UNITED STATES
SECURITIES
AND EXCHANGE COMMISSION
Washington,
D.C. 20549
FORM
N-CSR
CERTIFIED SHAREHOLDER
REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
811-21972
Name of Fund: BlackRock Credit Allocation
Income Trust IV (BTZ)
Fund Address: 100 Bellevue Parkway,
Wilmington, DE 19809
Name and address of agent for service:
John M. Perlowski, Chief Executive Officer, BlackRock Credit Allocation Income Trust IV, 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: 10/31/2011
Date of reporting period: 10/31/2011
Item 1 – Report to Stockholders
|
October 31, 2011
|
Annual Report
}
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
}
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
}
BlackRock Credit Allocation Income Trust III (BPP)
}
BlackRock Credit Allocation Income Trust IV (BTZ)
}
BlackRock Floating Rate Income Trust (BGT)
Not FDIC Insured No Bank Guarantee May Lose Value
Table of Contents
Page
2
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Dear Shareholder
One year ago, the global economy appeared to solidly be in recovery
mode and investors were optimistic as the US Federal Reserve launched its second round of quantitative easing. Stock markets
rallied despite ongoing sovereign debt problems in Europe and inflationary pressures looming over emerging markets. Fixed
income markets, however, saw yields move sharply upward (pushing prices down), especially on the long end of the historically
steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth
quarter of 2010. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond
program would not be extended and municipal finance troubles burgeoned.
Early 2011 saw spikes of volatility as political turmoil swept across the Middle East/North Africa region and prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted regarding US debt and deficit issues. Nevertheless, equities generally performed well early in the year as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.
However, the environment changed dramatically in the middle of the second quarter. Markets dropped sharply in May when fears mounted over the possibility of Greece defaulting on its debt, rekindling fears about the broader sovereign debt crisis. Concurrently, economic data signaled that the recovery had slowed in the United States and other developed nations. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5th, Standard & Poors downgraded the US governments credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default. Financial problems intensified in Italy and Spain and both countries faced credit rating downgrades. Debt worries spread to the core European nations of France and Germany, and the entire euro-zone banking system came under intense pressure. Late in the summer, economic data out of the United States and Europe grew increasingly bleak while China and other emerging economies began to show signs of slowing growth. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries, gold and the Swiss franc skyrocketed.
October brought enough positive economic data to assuage fears of a double-dip recession in the United States and corporate earnings continued to be strong. Additionally, European policymakers demonstrated an increased willingness to unite in their struggle to resolve the regions debt and banking crisis. These encouraging developments brought many investors back from the sidelines and risk assets rallied through the month, albeit with large daily swings as investor reactions to news from Europe vacillated between faith and skepticism.
Overall, lower-risk investments including US Treasuries, municipal securities and investment grade credits posted gains for the 6- and 12-month periods ended October 31, 2011. Risk assets, including equities and high yield debt, broadly declined over the six months; however, US stocks and high yield bonds remained in positive territory on a 12-month basis. Continued low short-term interest rates kept yields on money market securities near their all-time lows. While markets remain volatile and uncertainties abound, BlackRock remains dedicated to finding opportunities and managing risk in this environment.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
While markets remain volatile and uncertainties abound, BlackRock
remains dedicated to finding opportunities and managing risk in this environment.
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of October 31, 2011
|
|
|
|
|
|
6-month
|
12-month
|
US large cap equities
|
(7.11
|
)%
|
8.09
|
%
|
(S&P 500
®
Index)
|
|
|
|
|
US small cap equities
|
(13.76
|
)
|
6.71
|
|
(Russell 2000
®
Index)
|
|
|
|
|
International equities
|
(14.90
|
)
|
(4.08
|
)
|
(MSCI Europe, Australasia,
|
|
|
|
|
Far East Index)
|
|
|
|
|
Emerging market
|
(15.91
|
)
|
(7.72
|
)
|
equities (MSCI Emerging
|
|
|
|
|
Markets Index)
|
|
|
|
|
3-month Treasury
|
0.04
|
|
0.13
|
|
bill (BofA Merrill Lynch
|
|
|
|
|
3-Month Treasury
|
|
|
|
|
Bill Index)
|
|
|
|
|
US Treasury securities
|
12.11
|
|
7.79
|
|
(BofA Merrill Lynch 10-
|
|
|
|
|
Year US Treasury Index)
|
|
|
|
|
US investment grade
|
4.98
|
|
5.00
|
|
bonds (Barclays
|
|
|
|
|
Capital US Aggregate
|
|
|
|
|
Bond Index)
|
|
|
|
|
Tax-exempt municipal
|
5.56
|
|
3.78
|
|
bonds (Barclays Capital
|
|
|
|
|
Municipal Bond Index)
|
|
|
|
|
US high yield bonds
|
(0.95
|
)
|
5.16
|
|
(Barclays Capital US
|
|
|
|
|
Corporate High Yield 2%
|
|
|
|
|
Issuer Capped Index)
|
|
|
|
|
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
|
THIS PAGE NOT PART OF YOUR FUND REPORT
|
3
|
|
|
Fund Summary
as of October 31, 2011
|
BlackRock Credit Allocation Income Trust I, Inc.
|
Fund Overview
BlackRock Credit Allocation Income Trust I, Inc.s (PSW) (the
Fund)
primary investment objective is to provide holders of common shares (Common Shareholders) with
high current income. The secondary investment objective of the Fund is to provide Common Shareholders with capital appreciation.
The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in
credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred
to as junk bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics
similar to these credit-related securities. The Fund may invest directly in such securities or synthetically through the use of
derivatives.
No assurance can
be given that the Funds investment objective will be achieved.
Portfolio Management Commentary
How did the Fund perform?
|
|
For the 12 months ended October 31, 2011, the Fund returned
2.20% based on market price and 4.55% based on net asset value (NAV). For the same period, the closed-end Lipper Corporate
Debt Funds (BBB-Rated) category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect
reinvestment of dividends. The Fund's discount to NAV, which widened during the period, accounts for the difference between performance
based on price and performance based on NAV. The following discussion relates to performance based on NAV.
|
What factors influenced performance?
|
|
The primary driver of the Funds positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put in place to limit expected volatility in interest rates and had a net negative contribution to
performance.
|
|
|
The Funds allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Funds holdings, which contributed positively to returns.
|
|
|
Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies.
Capital securities were particularly hurt as they are lower
in the capital structure and therefore tend to exhibit higher volatility during periods of risk aversion.
|
Describe recent portfolio activity.
|
|
During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchase investment grade credits with better predictability of earnings.
|
Describe portfolio positioning at period end.
|
|
The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Funds corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.
|
The views expressed
reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic
or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
4
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
BlackRock Credit Allocation Income Trust I, Inc.
|
Fund Information
|
|
|
|
Symbol on New York Stock Exchange (NYSE)
|
PSW
|
Initial Offering Date
|
August 1, 2003
|
Yield on Closing Market Price as of October 31, 2011 ($9.25)
1
|
7.72
%
|
Current Monthly Distribution per Common Share
2
|
$
0.0595
|
Current Annualized Distribution per Common Share
2
|
$
0.7140
|
Leverage as of October 31, 2011
3
|
33
%
|
1
|
|
Yield on closing market price is calculated by dividing
the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
|
2
|
|
The distribution rate is not constant and is subject
to change.
|
3
|
|
Represents reverse repurchase agreements as a percentage
of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.
|
The table below summarizes the changes in the Funds market price and NAV per share:
|
10/31/11
|
10/31/10
|
Change
|
High
|
Low
|
Market Price
|
$ 9.25
|
$ 9.67
|
(4.34)%
|
$ 9.89
|
$8.52
|
Net Asset Value
|
$10.52
|
$10.75
|
(2.14)%
|
$10.90
|
$9.88
|
The following charts show the portfolio composition and credit quality allocations of the Funds long-term investments:
Portfolio Composition
|
10/31/11
|
10/31/10
|
Corporate Bonds
|
82
|
%
|
69
|
%
|
Preferred Securities
|
15
|
|
16
|
|
Asset Backed Securities
|
1
|
|
|
|
Taxable Municipal Bonds
|
1
|
|
1
|
|
US Treasury Obligations
|
1
|
|
14
|
|
Credit Quality Allocations
4
|
10/31/11
|
10/31/10
|
AAA/Aaa
5
|
1
|
%
|
14
|
%
|
AA/Aa
|
7
|
|
10
|
|
A
|
28
|
|
23
|
|
BBB/Baa
|
38
|
|
38
|
|
BB/Ba
|
15
|
|
12
|
|
B
|
8
|
|
1
|
|
CCC/Caa
|
1
|
|
|
|
Not Rated
|
2
|
|
2
|
|
4
|
|
Using the higher of Standard & Poors (S&Ps)
or Moodys Investors Service (Moodys) ratings.
|
5
|
|
Includes US Treasury obligations that are deemed AAA
by the investment advisor.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
5
|
|
|
Fund Summary
as of October 31, 2011
|
BlackRock Credit Allocation Income Trust II, Inc.
|
Fund Overview
BlackRock Credit Allocation Income Trust II, Inc.s (PSY) (the
Fund)
primary investment objective is to provide Common Shareholders with current income. The secondary investment
objective of the Fund is to provide Common Shareholders with capital appreciation. The Fund seeks to achieve its investment objectives
by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited
to, investment grade corporate bonds, high yield bonds (commonly referred to as junk bonds), bank loans, preferred
securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Fund
may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Funds investment objective will be achieved.
