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: 02/29/2006
Date of reporting period: 09/01/05 - 11/30/05
Item 1 - Schedule of Investments
Senior High Income Portfolio, Inc.
Schedule of Investments as of November 30, 2005 (in U.S. dollars)
Face
Industry Amount Corporate Bonds Value
Aerospace & Defense - 1.3% $ 4,510,000 Vought Aircraft Industries, Inc., 8% due 7/15/2011 $ 4,104,100
Automotive - 3.9% 7,550,000 Advanced Accessory Systems LLC, 10.75% due 6/15/2011 6,417,500
2,175,000 Cooper-Standard Automotive, Inc., 8.375% due 12/15/2014 1,631,250
1,350,000 Delco Remy International, Inc., 8.15% due 4/15/2009 (f) 1,255,500
2,575,000 Exide Technologies, 10.50% due 3/15/2013 (i) 1,944,125
1,175,000 Metaldyne Corp., 11% due 6/15/2012 890,063
475,000 Tenneco Automotive, Inc. Series B, 10.25% due 7/15/2013 518,938
700,000 Venture Holdings Co. LLC, 12% due 6/01/2009 (c) 0
3,325,000 Venture Holdings Co. LLC, Series B, 9.50% due 7/01/2005 (c) 16,625
--------------
12,674,001
Broadcasting - 1.5% 1,525,000 Emmis Communications Corp., 10.366% due 6/15/2012 (f) 1,526,906
3,000,000 Granite Broadcasting Corp., 9.75% due 12/01/2010 2,790,000
500,000 LIN Television Corp., 6.50% due 5/15/2013 (i) 478,750
--------------
4,795,656
Cable - International - 1.4% 350,000 NTL Cable Plc, 8.75% due 4/15/2014 367,500
1,550,000 New Skies Satellites NV, 9.573% due 11/01/2011 (f)(i) 1,592,625
2,450,000 New Skies Satellites NV, 9.125% due 11/01/2012 2,517,375
--------------
4,477,500
Cable - U.S. - 7.3% 1,800,000 CSC Holdings, Inc., 7.25% due 7/15/2008 1,800,000
2,275,000 Cablevision Systems Corp. Series B, 8.716% due 4/01/2009 (f) 2,320,500
1,750,000 Charter Communications Holdings LLC, 10% due 4/01/2009 1,408,750
1,000,000 Charter Communications Holdings LLC, 11.75% due 1/15/2010 810,000
2,000,000 Charter Communications Holdings LLC, 11.125% due 1/15/2011 1,210,000
1,500,000 Charter Communications Holdings LLC, 9.92% due 4/01/2011 870,000
1,000,000 Charter Communications Holdings LLC, 10% due 5/15/2011 585,000
1,925,000 Intelsat Bermuda Ltd., 8.695% due 1/15/2012 (f)(i) 1,953,875
1,675,000 Intelsat Bermuda Ltd., 8.25% due 1/15/2013 (i) 1,675,000
2,400,000 Intelsat Bermuda Ltd., 8.625% due 1/15/2015 (i) 2,406,000
1,400,000 Mediacom Broadband LLC, 11% due 7/15/2013 1,505,000
1,875,000 Mediacom LLC, 9.50% due 1/15/2013 1,842,188
5,250,000 Rainbow National Services LLC, 8.75% due 9/01/2012 (i) 5,538,750
--------------
23,925,063
Chemicals - 12.2% 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 615,356
2,250,000 Compass Minerals International, Inc. Series B,
12% due 6/01/2013 (g) 1,946,250
4,382,000 GEO Specialty Chemicals, Inc., 12.016% due 12/31/2009 (h) 3,812,340
1,000,000 Huntsman International, LLC, 9.875% due 3/01/2009 1,051,250
1,219,000 Huntsman International, LLC, 10.125% due 7/01/2009 1,255,570
1,750,000 ISP Holdings, Inc. Series B, 10.625% due 12/15/2009 1,833,125
