.75%, 11/01/20 (e) 8,600 9,180,500
8.25%, 1/15/21 (e) 1,394 1,486,353
10.63%, 6/15/21 2,111 2,385,430
11.75%, 8/15/21 3,318 3,794,963
(8.75% Cash or 10.00% PIK), 8.75%, 1/15/22 (e)(f) 365 390,550

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
IT Services (concluded)
Open Text Corp., 5.63%, 1/15/23 (e) USD 4,831 $ 4,882,329
SunGard Data Systems, Inc., 6.63%, 11/01/19 2,227 2,324,431
WEX, Inc., 4.75%, 2/01/23 (e) 2,728 2,646,160
40,743,311
Machinery — 0.1%
Selecta Group BV, 6.50%, 6/15/20 EUR 1,060 1,133,638
SPX Corp., 6.88%, 9/01/17 980 1,068,200
2,201,838
Media — 12.9%
Altice Financing SA:
6.50%, 1/15/22 (e) 1,945 1,993,625
5.25%, 2/15/23 EUR 585 668,206
6.63%, 2/15/23 (e) USD 3,450 3,575,063
Altice Finco SA, 7.63%, 2/15/25 (e) 828 848,700
Altice SA:
7.25%, 5/15/22 EUR 1,958 2,214,986
7.75%, 5/15/22 (e) USD 2,525 2,550,250
6.25%, 2/15/25 EUR 942 1,019,183
7.63%, 2/15/25 (e) USD 2,576 2,543,800
Altice US Finance I Corp., 5.38%, 7/15/23 (e)(j) 8,100 8,100,000
Altice US Finance II Corp., 7.75%, 7/15/25 (e)(j) 3,319 3,319,000
Altice US Finance SA, 7.75%, 7/15/25 (e)(j) 3,325 3,267,644
AMC Networks, Inc.:
7.75%, 7/15/21 480 522,000
4.75%, 12/15/22 1,613 1,645,260
Cablevision Systems Corp., 5.88%, 9/15/22 3,070 3,062,325
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.25%, 9/30/22 1,135 1,152,025
5.13%, 5/01/23 (e) 560 562,800
5.88%, 5/01/27 (e) 6,267 6,314,002
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(k) 3,439
Clear Channel Worldwide Holdings, Inc.:
7.63%, 3/15/20 4,069 4,302,967
6.50%, 11/15/22 11,724 12,380,757
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25%, 12/01/40 (e)(i) 4,132 4,503,880
Columbus International, Inc., 7.38%, 3/30/21 (e) 2,647 2,868,686

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Media (continued)
Consolidated Communications, Inc., 6.50%, 10/01/22 (e) USD 1,250 $ 1,262,500
DISH DBS Corp.:
4.25%, 4/01/18 3,209 3,297,248
5.00%, 3/15/23 5,022 4,839,952
5.88%, 11/15/24 6,239 6,254,597
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (e) 541 541,000
Gannett Co., Inc.:
5.13%, 10/15/19 857 896,636
5.13%, 7/15/20 506 528,770
Gannett Co., Inc. (concluded):
4.88%, 9/15/21 (e) 1,827 1,840,703
6.38%, 10/15/23 1,314 1,399,410
5.50%, 9/15/24 (e) 1,308 1,330,890
Gray Television, Inc., 7.50%, 10/01/20 1,743 1,856,295
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (e) 4,510 4,887,712
iHeartCommunications, Inc.:
9.00%, 12/15/19 3,789 3,722,692
9.00%, 3/01/21 1,127 1,065,015
9.00%, 9/15/22 3,845 3,618,145
Inmarsat Finance PLC, 4.88%, 5/15/22 (e) 2,805 2,776,950
Intelsat Jackson Holdings SA:
6.63%, 12/15/22 595 553,350
5.50%, 8/01/23 7,130 6,548,477
LIN Television Corp., 6.38%, 1/15/21 1,570 1,621,025
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (e) 987 1,054,856
Media General Financing Sub, Inc., 5.88%, 11/15/22 (e) 1,292 1,324,300
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (e) 3,901 4,037,535
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (e) 2,039 2,100,170
Nexstar Broadcasting, Inc., 6.88%, 11/15/20 1,023 1,086,938
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (e) 2,947 2,958,051
Numericable Group SA:
5.38%, 5/15/22 EUR 690 792,952
6.00%, 5/15/22 (e) USD 7,205 7,268,044
5.63%, 5/15/24 EUR 1,785 2,053,784
6.25%, 5/15/24 (e) USD 4,285 4,343,919

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Media (concluded)
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22 USD 650 $ 672,750
5.63%, 2/15/24 (e) 496 519,560
5.63%, 2/15/24 568 594,980
Play Finance 2 SA, 5.25%, 2/01/19 EUR 1,070 1,216,312
Radio One, Inc., 7.38%, 4/15/22 (e) USD 805 809,025
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (e) 1,130 1,203,450
Sirius XM Radio, Inc. (e):
4.25%, 5/15/20 2,204 2,201,245
5.75%, 8/01/21 1,811 1,885,704
4.63%, 5/15/23 345 332,925
5.38%, 4/15/25 4,340 4,346,510
Sterling Entertainment Corp., 9.75%, 12/15/19 4,810 4,906,200
Townsquare Media, Inc., 6.50%, 4/01/23 (e) 517 515,708
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.50%, 1/15/23 (e) 2,550 2,629,688
5.63%, 4/15/23 EUR 187 222,050
4.00%, 1/15/25 1,611 1,795,902
Univision Communications, Inc. (e):
8.50%, 5/15/21 USD 1,597 1,702,801
5.13%, 5/15/23 10,242 10,267,605
5.13%, 2/15/25 9,535 9,482,557
Virgin Media Finance PLC, 5.75%, 1/15/25 (e) 2,405 2,459,113
Virgin Media Secured Finance PLC:
6.00%, 4/15/21 GBP 4,935 7,932,176
6.25%, 3/28/29 829 1,343,066
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (e) USD 4,428 4,671,540
Ziggo Bond Finance BV:
4.63%, 1/15/25 EUR 902 1,010,579
5.88%, 1/15/25 (e) USD 3,773 3,848,460
209,846,981
Metals & Mining — 4.2%
Alcoa, Inc.:
6.15%, 8/15/20 1,330 1,496,882
5.13%, 10/01/24 8,691 9,277,642
5.90%, 2/01/27 215 234,350
6.75%, 1/15/28 477 544,973
5.95%, 2/01/37 264 274,560
Arch Coal, Inc.:
7.00%, 6/15/19 1,614 290,520

