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 811-7456
Name of Fund: Senior High Income Portfolio, Inc.
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Robert C. Doll, Jr., Chief Executive
Officer, Senior High Income Portfolio, Inc., 800 Scudders Mill Road,
Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton,
NJ, 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 08/31/05
Date of reporting period: 03/01/05 - 05/31/05
Item 1 - Schedule of Investments
Senior High Income Portfolio, Inc.
Schedule of Investments as of May 31, 2005 (in U.S. dollars)
Industry* Face Amount Corporate Bonds Value
Aerospace & Defense - 1.8% $ 400,000 K&F Acquisition, Inc., 7.75% due 11/15/2014 (i) $ 400,000
1,000,000 Titan Corp., 8% due 5/15/2011 1,070,000
4,510,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 4,408,525
---------------
5,878,525
Airlines - 0.2% 900,000 Evergreen International Aviation, Inc., 12%
due 5/15/2010 625,500
Automotive - 3.8% 7,550,000 Advanced Accessory Systems LLC, 10.75%
due 6/15/2011 5,662,500
1,975,000 Cooper-Standard Automotive, Inc., 8.375%
due 12/15/2014 1,639,250
1,350,000 Delco Remy International, Inc., 7.141%
due 4/15/2009 (f) 1,343,250
2,775,000 Exide Technologies, 10.50% due 3/15/2013 (i) 1,998,000
1,800,000 Metaldyne Corp., 11% due 6/15/2012 1,278,000
475,000 Tenneco Automotive, Inc. Series B, 10.25%
due 7/15/2013 529,625
Venture Holdings Co. LLC (c):
700,000 12% due 6/01/2009 0
3,325,000 Series B, 9.50% due 7/01/2005 66,500
---------------
12,517,125
Broadcasting - 0.8% 3,000,000 Granite Broadcasting Corp., 9.75% due 12/01/2010 2,745,000
Cable - International - 2.0% 3,625,000 Kabel Deutschland GmbH, 10.625% due 7/01/2014 (i) 3,869,687
NTL Cable Plc:
2,350,000 8.141% due 10/15/2012 (f) 2,397,000
350,000 8.75% due 4/15/2014 358,750
---------------
6,625,437
Cable - U.S. - 7.9% 1,800,000 CSC Holdings, Inc., 7.25% due 7/15/2008 1,856,250
Charter Communications Holdings LLC:
1,750,000 10% due 4/01/2009 1,347,500
1,000,000 11.75% due 1/15/2010 780,000
2,000,000 11.125% due 1/15/2011 1,490,000
1,500,000 9.92% due 4/01/2011 1,091,250
1,000,000 10% due 5/15/2011 727,500
Intelsat Bermuda Ltd. (i):
1,925,000 7.794% due 1/15/2012 (f) 1,953,875
1,675,000 8.25% due 1/15/2013 1,704,312
2,400,000 8.625% due 1/15/2015 2,463,000
1,400,000 Mediacom Broadband LLC, 11% due 7/15/2013 1,515,500
1,675,000 Mediacom LLC, 9.50% due 1/15/2013 1,662,437
New Skies Satellites, BV (i):
1,550,000 8.539% due 11/01/2011 (f) 1,565,500
2,450,000 9.125% due 11/01/2012 2,425,500
5,250,000 Rainbow National Services LLC, 8.75%
due 9/01/2012 (i) 5,768,437
---------------
26,351,061
Chemicals - 14.8% 1,350,000 ArCo Chemical Co., 9.80% due 2/01/2020 1,512,000
555,000 BCP Caylux Holdings Luxembourg SCA, 9.625%
due 6/15/2014 (i) 622,988
2,250,000 Compass Minerals International, Inc. Series B,