3,000,000 Invista B.V., 9.25% due 5/01/2012 (i) 3,240,000
2,500,000 Koppers, Inc., 9.875% due 10/15/2013 2,712,500
1,650,000 Lyondell Chemical Co., 11.125% due 7/15/2012 1,856,250
1,200,000 Millennium America, Inc., 7.625% due 11/15/2026 1,134,000
1,000,000 Nova Chemical Corp., 7.561% due 11/15/2013 (f)(i) 1,020,000
5,350,000 Omnova Solutions, Inc., 11.25% due 6/01/2010 5,644,250
7,475,000 PolyOne Corp., 10.625% due 5/15/2010 7,699,250
1,322,000 Rockwood Specialties Group, Inc., 10.625% due 5/15/2011 1,431,065
250,000 Rockwood Specialties Group, Inc., 7.50% due 11/15/2014 245,000
3,000,000 Tronox Worldwide LLC, 9.50% due 12/01/2012 (i) 3,090,000
--------------
40,098,206
Consumer - Durables - 1.2% 4,450,000 Simmons Bedding Co., 7.875% due 1/15/2014 4,027,250
Consumer - Non-Durables - 3.1% 1,675,000 Chattem, Inc., 7.41% due 3/01/2010 (f) 1,687,562
3,725,000 Hines Nurseries, Inc., 10.25% due 10/01/2011 3,650,500
2,125,000 North Atlantic Trading Co., 9.25% due 3/01/2012 1,445,000
3,525,000 Quiksilver, Inc., 6.875% due 4/15/2015 (i) 3,331,125
--------------
10,114,187
Diversified Media - 0.8% 175,000 Universal City Florida Holding Co. I, 8.375% due 5/01/2010 172,375
2,450,000 Universal City Florida Holding Co. I, 9% due 5/01/2010 (f) 2,480,625
--------------
2,653,000
Energy - Exploration & 1,500,000 Chaparral Energy, Inc., 8.50% due 12/01/2015 (i) 1,522,500
Production - 1.4% 3,000,000 Compton Petroleum Corp., 7.625% due 12/01/2013 (i) 3,045,000
--------------
4,567,500
Energy - Other - 2.5% 1,000,000 Dresser, Inc., 9.375% due 4/15/2011 1,052,500
974,000 Dresser-Rand Group, Inc., 7.375% due 11/01/2014 (i) 995,915
3,325,000 SemGroup LP, 8.75% due 11/15/2015 (i) 3,358,250
3,350,000 Star Gas Partners LP, 10.25% due 2/15/2013 2,730,250
--------------
8,136,915
Financial - 1.7% 4,000,000 Highland Legacy Ltd CLO, 9.943% due 6/01/2011 (f)(i) 3,974,800
500,000 Investcorp SA, 7.54% due 10/21/2008 (a) 507,075
1,000,000 Pennant CBO Ltd., 13.43% due 3/14/2011 (i) 620,000
1,500,000 SKM-LibertyView CBO Ltd. Series 1A, Class C1,
8.71% due 4/10/2011 (c)(i)(k) 480,000
1,000,000 SKM-LibertyView CBO Ltd. Series 1A, Class D,
11.91% due 4/10/2011 (c)(i)(k) 15,000
--------------
5,596,875
Food & Drug - 0.2% 850,000 Duane Reade, Inc., 8.991% due 12/15/2010 (f) 786,250
Food & Tobacco - 1.9% 2,250,000 Commonwealth Brands, Inc., 9.75% due 4/15/2008 (i) 2,489,063
2,825,000 Commonwealth Brands, Inc., 10.625% due 9/01/2008 (i) 3,224,031
641,000 Dole Food Co., Inc., 8.875% due 3/15/2011 658,628
--------------
6,371,722
Gaming - 3.2% 5,925,000 CCM Merger, Inc., 8% due 8/01/2013 (i) 5,732,437
2,000,000 Jacobs Entertainment, Inc., 11.875% due 2/01/2009 2,127,500
625,000 Majestic Star Casino LLC, 9.50% due 10/15/2010 613,281
675,000 Penn National Gaming, Inc., 6.75% due 3/01/2015 653,063
1,500,000 Tunica-Biloxi Gaming Authority, 9% due 11/15/2015 (i) 1,500,000
--------------