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Metals & Mining (concluded)
Arch Coal, Inc.: (concluded)
7.25%, 6/15/21 USD 500 $ 87,500
Constellium NV:
4.63%, 5/15/21 EUR 374 390,226
8.00%, 1/15/23 (e) USD 6,525 6,883,875
5.75%, 5/15/24 (e) 3,385 3,181,900
Eco-Bat Finance PLC, 7.75%, 2/15/17 EUR 1,954 2,149,297
First Quantum Minerals Ltd. (e):
7.00%, 2/15/21 USD 1,717 1,663,344
7.25%, 5/15/22 1,883 1,814,741
FMG Resources August 2006 Pty, Ltd., 9.75%, 3/01/22 (e) 596 625,800
Global Brass & Copper, Inc., 9.50%, 6/01/19 4,660 5,091,050
Kaiser Aluminum Corp., 8.25%, 6/01/20 1,240 1,348,500
Novelis, Inc., 8.75%, 12/15/20 12,968 13,814,940
Ovako AB, 6.50%, 6/01/19 EUR 606 662,668
Peabody Energy Corp., 6.50%, 9/15/20 USD 1,146 590,190
Perstorp Holding AB, 8.75%, 5/15/17 (e) 990 1,037,025
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17 1,070 1,088,725
Steel Dynamics, Inc.:
5.13%, 10/01/21 3,085 3,123,563
6.38%, 8/15/22 1,345 1,439,150
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (e) 10,804 11,533,378
68,644,799
Multi-Utilities — 0.1%
CE Energy AS, 7.00%, 2/01/21 EUR 745 850,963
Multiline Retail — 0.6%
CST Brands, Inc., 5.00%, 5/01/23 USD 653 664,427
Debenhams PLC, 5.25%, 7/15/21 GBP 914 1,404,243
Dufry Finance SCA, 5.50%, 10/15/20 (e) USD 1,927 2,010,923
Hema Bondco I BV, 6.25%, 6/15/19 EUR 1,405 1,350,223
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (e) USD 4,727 5,069,707
10,499,523
Oil, Gas & Consumable Fuels — 13.6%
Antero Resources Corp., 5.13%, 12/01/22 899 896,753
Antero Resources Finance Corp.:
6.00%, 12/01/20 638 653,950
5.38%, 11/01/21 2,008 2,033,100

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Oil, Gas & Consumable Fuels (continued)
Berry Petroleum Co., 6.38%, 9/15/22 USD 1,755 $ 1,439,100
Bonanza Creek Energy, Inc.:
6.75%, 4/15/21 1,719 1,663,132
5.75%, 2/01/23 3,254 3,009,950
California Resources Corp.:
5.50%, 9/15/21 7,266 6,884,535
6.00%, 11/15/24 18,332 16,865,440
Carrizo Oil & Gas, Inc.:
7.50%, 9/15/20 1,003 1,061,926
6.25%, 4/15/23 2,472 2,521,440
Chaparral Energy, Inc., 7.63%, 11/15/22 1,220 976,000
Chesapeake Energy Corp.:
6.63%, 8/15/20 1,164 1,216,147
6.88%, 11/15/20 771 813,405
4.88%, 4/15/22 3,240 3,086,100
Cimarex Energy Co., 4.38%, 6/01/24 1,349 1,387,784
Concho Resources, Inc.:
5.50%, 10/01/22 2,016 2,046,240
5.50%, 4/01/23 3,085 3,131,275
CONSOL Energy, Inc., 5.88%, 4/15/22 11,028 10,283,610
CrownRock LP/CrownRock Finance, Inc. (e):
7.13%, 4/15/21 3,710 3,858,400
7.75%, 2/15/23 1,064 1,130,500
Denbury Resources, Inc.:
5.50%, 5/01/22 1,809 1,726,464
4.63%, 7/15/23 196 178,850
Diamondback Energy, Inc., 7.63%, 10/01/21 2,877 3,092,775
El Paso LLC:
7.80%, 8/01/31 2,547 2,988,744
7.75%, 1/15/32 1,819 2,142,966
Energy Transfer Equity LP:
7.50%, 10/15/20 695 794,038
5.88%, 1/15/24 7,967 8,464,937
EP Energy LLC/Everest Acquisition Finance, Inc., 6.38%, 6/15/23 (e) 1,867 1,869,334
Genesis Energy LP/Genesis Energy Finance Corp., 6.00%, 5/15/23 1,906 1,929,825
Gulfport Energy Corp., 7.75%, 11/01/20 1,517 1,604,228
Halcon Resources Corp.:
8.88%, 5/15/21 744 522,660
9.25%, 2/15/22 1,257 873,615
Hilcorp Energy I LP/Hilcorp Finance Co. (e):
7.63%, 4/15/21 1,472 1,534,560
5.00%, 12/01/24 2,448 2,380,680

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Oil, Gas & Consumable Fuels (continued)
Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.75%, 4/01/22 USD 1,400 $ 1,384,250
Laredo Petroleum, Inc., 7.38%, 5/01/22 1,808 1,921,000
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 1,390 1,160,650
Linn Energy LLC/Linn Energy Finance Corp.:
6.25%, 11/01/19 1,628 1,391,940
8.63%, 4/15/20 4,840 4,377,175
7.75%, 2/01/21 365 314,813
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:
6.25%, 6/15/22 674 749,286
4.50%, 7/15/23 1,720 1,698,500
4.88%, 6/01/25 4,860 4,829,625
Matador Resources Co., 6.88%, 4/15/23 (e) 629 646,298
Memorial Production Partners LP/Memorial Production Finance Corp.:
7.63%, 5/01/21 605 592,900
6.88%, 8/01/22 (e) 1,242 1,182,229
Memorial Resource Development Corp., 5.88%, 7/01/22 (e) 6,071 5,934,402
Newfield Exploration Co., 5.38%, 1/01/26 1,338 1,384,830
NGPL PipeCo LLC (e):
7.12%, 12/15/17 1,565 1,611,950
9.63%, 6/01/19 891 908,820
7.77%, 12/15/37 3,380 3,684,200
Oasis Petroleum, Inc., 6.50%, 11/01/21 1,625 1,637,187
Offshore Group Investment Ltd., 7.50%, 11/01/19 1,370 989,825
Pacific Drilling SA, 5.38%, 6/01/20 (e) 826 681,450
Paramount Resources, Ltd., 6.88%, 6/30/23 (e)(j) 2,149 2,159,745
Parsley Energy LLC/Parsley Finance Corp., 7.50%, 2/15/22 (e) 4,536 4,734,223
PBF Logistics LP/PBF Logistics Finance Corp., 6.88%, 5/15/23 (e) 796 810,925
PDC Energy, Inc., 7.75%, 10/15/22 995 1,064,650
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 6.50%, 5/15/21 1,193 1,274,116