12% due 6/01/2013 (g) 1,878,750
Crompton Corp.:
3,900,000 9.164% due 8/01/2010 (f) 4,358,250
3,000,000 9.875% due 8/01/2012 3,412,500
4,744,000 GEO Specialty Chemicals, Inc., 11.593%
due 12/31/2009 (h) 4,981,200
Huntsman International, LLC:
1,000,000 9.875% due 3/01/2009 1,070,000
1,219,000 10.125% due 7/01/2009 1,264,712
1,750,000 ISP Holdings, Inc. Series B, 10.625% due 12/15/2009 1,868,125
3,000,000 Invista B.V., 9.25% due 5/01/2012 (g)(i) 3,258,750
2,500,000 Koppers, Inc., 9.875% due 10/15/2013 2,662,500
1,650,000 Lyondell Chemical Co., 11.125% due 7/15/2012 1,870,687
1,200,000 Millennium America, Inc., 7.625% due 11/15/2026 1,128,000
5,350,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 5,564,000
352,030 Pioneer Cos., Inc., 6.59% due 12/31/2006 (f) 352,030
6,375,000 PolyOne Corp., 10.625% due 5/15/2010 6,900,937
Rockwood Specialties Group, Inc.:
1,825,000 10.625% due 5/15/2011 1,952,750
250,000 7.50% due 11/15/2014 (i) 237,500
Terra Capital, Inc.:
2,500,000 12.875% due 10/15/2008 2,950,000
832,000 11.50% due 6/01/2010 940,160
361,000 United Agri Products, Inc., 8.25% due 12/15/2011 370,025
---------------
49,155,864
Consumer - Durables - 0.1% 450,000 Simmons Co., 7.875% due 1/15/2014 396,000
Consumer - Non-Durables - 1.9% 1,675,000 Chattem, Inc., 6.33% due 3/01/2010 (f) 1,691,750
1,000,000 General Binding Corp., 9.375% due 6/01/2008 1,010,000
1,975,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 2,034,250
2,125,000 North Atlantic Trading Co., 9.25% due 3/01/2012 1,530,000
---------------
6,266,000
Diversified Media - 0.4% 325,000 Houghton Mifflin Co., 9.875% due 2/01/2013 339,625
Universal City Florida Holding Co. I:
700,000 7.96% due 5/01/2010 (f) 728,000
175,000 8.375% due 5/01/2010 180,250
---------------
1,247,875
Energy - Other - 3.1% 1,000,000 Dresser, Inc., 9.375% due 4/15/2011 1,042,500
1,100,000 Dresser-Rand Group, Inc., 7.375% due 11/01/2014 (i) 1,078,000
1,035,000 Energy Corp. of America Series A, 9.50%
due 5/15/2007 1,032,412
2,536,000 Giant Industries, Inc., 11% due 5/15/2012 2,853,000
Star Gas Partners LP:
2,750,000 10.25% due 2/15/2013 2,557,500
1,750,000 10.25% due 2/15/2013 (i) 1,627,500
---------------
10,190,912
Financial - 3.7% 2,650,000 Fairfax Financial Holdings Ltd., 7.75%
due 4/26/2012 2,510,875
4,000,000 Highland Legacy Ltd CLO, 9.46% due 6/01/2011 (f)(i) 3,990,000
500,000 Investcorp SA, 7.54% due 10/21/2008 (a) 507,147
1,000,000 Pennant CBO Ltd., 13.43% due 3/14/2011 (i) 700,000
3,925,000 Refco Finance Holdings LLC, 9% due 8/01/2012 4,101,625
SKM-LibertyView CBO Ltd. Series 1A (c)(i)(l):
1,500,000 Class C1, 8.71% due 4/10/2011 450,000
1,000,000 Class D, 11.91% due 4/10/2011 30,000
---------------
12,289,647
Food & Drug - 0.2% 850,000 Duane Read Inc., 7.91% due 12/15/2010 (f)(i) 816,000
Food & Tobacco - 2.5% Commonwealth Brands, Inc. (i):
2,250,000 9.75% due 4/15/2008 2,356,875