Portfolio Management Commentary
How did the Fund perform?
|
|
For the 12 months ended October 31, 2011, the Fund returned
0.16% based on market price and 3.71% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated)
category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance based on NAV.
|
What factors influenced performance?
|
|
The primary driver of the Funds positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put into place to limit expected volatility in interest rates and had a net negative contribution
to performance.
|
|
|
The Funds allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Funds holdings, which contributed positively to returns.
|
|
|
Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies. Capital securities were particularly hurt as they are lower in the capital structure and therefore
tend to exhibit higher volatility during periods of risk aversion.
|
Describe recent portfolio activity.
|
|
During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchased investment grade credits with better predictability of earnings.
|
Describe portfolio positioning at period end.
|
|
The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Funds corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
6
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
BlackRock Credit Allocation Income Trust II, Inc.
Fund Information
|
|
Symbol on NYSE
|
PSY
|
Initial Offering Date
|
March 28, 2003
|
Yield on Closing Market Price as of October 31, 2011 ($9.74)
1
|
7.52
%
|
Current Monthly Distribution per Common Share
2
|
$
0.0610
|
Current Annualized Distribution per Common Share
2
|
$
0.7320
|
Leverage as of October 31, 2011
3
|
32
%
|
1
|
|
Yield on closing market price is calculated by dividing
the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
|
2
|
|
The distribution rate is not constant and is subject
to change.
|
3
|
|
Represents reverse repurchase agreements as a percentage
of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.
|
The table below summarizes the changes in the Funds market price and NAV per share:
|
10/31/11
|
10/31/10
|
Change
|
High
|
Low
|
Market Price
|
$ 9.74
|
$10.39
|
(6.26)%
|
$10.60
|
$ 9.08
|
Net Asset Value
|
$11.25
|
$11.59
|
(2.93)%
|
$11.72
|
$10.61
|
The following charts show the portfolio composition and credit quality allocations of the Funds long-term investments:
Portfolio Composition
|
10/31/11
|
10/31/10
|
Corporate Bonds
|
80
|
%
|
64
|
%
|
Preferred Securities
|
17
|
|
19
|
|
US Treasury Obligations
|
1
|
|
16
|
|
Asset Backed Securities
|
1
|
|
|
|
Taxable Municipal Bonds
|
1
|
|
1
|
|
Credit Quality Allocations
4
|
10/31/11
|
10/31/10
|
AAA/Aaa
5
|
1
|
%
|
16
|
%
|
AA/Aa
|
7
|
|
7
|
|
A
|
26
|
|
21
|
|
BBB/Baa
|
39
|
|
42
|
|
BB/Ba
|
17
|
|
12
|
|
B
|
7
|
|
1
|
|
CCC/Caa
|
1
|
|
|
|
Not Rated
|
2
|
|
1
|
|
4
|
|
Using the higher of S&Ps or Moodys ratings.
|
5
|
|
Includes US Treasury obligations that are deemed AAA
by the investment advisor.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
7
|
|
|
Fund Summary
as of October 31, 2011
|
BlackRock Credit Allocation Income Trust III
|
Fund Overview
BlackRock Credit Allocation Income Trust IIIs (BPP) (the Fund)
investment objective is to provide high current income consistent with capital preservation. The Fund seeks to achieve its
investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including,
but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as junk bonds), bank
loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related
securities. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Funds investment objective will be achieved.
Portfolio Management Commentary
How did the Fund perform?
|
|
For the 12 months ended October 31, 2011, the Fund returned
(0.16)% based on market price and 3.56% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated)
category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance based on NAV.
|
What factors influenced performance?
|
|
The primary driver of the Funds positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put into place to limit expected volatility in interest rates and had a net negative contribution
to performance.
|
|
|
The Funds allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Funds holdings, which contributed positively to returns.
|
|
|
Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies.
Capital securities were particularly hurt as they are lower in the capital structure and
therefore tend to exhibit higher volatility during periods of risk aversion.
|
Describe recent portfolio activity.
|
|
During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchase investment grade credits with better predictability of earnings.
|
Describe portfolio positioning at period end.
|
|
The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Funds corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
8
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
BlackRock Credit Allocation Income Trust III
Fund Information
|
|
Symbol on NYSE
|
BPP
|
Initial Offering Date
|
February 28, 2003
|
Yield on Closing Market Price as of October 31, 2011 ($10.53)
1
|
7.01
%
|
Current Monthly Distribution per Common Share
2
|
$
0.0615
|
Current Annualized Distribution per Common Share
2
|
$
0.7380
|
Leverage as of October 31, 2011
3
|
29
%
|
1
|
|
Yield on closing market price is calculated by dividing
the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
|
2
|
|
A change in the distribution rate was declared on December
5, 2011. The Monthly Distribution per Common Share increased to $0.0635. The Yield on Closing Market Price, Current Monthly Distribution
per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution
rate is not constant and is subject to further change in the future.
|
3
|
|
Represents reverse repurchase agreements as a percentage
of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.
|
The table below summarizes the changes in the Funds market price and NAV per share:
|
10/31/11
|
10/31/10
|
Change
|
High
|
Low
|
Market Price
|
$10.53
|
$11.23
|
(6.23)%
|
$11.31
|
$ 9.71
|
Net Asset Value
|
$12.07
|
$12.41
|
(2.74)%
|
$12.62
|
$11.35
|
The following charts show the portfolio composition and credit quality allocations of the Funds long-term investments:
Portfolio Composition
|
10/31/11
|
10/31/10
|
Corporate Bonds
|
83
|
%
|
72
|
%
|
Preferred Securities
|
15
|
|
18
|
|
US Treasury Obligations
|
1
|
|
9
|
|
Taxable Municipal Bonds
|
1
|
|
1
|
|
Credit Quality Allocations
4
|
10/31/11
|
10/31/10
|
AAA/Aaa
5
|
1
|
%
|
9
|
%
|
AA/Aa
|
6
|
|
8
|
|
A
|
31
|
|
26
|
|
BBB/Baa
|
37
|
|
40
|
|
BB/Ba
|
15
|
|
14
|
|
B
|
8
|
|
1
|
|
CCC/Caa
|
1
|
|
1
|
|
Not Rated
|
1
|
|
1
|
|
4
|
|
Using the higher of S&Ps or Moodys ratings.
|
5
|
|
Includes US Treasury obligations that are deemed AAA
by the investment advisor.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
9
|
|
|
Fund Summary
as of October 31, 2011
|
BlackRock Credit Allocation Income Trust IV
|
Fund Overview
BlackRock Credit Allocation Income Trust IVs (BTZ) (the Fund)
investment objective is to provide current income, current gains and capital appreciation. The Fund seeks to achieve its investment
objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but
not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as junk bonds), bank loans,
preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities.
The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Funds investment objective will be achieved.
Portfolio Management Commentary
How did the Fund perform?
|
|
For the 12 months ended October 31, 2011, the Fund returned
(0.60)% based on market price and 3.28% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated)
category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance based on NAV.
|
What factors influenced performance?
|
|
The primary driver of the Funds positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put into place to limit expected volatility in interest rates and had a net negative contribution
to performance.
|
|
|
The Funds allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Funds holdings, which contributed positively to returns.
|
|
|
Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies.
Capital securities were particularly hurt as they are lower
in the capital structure and therefore tend to exhibit higher volatility during periods of risk aversion.
|
Describe recent portfolio activity.
|
|
During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchase investment grade credits with better predictability of earnings.
|
Describe portfolio positioning at period end.
|
|
The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Funds corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
10
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
BlackRock Credit Allocation Income Trust IV
Fund Information
Symbol on NYSE
|
BTZ
|
Initial Offering Date
|
December 27, 2006
|
Yield on Closing Market Price as of October 31, 2011 ($12.08)
1
|
7.60%
|
Current Monthly Distribution per Common Share
2
|
$0.0765
|
Current Annualized Distribution per Common Share
2
|
$0.9180
|
Leverage as of October 31, 2011
3
|
32%
|
1
|
|
Yield on closing market price is calculated by dividing
the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
|
2
|
|
A change in the distribution rate was declared on December
5, 2011. The Monthly Distribution per Common Share increased to $0.0785. The Yield on Closing Market Price, Current Monthly Distribution
per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution
rate is not constant and is subject to further change in the future.
|
3
|
|
Represents reverse repurchase agreements as a percentage
of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.
|
The table below summarizes the changes in the Funds market price and NAV per share:
|
10/31/11
|
10/31/10
|
Change
|
High
|
Low
|
Market Price
|
$12.08
|
$13.02
|
(7.22)%
|
$13.20
|
$11.19
|
Net Asset Value
|
$13.94
|
$14.46
|
(3.60)%
|
$14.56
|
$13.10
|
The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds long-term investments:
Portfolio Composition
|
|
|
|
|
|
10/31/11
|
10/31/10
|
Corporate Bonds
|
80
|
%
|
64
|
%
|
Preferred Securities
|
17
|
|
19
|
|
US Treasury Obligations
|
1
|
|
15
|
|
Taxable Municipal Bonds
|
1
|
|
2
|
|
Asset Backed Securities
|
1
|
|
|
|
Credit Quality Allocations
4
|
10/31/11
|
10/31/10
|
AAA/Aaa
5
|
1
|
%
|
|
|
AA/Aa
|
7
|
|
11
|
%
|
A
|
29
|
|
22
|
|
BBB/Baa
|
37
|
|
44
|
|
BB/Ba
|
16
|
|
19
|
|
B
|
8
|
|
2
|
|
Not Rated
|
2
|
|
2
|
|
4
|
|
Using the higher of S&Ps or Moodys ratings.
|
5
|
|
Includes US Treasury Obligations that are deemed AAA
by the investment advisor.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
11
|
|
|
Fund Summary
as of October 31, 2011
|
BlackRock Floating Rate Income Trust
|
Fund Overview
BlackRock Floating Rate Income Trusts (BGT) (the Fund)
primary investment objective is to provide a high level of current income. The Funds secondary investment objective
is to seek the preservation of capital. The Fund seeks to achieve its investment objectives by investing primarily, under normal
conditions, at least 80% of its assets in floating and variable rate instruments of US and non-US issuers, including a substantial
portion of its assets in global floating and variable rate securities including senior secured floating rate loans made to corporate
and other business entities. Under normal market conditions, the Fund expects that the average effective duration of its portfolio
will be no more than 1.5 years. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Funds investment objectives will be achieved.