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Oil, Gas & Consumable Fuels (continued)
Petrobras Global Finance BV, 4.75%, 1/14/25 EUR 410 $ 437,853
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (e) USD 3,816 3,634,740
Range Resources Corp.:
5.75%, 6/01/21 568 589,300
5.00%, 8/15/22 530 527,350
5.00%, 3/15/23 1,193 1,193,000
Regency Energy Partners LP/ Regency Energy Finance Corp., 5.50%, 4/15/23 2,059 2,131,065
Regency Energy Partners LP/Regency Energy Finance Corp.:
5.75%, 9/01/20 USD 628 690,800
6.50%, 7/15/21 685 732,334
5.88%, 3/01/22 247 270,465
4.50%, 11/01/23 2,835 2,850,592
Rockies Express Pipeline LLC (e):
6.00%, 1/15/19 2,524 2,656,510
6.88%, 4/15/40 2,350 2,514,500
Rose Rock Midstream LP/Rose Rock Finance Corp.:
5.63%, 7/15/22 1,747 1,742,632
5.63%, 11/15/23 (e) 1,041 1,025,385
Rosetta Resources, Inc., 5.88%, 6/01/24 1,007 1,086,301
RSP Permian, Inc., 6.63%, 10/01/22 (e) 1,756 1,826,240
Sabine Pass Liquefaction LLC:
5.63%, 4/15/23 3,087 3,141,022
5.75%, 5/15/24 5,625 5,716,406
5.63%, 3/01/25 (e) 3,208 3,208,000
Sanchez Energy Corp.:
7.75%, 6/15/21 547 557,940
6.13%, 1/15/23 7,215 6,854,250
SandRidge Energy Inc., 8.75%, 6/01/20 (e)(j) 646 640,751
SandRidge Energy, Inc.:
8.75%, 1/15/20 141 91,298
7.50%, 2/15/23 1,378 764,790
Seven Generations Energy Ltd., 8.25%, 5/15/20 (e) 6,541 7,015,222
Seven Generations Energy, Ltd., 6.75%, 5/01/23 (e) 995 1,002,463
Seventy Seven Energy, Inc., 6.50%, 7/15/22 1,133 710,958
Seventy Seven Operating LLC, 6.63%, 11/15/19 1,112 919,485
SM Energy Co.:
6.13%, 11/15/22 (e) 3,830 3,992,775
6.50%, 1/01/23 951 989,040
5.63%, 6/01/25 1,824 1,839,960

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Oil, Gas & Consumable Fuels (concluded)
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.:
7.50%, 7/01/21 USD 1,566 $ 1,636,470
5.50%, 8/15/22 1,711 1,642,560
Sunoco LP/Sunoco Finance Corp., 6.38%, 4/01/23 (e) 1,007 1,047,280
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22 3,852 4,073,490
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (e) 3,154 3,335,355
Ultra Petroleum Corp., 5.75%, 12/15/18 (e) 979 947,183
Whiting Petroleum Corp.:
5.00%, 3/15/19 1,504 1,504,000
5.75%, 3/15/21 458 466,015
6.25%, 4/01/23 (e) 2,223 2,278,575
220,471,807
Paper & Forest Products — 0.2%
Clearwater Paper Corp., 4.50%, 2/01/23 197 192,568
Norbord, Inc., 6.25%, 4/15/23 (e) 1,605 1,621,050
Pfleiderer GmbH, 7.88%, 8/01/19 EUR 530 605,383
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (e) USD 1,335 1,357,588
3,776,589
Pharmaceuticals — 4.5%
Concordia Healthcare Corp., 7.00%, 4/15/23 (e) 1,919 1,930,994
Endo Finance LLC/Endo Finco, Inc. (e):
7.00%, 12/15/20 628 660,970
7.25%, 1/15/22 696 739,500
6.00%, 2/01/25 4,617 4,674,712
Grifols Worldwide Operations, Ltd., 5.25%, 4/01/22 4,047 4,127,940
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (e) 3,596 3,861,205
JLL/Delta Dutch Newco BV, 7.50%, 2/01/22 (e) 2,050 2,144,813
Pinnacle Merger Sub, Inc., 9.50%, 10/01/23 (e) 453 510,758
Valeant Pharmaceuticals International, Inc.:
6.75%, 8/15/18 (e) 1,443 1,525,071
5.38%, 3/15/20 (e) 5,597 5,834,872
7.00%, 10/01/20 (e) 4,393 4,596,176
6.38%, 10/15/20 (e) 7,390 7,884,206

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Pharmaceuticals (concluded)
Valeant Pharmaceuticals International, Inc.: (concluded)
7.50%, 7/15/21 (e) USD 2,110 $ 2,308,340
6.75%, 8/15/21 (e) 2,793 2,932,650
5.50%, 3/01/23 (e) 2,372 2,419,440
4.50%, 5/15/23 EUR 1,950 2,168,456
5.88%, 5/15/23 (e) USD 12,533 12,987,321
Valeant Pharmaceuticals International, Inc. (concluded):
6.13%, 4/15/25 (e) 11,460 11,918,400
73,225,824
Professional Services — 0.2%
Truven Health Analytics, Inc., 10.63%, 6/01/20 2,840 2,989,100
Real Estate Investment Trusts (REITs) — 0.5%
Aroundtown Property Holdings PLC, 3.00%, 12/09/21 EUR 1,200 1,235,587
Felcor Lodging LP:
5.63%, 3/01/23 USD 1,422 1,485,990
6.00%, 6/01/25 (e) 1,365 1,399,125
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp., 5.63%, 10/15/21 1,361 1,434,154
Host Hotels & Resorts LP, 2.50%, 10/15/29 (e)(i) 815 1,267,325
iStar Financial, Inc.:
4.00%, 11/01/17 685 674,725
5.00%, 7/01/19 480 474,600
7,971,506
Real Estate Management & Development — 1.3%
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (e) 4,515 4,819,762
The Howard Hughes Corp., 6.88%, 10/01/21 (e) 1,369 1,437,450
Kennedy-Wilson, Inc., 5.88%, 4/01/24 1,364 1,387,870
Punch Taverns Finance B Ltd., Series A6, 5.94%, 9/30/22 GBP 532 804,978
Punch Taverns Finance PLC, Series M3, 6.07%, 10/15/27 (d)(e) 1,202 1,763,651
Realogy Corp. (e):
7.63%, 1/15/20 USD 2,646 2,827,912
9.00%, 1/15/20 1,269 1,367,348
Realogy Group LLC/Realogy Co-Issuer Corp. (e):
4.50%, 4/15/19 2,421 2,457,315
5.25%, 12/01/21 750 764,063
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (e) 1,065 1,115,588