2,825,000 10.625% due 9/01/2008 2,959,189
641,000 Dole Food Co., Inc., 8.875% due 3/15/2011 682,665
1,442,000 Gold Kist Inc., 10.25% due 3/15/2014 1,625,855
1,000,000 Merisant Co., 10.25% due 7/15/2013 (i) 730,000
---------------
8,354,584
Gaming - 1.1% 2,000,000 Jacobs Entertainment, Inc., 11.875% due 2/01/2009 2,150,000
925,000 Majestic Star Casino LLC, 9.50% due 10/15/2010 959,688
675,000 Penn National Gaming, Inc., 6.75% due 3/01/2015 (i) 658,125
---------------
3,767,813
Health Care - 2.6% 3,000,000 CDRV Investors, Inc., 9.75% due 1/01/2015 (g)(i) 1,470,000
Elan Finance Plc (i):
2,325,000 7.268% due 11/15/2011 (f) 2,011,125
1,650,000 7.75% due 11/15/2011 1,427,250
3,000,000 Tenet Healthcare Corp., 7.375% due 2/01/2013 2,940,000
700,000 VWR International, Inc., 8% due 4/15/2014 658,000
---------------
8,506,375
Housing - 1.5% 226,860 Formica Holdings Corp., 7.87% due 6/10/2011 215,517
Goodman Global Holding Co., Inc. (i):
500,000 6.621% due 6/15/2012 (f) 477,500
1,750,000 7.875% due 12/15/2012 1,575,000
2,000,000 Lone Star Industries, 8.85% due 6/15/2005 (i) 2,002,836
700,000 US Concrete, Inc., 8.375% due 4/01/2014 647,500
---------------
4,918,353
Information Technology - 2.2% 3,100,000 Amkor Technology, Inc., 9.25% due 2/15/2008 2,813,250
2,450,000 Freescale Semiconductor, Inc., 5.891%
due 7/15/2009 (f) 2,535,750
1,375,000 MagnaChip SemiConductor SA, 6.66%
due 12/15/2011 (f)(i) 1,278,750
750,000 Telcordia Technologies Inc., 10% due 3/15/2013 (i) 656,250
---------------
7,284,000
Leisure - 2.4% 6,000,000 Felcor Lodging LP, 7.78% due 6/01/2011 (f) 6,165,000
91,000 Host Marriott Corp. Series B, 7.875% due 8/01/2008 92,593
2,000,000 True Temper Sports, Inc., 8.375% due 9/15/2011 1,810,000
---------------
8,067,593
Manufacturing - 3.6% 275,000 Aearo Co., 8.25% due 4/15/2012 266,750
3,000,000 Communications & Power Industries, Inc., 8%
due 2/01/2012 2,940,000
2,250,000 EaglePicher Inc., 9.75% due 9/01/2013 (c) 1,507,500
2,825,000 Invensys Plc, 9.875% due 3/15/2011 (i) 2,662,563
2,250,000 Mueller Group, Inc., 7.96% due 11/01/2011 (f) 2,295,000
300,000 NMHG Holding Co., 10% due 5/15/2009 318,000
250,000 NSP Holdings LLC, 11.75% due 1/01/2012 (k) 263,750
2,000,000 Propex Fabrics, Inc., 10% due 12/01/2012 1,880,000
---------------
12,133,563
Metal - Other - 0.8% 500,000 IMCO Recycling Escrow, Inc., 9% due 11/15/2014 (i) 522,500
2,000,000 James River Coal Co., 9.375% due 6/01/2012 2,020,000
---------------
2,542,500
Packaging - 5.9% 6,200,000 Anchor Glass Container Corp., 11% due 2/15/2013 4,991,000
1,900,000 Consolidated Container Co. LLC, 10.75%
due 6/15/2009 (g) 1,482,000
2,300,000 Crown European Holdings SA, 9.50% due 3/01/2011 2,518,500
3,300,000 Pliant Corp., 13% due 6/01/2010 2,640,000
650,000 Tekni-Plex, Inc., 8.75% due 11/15/2013 (i) 559,000
5,550,000 US Can Corp., 10.875% due 7/15/2010 5,522,250