Portfolio Management Commentary
How did the Fund perform?
|
|
For the 12 months ended October 31, 2011, the Fund returned
(3.46)% based on market price and 4.03% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category
posted an average return of 0.51% based on market price and 4.01% based on NAV. All returns reflect reinvestment of dividends.
The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based
on price and performance based on NAV. The following discussion relates to performance based on NAV.
|
What factors influenced performance?
|
|
Floating rate loan interests (bank loans)
performed well over the 12-month period. Although it lagged a number of its fixed income peers, the asset class benefited from
a favorable technical backdrop, solid corporate fundamentals and record low default rates. More recently, however, macroeconomic
concerns have weighed on the sector, triggering sharp bouts of volatility, some modest spread widening and significant price depreciation
from the near-par levels seen in the first quarter of 2011.
|
|
|
The Funds positive performance was driven primarily
by security selection within the higher-quality tiers of the bank loan market. By and large, positive selection reflected the
Funds higher-quality bias and focus on more recession-resistant sectors that are not heavily reliant on a strong
consumer, such as chemicals and non-captive diversified industrials.
|
|
|
While the Fund invests primarily in bank loans, it also
maintains an allocation to emerging market and high yield bonds (approximately 25% of the leveraged portfolio). During the reporting
period, the Fund pursued a bias towards high yield corporate bonds at the expense of its emerging market exposure. This positioning
benefited performance for the year as high yield has outperformed not only emerging market debt, but bank loans as well.
|
|
|
As the fund is mandated to hold a certain percentage
of its assets in non-US instruments, our exposure to non-US-dollar denominated loans, particularly those issued in Europe, detracted
from performance given a much lower level of liquidity and market transparency. This mainly impaired the portfolio when the global
sell-off commenced in August.
|
Describe recent portfolio activity.
|
|
During the 12-month period, the Fund maintained its higher-quality
bias in terms of loan structure, overall credit quality and liquidity. Prior to the market correction in August, management reduced
exposure to some of the Funds lower-quality holdings and increased its level of cash as market conditions appeared to be
weakening and our outlook grew increasingly uncertain. While transitioning the overall portfolio to a more conservative stance,
management continued to seek investment opportunities in the market, albeit cautiously, targeting companies with superior credit
fundamentals (i.e., stable income streams, earnings visibility, and attractive downside protection).
|
Describe portfolio positioning at period end.
|
|
At period end, the Fund held large exposures to the non-captive
diversified industrials, chemicals and wireless sectors, while exposure to healthcare, media non-cable and technology was limited.
The Fund held 78% of its total portfolio in bank loans, 18% in corporate bonds and the remainder invested in a mix of asset backed
securities, foreign agency obligations and other interests. The Fund ended the period with leverage at 27% of its total managed
assets.
|
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
12
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
BlackRock Floating Rate Income Trust
Fund Information
Symbol on NYSE
|
BGT
|
Initial Offering Date
|
August 30, 2004
|
Yield on Closing Market Price as of October 31, 2011 ($13.00)
1
|
7.15%
|
Current Monthly Distribution per Common Share
2
|
$0.0775
|
Current Annualized Distribution per Common Share
2
|
$0.9300
|
Leverage as of October 31, 2011
3
|
27%
|
1
|
|
Yield on closing market price is calculated by dividing
the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
|
2
|
|
The distribution rate is not constant and is subject
to change.
|
3
|
|
Represents the loan outstanding as a percentage of total
managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of liabilities
(other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please
see The Benefits and Risks of Leveraging on page 14.
|
The table below summarizes the changes in the Funds market price and NAV per share:
|
10/31/11
|
10/31/10
|
Change
|
High
|
Low
|
Market Price
|
$13.00
|
$14.52
|
(10.47)%
|
$17.00
|
$11.71
|
Net Asset Value
|
$13.97
|
$14.48
|
(3.52)%
|
$14.83
|
$13.25
|
The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds long-term investments excluding common stocks and floating rate loan interests:
Portfolio Composition
|
|
|
|
|
|
10/31/11
|
10/31/10
|
Floating Rate Loan Interests
|
78
|
%
|
79
|
%
|
Corporate Bonds
|
18
|
|
16
|
|
Asset Backed Securities
|
2
|
|
|
|
Foreign Agency Obligations
|
1
|
|
4
|
|
Other Interests
|
1
|
|
1
|
|
Credit Quality Allocations
4
|
|
|
|
|
|
10/31/11
|
10/31/10
|
AA/Aa
|
9
|
%
|
|
|
A
|
2
|
|
4
|
%
|
BBB/Baa
|
25
|
|
21
|
|
BB/Ba
|
27
|
|
23
|
|
B
|
34
|
|
29
|
|
CCC/Caa
|
1
|
|
1
|
|
Not Rated
|
2
|
|
22
|
5
|
4
|
|
Using the higher of S&Ps or Moodys ratings.
|
5
|
|
The investment advisor has deemed certain of these securities
to be of investment grade quality. As of October 31, 2010, the market value of these securities was $606,918, representing 1%
of the Fund's long-term investments.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
13
|
The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance the yield and NAV of their common shares (Common Shares). However, these objectives cannot be achieved in all interest rate environments.
The Funds may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements. The Funds also had auction market preferred shares (Preferred Shares) issuances outstanding during the year ended October 31, 2011. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Funds shareholders will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.
To illustrate these concepts, assume a Funds capitalization is $100 million and it borrows an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Funds long-term investments, and therefore the Funds shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Funds total portfolio earns income based on lower long-term interest rates.
Furthermore, the value of the Funds portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Funds borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds NAV positively or negatively in addition to the impact on Fund performance from borrowings discussed above.
The use of leverage may enhance opportunities for increased income to the Funds and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Funds NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Funds net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Funds net income will be less than if leverage had not been used, and therefore the amount available for distribution to Shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Funds ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by Shareholders and may reduce income.