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Real Estate Management & Development (concluded)
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (e) USD 2,305 $ 2,195,512
20,941,449
Road & Rail — 0.7%
EC Finance PLC, 5.13%, 7/15/21 EUR 675 781,015
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (e) USD 2,382 2,376,045
The Hertz Corp.:
7.50%, 10/15/18 3,220 3,332,700
5.88%, 10/15/20 370 377,863
7.38%, 1/15/21 2,360 2,469,150
United Rentals North America, Inc., 5.50%, 7/15/25 1,483 1,479,292
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (e) 1,093 1,114,860
11,930,925
Semiconductors & Semiconductor Equipment — 0.8%
Advanced Micro Devices, Inc.:
7.50%, 8/15/22 665 585,200
7.00%, 7/01/24 440 369,600
Micron Technology, Inc. (e):
5.25%, 1/15/24 4,745 4,697,550
5.50%, 2/01/25 830 823,692
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (e) 2,065 2,178,575
Sensata Technologies BV (e):
5.63%, 11/01/24 903 962,824
5.00%, 10/01/25 2,673 2,698,046
12,315,487
Software — 1.2%
Audatex North America, Inc., 6.13%, 11/01/23 (e) 1,350 1,404,000
BMC Software Finance, Inc., 8.13%, 7/15/21 (e) 917 828,739
Igloo Holdings Corp., (8.25% Cash or 9.00% PIK), 8.25%, 12/15/17 (e)(f) 881 894,215
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (e)(f) 4,891 4,976,592
Infor US, Inc., 6.50%, 5/15/22 (e) 6,333 6,579,354
Nuance Communications, Inc., 5.38%, 8/15/20 (e) 2,430 2,451,263

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Corporate Bonds Par (000)
Software (concluded)
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (e) USD 2,437 $ 2,610,636
19,744,799
Specialty Retail — 1.3%
Asbury Automotive Group, Inc., 6.00%, 12/15/24 1,168 1,222,020
The Hillman Group, Inc., 6.38%, 7/15/22 (e) 1,438 1,412,835
L Brands, Inc., 8.50%, 6/15/19 3,925 4,714,906
Magnolia BC SA, 9.00%, 8/01/20 EUR 752 889,931
Party City Holdings, Inc., 8.88%, 8/01/20 USD 3,489 3,755,908
Penske Automotive Group, Inc.:
5.75%, 10/01/22 3,575 3,789,500
5.38%, 12/01/24 1,335 1,381,725
Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22 1,599 1,702,935
THOM Europe SAS, 7.38%, 7/15/19 EUR 1,190 1,378,861
TUI AG, 4.50%, 10/01/19 204 235,816
Twin Set-Simona Barbieri SpA, 5.89%, 7/15/19 (d) 415 412,950
20,897,387
Textiles, Apparel & Luxury Goods — 0.5%
Levi Strauss & Co.:
6.88%, 5/01/22 USD 2,430 2,648,700
5.00%, 5/01/25 (e) 1,456 1,450,540
Polymer Group, Inc., 6.88%, 6/01/19 (e) 900 839,250
PVH Corp., 4.50%, 12/15/22 1,401 1,422,015
Springs Industries, Inc., 6.25%, 6/01/21 1,744 1,717,840
The William Carter Co., 5.25%, 8/15/21 788 815,580
8,893,925
Thrifts & Mortgage Finance — 0.2%
Radian Group, Inc.:
3.00%, 11/15/17 (i) 330 530,681
2.25%, 3/01/19 (i) 712 1,209,955
5.50%, 6/01/19 926 969,985
2,710,621
Trading Companies & Distributors — 0.3%
Ashtead Capital, Inc. (e):
6.50%, 7/15/22 2,451 2,631,761
5.63%, 10/01/24 779 812,107

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Corporate Bonds Par (000)
Trading Companies & Distributors (concluded)
Travis Perkins PLC, 4.38%, 9/15/21 GBP 729 $ 1,158,030
4,601,898
Transportation Infrastructure — 0.3%
Aguila 3 SA, 7.88%, 1/31/18 (e) USD 2,496 2,508,480
CEVA Group PLC, 7.00%, 3/01/21 (e) 550 544,500
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (e)(f) USD 2,522 1,865,988
4,918,968
Wireless Telecommunication Services — 5.5%
Communications Sales & Leasing, Inc. (e):
6.00%, 4/15/23 689 692,445
8.25%, 10/15/23 3,115 3,177,300
Crown Castle International Corp., 5.25%, 1/15/23 3,571 3,764,727
Digicel Group Ltd. (e):
8.25%, 9/30/20 2,255 2,338,435
7.13%, 4/01/22 4,200 4,084,500
Digicel Ltd., 6.00%, 4/15/21 (e) 7,669 7,573,137
The Geo Group, Inc.:
5.88%, 1/15/22 2,220 2,344,875
5.88%, 10/15/24 2,030 2,156,875
SBA Communications Corp., 4.88%, 7/15/22 (e) 3,775 3,796,518
Sprint Capital Corp., 8.75%, 3/15/32 1,330 1,356,600
Sprint Communications, Inc. (e):
9.00%, 11/15/18 13,529 15,507,616
7.00%, 3/01/20 6,812 7,518,745
Sprint Corp.:
7.88%, 9/15/23 7,009 7,127,452
7.13%, 6/15/24 5,417 5,240,947
7.63%, 2/15/25 1,620 1,589,123
T-Mobile USA, Inc.:
6.63%, 4/28/21 1,897 2,022,771
6.13%, 1/15/22 367 384,891
6.73%, 4/28/22 1,227 1,306,755
6.00%, 3/01/23 2,244 2,329,553
6.50%, 1/15/24 2,638 2,783,090
6.38%, 3/01/25 7,145 7,457,594
Wind Acquisition Finance SA:
4.00%, 7/15/20 EUR 4,549 5,066,113
4.01%, 7/15/20 (d) 867 952,226
90,572,288
Total Corporate Bonds — 110.7% 1,795,630,004