10,626,281
Health Care - 2.6% 2,300,000 CDRV Investors, Inc., 9.75% due 1/01/2015 (g) 1,380,000
1,650,000 Elan Finance Plc, 7.75% due 11/15/2011 1,513,875
2,325,000 Elan Finance Plc, 8.34% due 11/15/2011 (f) 2,162,250
3,000,000 Tenet Healthcare Corp., 7.375% due 2/01/2013 2,730,000
700,000 VWR International, Inc., 8% due 4/15/2014 693,000
--------------
8,479,125
Housing - 2.5% 500,000 Compression Polymers Corp., 10.50% due 7/01/2013 (i) 470,000
247,699 Formica Holdings Corp., 8.76% due 6/10/2011 235,314
2,555,000 Goodman Global Holding Co., Inc., 7.491% due 6/15/2012 (f)(i) 2,529,450
4,750,000 Goodman Global Holding Co., Inc., 7.875% due 12/15/2012 (i) 4,465,000
550,000 US Concrete, Inc., 8.375% due 4/01/2014 548,625
--------------
8,248,389
Information Technology - 5.1% 1,000,000 Activant Solutions, Inc., 10.054% due 4/01/2010 (f)(i) 1,025,000
3,800,000 Amkor Technology, Inc., 9.25% due 2/15/2008 3,667,000
2,450,000 Freescale Semiconductor, Inc., 6.90% due 7/15/2009 (f) 2,511,250
1,375,000 MagnaChip Semiconductor SA, 7.741% due 12/15/2011 (f) 1,388,750
1,750,000 Sungard Data Systems, Inc., 8.525% due 8/15/2013 (f)(i) 1,813,438
5,250,000 Sungard Data Systems, Inc., 9.125% due 8/15/2013 (i) 5,433,750
1,075,000 Telcordia Technologies Inc., 10% due 3/15/2013 (i) 935,250
--------------
16,774,438
Leisure - 2.5% 6,000,000 Felcor Lodging LP, 8.83% due 6/01/2011 (f) 6,240,000
91,000 Host Marriott Corp. Series B, 7.875% due 8/01/2008 92,365
2,000,000 True Temper Sports, Inc., 8.375% due 9/15/2011 1,800,000
--------------
8,132,365
Manufacturing - 4.8% 275,000 Aearo Co., 8.25% due 4/15/2012 279,125
1,000,000 Chart Industries, Inc., 9.125% due 10/15/2015 (i) 1,010,000
1,750,000 Columbus McKinnon Corp., 8.875% due 11/01/2013 (i) 1,789,375
3,000,000 Communications & Power Industries, Inc., 8% due 2/01/2012 3,000,000
2,250,000 EaglePicher Inc., 9.75% due 9/01/2013 (c) 1,743,750
2,825,000 Invensys Plc, 9.875% due 3/15/2011 (i) 2,768,500
3,000,000 Mueller Group, Inc., 10% due 5/01/2012 3,165,000
300,000 NMHG Holding Co., 10% due 5/15/2009 319,500
1 NSP Holdings LLC, 11.75% due 1/01/2012 (l) 1
2,000,000 Propex Fabrics, Inc., 10% due 12/01/2012 1,737,500
--------------
15,812,751
Metal - Other - 0.2% 500,000 Aleris International, Inc., 9% due 11/15/2014 521,250
Packaging - 5.8% 4,715,000 Anchor Glass Container Corp., 11.491% due 9/15/2006 4,809,300
6,200,000 Anchor Glass Container Corp., 11.497% due 2/15/2013 (c) 4,495,000
1,900,000 Consolidated Container Co. LLC, 10.75% due 6/15/2009 (g) 1,615,000
3,100,000 Pliant Corp., 13% due 6/01/2010 (c) 589,000
5,550,000 US Can Corp., 10.875% due 7/15/2010 5,841,375
2,250,000 Wise Metals Group LLC, 10.25% due 5/15/2012 1,732,500
--------------
19,082,175
Paper - 10.5% 3,275,000 Abitibi-Consolidated, Inc., 7.991% due 6/15/2011 (f) 3,144,000
2,975,000 Ainsworth Lumber Co. Ltd., 7.77% due 10/01/2010 (f) 2,900,625