2,250,000 Wise Metals Group LLC, 10.25% due 5/15/2012 1,856,250
---------------
19,569,000
Paper - 8.5% 3,275,000 Abitibi-Consolidated, Inc., 6.91% due 6/15/2011 (f) 3,176,750
2,975,000 Ainsworth Lumber Co. Ltd., 6.84% due 10/01/2010 (f) 2,975,000
Boise Cascade LLC (i):
250,000 6.016% due 10/15/2012 (f) 250,000
350,000 7.125% due 10/15/2014 333,375
7,475,000 Bowater, Inc., 6.41% due 3/15/2010 (f) 7,362,875
4,325,000 Georgia-Pacific Corp., 9.375% due 2/01/2013 4,898,063
625,000 Graphic Packaging International Corp., 9.50%
due 8/15/2013 609,375
3,150,000 JSG Funding Plc, 7.75% due 4/01/2015 (i) 2,520,000
4,175,000 NewPage Corp., 9.46% due 5/01/2012 (f)(i) 4,091,500
800,000 Smurfit-Stone Container Enterprises, Inc., 8.375%
due 7/01/2012 798,000
1,500,000 Tembec Industries, Inc., 8.625% due 6/30/2009 1,215,000
---------------
28,229,938
Service - 4.3% Allied Waste North America, Inc.:
720,000 7.875% due 4/15/2013 730,800
3,125,000 Series B, 7.375% due 4/15/2014 2,875,000
250,000 Great Lakes Dredge & Dock Corp., 7.75%
due 12/15/2013 192,500
2,000,000 HydroChem Industrial Services, Inc., 9.25%
due 2/15/2013 (i) 1,840,000
3,000,000 MSW Energy Holdings LLC, 8.50% due 9/01/2010 3,105,000
5,450,000 United Rentals North America, Inc., 7.75%
due 11/15/2013 5,395,500
---------------
14,138,800
Telecommunications - 3.8% 2,045,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 2,024,550
4,000,000 Qwest Communications International Inc., 7.268%
due 2/15/2009 (f)(i) 3,950,000
Time Warner Telecom Holdings, Inc.:
3,500,000 6.768% due 2/15/2011 (f) 3,552,500
2,000,000 9.25% due 2/15/2014 (i) 1,900,000
1,276,000 Time Warner Telecom, Inc., 9.75% due 7/15/2008 1,279,190
---------------
12,706,240
Transportation - 0.9% 1,325,000 Laidlaw International, Inc., 10.75% due 6/15/2011 1,498,906
1,500,000 Progress Rail Services Corp., 7.75% due 4/01/2012 (i) 1,485,000
---------------
2,983,906
Utility - 3.4% 1,300,000 Calpine Corp., 8.50% due 2/15/2011 767,000
3,900,000 Mission Energy Holding Co., 13.50% due 7/15/2008 4,602,000
2,000,000 Northwest Pipeline Corp., 6.625% due 12/01/2007 2,080,000
2,750,000 Sierra Pacific Resources, 8.625% due 3/15/2014 2,976,875
725,000 Williams Cos., Inc., 8.625% due 6/01/2010 788,438
---------------
11,214,313
Wireless Communications - 1.9% 739,000 American Tower Corp., 9.375% due 2/01/2009 775,026
Dobson Cellular Systems, Inc. (i):
2,200,000 7.96% due 11/01/2011 (f) 2,249,500
1,000,000 8.375% due 11/01/2011 1,025,000
500,000 Horizon PCS, Inc., 11.375% due 7/15/2012 (i) 547,500
1,000,000 Rural Cellular Corp., 7.91% due 3/15/2010 (f) 1,012,500
800,000 US Unwired, Inc., 7.66% due 6/15/2010 (f) 820,000
---------------
6,429,526
Total Corporate Bonds
(Cost- $296,791,077) - 86.1% 285,951,450
Floating Rate Loan Interests (a)
Aerospace & Defense - 0.9% 2,829,147 Titan Corp. Term Loan B, due 6/30/2009 2,845,650