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Floating Rate Loan Interests (d) Par (000)
Aerospace & Defense — 0.2%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 USD 3,292 $ 3,321,573
Air Freight & Logistics — 0.2%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 1,149 1,091,256
Air Freight & Logistics (concluded)
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 1,199 1,139,271
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 207 196,426
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 1,654 1,571,408
3,998,361
Airlines — 0.7%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 2,337 2,335,366
Northwest Airlines, Inc.:
2.25%, 3/10/17 3,543 3,463,825
1.63%, 9/10/18 3,774 3,613,206
1.64%, 9/10/18 1,909 1,828,107
11,240,504
Auto Components — 0.5%
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 7,628 7,592,535
Building Products — 0.2%
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22 1,045 1,047,831
Wilsonart LLC, Term Loan B, 4.00%, 10/31/19 2,297 2,290,420
3,338,251
Capital Markets — 0.2%
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 2,983 2,975,907
Chemicals — 0.2%
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 651 650,695
Chemours Company Co., Term Loan B, 3.75%, 5/22/22 1,692 1,693,485

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Floating Rate Loan Interests (d) Par (000)
Chemicals (concluded)
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20 USD 1,615 $ 1,480,955
3,825,135
Commercial Services & Supplies — 0.3%
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 2,808 2,792,175
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 2,613 2,607,439
5,399,614
Communications Equipment — 0.6%
Avaya, Inc., Term Loan B7, 6.25%, 4/16/20 6,605 6,508,699
Blue Coat Systems, Inc., 2015 Term Loan, 4.50%, 5/15/22 555 555,694
CommScope, Inc., Incremental Term Loan B, 3.75%, 5/21/22 1,235 1,236,544
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22 1,445 1,458,554
9,759,491
Construction Materials — 0.3%
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 4,802 4,805,759
Diversified Financial Services — 0.1%
Onex Wizard US Acquisition, Inc., Term Loan, 4.25%, 3/13/22 1,915 1,923,112
Diversified Telecommunication Services — 0.2%
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 1,425 1,429,493
Level 3 Financing, Inc., 2019 Term Loan, 4.00%, 8/01/19 1,785 1,783,893
3,213,386
Electric Utilities — 0.4%
American Energy - Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 1,001 759,227
American Energy - Utica LLC, 2nd Lien Term Loan, 5.50%, 9/30/18 5,936 5,570,337
6,329,564
Electrical Equipment — 0.3%
Texas Competitive Electric Holdings Co. LLC, DIP Term Loan, 3.75%, 5/05/16 5,613 5,637,781

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Floating Rate Loan Interests (d) Par (000)
Energy Equipment & Services — 0.1%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 USD 987 $ 991,609
Food & Staples Retailing — 0.0%
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 600 606,000
Health Care Equipment & Supplies — 0.1%
DJO Finance LLC, 2015 Term Loan, 4.25%, 4/21/20 2,110 2,113,292
Health Care Providers & Services — 0.8%
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22 1,670 1,662,251
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 1,219 1,243,070
Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22 885 885,000
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 964 967,333
Tenet Healthcare Corp., Interim Term Loan, 4.50%, 3/22/16 8,450 8,450,000
13,207,654
Hotels, Restaurants & Leisure — 2.4%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21 526 524,729
2nd Lien Term Loan, 8.00%, 8/01/22 9,778 9,896,223
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 2,235 2,241,844
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 5,899 5,736,574
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 8,334 8,003,534
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 1,761 1,758,253
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 2,035 2,040,273
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 2,286 2,290,331
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21 6,945 7,001,981
39,493,742
Independent Power and Renewable Electricity Producers — 0.3%
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16 5,103 5,122,023

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Floating Rate Loan Interests (d) Par (000)
Industrial Conglomerates — 0.1%
Sequa Corp., Term Loan B, 5.25%, 6/19/17 USD 2,455 $ 2,163,928
Insurance — 0.1%
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 1,643 1,655,086
Internet Software & Services — 0.1%
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 1,677 1,681,660
IT Services — 1.1%
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 5/08/22 2,695 2,697,533
First Data Corp.:
2018 Extended Term Loan, 3.68%, 3/24/18 15,081 15,068,761
2018 Term Loan, 3.68%, 9/24/18 200 199,848
17,966,142
Machinery — 0.4%
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 2,872 2,867,803
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 3,375 3,274,546
6,142,349
Media — 1.0%
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 8.25%, 3/31/20 6,176 6,190,093
Term Loan, 0.00%, 7/03/15 (a)(h) 10,469 1
Clear Channel Communications, Inc., Term Loan D, 6.94%, 1/30/19 4,098 3,826,843
Media General, Inc., Term Loan B, 4.25%, 7/31/20 3,340 3,353,422
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 225 225,456
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 1,786 1,782,423
15,378,238
Metals & Mining — 0.1%
Novelis, Inc., Term Loan, 3.75%, 3/10/17 1,579 1,577,602
Multiline Retail — 0.1%
BJ's Wholesale Club, Inc., 2nd Lien Term Loan, 8.50%, 3/26/20 1,065 1,075,650

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Floating Rate Loan Interests (d) Par (000)
Oil, Gas & Consumable Fuels — 0.4%
CITGO Holding Inc., 2015 Term Loan B, 9.50%, 5/12/18 USD 5,057 $ 5,122,666
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 838 832,209
5,954,875
Pharmaceuticals — 1.0%
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.19%, 2/27/21 4,737 4,746,861
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21 1,802 1,798,881
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 4,601 4,598,390
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 1,366 1,367,727
Valeant Pharmaceuticals International, Inc., Term Loan B F1, 4.00%, 4/01/22 3,004 3,010,497
15,522,356
Professional Services — 0.3%
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21 1,692 1,690,181
2014 2nd Lien Term Loan, 7.50%, 7/25/22 2,495 2,514,336
4,204,517
Real Estate Management & Development — 0.0%
Realogy Corp., Extended Letter of Credit, 0.12%, 10/10/16 228 225,887
Road & Rail — 0.3%
The Hertz Corp., Term Loan B2, 3.50%, 3/11/18 4,621 4,604,128
Semiconductors & Semiconductor Equipment — 0.2%
Freescale Semiconductor, Inc., Term Loan B4, 4.25%, 2/28/20 3,169 3,176,488
Software — 0.7%
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20 260 261,300
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/11/22 3,390 3,384,339
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 2,699 2,685,366
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 3,445 3,558,755