Under the Investment Company Act of 1940, the Funds are permitted to
borrow through their credit facility or by entering into reverse repurchase agreements up to 33
1
/
3
%
of their total managed assets. As of October 31, 2011, the Funds had outstanding leverage from borrowings as a percentage of their
total managed assets as follows:
|
Percent of
Leverage
|
PSW
|
33%
|
PSY
|
32%
|
BPP
|
29%
|
BTZ
|
32%
|
BGT
|
27%
|
14
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments,
including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the
Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are
used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity,
credit, interest rate, foreign currency exchange rate, and/or other risks. Derivative financial instruments involve risks,
including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible
default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds ability
to use a derivative financial instrument successfully depends on the investment advisors ability to predict pertinent
market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses
greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or
for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower
dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds
investments in these instruments are discussed in detail in the Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
15
|
|
|
Schedule of Investments
October
31, 2011
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
Par
(000
)
|
|
Value
|
Atrium CDO Corp., Series 5A, Class A4, 0.69%,
|
|
|
|
|
|
7/20/20
(a)(b)
|
USD
|
650
|
|
$
|
503,750
|
SLM Student Loan Trust, Series 2004-B, Class A2,
|
|
|
|
|
|
0.55%, 6/15/21 (b)
|
|
516
|
|
|
493,571
|
Total Asset-Backed Securities 0.9%
|
|
|
|
|
997,321
|
|
Corporate Bonds
|
Aerospace & Defense 1.8%
|
|
|
|
|
|
BE Aerospace, Inc., 8.50%, 7/01/18
|
|
560
|
|
|
611,800
|
Bombardier, Inc., 7.75%, 3/15/20 (a)
|
|
720
|
|
|
792,000
|
Huntington Ingalls Industries, Inc. (a):
|
|
|
|
|
|
6.88%, 3/15/18
|
|
150
|
|
|
151,125
|
7.13%, 3/15/21
|
|
140
|
|
|
141,750
|
Kratos Defense & Security Solutions, Inc.,
|
|
|
|
|
|
10.00%, 6/01/17
|
|
282
|
|
|
291,870
|
|
|
|
|
|
1,988,545
|
Airlines 1.0%
|
|
|
|
|
|
American Airlines Pass-Through Trust:
|
|
|
|
|
|
Series 2011-1, Class A, 5.25%, 7/31/22
|
|
325
|
|
|
295,313
|
Series 2011-2, Class A, 8.63%, 4/15/23
|
|
115
|
|
|
115,000
|
Continental Airlines Pass-Through Certificates,
|
|
|
|
|
|
Series 2009-2, Class B, 9.25%, 5/10/17
|
|
335
|
|
|
344,636
|
Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24
|
|
294
|
|
|
290,371
|
|
|
|
|
|
1,045,320
|
Auto Components 1.5%
|
|
|
|
|
|
Daimler Finance North America LLC, 2.63%,
|
|
|
|
|
|
9/15/16
(a)(c)
|
|
800
|
|
|
795,098
|
Delphi Corp., 6.13%, 5/15/21 (a)
|
|
130
|
|
|
132,600
|
Icahn Enterprises LP:
|
|
|
|
|
|
7.75%, 1/15/16
|
|
200
|
|
|
205,000
|
8.00%, 1/15/18
|
|
500
|
|
|
508,750
|
|
|
|
|
|
1,641,448
|
Beverages 0.5%
|
|
|
|
|
|
Constellation Brands, Inc., 7.25%, 5/15/17
|
|
460
|
|
|
506,000
|
Building Products 0.4%
|
|
|
|
|
|
Building Materials Corp. of America (a):
|
|
|
|
|
|
7.00%, 2/15/20
|
|
85
|
|
|
90,100
|
6.75%, 5/01/21
|
|
270
|
|
|
280,125
|
|
|
|
|
|
370,225
|
Capital Markets 4.9%
|
|
|
|
|
|
Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)
|
|
750
|
|
|
817,321
|
E*Trade Financial Corp., 12.50%, 11/30/17 (d)
|
|
440
|
|
|
507,100
|
The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)
|
|
1,050
|
|
|
1,082,767
|
Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)
|
|
445
|
|
|
435,838
|
Morgan Stanley (c):
|
|
|
|
|
|
5.75%, 1/25/21
|
|
1,025
|
|
|
1,012,283
|
5.50%, 7/28/21
|
|
390
|
|
|
380,926
|
UBS AG (c):
|
|
|
|
|
|
2.25%, 1/28/14
|
|
375
|
|
|
373,679
|
5.88%, 7/15/16
|
|
650
|
|
|
671,476
|
|
|
|
|
|
5,281,390
|
Chemicals 1.0%
|
|
|
|
|
|
Ashland, Inc., 9.13%, 6/01/17
|
|
120
|
|
|
134,100
|
Celanese US Holdings LLC, 5.88%, 6/15/21
|
|
370
|
|
|
393,125
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Chemicals (concluded)
|
|
|
|
|
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
USD
|
290
|
|
$
|
322,988
|
Solutia, Inc., 7.88%, 3/15/20
|
|
200
|
|
|
214,000
|
|
|
|
|
|
1,064,213
|
Commercial Banks 5.9%
|
|
|
|
|
|
Amsouth Bank, Series AI, 4.85%, 4/01/13
|
|
200
|
|
|
192,500
|
Asciano Finance Ltd., 5.00%, 4/07/18 (a)
|
|
200
|
|
|
212,630
|
Associated Banc-Corp, 5.13%, 3/28/16
|
|
515
|
|
|
531,376
|
BNP Paribas, 3.60%, 2/23/16 (c)
|
|
390
|
|
|
388,907
|
Branch Banking & Trust Co. (b):
|
|
|
|
|
|
0.66%, 9/13/16
|
|
250
|
|
|
231,631
|
0.60%, 5/23/17
|
|
150
|
|
|
136,184
|
CIT Group, Inc.:
|
|
|
|
|
|
7.00%, 5/01/15
|
|
60
|
|
|
60,000
|
7.00%, 5/02/16 (a)
|
|
370
|
|
|
369,075
|
7.00%, 5/01/17
|
|
331
|
|
|
331,000
|
7.00%, 5/02/17 (a)
|
|
90
|
|
|
89,775
|
City National Corp., 5.25%, 9/15/20 (c)
|
|
550
|
|
|
560,704
|
Discover Bank, 8.70%, 11/18/19
|
|
300
|
|
|
339,312
|
HSBC Holdings Plc, 5.10%, 4/05/21 (c)
|
|
1,300
|
|
|
1,400,188
|
Regions Financial Corp.:
|
|
|
|
|
|
4.88%, 4/26/13
|
|
600
|
|
|
585,000
|
5.75%, 6/15/15
|
|
460
|
|
|
442,750
|
SVB Financial Group, 5.38%, 9/15/20 (c)
|
|
550
|
|
|
567,574
|
|
|
|
|
|
6,438,606
|
Commercial Services & Supplies 3.8%
|
|
|
|
|
|
Aviation Capital Group Corp. (a):
|
|
|
|
|
|
7.13%, 10/15/20 (c)
|
|
2,200
|
|
|
2,129,486
|
6.75%, 4/06/21
|
|
550
|
|
|
529,601
|
Casella Waste Systems, Inc., 7.75%, 2/15/19
|
|
169
|
|
|
162,240
|
Clean Harbors, Inc., 7.63%, 8/15/16
|
|
306
|
|
|
323,595
|
Corrections Corp. of America, 7.75%, 6/01/17
|
|
775
|
|
|
838,937
|
Iron Mountain, Inc., 7.75%, 10/01/19
|
|
90
|
|
|
93,375
|
Mobile Mini, Inc., 7.88%, 12/01/20
|
|
65
|
|
|
65,000
|
|
|
|
|
|
4,142,234
|
Communications Equipment 0.9%
|
|
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15
|
|
200
|
|
|
177,000
|
Brocade Communications Systems, Inc., 6.88%, 1/15/20
|
700
|
|
|
733,250
|
EH Holding Corp., 6.50%, 6/15/19 (a)
|
|
100
|
|
|
102,250
|
|
|
|
|
|
1,012,500
|
Consumer Finance 4.4%
|
|
|
|
|
|
American Express Credit Corp., 2.75%, 9/15/15 (c)
|
|
1,400
|
|
|
1,417,451
|
Capital One Bank USA NA, 8.80%, 7/15/19
|
|
775
|
|
|
920,554
|
Ford Motor Credit Co., LLC, 7.00%, 4/15/15
|
|
690
|
|
|
752,100
|
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)
|
|
420
|
|
|
449,400
|
SLM Corp., 6.25%, 1/25/16
|
|
1,180
|
|
|
1,180,000
|
|
|
|
|
|
4,719,505
|
Containers & Packaging 1.6%
|
|
|
|
|
|
Ball Corp.:
|
|
|
|
|
|
7.13%, 9/01/16
|
|
400
|
|
|
433,000
|
6.75%, 9/15/20
|
|
505
|
|
|
544,137
|
Bemis Co., Inc., 6.80%, 8/01/19
|
|
200
|
|
|
234,419
|
Crown Americas LLC, 6.25%, 2/01/21 (a)
|
|
200
|
|
|
210,000
|
Graphic Packaging International, Inc., 9.50%, 6/15/17
|
155
|
|
|
169,337
|
Rock-Tenn Co., 9.25%, 3/15/16
|
|
75
|
|
|
79,688
|