Automotive - 1.1% 2,000,000 Metaldyne Corp. Term Loan D, due 12/31/2009 1,928,750
Tenneco Automotive, Inc.:
1,092,618 Term Loan B, due 12/12/2010 1,098,081
479,968 Tranche B-1 Credit Linked, due 12/12/2010 482,368
---------------
3,509,199
Cable - International - 0.3% Telewest Communications Networks, Ltd.:
566,667 Term Loan B, due 11/30/2012 565,898
433,333 Term Loan C, due 11/30/2013 435,440
---------------
1,001,338
Cable - U.S. - 8.7% Century Cable Holdings LLC:
3,000,000 Discretionary Term Loan, due 12/31/2009 2,967,750
5,000,000 Term Loan, due 6/30/2009 4,937,500
7,940,000 Charter Communications Operating, LLC Tranche B
Term Loan, due 4/07/2011 7,899,395
Inmarsat Facility:
2,292,136 Term Loan B, due 1/08/2011 2,303,434
2,297,523 Term Loan C, due 1/08/2012 2,318,447
3,950,000 Insight Midwest Holdings, LLC Term Loan B,
due 12/31/2009 3,997,155
2,328,240 Mallard Cablevision LLC & Sun Tel Communications
Term Loan B, due 9/30/2008 (c) 4,656
496,870 New Skies Satellites, BV Term Loan,
due 5/04/2011 500,410
4,000,000 Olympus Cable Holdings, LLC Term Loan B,
due 9/30/2010 3,924,168
---------------
28,852,915
Chemicals - 7.3% 2,634,089 CII Carbon, LLC Term Loan, due 6/25/2008 2,607,748
2,597,883 Celanese Holdings, LLC Term Loan B,
due 4/06/2011 2,638,069
1,804,536 Huntsman International, LLC Term Loan B,
due 12/31/2010 1,835,363
Invista B.V.:
1,682,206 New Tranche B-1 Term Loan, due 4/29/2011 1,710,068
729,853 New Tranche B-2 Term Loan, due 4/29/2011 741,941
1,148,293 Pinnacle Polymers (Epsilon Products) Term Loan,
due 12/15/2006 1,162,453
3,743,333 Polymer Group, Inc. First Lien Term Loan,
due 4/01/2010 3,793,243
1,600,000 Rockwood Specialties Group, Inc. Tranche D Term
Loan, due 12/10/2012 1,609,286
8,000,000 Wellman, Inc. First Lien Term Loan,
due 2/10/2009 8,193,336
---------------
24,291,507
Consumer - Durables - 0.9% 3,000,000 Simmons Co. Term Loan, due 6/19/2012 3,013,125
Consumer - Non-Durables - 2.4% 4,987,500 American Safety Razor Co. Tranche B Term Loan,
due 2/28/2012 5,024,906
1,500,000 Culligan International Co. Term Loan,
due 9/30/2011 1,513,437
1,481,250 Solo Cup Co. Term Loan, due 2/27/2011 1,492,730
---------------
8,031,073
Diversified Media - 1.6% 5,170,500 TransWestern Publishing Co., LLC First Lien
Tranche B Term Loan, due 2/25/2011 5,185,851
Energy - Exploration Quest Cherokee, LLC:
& Production - 1.0% 222,222 Line of Credit, due 12/31/2008 223,889
1,500,000 Revolving Credit, due 7/22/2009 1,447,500
1,768,889 Term Loan B, due 7/22/2010 1,777,733
---------------
3,449,122
Energy - Other - 2.1% Dresser, Inc.:
718,038 Term Loan C, due 4/10/2009 727,313
1,250,000 Term Loan Unsecured, due 2/25/2010 1,273,438
Regency Gas Services, LLC:
1,500,000 Second Lien Term Loan, due 12/01/2010 1,507,500
3,491,250 Term Loan, due 6/01/2010 3,517,434
---------------
7,025,685