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Floating Rate Loan Interests (d) Par (000)
Software (concluded)
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 USD 928 $ 927,443
10,817,203
Technology Hardware, Storage & Peripherals — 0.1%
Dell, Inc., Term Loan C, 3.75%, 10/29/18 1,895 1,894,899
Textiles, Apparel & Luxury Goods — 0.3%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 6,087 5,356,340
Wireless Telecommunication Services — 0.2%
Lightsquared LP, 2nd Lien Term Loan, 17.00%, 1/01/16 1,889 2,984,816
Total Floating Rate Loan Interests — 14.6% 237,277,457
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (d)(e) 3,829 3,902,685
Commercial Mortgage-Backed Securities — 0.1%
GAHR Commericial Mortgage Trust 2015-NRF, Series 2015-NRF, Class FFX, 3.38%, 12/15/19 (d)(e) 1,925 1,791,124
Total Non-Agency Mortgage-Backed Securities — 0.3% 5,693,809
Investment Companies (l) Shares
iShares iBoxx $ High Yield Corporate Bond ETF 374,456 34,041,795
SPDR Barclays High Yield Bond ETF 75,000 2,956,500
Total Investment Companies — 2.3% 36,998,295
Other Interests (m) Beneficial Interest (000)
Auto Components — 0.0%
Lear Corp. Escrow USD 1,250 10,938
Media — 0.0%
Adelphia Escrow (a) 4,000 40

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Other Interests (m) Beneficial Interest (000)
Media (concluded)
Adelphia Recovery Trust (a) USD 5,017 $ 2,006
2,046
Total Other Interests — 0.0% 12,984
Preferred Securities
Capital Trusts Par (000)
Banks — 3.0%
Bank of America Corp., (d)(g)
Series AA, 6.10% 5,579 5,627,816
Series V, 5.13% 3,440 3,388,400
Series X, 6.25% 6,416 6,536,300
Series Z, 6.50% 3,230 3,415,725
Citigroup, Inc., Series D, 5.95% (d)(g) 5,555 5,478,619
JPMorgan Chase & Co., (d)(g)
6.75% 5,324 5,803,160
Series Q, 5.15% 850 830,344
Series U, 6.13% 4,228 4,354,840
Series V, 5.00% 5,615 5,537,793
Wells Fargo & Co., (d)(g)
Series S, 5.90% 2,615 2,693,450
Series U, 5.88% 5,215 5,482,269
49,148,716
Capital Markets — 0.9%
The Goldman Sachs Group, Inc., Series L, 5.70% (d)(g) 7,888 7,974,374
Morgan Stanley, Series H, 5.45% (d)(g) 3,810 3,819,525
Morgan Stanley, Series J, 5.55% (d)(g) 2,475 2,484,281
14,278,180
Consumer Finance — 0.3%
American Express Co., Series C, 4.90% (d)(g) 4,295 4,214,469
Total Capital Trusts — 4.2% 67,641,365
Preferred Stocks Shares
Banks — 0.4%
RBS Capital Funding Trust, Series F, 6.25% 93,975 2,343,737

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Preferred Stocks Shares
Banks — (concluded)
RBS Capital Funding Trust VII, 6.08% 152,071 $ 3,763,250
6,106,987
Capital Markets — 0.1%
CF-B L2 (D) LLC 0.00% 551,905 552,678
State Street Corp., Series D, 5.90% (d) 14,089 370,118
922,796
Consumer Finance — 0.0%
Ally Financial, Inc., Series A, 8.50% (d)(g) 17,386 458,121
Diversified Financial Services — 0.0%
Concrete Investments II, 0.00% 4,997 735,419
Diversified Telecommunication Services — 0.1%
Orange SA, 4.00% (d)(g) 1,225,000 1,416,186
Hotels, Restaurants & Leisure — 1.6%
Amaya, Inc., 0.00% 19,851 25,164,926
Media — 0.0%
Emmis Communications Corp., Series A, 6.25% (i) 10,300 108,150
NBCUniversal Enterprise, Inc., 5.25% (e)(g) 400,000 422,000
530,150
Total Preferred Stocks — 2.2% 35,334,585
Trust Preferred Par (000)
Diversified Financial Services — 0.4%
GMAC Capital Trust I, Series 2, 8.13% (d) USD 256 6,654,638
Total Preferred Securities — 6.8% 109,630,588
Warrants (n) Shares
Metals & Mining — 0.0%
Peninsula Energy Ltd. (Expires 12/31/15) 31,614,557 97,567
Peninsula Energy Ltd. (Expires 12/31/18) 20,615,151 110,329
207,896

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| Consolidated
Schedule of Investments (continued) |
| --- |
| (Percentages shown are based on Net Assets) |

MARKER FORMAT-SHEET="2 Column - 1st Div" FSL="Workstation"

Warrants (n) Shares
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) 6,494 $ 83,649
Total Warrants — 0.0% 291,545
Total Long-Term Investments (Cost — $2,393,306,678) — 147.1% 2,386,536,868
Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (l)(o) 2,048,017 2,048,017
Total Short-Term Securities (Cost — $2,048,017) — 0.1% 2,048,017

MARKER FORMAT-SHEET="2 Column - 2nd Div" FSL="Workstation"

Options Purchased
Options Purchased (Cost — $1,325,626) — 0.1% $ 1,012,068
Total Investments Before Options Written (Cost — $2,396,680,321 * ) — 147.3% 2,389,596,953
Options Written (Premiums Received — $ 386,364) — (0.0)% (365,924)
Total Investments, Net of Options Written (Cost — $2,396,293,957) — 147.3% 2,389,231,029
Liabilities in Excess of Other Assets — (47.3)% (767,122,380)
Net Assets — 100.0% $ 1,622,108,649
*
Tax cost $ 2,402,044,772
Gross unrealized appreciation $ 82,252,248
Gross unrealized depreciation (94,700,067)
Net unrealized depreciation $ (12,447,819)

MARKER FORMAT-SHEET="2 Column - End of Div" FSL="Workstation"

| Notes
to Schedule of Investments | |
| --- | --- |
| (a) | Non-income producing security. |
| (b) | All or a portion of security is held by a wholly owned subsidiary. |
| (c) | Restricted security as to resale. As of report date, the Trust held restricted securities with a current value of $ $2,900,611 and an original cost of $2,419,572 which was 0.02% of its net assets. |
| (d) | Variable rate security. Rate shown is as of report date. |
| (e) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (f) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
| (g) | Security is perpetual in nature and has no stated maturity date. |
| (h) | Zero-coupon bond. |
| (i) | Convertible security. |
| (j) | When-issued security. Unsettled when-issued transactions were as follows: |