Sealed Air Corp., 8.38%, 9/15/21 (a)
|
|
30
|
|
|
32,475
|
|
|
|
|
|
1,703,056
|
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Schedules of Investments, the names of many of the securities have been abbreviated according to the following list:
|
CAD
|
Canadian Dollar
|
GBP
|
British Pound
|
CHF
|
Swiss Franc
|
LIBOR
|
London InterBank Offered Rate
|
EUR
|
Euro
|
RB
|
Revenue Bonds
|
FKA
|
Formerly Known As
|
USD
|
US Dollar
|
See Notes to Financial Statements.
16
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Diversified Financial Services 10.0%
|
|
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
|
|
4.50%, 2/11/14
|
USD
|
225
|
|
$
|
219,938
|
8.30%, 2/12/15
|
|
390
|
|
|
409,500
|
8.00%, 11/01/31
|
|
440
|
|
|
438,900
|
Bank of America Corp. (c):
|
|
|
|
|
|
5.30%, 3/15/17
|
|
855
|
|
|
817,627
|
5.00%, 5/13/21
|
|
1,325
|
|
|
1,244,058
|
Citigroup, Inc.:
|
|
|
|
|
|
6.38%, 8/12/14
|
|
300
|
|
|
323,863
|
4.59%, 12/15/15 (c)
|
|
225
|
|
|
235,084
|
Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)
|
|
210
|
|
|
225,225
|
General Electric Capital Corp., 5.30%, 2/11/21 (c)
|
|
1,125
|
|
|
1,197,296
|
General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)
|
120
|
|
|
121,098
|
ING Bank NV, 5.00%, 6/09/21 (a)(c)
|
|
550
|
|
|
564,531
|
Intesa Sanpaolo SpA (c):
|
|
|
|
|
|
2.38%, 12/21/12
|
|
800
|
|
|
779,110
|
6.50%, 2/24/21 (a)
|
|
200
|
|
|
184,541
|
JPMorgan Chase & Co., 3.15%, 7/05/16 (c)
|
|
950
|
|
|
951,612
|
Moodys Corp., 6.06%, 9/07/17
|
|
2,500
|
|
|
2,642,573
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
|
|
7.88%, 8/15/19
|
|
255
|
|
|
266,475
|
8.25%, 2/15/21
|
|
190
|
|
|
174,325
|
WMG Acquisition Corp., 9.50%, 6/15/16 (a)
|
|
50
|
|
|
53,000
|
|
|
|
|
|
10,848,756
|
Diversified Telecommunication Services 4.4%
|
|
|
|
|
|
AT&T, Inc., 6.30%, 1/15/38 (c)
|
|
1,000
|
|
|
1,201,729
|
France Telecom SA, 4.13%, 9/14/21
|
|
150
|
|
|
154,534
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
8.75%, 2/15/17
|
|
165
|
|
|
168,712
|
8.13%, 7/01/19 (a)
|
|
758
|
|
|
750,420
|
Qwest Corp., 8.38%, 5/01/16
|
|
390
|
|
|
445,575
|
Telecom Italia Capital SA, 6.18%, 6/18/14
|
|
225
|
|
|
228,555
|
Telefonica Emisiones SAU, 5.46%, 2/16/21
|
|
310
|
|
|
314,186
|
Verizon Communications, Inc., 7.35%, 4/01/39 (c)
|
|
925
|
|
|
1,276,923
|
Windstream Corp., 7.88%, 11/01/17
|
|
240
|
|
|
259,200
|
|
|
|
|
|
4,799,834
|
Electric Utilities 1.2%
|
|
|
|
|
|
Progress Energy, Inc., 7.00%, 10/30/31 (c)
|
|
1,000
|
|
|
1,311,396
|
Electronic Equipment, Instruments & Components 0.9%
|
|
|
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18
|
|
200
|
|
|
232,000
|
NXP BV, 3.15%, 10/15/13 (b)
|
|
700
|
|
|
686,000
|
|
|
|
|
|
918,000
|
Energy Equipment & Services 1.2%
|
|
|
|
|
|
Ensco Plc, 4.70%, 3/15/21 (c)
|
|
460
|
|
|
484,010
|
Frac Tech Services LLC, 7.63%, 11/15/18 (a)
|
|
250
|
|
|
261,250
|
Key Energy Services, Inc., 6.75%, 3/01/21
|
|
175
|
|
|
178,938
|
MEG Energy Corp., 6.50%, 3/15/21 (a)
|
|
225
|
|
|
234,562
|
Oil States International, Inc., 6.50%, 6/01/19
|
|
120
|
|
|
125,700
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (a)
|
|
45
|
|
|
45,450
|
|
|
|
|
|
1,329,910
|
Food & Staples Retailing 2.9%
|
|
|
|
|
|
CVS Caremark Corp., 6.30%, 6/01/62 (b)
|
|
800
|
|
|
777,000
|
Wal-Mart Stores, Inc., 6.20%, 4/15/38 (c)
|
|
1,825
|
|
|
2,379,672
|
|
|
|
|
|
3,156,672
|
Food Products 1.0%
|
|
|
|
|
|
Kraft Foods, Inc.:
|
|
|
|
|
|
6.50%, 8/11/17
|
|
385
|
|
|
460,191
|
6.13%, 8/23/18
|
|
390
|
|
|
464,103
|
Smithfield Foods, Inc., 10.00%, 7/15/14
|
|
86
|
|
|
99,975
|
|
|
|
|
|
1,024,269
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Gas Utilities 0.1%
|
|
|
|
|
|
Targa Resources Partners LP, 6.88%, 2/01/21 (a)
|
USD
|
115
|
|
$
|
113,563
|
Health Care Equipment & Supplies 0.6%
|
|
|
|
|
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
|
|
500
|
|
|
565,000
|
Teleflex, Inc., 6.88%, 6/01/19
|
|
115
|
|
|
119,025
|
|
|
|
|
|
684,025
|
Health Care Providers & Services 3.6%
|
|
|
|
|
|
Aetna, Inc., 6.75%, 12/15/37 (c)
|
|
400
|
|
|
508,966
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19
|
|
105
|
|
|
101,325
|
HCA, Inc.:
|
|
|
|
|
|
8.50%, 4/15/19
|
|
55
|
|
|
60,500
|
6.50%, 2/15/20
|
|
560
|
|
|
586,600
|
7.25%, 9/15/20
|
|
195
|
|
|
208,894
|
7.50%, 2/15/22
|
|
470
|
|
|
479,400
|
INC Research LLC, 11.50%, 7/15/19 (a)
|
|
165
|
|
|
148,500
|
inVentiv Health, Inc., 10.00%, 8/15/18 (a)
|
|
120
|
|
|
115,200
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
10.00%, 5/01/18
|
|
350
|
|
|
401,625
|
8.88%, 7/01/19
|
|
250
|
|
|
282,500
|
UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)
|
|
800
|
|
|
1,054,925
|
|
|
|
|
|
3,948,435
|
Household Durables 0.3%
|
|
|
|
|
|
Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)
|
|
365
|
|
|
289,263
|
Independent Power Producers & Energy Traders 1.3%
|
|
|
|
|
AES Corp.:
|
|
|
|
|
|
9.75%, 4/15/16
|
|
235
|
|
|
266,725
|
7.38%, 7/01/21 (a)
|
|
75
|
|
|
80,250
|
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)
|
125
|
|
|
133,125
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
100
|
|
|
104,000
|
Energy Future Intermediate Holding Co., LLC, 10.00%,
|
|
|
|
|
|
12/01/20
|
|
410
|
|
|
430,500
|
NRG Energy, Inc., 7.38%, 1/15/17
|
|
400
|
|
|
416,500
|
|
|
|
|
|
1,431,100
|
Insurance 8.3%
|
|
|
|
|
|
Allianz Finance II BV, 5.75%, 7/08/41 (b)
|
EUR
|
200
|
|
|
247,763
|
The Allstate Corp., 7.45%, 5/16/19 (c)
|
USD
|
900
|
|
|
1,119,175
|
American International Group, Inc., 6.40%,
|
|
|
|
|
|
12/15/20 (c)
|
|
410
|
|
|
429,412
|
Aon Corp., 5.00%, 9/30/20 (c)
|
|
1,600
|
|
|
1,753,397
|
Dai-ichi Life Insurance Co. Ltd., 7.25%,
|
|
|
|
|
|
12/31/49 (a)(b)(e)
|
|
88
|
|
|
89,924
|
Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)
|
|
700
|
|
|
659,637
|
Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)
|
|
250
|
|
|
253,962
|
Genworth Financial, Inc., 7.63%, 9/24/21
|
|
225
|
|
|
203,384
|
Manulife Financial Corp., 4.90%, 9/17/20 (c)
|
|
1,000
|
|
|
1,027,102
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
|
|
100
|
|
|
86,000
|
Northwestern Mutual Life Insurance, 6.06%, 3/30/40 (a)(c)
|
900
|
|
|
1,054,781
|
Principal Financial Group, Inc., 8.88%, 5/15/19
|
|
225
|
|
|
285,076
|
Prudential Financial, Inc., 6.63%, 12/01/37 (c)
|
|
800
|
|
|
951,260
|
XL Group Ltd., 5.75%, 10/01/21 (c)
|
|
810
|
|
|
854,066
|
|
|
|
|
|
9,014,939
|
IT Services 0.7%
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)
|
|
160
|
|
|
149,600
|
First Data Corp. (a):
|
|
|
|
|
|
7.38%, 6/15/19
|
|
170
|
|
|
168,300
|
8.25%, 1/15/21
|
|
20
|
|
|
19,000
|
12.63%, 1/15/21
|
|
215
|
|
|
203,175
|
SunGard Data Systems, Inc., 7.38%, 11/15/18
|
|
230
|
|
|
235,175
|
|
|
|
|
|
775,250
|
Life Sciences Tools & Services 1.9%
|
|
|
|
|
|
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16
|
|
865
|
|
|
942,850
|
Life Technologies Corp., 6.00%, 3/01/20 (c)
|
|
1,000
|
|
|
1,114,541
|
|
|
|
|
|
2,057,391
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
17