Food & Tobacco - 1.1% 1,761,836 Dr. Pepper/Seven Up Bottling Group, Inc. Tranche B
Term Loan, due 12/19/2010 1,785,235
1,761,667 Pierre Foods, Inc. Term Loan B, due 6/30/2010 1,778,182
---------------
3,563,417
Health Care - 2.1% 1,703,991 Medpointe Capital Partners, LLC Tranche B Term
Loan, due 9/30/2008 1,716,771
1,562,500 Orthofix International NV Term Loan B,
due 12/15/2008 1,579,102
3,661,333 VWR International, Inc. Tranche B Dollar Term
Loan, due 4/07/2011 3,686,505
---------------
6,982,378
Housing - 3.2% 2,294,842 General Growth Properties, Inc. Tranche B Term
Loan, due 11/12/2008 2,311,935
2,490,033 Headwaters, Inc. Term Loan B-1, due 4/30/2011 2,525,309
1,959,940 LNR Property Corp. Tranche B Term Loan,
due 2/03/2008 1,967,780
4,000,000 Stile U.S. Acquisition Corp. Bridge Loan,
due 4/06/2015 4,010,000
---------------
10,815,024
Information Technology - 2.2% 1,850,000 Fidelity National Information Solutions, Inc. Term
Loan B, due 3/09/2013 1,839,363
1,687,500 Telcordia Technologies Inc. Term Loan,
due 9/15/2012 1,656,388
3,729,687 VUTEK Inc. Term Loan, due 6/25/2010 3,739,012
---------------
7,234,763
Manufacturing - 3.5% 3,057,865 EaglePicher Holdings, Inc. Tranche B Term Loan,
due 8/07/2009 3,004,352
3,750,000 High Voltage Engineering Corp. Term Loan A,
due 7/31/2006 3,731,250
4,903,331 Invensys International Holdings Ltd. First Lien Term
Loan, due 9/04/2009 4,970,752
---------------
11,706,354
Packaging - 1.1% 3,534,686 Owens-Illinois Group Inc. French Tranche C-1 Term
Loan, due 4/01/2008 3,587,706
Retail - 1.0% 3,000,000 American Reprographics Co., LLC Second Lien Term
Loan, due 12/18/2009 3,157,500
306,015 General Nutrition Centers, Inc. Tranche B Term
Loan, due 12/05/2009 309,712
---------------
3,467,212
Service - 2.3% Allied Waste North America, Inc.:
1,239,159 Term Loan, due 1/15/2012 1,240,536
472,973 Tranche A Credit-Linked Deposit, due 1/15/2012 473,490
United Rentals, Inc.:
1,650,000 Term Loan, due 2/14/2011 1,673,461
333,333 Tranche B, Credit-Linked Deposit,
due 2/14/2011 338,229
3,960,000 Waste Services, Inc. Tranche B Term Loan,
due 3/31/2011 3,998,364
---------------
7,724,080
Telecommunications - 0.7% 2,178,000 Consolidated Communications, Inc. Term Loan C,
due 10/14/2011 2,192,974
Utility - 1.7% 3,930,000 Calpine Corp. Second Lien Term Loan,
due 7/15/2007 2,998,590
El Paso Corp.:
750,000 Deposit Account, due 11/23/2009 752,864
1,240,000 Term Loan, due 11/23/2009 1,247,578
786,000 TNP Enterprises, Inc. Term Loan, due 12/31/2006 786,983
---------------
5,786,015
Wireless Communications - 2.0% 2,962,500 Centennial Cellular Operating Co. Term Loan,
due 2/09/2011 2,988,422
3,473,750 SBA Senior Finance, Inc. Tranche C Term Loan,
due 10/31/2008 3,504,145
---------------
6,492,567
Total Floating Rate Loan Interests
(Cost - $159,200,508) - 47.2% 156,757,955
Senior High Income Portfolio, Inc.