Counterparty — Bank of America N.A. $ 1,292,800 $ 12,800
Barclays Capital, Inc. $ 2,800,496 $ 15,532
JPMorgan Securities LLC $ 19,269,790 $ 30,907
(k) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(l) During the period ended May 31, 2015, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

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Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)

Affiliate Shares Held at August 31, 2014 Shares Purchased Shares Sold Shares Held at May 31, 2015
BlackRock Liquidity Funds,TempFund, Institutional Class 3,602,081 (1,554,064) 2,048,017 $ 2,048,017 $ 748
iShares iBoxx $ High Yield Corporate Bond ETF 756,752 (382,296) 374,456 $ 34,041,795 $ 939,109 $ 9,725
SPDR Barclays High Yield Bond ETF 75,000 75,000 $ 2,956,500
(m) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(n) Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
(o) Represents the current yield as of report date.

| Portfolio
Abbreviations | |
| --- | --- |
| ADR | American Depositary Receipts |
| ADS | American Depositary Shares |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CLO | Collateralized Loan Obligation |
| CR | Custodian Receipt |
| DIP | Debtor-In-Possession |
| ETF | Exchange-Traded Fund |
| EUR | Euro |
| GBP | British Pound |
| PIK | Payment-In-Kind. |
| Radian | Radian Guaranty, Inc. |
| SGD | Singapore Dollar |
| S&P | Standard and Poor's |
| SPDR | Standard & Poor's Depository Receipts |
| USD | U.S. Dollar |

• As of May 31, 2015, financial futures contracts outstanding were as follows:

Contracts Short Issue Exchange Expiration Notional Value
(196) Russell 2000 Mini Index ICE Futures U.S. Indices June 2015 USD 24,388,280 $ (359,707)
(1,046) S&P 500 E-Mini Index Chicago Mercantile June 2015 USD 110,143,800 (1,941,938)
(236) 10-Year U.S. Treasury Note Chicago Board of Trade September 2015 USD 30,134,250 (138,703)
Total $ (2,440,348)

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Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)

• — Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation (Depreciation)
CAD 1,870,000 USD 1,554,248 Deutsche Bank AG 7/21/15 $ (51,716)
CAD 3,965,000 USD 3,237,300 Deutsche Bank AG 7/21/15 (51,449)
CAD 899,000 USD 741,994 Goldman Sachs International 7/21/15 (19,654)
CAD 1,976,000 USD 1,646,491 Goldman Sachs International 7/21/15 (58,789)
CAD 985,000 USD 807,520 Goldman Sachs International 7/21/15 (16,079)
CAD 1,162,000 USD 951,433 State Street Bank and Trust Co. 7/21/15 (17,774)
EUR 862,000 USD 963,156 Bank of America N.A. 7/21/15 (15,789)
EUR 255,000 USD 283,428 Goldman Sachs International 7/21/15 (3,175)
EUR 600,000 USD 667,778 Goldman Sachs International 7/21/15 (8,358)
EUR 351,000 USD 398,438 HSBC Bank PLC 7/21/15 (12,677)
EUR 175,000 USD 192,371 HSBC Bank USA N.A. 7/21/15 (40)
EUR 1,200,000 USD 1,305,187 JPMorgan Chase Bank N.A. 7/21/15 13,652
EUR 647,000 USD 732,614 Standard Chartered Bank 7/21/15 (21,540)
EUR 2,300,000 USD 2,596,183 State Street Bank and Trust Co. 7/21/15 (68,407)
EUR 100,000 USD 107,799 State Street Bank and Trust Co. 7/21/15 2,104
EUR 99,000 USD 107,419 State Street Bank and Trust Co. 7/21/15 1,385
EUR 120,000 USD 131,760 State Street Bank and Trust Co. 7/21/15 124
EUR 114,000 USD 127,758 State Street Bank and Trust Co. 7/21/15 (2,469)
GBP 183,000 USD 272,201 Bank of America N.A. 7/21/15 7,397
GBP 637,000 USD 963,486 Bank of America N.A. 7/21/15 9,760
GBP 280,000 USD 427,771 Citibank N.A. 7/21/15 30
GBP 591,000 USD 917,958 State Street Bank and Trust Co. 7/21/15 (14,993)
USD 1,229,069 AUD 1,605,000 Barclays Bank PLC 7/21/15 5,182
USD 50,327,342 CAD 61,652,000 Royal Bank of Canada 7/21/15 790,373
USD 252,763 EUR 230,000 Goldman Sachs International 7/21/15 (15)
USD 62,532 EUR 58,000 State Street Bank and Trust Co. 7/21/15 (1,212)
USD 101,776,396 EUR 94,564,000 UBS AG 7/21/15 (2,152,542)
USD 45,114,128 GBP 30,512,000 Barclays Bank PLC 7/21/15 (1,503,878)
USD 598,723 GBP 384,000 State Street Bank and Trust Co. 7/21/15 12,025
Total $ (3,178,524)

• As of May 31, 2015, exchange-traded options purchased were as follows:

Description — SPDR Barclays High Yield Bond ETF Put/ Call — Put USD 206.00 Expiration Date — 6/19/15 977 $ 122,614
SPDR Barclays High Yield Bond ETF Put USD 211.00 6/30/15 2,741 889,454
Total $ 1,012,068

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Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)

• As of May 31, 2015, OTC options purchased were as follows:

Marsico Parent Superholdco LLC Goldman Sachs & Co. Call USD 942.86 12/14/19 39

• As of May 31, 2015, exchange-traded options written were as follows:

Description — SPDR Barclays High Yield Bond ETF Put/ Call — Put USD 204.00 6/30/15 2,741 $ (365,924)

• As of May 31, 2015, OTC credit default swaps – sold protection outstanding were as follows:

Issuer — CCO Holdings LLC 8.00% Deutsche Bank AG 9/20/17 Credit Rating 1 — BB- Notional Amount (000) 2 — USD 8,180 $ 1,262,437 $ 1,262,437
Level 3 Communications, Inc. 5.00% Goldman Sachs Bank USA 6/20/19 B USD 5,000 701,743 $ (311,704) 1,013,447
Total $ 1,964,180 $ (311,704) $ 2,275,884
1 Using S&P’s rating of the issuer.
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