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Machinery 1.1%
|
|
|
|
|
|
Ingersoll-Rand Global Holding Co. Ltd.,
|
|
|
|
|
|
9.50%, 4/15/14
|
USD
|
800
|
|
$
|
940,430
|
Navistar International Corp., 8.25%, 11/01/21
|
|
218
|
|
|
237,075
|
|
|
|
|
|
1,177,505
|
Media 9.2%
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
|
90
|
|
|
97,650
|
CCH II LLC, 13.50%, 11/30/16
|
|
541
|
|
|
623,502
|
Cengage Learning Acquisitions, Inc.,
|
|
|
|
|
|
10.50%, 1/15/15 (a)
|
|
165
|
|
|
130,350
|
Comcast Corp., 6.30%, 11/15/17
|
|
800
|
|
|
945,182
|
Cox Communications, Inc., 8.38%, 3/01/39 (a)
|
|
800
|
|
|
1,118,633
|
CSC Holdings LLC:
|
|
|
|
|
|
8.50%, 4/15/14
|
|
160
|
|
|
175,600
|
8.50%, 6/15/15
|
|
400
|
|
|
434,000
|
8.63%, 2/15/19
|
|
275
|
|
|
312,125
|
DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)
|
|
600
|
|
|
656,813
|
DISH DBS Corp., 7.00%, 10/01/13
|
|
450
|
|
|
475,875
|
Intelsat Luxembourg SA (d):
|
|
|
|
|
|
11.50%, 2/04/17 (a)
|
|
40
|
|
|
40,000
|
11.50%, 2/04/17
|
|
100
|
|
|
100,000
|
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17
|
275
|
|
|
314,875
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)
|
230
|
|
|
239,200
|
News America, Inc., 6.15%, 3/01/37 (c)
|
|
950
|
|
|
1,043,310
|
Time Warner Cable, Inc., 6.75%, 6/15/39
|
|
925
|
|
|
1,124,334
|
Time Warner, Inc., 7.70%, 5/01/32 (c)
|
|
950
|
|
|
1,237,053
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC
|
|
|
|
|
|
Germany GmbH), 8.13%, 12/01/17 (a)
|
|
240
|
|
|
255,600
|
Virgin Media Secured Finance Plc, 6.50%, 1/15/18
|
|
600
|
|
|
646,500
|
|
|
|
|
|
9,970,602
|
Metals & Mining 2.6%
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21
|
|
580
|
|
|
574,699
|
Barrick Gold Corp., 2.90%, 5/30/16
|
|
275
|
|
|
285,522
|
Barrick North America Finance LLC, 5.70%, 5/30/41
|
300
|
|
|
348,674
|
FMG Resources August 2006 Property Ltd. (a):
|
|
|
|
|
|
6.88%, 2/01/18
|
|
55
|
|
|
52,800
|
8.25%, 11/01/19
|
|
45
|
|
|
45,450
|
Freeport-McMoRan Corp., 7.13%, 11/01/27
|
|
700
|
|
|
813,361
|
Novelis, Inc., 8.75%, 12/15/20
|
|
230
|
|
|
250,700
|
Teck Resources Ltd., 10.75%, 5/15/19
|
|
400
|
|
|
494,000
|
|
|
|
|
|
2,865,206
|
Multi-Utilities 1.6%
|
|
|
|
|
|
CenterPoint Energy, Inc.:
|
|
|
|
|
|
5.95%, 2/01/17
|
|
750
|
|
|
844,566
|
6.50%, 5/01/18
|
|
775
|
|
|
902,905
|
|
|
|
|
|
1,747,471
|
Multiline Retail 0.6%
|
|
|
|
|
|
JC Penney Co., Inc., 5.65%, 6/01/20
|
|
700
|
|
|
659,750
|
Oil, Gas & Consumable Fuels 12.5%
|
|
|
|
|
|
Alpha Natural Resources, Inc.:
|
|
|
|
|
|
6.00%, 6/01/19
|
|
60
|
|
|
59,550
|
6.25%, 6/01/21
|
|
165
|
|
|
162,938
|
Anadarko Petroleum Corp.:
|
|
|
|
|
|
5.95%, 9/15/16
|
|
244
|
|
|
280,409
|
6.38%, 9/15/17
|
|
10
|
|
|
11,767
|
Arch Coal, Inc. (a):
|
|
|
|
|
|
7.00%, 6/15/19
|
|
50
|
|
|
51,750
|
7.25%, 6/15/21
|
|
165
|
|
|
169,950
|
BP Capital Markets Plc, 3.88%, 3/10/15 (c)
|
|
350
|
|
|
374,701
|
Buckeye Partners LP, 4.88%, 2/01/21
|
|
225
|
|
|
236,963
|
Chesapeake Energy Corp., 6.13%, 2/15/21
|
|
770
|
|
|
806,575
|
Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)
|
140
|
|
|
141,400
|
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)
|
65
|
|
|
66,788
|
Consol Energy, Inc., 6.38%, 3/01/21 (a)
|
|
105
|
|
|
104,475
|
Copano Energy LLC, 7.13%, 4/01/21
|
|
130
|
|
|
132,925
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Oil, Gas & Consumable Fuels (concluded)
|
|
|
|
|
|
DCP Midstream LLC, 4.75%, 9/30/21 (a)
|
USD
|
325
|
|
$
|
339,213
|
Denbury Resources, Inc., 6.38%, 8/15/21
|
|
135
|
|
|
139,050
|
El Paso Corp., 7.00%, 6/15/17
|
|
335
|
|
|
375,200
|
El Paso Pipeline Partners Operating Co., LLC,
|
|
|
|
|
|
5.00%, 10/01/21
|
|
125
|
|
|
128,184
|
Enbridge Energy Partners LP, 9.88%, 3/01/19
|
|
475
|
|
|
636,165
|
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19
|
|
240
|
|
|
242,400
|
Enterprise Products Operating LLC, 6.65%, 4/15/18 (c)
|
|
1,000
|
|
|
1,176,342
|
Forest Oil Corp., 8.50%, 2/15/14
|
|
295
|
|
|
318,600
|
Hilcorp Energy I LP, 7.75%, 11/01/15 (a)
|
|
165
|
|
|
169,274
|
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20
|
|
1,000
|
|
|
1,194,906
|
Linn Energy LLC, 7.75%, 2/01/21
|
|
225
|
|
|
240,187
|
Marathon Petroleum Corp., 3.50%, 3/01/16 (a)(c)
|
|
325
|
|
|
333,402
|
MarkWest Energy Partners LP, 6.25%, 6/15/22 (f)
|
|
125
|
|
|
128,125
|
Newfield Exploration Co., 5.75%, 1/30/22
|
|
115
|
|
|
121,900
|
Oasis Petroleum, Inc.:
|
|
|
|
|
|
7.25%, 2/01/19 (a)
|
|
80
|
|
|
84,400
|
6.50%, 11/01/21 (f)
|
|
70
|
|
|
70,350
|
OGX Petroleo e Gas Participacoes SA, 8.50%,
|
|
|
|
|
|
6/01/18
(a)
|
|
280
|
|
|
277,200
|
ONEOK Partners LP, 8.63%, 3/01/19
|
|
800
|
|
|
1,034,405
|
Petrobras International Finance Co., 3.88%, 1/27/16
|
|
875
|
|
|
895,388
|
Petrohawk Energy Corp.:
|
|
|
|
|
|
10.50%, 8/01/14
|
|
145
|
|
|
162,581
|
6.25%, 6/01/19
|
|
165
|
|
|
186,450
|
Pioneer Natural Resources Co.:
|
|
|
|
|
|
6.65%, 3/15/17
|
|
150
|
|
|
162,908
|
6.88%, 5/01/18
|
|
115
|
|
|
124,351
|
Plains Exploration & Production Co.:
|
|
|
|
|
|
7.75%, 6/15/15
|
|
185
|
|
|
191,937
|
10.00%, 3/01/16
|
|
95
|
|
|
105,450
|
Precision Drilling Corp., 6.50%, 12/15/21 (a)
|
|
95
|
|
|
100,225
|
Premier Oil, 5.00%, 6/09/18
|
|
825
|
|
|
858,000
|
Range Resources Corp., 6.75%, 8/01/20
|
|
200
|
|
|
222,000
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (a)
|
|
170
|
|
|
164,050
|
SM Energy Co., 6.63%, 2/15/19 (a)
|
|
55
|
|
|
55,550
|
Western Gas Partners LP, 5.38%, 6/01/21
|
|
350
|
|
|
372,204
|
The Williams Cos., Inc., 8.75%, 3/15/32
|
|
275
|
|
|
374,410
|
|
|
|
|
|
13,584,998
|
Paper & Forest Products 2.8%
|
|
|
|
|
|
Boise Paper Holdings LLC, 8.00%, 4/01/20
|
|
150
|
|
|
157,875
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (a)
|
|
785
|
|
|
870,439
|
International Paper Co.:
|
|
|
|
|
|
7.50%, 8/15/21
|
|
775
|
|
|
941,845
|
7.30%, 11/15/39
|
|
800
|
|
|
932,843
|
Longview Fibre Paper & Packaging, Inc.,
|
|
|
|
|
|
8.00%, 6/01/16 (a)
|
|
80
|
|
|
81,200
|
Verso Paper Holdings LLC, 11.50%, 7/01/14
|
|
85
|
|
|
89,250
|
|
|
|
|
|
3,073,452
|
Pharmaceuticals 9.8%
|
|
|
|
|
|
Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)
|
|
892
|
|
|
1,133,257
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)
|
EUR
|
100
|
|
|
141,137
|
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)
|
USD
|
1,690
|
|
|
2,284,327
|
Merck & Co., Inc. (c):
|
|
|
|
|
|
6.50%, 12/01/33
|
|
475
|
|
|
649,655
|
6.55%, 9/15/37
|
|
1,504
|
|
|
2,093,809
|
Pfizer, Inc., 7.20%, 3/15/39 (c)
|
|
2,500
|
|
|
3,734,135
|
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (a)
|
65
|
|
|
65,000
|
Watson Pharmaceuticals, Inc., 6.13%, 8/15/19 (c)
|
|
490
|
|
|
572,398
|
|
|
|
|
|
10,673,718
|
Real Estate Investment Trusts (REITs) 2.8%
|
|
|
|
|
|
AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)
|
|
800
|
|
|
907,763
|
Developers Diversified Realty Corp.:
|
|
|
|
|
|
4.75%, 4/15/18
|
|
155
|
|
|
145,864
|
7.88%, 9/01/20
|
|
175
|
|
|
189,420
|
ERP Operating LP, 5.75%, 6/15/17
|
|
800
|
|
|
894,065
|
See Notes to Financial Statements.