Schedule of Investments as of May 31, 2005 (concluded) (in U.S. dollars)
Industry* Shares Held Common Stocks Value
Chemicals - 0.6% 142,466 GEO Specialty Chemicals, Inc. (e) $ 2,136,990
Leisure - 0.1% 41,866 Lodgian, Inc. (e) 397,727
Manufacturing - 0.2% 62,580 High Voltage Engineering Corp. (e) 516,285
Telecommunications - 0.1% 32,057 IDT Corp. Class B (e) 439,181
Total Common Stocks (Cost - $4,488,548) - 1.0% 3,490,183
Preferred Stocks
Cable - U.S. - 0.0% 2,500 Adelphia Communications Corp. Series B, 13% (e) 7,500
Total Preferred Stocks (Cost - $225,000) - 0.0% 7,500
Warrants (j)
Paper - 0.0% 3,500 MDP Acquisitions Plc (expires 10/01/2013) 17,500
Wireless Communications - 0.1% 600 American Tower Corp. (expires 8/01/2008) 152,314
Total Warrants (Cost - $39,036) - 0.1% 169,814
Beneficial Interest/
Shares Held Other Interests (d)
Automotive - 0.0% $ 4,130,972 Cambridge Industries, Inc. (Litigation Trust Certificates) 41,310
Gaming - 0.0% 27,112 Peninsula Gaming LLC (Convertible Membership Interest) 162,670
Health Care - 0.0% $ 10,284 MEDIQ Inc. (Preferred Stock Escrow due 2/01/2006) 0
Telecommunications - 0.0% $ 2,750,000 WilTel Communications Group, Inc. 28
(Litigation Trust Certificates)
Total Other Interests (Cost - $163,493) - 0.0% 204,008
Beneficial Interest Short-Term Securities
$ 3,976,542 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (b) 3,976,542
Total Short-Term Securities
(Cost - $3,976,542) - 1.2% 3,976,542
Total Investments (Cost - $464,884,204**) - 135.6% 450,557,452
Liabilities in Excess of Other Assets - (35.6%) (118,348,719)
---------------
Net Assets - 100.0% $ 332,208,733
===============
* For Fund compliance purposes, "Industry" means any one or more of the industry sub-classifications
used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by
Fund management. This definition may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease. Breakdown is a percent of net assets.
** The cost and unrealized appreciation (depreciation) of investments as of May 31, 2005,
as computed for federal income tax purposes, were as follows:
Aggregate cost $ 464,509,948
=================
Gross unrealized appreciation $ 12,004,453
Gross unrealized depreciation (25,956,949)
-----------------
Net unrealized depreciation $ (13,952,496)
=================
(a) Floating rate loan interests in which the Fund invests generally pays interest at rates that are
periodically redetermined by reference to a base lending rate plus a premium. These base lending
rates are generally (i) the lending rate offered by one or more major European banks, such as
London InterBank Offered Rate ("LIBOR"), (ii) the prime rate offered by one or more major U.S.
banks or (iii) the certificate of deposit rate.
(b) Investments in companies considered to be an affiliate of the Fund (such companies are defined as
"Affiliated Companies" in Section 2(a)(3) of the Investment Company Act of 1940) were as follows:
Net Interest
Affiliate Activity Income
Merrill Lynch Liquidity Series,
LLC Cash Sweep Series I $ (366,912) $ 10,619
(c) Non-income producing security; issuer filed for bankruptcy or is in default of interest payments.
(d) Other interests represent beneficial interest in liquidation trusts and other reorganization entities
and are non-income producing.
(e) Non-income producing security.
(f) Floating rate note.
(g) Represents a step bond; the interest rate shown reflects the effective yield at the time of purchase
by the Fund.
(h) Convertible security.
(i) The security may be offered and sold to "qualified institutional buyers" under Rule 144A of the
Securities Act of 1933.
(j) Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are
non-income producing. The purchase price and number of shares are subject to adjustment under
certain conditions until the expiration date.
(k) Represents a pay-in-kind security which may pay interest/dividends in additional face/shares.
(l) Mortgage-Backed Securities are subject to principle paydowns as a result of prepayments
or refinancing of the underlying mortgage instruments. As a result, the average life may
be substantially less than the original maturity.
Item 2 - Controls and Procedures
2(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others particularly
during the period in which this report is being prepared. The
registrant's certifying officers have determined that the registrant's
disclosure controls and procedures are effective based on our
evaluation of these controls and procedures as of a date within 90
days prior to the filing date of this report.
2(b) - There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act
(17 CFR 270.30a-3(d)) that occurred during the last fiscal quarter of
the period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 3 - Exhibits
Certifications - Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Senior High Income Portfolio, Inc.
By: /s/ Robert C. Doll, Jr.
----------------------------
Robert C. Doll, Jr.
Chief Executive Officer
Senior High Income Portfolio, Inc.
Date: July 15, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Robert C. Doll, Jr.
----------------------------
Robert C. Doll, Jr.
Chief Executive Officer
Senior High Income Portfolio, Inc.
Date: July 15, 2005
By: /s/ Donald C. Burke
----------------------------
Donald C. Burke
Chief Financial Officer
Senior High Income Portfolio, Inc.
Date: July 15, 2005