• As of May 31, 2015, centrally cleared credit default swaps – sold protection outstanding were as follows:

Issuer — Dow Jones CDX North America High Yield Index, Series 24, Version 1 5.00% Credit Suisse (USA) LLC 6/20/20 AA USD 16,985 1,171 $ 1,199,182 $ 27,897
1 Using S&P’s rating of the underlying securities of the index.
2 The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

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

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Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access
Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
Level 3 — unobservable inputs based on the best information available
in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining
the fair value of investments and derivative financial instruments)
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust's policy regarding valuation of investments and derivative financial instruments, refer to the Trust's most recent financial statements as contained in its semi-annual report. As of May 31, 2015, the following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy:
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities $ 37,979,730 $ 7,393,255 $ 45,372,985
Common Stocks $ 96,998,373 36,120,483 22,510,345 155,629,201
Corporate Bonds 1,770,300,175 25,329,829 1,795,630,004
Floating Rate Loan Interests 205,242,035 32,035,422 237,277,457
Investment Companies 36,998,295 36,998,295
Non-Agency Mortgage-Backed Securities 5,693,809 5,693,809
Other Interests 2,006 10,978 12,984
Preferred Securities 13,698,014 94,644,477 1,288,097 109,630,588
Warrants 171,682 119,863 291,545
Short-Term Securities:
Money Market Funds 2,048,017 2,048,017
Options Purchased:
Equity Contract 1,012,068 1,012,068
Total $ 150,926,449 $ 2,149,982,715 $ 88,687,789 $ 2,389,596,953

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Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)

Derivative Financial Instruments 1
Assets:
Credit contracts $ 2,303,781 $ 2,303,781
Forward foreign currency contracts 842,032 842,032
Liabilities:
Equity contracts $ (2,667,569) (2,667,569)
Interest rate contracts (138,703) (138,703)
Forward foreign currency contracts (4,020,556) (4,020,556)
Total $ (2,806,272) $ (874,743) $ (3,681,015)

1 Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

Assets:
Cash $ 384,172 $ 384,172
Cash pledged as collateral for centrally cleared swaps 895,000 895,000
Cash pledged for financial futures contracts 6,833,600 6,833,600
Foreign currency at value 48,451 48,451
Liabilities:
Cash received as collateral from OTC derivatives $ (2,200,000) (2,200,000)
Bank borrowings payable (762,000,000) (762,000,000)
Total $ 8,161,223 $ (764,200,000) $ (756,038,777)

During the period ended May 31, 2015, there were no transfer between level 1 and level 2.

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Consolidated Schedule of Investments (continued) BlackRock Corporate High Yield Fund, Inc. (HYT)

A reconciliation of Level 3 investments are presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

Common Stocks Asset-Backed Securities Corporate Bonds Floating Rate Loan Interests Other Interests Preferred Securities Warrants Total
Assets:
Opening Balance, as of August 31, 2014 $ 56,896,277 $ 6,775,056 $29,135,018 $ 38,229,343 $ 10,978 $ 1,011,134 $ 4,857 $ 132,062,663
Transfers into Level 3 1 115,217 246,281 2,132,804 118,682 2,612,984
Transfers out of Level 3 2 (16,930,672) (4,788,406) (11,749,206) (33,468,284)
Accrued discounts/premiums 26,290 5,283 11,882 202,102 6,594 252,151
Net realized gain (loss) (7,831,416) 15,000 (10,292,026) 252,546 (26,002) (17,881,898)
Net
change in unrealized appreciation (depreciation) 3 (10,605,109) 224,186 9,865,861 (793,400) (281,536) 28,538 (1,561,460)
Purchases 839,758 6,916,780 2,507,469 13,431,298 551,905 24,247,210
Sales (2,000,925) (5,898,375) (9,670,065) (6,212) (17,575,577)
Closing Balance, as of May 31, 2015 $ 22,510,345 $ 7,393,255 $ 25,329,829 $ 32,035,422 $ 10,978 $ 1,288,097 $ 119,863 $ 88,687,789
Net change in unrealized appreciation (depreciation) on investments
still held at May 31, 2015 3 $ (18,436,521) $ 226,150 $ (509,178) $ (757,516) $ — $ (281,536) $ 1,181 $ (19,757,420)
1 As of August 31, 2014, the Trust used significant observable inputs in determining the value of certain investments. As of May 31, 2015, the Trust used unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $27,015,809 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2 As of August 31, 2014, the Trust used significant unobservable inputs in determining the value of certain investments. As of May 31, 2015, the Trust used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $31,651,460 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3 Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of May 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

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Consolidated Schedule of Investments (concluded) BlackRock Corporate High Yield Fund, Inc. (HYT)

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the "Global Valuation Committee") to determine the value of certain of the Trust’s Level 3 investments as of May 31, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $40,666,402. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

Value Valuation Techniques Unobservable Inputs Range of Unobservable Inputs Utilized
Assets:
Common Stocks $ 14,720,203 Market Comparable Companies Merger Value $15.44
4,269,055 Market Comparable Companies Last 12 Months EBITDA Multiple 1 4.63x-4.88x
Current Fiscal Year EBITDA Multiple 1 5.13x-5.33x
Discontinued Operations Expected Sale Proceeds 1 $60 4
880,363 Market Comparable Companies 2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple 1 CAD 5 $0.095
PV-10 Multiple 1,2 0.05x
2,640,721 Market Comparable Companies 2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple 1 CAD 5 $0.24
PV-10 Multiple 1,2 0.10x
Corporate Bonds 18,429,155 Discounted Cash Flow Internal Rate of Return 2 10.00%
1,994,474 Par Call Price 1 _
4,906,200 Discounted Cash Flow Internal Rate of Return 3 10.00%
Warrants 83,649 Last Dealer Mark - Adjusted Delta Adjustment based on daily movement in the common equity 1 120%
97,567 Black-Scholes Implied Volatility 1 58.762%
Total $ 48,021,387
1 Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.
2 Present value of estimated future oil and gas revenues, net of estimated direct expenses discounted at an annual discount rate of 10%.
3 Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.
4 Amount is stated in millions.
5 Canadian Dollar.

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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, Inc.

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Corporate High Yield Fund, Inc.

Date: July 23, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Corporate High Yield Fund, Inc.

Date: July 23, 2015

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Corporate High Yield Fund, Inc.

Date: July 23, 2015

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