1,100,000 Boise Cascade LLC, 7.025% due 10/15/2012 (f) 1,067,000
350,000 Boise Cascade LLC, 7.125% due 10/15/2014 315,000
7,475,000 Bowater, Inc., 7.491% due 3/15/2010 (f) 7,325,500
1,775,000 Domtar, Inc., 7.125% due 8/15/2015 1,570,875
4,325,000 Georgia-Pacific Corp., 9.375% due 2/01/2013 4,849,406
625,000 Graphic Packaging International Corp., 9.50% due 8/15/2013 590,625
3,000,000 JSG Funding Plc, 9.625% due 10/01/2012 2,970,000
3,150,000 JSG Funding Plc, 7.75% due 4/01/2015 2,583,000
5,175,000 NewPage Corp., 10.50% due 5/01/2012 (f) 5,123,250
800,000 Smurfit-Stone Container Enterprises, Inc., 8.375% due 7/01/2012 780,000
1,725,000 Tembec Industries, Inc., 8.625% due 6/30/2009 1,138,500
--------------
34,357,781
Retail - 1.3% 2,250,000 Neiman-Marcus Group, Inc., 9% due 10/15/2015 (i) 2,289,375
2,000,000 Neiman-Marcus Group, Inc., 10.375% due 10/15/2015 (i) 2,022,500
--------------
4,311,875
Service - 6.2% 2,700,000 Ahern Rentals, Inc., 9.25% due 8/15/2013 (i) 2,801,250
720,000 Allied Waste North America, Inc., 7.875% due 4/15/2013 748,800
3,125,000 Allied Waste North America, Inc., Series B,
7.375% due 4/15/2014 3,015,625
4,000,000 HydroChem Industrial Services, Inc., 9.25% due 2/15/2013 (i) 3,840,000
2,325,000 MSW Energy Holdings LLC, 8.50% due 9/01/2010 2,464,500
2,000,000 Neff Rental LLC, 11.25% due 6/15/2012 (i) 2,095,000
5,450,000 United Rentals North America, Inc., 7.75% due 11/15/2013 (i) 5,245,625
--------------
20,210,800
Telecommunications - 4.3% 2,045,000 Cincinnati Bell, Inc., 8.375% due 1/15/2014 2,004,100
4,000,000 Qwest Communications International, Inc., 7.84%
due 2/15/2009 (f) 4,055,000
1,025,000 Qwest Corp., 7.741% due 6/15/2013 (f)(i) 1,104,438
3,500,000 Time Warner Telecom Holdings, Inc., 8.34% due 2/15/2011 (f) 3,578,750
2,000,000 Time Warner Telecom Holdings, Inc., 9.25% due 2/15/2014 2,070,000
1,276,000 Time Warner Telecom, Inc., 9.75% due 7/15/2008 1,299,925
--------------
14,112,213
Transportation - 0.5% 1,500,000 Progress Rail Services Corp., 7.75% due 4/01/2012 (i) 1,530,000
Utility - 0.8% 2,000,000 Northwest Pipeline Corp., 6.625% due 12/01/2007 2,037,500
725,000 Williams Cos., Inc., 8.625% due 6/01/2010 780,281
--------------
2,817,781
Wireless 1,550,000 Digicel Ltd., 9.25% due 9/01/2012 (i) 1,596,500
Communications - 2.1% 1,000,000 Dobson Cellular Systems, 8.375% due 11/01/2011 1,060,000
2,200,000 Dobson Cellular Systems, 9% due 11/01/2011 (f) 2,282,500
1,000,000 Rural Cellular Corp., 8.991% due 3/15/2010 (f) 1,027,500
800,000 US Unwired, Inc., 8.741% due 6/15/2010 (f) 824,000
--------------
6,790,500
Total Corporate Bonds (Cost - $319,894,611) - 92.8% 304,135,949
Floating Rate Loan Interests (a)
Airlines - 0.2% 500,000 Delta Air Lines, Inc. Term Loan B, 11.01% due 3/16/2008 519,000
Automotive - 1.9% 1,851,852 Intermet Corp. First Lien Term Loan, 9.09% due 11/08/2010 1,884,259
648,148 Intermet Corp. Letter of Credity, 9.09% due 11/08/2010 659,491