18
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Real Estate Investment Trusts (REITs) (concluded)
|
|
|
|
|
|
HCP, Inc., 5.38%, 2/01/21
|
USD
|
250
|
|
$
|
256,759
|
UDR, Inc., 4.25%, 6/01/18
|
|
350
|
|
|
359,902
|
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21
|
270
|
|
|
264,397
|
|
|
|
|
|
3,018,170
|
Real Estate Management & Development 0.2%
|
|
|
|
|
|
Realogy Corp., 7.88%, 2/15/19 (a)
|
|
135
|
|
|
121,500
|
Shea Homes LP, 8.63%, 5/15/19 (a)
|
|
110
|
|
|
99,550
|
|
|
|
|
|
221,050
|
Road & Rail 1.6%
|
|
|
|
|
|
Avis Budget Car Rental LLC, 8.25%, 1/15/19
|
|
100
|
|
|
99,750
|
Florida East Coast Railway Corp., 8.13%, 2/01/17
|
|
40
|
|
|
40,000
|
The Hertz Corp., 6.75%, 4/15/19
|
|
207
|
|
|
211,140
|
Norfolk Southern Corp., 6.00%, 3/15/2105 (c)
|
|
1,200
|
|
|
1,388,004
|
|
|
|
|
|
1,738,894
|
Semiconductors & Semiconductor Equipment 0.7%
|
|
|
|
|
Advanced Micro Devices, Inc., 7.75%, 8/01/20
|
|
190
|
|
|
192,850
|
KLA-Tencor Corp., 6.90%, 5/01/18
|
|
461
|
|
|
524,795
|
|
|
|
|
|
717,645
|
Specialty Retail 1.2%
|
|
|
|
|
|
AutoNation, Inc., 6.75%, 4/15/18
|
|
445
|
|
|
461,688
|
Best Buy Co., Inc., 5.50%, 3/15/21
|
|
150
|
|
|
143,380
|
Limited Brands, Inc., 7.00%, 5/01/20
|
|
230
|
|
|
244,950
|
QVC, Inc., 7.38%, 10/15/20 (a)
|
|
25
|
|
|
27,250
|
VF Corp., 5.95%, 11/01/17
|
|
350
|
|
|
414,480
|
|
|
|
|
|
1,291,748
|
Tobacco 2.0%
|
|
|
|
|
|
Altria Group, Inc.:
|
|
|
|
|
|
9.25%, 8/06/19
|
|
115
|
|
|
152,876
|
10.20%, 2/06/39
|
|
937
|
|
|
1,447,508
|
Lorillard Tobacco Co., 3.50%, 8/04/16
|
|
600
|
|
|
602,329
|
|
|
|
|
|
2,202,713
|
Wireless Telecommunication Services 3.6%
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16
|
|
585
|
|
|
584,060
|
American Tower Corp.:
|
|
|
|
|
|
4.50%, 1/15/18
|
|
450
|
|
|
462,846
|
5.90%, 11/01/21
|
|
295
|
|
|
326,046
|
Cricket Communications, Inc., 7.75%, 5/15/16
|
|
155
|
|
|
160,812
|
Crown Castle International Corp., 9.00%, 1/15/15
|
|
210
|
|
|
228,900
|
Crown Castle Towers LLC (a):
|
|
|
|
|
|
5.50%, 1/15/37
|
|
275
|
|
|
299,543
|
6.11%, 1/15/40
|
|
300
|
|
|
331,498
|
Digicel Group Ltd., 8.25%, 9/01/17 (a)
|
|
125
|
|
|
127,500
|
Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)
|
|
50
|
|
|
50,250
|
Nextel Communications, Inc., Series E, 6.88%, 10/31/13
|
195
|
|
|
192,562
|
SBA Tower Trust, 5.10%, 4/15/42 (a)
|
|
1,000
|
|
|
1,089,500
|
Sprint Capital Corp., 6.88%, 11/15/28
|
|
110
|
|
|
80,300
|
|
|
|
|
|
3,933,817
|
Total Corporate Bonds 118.4%
|
|
|
|
|
128,492,584
|
|
Preferred Securities
|
|
Capital Trusts
|
|
|
|
|
|
Capital Markets 4.2%
|
|
|
|
|
|
Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)
|
|
500
|
|
|
505,000
|
State Street Capital Trust III, 5.34% (b)(e)
|
|
725
|
|
|
726,232
|
State Street Capital Trust IV, 1.35%, 6/01/37 (b)
|
|
4,740
|
|
|
3,319,991
|
|
|
|
|
|
4,551,223
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts
|
|
Par
(000
)
|
Value
|
Commercial Banks 2.7%
|
|
|
|
|
|
Barclays Bank Plc (a)(b)(e):
|
|
|
|
|
|
5.93
%
|
USD
|
425
|
|
$
|
344,250
|
7.43
% (c)
|
|
150
|
|
|
140,250
|
BNP Paribas, 7.20% (a)(b)(c)(e)
|
|
300
|
|
|
247,500
|
Credit Agricole SA (a)(b)(e):
|
|
|
|
|
|
6.64
% (c)
|
|
350
|
|
|
236,425
|
8.38
%
|
|
350
|
|
|
308,000
|
Dresdner Funding Trust I, 8.15%, 6/30/31 (a)
|
|
530
|
|
|
413,400
|
M&T Capital Trust II, 8.28%, 6/01/27
|
|
910
|
|
|
919,115
|
National City Preferred Capital Trust I, 12.00% (b)(e)
|
|
300
|
|
|
311,298
|
|
|
|
|
|
2,920,238
|
Diversified Financial Services 2.3%
|
|
|
|
|
|
ING Capital Funding Trust III, 3.97% (b)(e)
|
|
400
|
|
|
338,890
|
JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)
|
|
3,085
|
|
|
2,129,921
|
|
|
|
|
|
2,468,811
|
Electric Utilities 0.4%
|
|
|
|
|
|
PPL Capital Funding, 6.70%, 3/30/67 (b)
|
|
500
|
|
|
482,500
|
Insurance 7.4%
|
|
|
|
|
|
Ace Capital Trust II, 9.70%, 4/01/30
|
|
500
|
|
|
648,966
|
The Allstate Corp., 6.50%, 5/15/67 (b)
|
|
500
|
|
|
465,625
|
American International Group, Inc., 8.18%, 5/15/68 (b)
|
|
225
|
|
|
217,125
|
AXA SA, 6.38% (a)(b)(e)
|
|
1,000
|
|
|
747,500
|
Chubb Corp., 6.38%, 3/29/67 (b)(c)
|
|
500
|
|
|
502,500
|
Farmers Exchange Capital, 7.05%, 7/15/28 (a)(c)
|
|
500
|
|
|
542,153
|
Great-West Life & Annuity Insurance Co.,
|
|
|
|
|
|
7.15%, 5/16/46 (a)(b)
|
|
500
|
|
|
487,500
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)
|
|
500
|
|
|
607,500
|
Lincoln National Corp., 7.00%, 5/17/66 (b)(c)
|
|
500
|
|
|
470,000
|
MetLife, Inc., 6.40%, 12/15/66
|
|
500
|
|
|
491,169
|
Reinsurance Group of America, 6.75%, 12/15/65 (b)
|
|
700
|
|
|
607,480
|
Swiss Re Capital I LP, 6.85% (a)(b)(e)
|
|
450
|
|
|
405,782
|
ZFS Finance (USA), Trust II, 6.45%, 12/15/65 (a)(b)
|
|
1,800
|
|
|
1,728,000
|
ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)
|
|
146
|
|
|
141,620
|
|
|
|
|
|
8,062,920
|
Multi-Utilities 0.9%
|
|
|
|
|
|
Dominion Resources Capital Trust I, 7.83%, 12/01/27
|
|
500
|
|
|
504,057
|
Dominion Resources, Inc., 7.50%, 6/30/66 (b)
|
|
500
|
|
|
525,000
|
|
|
|
|
|
1,029,057
|
Oil, Gas & Consumable Fuels 1.3%
|
|
|
|
|
|
Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)
|
|
825
|
|
|
853,875
|
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)
|
|
500
|
|
|
509,587
|
|
|
|
|
|
1,363,462
|
Total Capital Trusts 19.2%
|
|
|
|
|
20,878,211
|
|
Preferred Stocks
|
|
Shares
|
|
|
|
Auto Components 0.1%
|
|
|
|
|
|
Dana Holding Corp., 4.00% (a)
|
|
1,000
|
|
|
123,750
|
Commercial Banks 1.0%
|
|
|
|
|
|
SG Preferred Capital II, 6.30% (a)(b)
|
|
1,000
|
|
|
1,004,687
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (a)
|
|
440
|
|
|
328,144
|
Thrifts & Mortgage Finance 0.0%
|
|
|
|
|
|
Fannie Mae, Series S, 8.25% (b)(g)
|
|
3,000
|
|
|
5,880
|
Freddie Mac, Series Z, 8.38% (b)(g)
|
|
3,000
|
|
|
6,420
|
|
|
|
|
|
12,300
|
Wireless Telecommunication Services 2.9%
|
|
|
|
|
|
Centaur Funding Corp., 9.08% (a)
|
|
2,720
|
|
|
3,144,150
|
Total Preferred Stocks 4.3%
|
|
|
|
|
4,613,031
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
19
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Trust Preferreds
|
|
Shares
|
Value
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
|
|
16,010
|
$
|
328,614
|
|
Total Trust Preferreds 0.3%
|
|
|
|
328,614
|
|
Total Preferred Securities 23.8%
|
|
|
|
25,819,856
|
|
|
Taxable Municipal Bonds
|
|
Par
(000
)
|
|
|
|
Metropolitan Transportation Authority, RB,
|
|
|
|
|
|
Build America Bonds, 6.55%, 11/15/31
|
USD
|
800
|
|
903,248
|
|
Total Taxable Municipal Bonds 0.8%
|
|
|
|
903,248
|
|
|
|
US Government Sponsored
|
|
|
|
|
|
Agency Securities
|
|
|
|
|
|
Agency Obligations 0.3%
|
|
|
|
|
|
Fannie Mae, 4.23%, 10/09/19 (c)(h)
|
|
390
|
|
294,830
|
|
Total US Government Sponsored Agency Securities 0.3%
|
294,830
|
|
|
|
US Treasury Obligations
|
US Treasury Notes, 2.13%, 8/15/21 (c)
|
|
780
|
|
776,592
|
|
Total US Treasury Obligations 0.7%
|
|
|
|
776,592
|
|
Total Long-Term Investments
|
|
|
|
|
|
(Cost $151,118,071) 144.9%
|
|
|
|
157,284,431
|
|
|
Short-Term Securities
|
|
Shares
|
|
Value
|
BlackRock Liquidity Funds, TempFund,
|
|
|
|
|
|
Institutional Class, 0.14% (i)(j)
|
|
1,362,932
|
|
1,362,932
|
|
Total Short-Term Securities
|
|
|
|
|
|
(Cost $1,362,932) 1.3%
|
|
|
|
1,362,932
|
|
|
|
Options Purchased
|
|
Notional
Amount
(000
)
|
|
|
|
Over-the-Counter Put Swaptions 0.0%
|
|
|
|
|
|
Pay a fixed rate of 4.50% and receive a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 9/16/13, Broker
|
|
|
|
|
|
Credit Suisse International
|
EUR
|
1,300
|
|
26,527
|
|
Pay a fixed rate of 4.50% and receive a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 10/21/13,
|
|
|
|
|
|
Broker Deutsche Bank AG
|
|
1,300
|
|
28,902
|
|
Total Options Purchased
|
|
|
|
|
|
(Cost $66,622) 0.0%
|
|
|
|
55,429
|
|
Total Investments Before Options Written
|
|
|
|
|
|
(Cost $152,547,625*) 146.2%
|
|
|
|
158,702,792
|
|
|
|
Options Written
|
Over-the-Counter Call Swaptions (0.2)%
|
|
|
|
|
|
Pay a fixed rate of 4.03% and receive a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12,
|
|
|
|
|
|
Broker UBS AG
|
USD
|
1,800
|
|
(255,028
|
)
|
|
|
|
|
|
|
|
Options Written
|
|
Notional
Amount
(000
)
|
|
Value
|
Over-the-Counter Put Swaptions (0.0)%
|
|
|
|
|
|
|
Receive a fixed rate of 4.03% and pay a floating rate
|
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12,
|
|
|
|
|
|
|
Broker UBS AG
|
USD
|
1,800
|
|
$
|
(2,881
|
)
|
Total Options Written
|
|
|
|
|
|
|
(Premiums Received $129,600) (0.2)%
|
|
|
|
|
(257,909
|
)
|
Total Investments, Net of Options Written 146.0%
|
|
|
|
|
158,444,883
|
|
Liabilities in Excess of Other Assets (46.0)%
|
|
|
|
|
(49,915,746
|
)
|
Net Assets 100.0%
|
|
|
|
$
|
108,529,137
|
|
*
|
|
The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:
|
|
|
|
|
Aggregate cost
|
$
|
152,469,279
|
|
Gross unrealized appreciation
|
$
|
9,163,076
|
|
Gross unrealized depreciation
|
|
(2,929,563
|
)
|
Net unrealized appreciation
|
$
|
6,233,513
|
|
(a)
|
|
Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.