1,997,484 Metaldyne Corp. Term Loan D,
8.475% - 8.577% due 12/31/2009 (a) 1,996,985
1,092,618 Tenneco Automotive, Inc. Term Loan B, 6.63% due 12/12/2010 1,111,602
479,967 Tenneco Automotive, Inc. Tranche B-1 Credit Linked Deposit,
6.339% due 12/12/2010 488,307
--------------
6,140,644
Cable - International - 0.5% 442,521 New Skies Satellites, BV Term Loan,
6.188% - 6.438% due 5/04/2011 448,211
566,667 Telewest Communications Networks Ltd. Term Loan B,
6.901% due 11/30/2012 566,603
433,333 Telewest Communications Networks Ltd. Term Loan C,
6.901% due 11/30/2013 434,509
--------------
1,449,323
Cable - U.S. - 7.2% 3,000,000 Century Cable Holdings LLC Discretionary Term Loan, 9%
due 12/31/2009 2,950,500
5,000,000 Century Cable Holdings LLC Term Loan B, 9% due 6/30/2009 4,922,320
7,890,191 Charter Communications Operating LLC Tranche B Term Loan,
6.93% due 4/07/2011 7,913,924
3,930,000 Insight Midwest Holdings LLC Term Loan C,
6.063% due 12/31/2009 3,986,003
4,000,000 Olympus Cable Holdings LLC Term Loan B, 9% due 9/30/2010 3,940,716
--------------
23,713,463
Chemicals - 6.0% 2,693,250 C2 Carbon/Cll Term Loan B, 6.188% due 8/23/2012 2,701,666
2,589,281 Celanese Holdings LLC Term Loan B, 6.313% due 4/06/2011 2,612,584
1,654,306 Huntsman ICI Holdings Term Loan B, 5.89% due 8/16/2012 1,663,096
1,652,794 Invista B.V. New Tranche B-1 Term Loan, 6.313% due 4/29/2011 1,680,685
710,245 Invista B.V. New Tranche B-2 Term Loan, 6.313% due 4/29/2011 722,230
458,229 Pinnacle Polymers Term Loan, 6.312% due 12/15/2006 463,272
1,592,000 Rockwood Specialties Group, Inc. Tranche D Term Loan,
6.466% due 12/10/2012 1,614,458
8,000,000 Wellman, Inc. First Lien Term Loan, 8.25% due 2/10/2009 8,170,000
--------------
19,627,991
Consumer - Durables - 0.9% 3,000,000 Simmons Co. Term Loan, 7% due 6/19/2012 3,036,564
Consumer - Non-Durables - 2.4% 4,962,500 American Safety Razor Co. Tranche B Term Loan,
7.15% due 2/28/2012 5,036,938
1,485,000 Culligan International Co. Term Loan, 6.64% due 9/30/2011 1,505,884
1,473,750 Solo Cup Co. Term Loan, 6.02% due 2/27/2011 1,484,250
--------------
8,027,072
Energy - Exploration & 1,250,000 TXOK Acquisition Term Loan C, 8.875% due 9/27/2010 1,265,625
Production - 0.4%
Energy - Other - 3.2% 3,000,000 Cheniere Energy, Inc. Term Loan B,
6.77% - 6.95% due 8/31/2012 3,024,375
718,038 Dresser, Inc. Term Loan C, 6.59% due 4/10/2009 724,994
1,250,000 Dresser, Inc. Term Loan Unsecured, 7.99% due 2/25/2010 1,271,875
1,000,000 EPCO, Inc. Term Loan B Tranche 3,
6.409% - 6.603% due 8/18/2010 1,015,156
2,500,000 Key Energy Services, Inc. Term Loan B, 7.02% due 6/30/2012 2,538,543
2,000,000 Scorpion Drilling Ltd. Second Lien Term Loan,
11.64% due 5/05/2015 2,010,000
--------------
10,584,943
Food & Tobacco - 1.0% 1,657,726 Dr Pepper/Seven Up Bottling Group, Inc. Term Loan B,
6.08% - 6.181% due 12/19/2010 1,683,628
1,688,333 Pierre Foods, Inc. Term Loan B, 6.37% - 6.56% due 6/30/2010 1,711,548
--------------
3,395,176
Health Care - 2.0% 1,520,061 Medpointe Healthcare Inc. Tranche B Term Loan,
9.49% due 9/30/2008 1,529,561
1,198,864 Orthofix International NV Term Loan B,
5.48% - 6.03% due 12/15/2008 1,210,852
3,661,334 VWR International, Inc. Tranche B Term Loan,
6.69% due 4/07/2011 3,713,965
--------------
6,454,378
Housing - 4.0% 2,285,259 General Growth Properties, Inc. Term Loan B, 6.22%
due 11/12/2008 2,301,827
2,471,169 Headwaters, Inc. Term Loan B-1, 6.43% - 8.25% due 4/30/2011 2,494,850
2,343,421 LIONS Gables Realty Term Loan B, 5.84% due 9/30/2006 2,355,138
1,959,940 LNR Property Corp. Tranche B Term Loan,
7.09% - 7.26% due 2/03/2008 1,972,190
4,000,000 Stile U.S. Acquisition Corp. Bridge Loan, 10.384% due 4/06/2015 4,000,000
--------------
13,124,005
Information Technology - 1.0% 1,765,000 Fidelity National Information Solutions, Inc. Term Loan B,
5.864% due 3/09/2013 1,772,328
1,679,063 Telcordia Technologies, Inc. Term Loan, 6.61% due 9/15/2012 1,666,995
--------------
3,439,323
Manufacturing - 2.9% 3,057,865 EaglePicher Holdings, Inc. Tranche B Term Loan,
10.50% due 8/07/2009 3,045,851
2,819,161 Invensys International Holdings Ltd. First Lien Term Loan,
7.791% due 9/04/2009 2,857,924
3,482,500 Metokote Corp. Second Lien Term Loan,
6.68% - 7.25% due 11/27/2011 3,495,559
--------------
9,399,334
Metal - Other - 1.5% 331,579 Euramax International Plc Second Lien Term Loan,
10.55% due 6/29/2013 321,217
1,995,000 Euramax International Plc Tranche 3 Term Loan B,
6.125% due 6/29/2012 1,989,077
2,668,421 Euramax International Plc Tranche 4 Second Lien Term Loan,
10.55% due 6/29/2013 2,585,033
--------------
4,895,327
Packaging - 1.1% 3,534,686 Owens-Illinois Group, Inc. Tranche Term Loan C,
6.12% due 4/01/2008 3,561,196
Retail - 1.0% 3,000,000 American Reprographics Co. LLC Second Lien Term Loan,
10.235% due 12/18/2009 3,075,000
304,465 General Nutrition Centers, Inc. Tranche B Term Loan,
7.22% - 7.401% due 12/05/2009 308,652
--------------
3,383,652
Service - 2.4% 1,239,159 Allied Waste North America, Inc. Term Loan,
6.09% - 6.39% due 1/15/2012 1,246,552
468,243 Allied Waste North America, Inc. Tranche A Credit Linked
Deposit, 3.864% due 1/15/2012 470,942
1,641,667 United Rentals, Inc. Term Loan, 6.45% due 2/14/2011 1,660,341
333,333 United Rentals, Inc. Tranche B Credit Linked Deposit,
5.59% due 2/14/2011 337,125
3,950,000 Waste Services, Inc. Tranche B Term Loan,
7.28% - 9% due 3/31/2011 3,989,500
--------------
7,704,460
Utility - 1.4% 1,000,000 Calpine Corp. Second Lien Term Loan, 9.90% due 7/15/2007 768,000
1,700,000 Covanta Energy Corp. Second Lien Term Loan,
9.141% - 9.691% due 6/24/2013 1,712,750
750,000 El Paso Corp. Deposit Account, 2.77% due 11/23/2009 753,906
1,230,000 El Paso Corp. Term Loan, 6.813% due 11/23/2009 1,238,114
--------------
4,472,770
Wireless 2,947,500 Centennial Cellular Operating Co. Term Loan,
Communications - 0.9% 6.27% - 6.83% due 2/09/2011 2,963,850
Total Floating Rate Loan Interests
(Cost - $136,571,963) - 41.9% 137,158,096
Shares
Held Common Stocks
Chemicals - 0.2% 142,466 GEO Specialty Chemicals, Inc. (e) 641,097
Leisure - 0.1% 41,866 Lodgian, Inc. (e) 430,801
Telecommunications - 0.1% 32,057 IDT Corp. Class B (e) 391,095
Total Common Stocks (Cost - $3,488,548) - 0.4% 1,462,993
Preferred Stocks
Cable - U.S. - 0.0% 2,500 Adelphia Communications Corp. Series B, 13% (e) 625
Total Preferred Stocks (Cost - $225,000) - 0.0% 625
Warrants (j)
Paper - 0.0% 3,500 MDP Acquisitions Plc (expires 10/01/2013) 17,500
Wireless 600 American Tower Corp. (expires 8/01/2008) 229,951
Communications - 0.1%
Total Warrants (Cost - $39,036) - 0.1% 247,451
Beneficial
Interest Other Interests (d)
Automotive - 0.0% $ 4,130,972 Cambridge Industries, Inc. (Litigation Trust Certificates) 41,310
Health Care - 0.0% 10,284 MEDIQ Inc. (Preferred Stock Escrow due 2/01/2006) 0
Total Other Interests (Cost - $0) - 0.0% 41,310
Short-Term Securities
$ 140,308 Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (b) 140,308
Total Short-Term Securities (Cost - $140,308) - 0.1% 140,308
Total Investments (Cost - $460,359,466*) - 135.3% 443,186,732
Liabilities in Excess of Other Assets - (35.3%) (115,531,153)
--------------
Net Assets - 100.0% $ 327,655,579
==============
* The cost and unrealized appreciation (depreciation) of investments as of
November 30, 2005, as computed for federal income tax purposes,
were as follows:
Aggregate cost $ 459,985,210
=================
Gross unrealized appreciation $ 9,176,397
Gross unrealized depreciation (25,974,875)
-----------------
Net unrealized depreciation $ (16,798,478)
=================
(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. The 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, for purposes of
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 $ (4,203,146) $ 23,856
(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.
(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) Mortgage-Backed Securities are subject to principal 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.
(l) Represents a pay-in-kind security which may pay interest/dividends in additional
face/shares.
For Fund compliance purposes, the Fund's industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or ratings group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine
industry sub-classifications for reporting ease. Industries are shown as a
percent of net assets.
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: January 25, 2006
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: January 25, 2006
By: /s/ Donald C. Burke
------------------------
Donald C. Burke
Chief Financial Officer
Senior High Income Portfolio, Inc.
Date: January 25, 2006