|
(b)
|
|
Variable rate security. Rate shown is as of report date.
|
(c)
|
|
All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.
|
(d)
|
|
Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(e)
|
|
Security is perpetual in nature and has no stated maturity
date.
|
(f)
|
|
When-issued security. Unsettled when-issued transactions
were as follows:
|
Counterparty
|
Value
|
Unrealized
Appreciation
|
Barclays Capital, Inc.
|
$128,125
|
$3,125
|
JPMorgan Chase Bank NA
|
$ 70,350
|
$ 350
|
(g)
|
|
Non-income producing security.
|
(h)
|
|
Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.
|
(i)
|
|
Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
Affiliate
|
Shares
Held at
October 31,
2010
|
Net
Activity
|
Shares
Held at
October 31,
2011
|
Income
|
BlackRock Liquidity
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
Institutional Class
|
5,884,098
|
(4,521,166)
|
1,362,932
|
$824
|
(j)
|
|
Represents the current yield as of report date.
|
|
|
For Fund compliance purposes, the Funds 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 Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.
|
See Notes to Financial Statements.
20
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
1
|
Net Closing
Amount
|
Face
Amount
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40
|
%
|
5/18/11
|
Open
|
$
|
1,041,022
|
$
|
1,039,093
|
UBS Securities LLC
|
0.38
|
%
|
5/18/11
|
Open
|
|
1,967,462
|
|
1,964,000
|
UBS Securities LLC
|
0.38
|
%
|
5/19/11
|
Open
|
|
873,528
|
|
872,000
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40
|
%
|
5/20/11
|
Open
|
|
1,298,940
|
|
1,296,562
|
UBS Securities LLC
|
0.35
|
%
|
6/08/11
|
Open
|
|
2,227,658
|
|
2,224,500
|
UBS Securities LLC
|
0.38
|
%
|
6/14/11
|
Open
|
|
1,126,663
|
|
1,125,000
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40
|
%
|
6/15/11
|
Open
|
|
1,016,129
|
|
1,014,562
|
UBS Securities LLC
|
0.37
|
%
|
6/27/11
|
Open
|
|
957,919
|
|
956,670
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.36
|
%
|
7/01/11
|
Open
|
|
537,210
|
|
536,550
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
7/05/11
|
Open
|
|
1,290,116
|
|
1,288,624
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
7/11/11
|
Open
|
|
862,359
|
|
861,412
|
UBS Securities LLC
|
0.32
|
%
|
7/12/11
|
Open
|
|
526,048
|
|
525,525
|
UBS Securities LLC
|
0.28
|
%
|
7/16/11
|
Open
|
|
196,165
|
|
196,000
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
7/18/11
|
Open
|
|
416,066
|
|
415,638
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35
|
%
|
7/20/11
|
Open
|
|
2,357,006
|
|
2,354,625
|
UBS Securities LLC
|
0.35
|
%
|
8/01/11
|
Open
|
|
872,780
|
|
872,000
|
UBS Securities LLC
|
0.32
|
%
|
8/02/11
|
Open
|
|
382,509
|
|
382,200
|
BNP Paribas
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.03
|
%
|
8/04/11
|
Open
|
|
285,209
|
|
285,188
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40
|
%
|
8/05/11
|
Open
|
|
597,584
|
|
597,000
|
BNP Paribas
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.37
|
%
|
8/16/11
|
Open
|
|
1,018,656
|
|
1,017,850
|
BNP Paribas
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.37
|
%
|
8/17/11
|
Open
|
|
956,447
|
|
955,700
|
Barclays
|
|
|
|
|
|
|
|
|
Capital, Inc.
|
0.35
|
%
|
8/26/11
|
Open
|
|
557,238
|
|
556,875
|
Barclays
|
|
|
|
|
|
|
|
|
Capital, Inc.
|
0.35
|
%
|
8/31/11
|
Open
|
|
1,194,470
|
|
1,193,750
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
9/08/11
|
Open
|
|
1,043,172
|
|
1,042,626
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35
|
%
|
9/08/11
|
Open
|
|
310,413
|
|
310,250
|
UBS Securities LLC
|
0.37
|
%
|
9/08/11
|
Open
|
|
302,418
|
|
302,250
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
9/09/11
|
Open
|
|
491,253
|
|
491,000
|
Barclays
|
|
|
|
|
|
|
|
|
Capital, Inc.
|
0.35
|
%
|
9/14/11
|
Open
|
|
1,626,821
|
|
1,626,063
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35
|
%
|
9/14/11
|
Open
|
|
418,495
|
|
418,300
|
UBS Securities LLC
|
0.35
|
%
|
9/14/11
|
Open
|
|
357,167
|
|
357,000
|
UBS Securities LLC
|
0.38
|
%
|
9/14/11
|
Open
|
|
3,690,869
|
|
3,689,000
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):
|
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
|
Net Closing
Amount
|
Face
Amount
|
Barclays
|
|
|
|
|
|
|
|
|
Capital, Inc.
|
0.40
|
%
|
9/23/11
|
Open
|
$
|
738,320
|
$
|
738,000
|
Barclays
|
|
|
|
|
|
|
|
|
Capital, Inc.
|
0.40
|
%
|
9/30/11
|
Open
|
|
748,001
|
|
747,736
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40
|
%
|
10/04/11
|
Open
|
|
591,434
|
|
591,250
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35
|
%
|
10/14/11
|
Open
|
|
1,233,903
|
|
1,233,688
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.38
|
%
|
10/20/11
|
Open
|
|
208,526
|
|
208,500
|
Barclays
|
|
|
|
|
|
|
|
|
Capital, Inc.
|
0.40
|
%
|
10/26/11
|
Open
|
|
4,293,701
|
|
4,293,415
|
BNP Paribas
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.40
|
%
|
10/26/11
|
Open
|
|
9,757,010
|
|
9,756,360
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40
|
%
|
10/26/11
|
Open
|
|
2,955,546
|
|
2,955,350
|
Credit Suisse
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
10/27/11
|
Open
|
|
1,197,526
|
|
1,197,468
|
BNP Paribas
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.08
|
%
|
10/31/11
|
Open
|
|
778,051
|
|
778,051
|
Total
|
|
|
|
|
$
|
53,301,810
|
$
|
53,267,631
|
1
|
|
Certain agreements have no stated maturity and can be
terminated by either party at anytime.
|
|
|
Financial futures contracts sold as of October 31, 2011
were as follows:
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Notional
Value
|
|
Unrealized
Appreciation
(Depreciation)
|
95
|
Euro-Schatz
|
Eurex
|
December
|
|
|
|
|
|
|
|
|
2011
|
EUR 10,421,025
|
|
$
|
(8,689
|
)
|
1
|
German Euro
|
Chicago
|
December
|
|
|
|
|
|
|
Bund
|
Mercantile
|
2011
|
EUR 135,470
|
|
|
(306
|
)
|
219
|
10-Year US
|
Chicago Board
|
December
|
|
|
|
|
|
|
Treasury Note
|
of Trade
|
2011
|
USD 28,264,688
|
|
|
49,508
|
|
13
|
Ultra US
|
Chicago Board
|
December
|
|
|
|
|
|
|
Treasury Bond
|
of Trade
|
2011
|
USD 1,980,875
|
|
|
82,070
|
|
Total
|
|
|
|
|
|
$
|
122,583
|
|
|
|
Foreign currency exchange contracts as of October 31,
2011 were as follows:
|
|
|
|
|
|
|
|
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Depreciation
|
USD
|
342,375
|
EUR
|
249,000
|
Citibank NA
|
1/25/12
|
$
|
(1,979
|
)
|
USD
|
33,064
|
EUR
|
24,000
|
Deutsche Bank AG
|
1/25/12
|
|
(127
|
)
|
Total
|
|
|
|
|
|
$
|
(2,106
|
)
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
21
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
Credit default swaps on single-name issues buy protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000
)
|
Unrealized
Appreciation
(Depreciation)
|
Raytheon Co.
|
1.00
|
%
|
Citibank NA
|
9/20/16
|
USD
225
|
$
|
1,272
|
|
|
|
|
Deutsche
|
|
|
|
|
|
Raytheon Co.
|
1.00
|
%
|
Bank AG
|
9/20/16
|
USD
270
|
|
(212
|
)
|
General
|
|
|
JPMorgan
|
|
|
|
|
|
Dynamics
|
|
|
Chase
|
|
|
|
|
|
Corp.
|
1.00
|
%
|
& Co.
|
9/20/16
|
USD
625
|
|
5,383
|
|
Computer
|
|
|
Morgan Stanley
|
|
|
|
|
|
Sciences Corp.
|
1.00
|
%
|
& Co., Inc.
|
9/20/16
|
USD
275
|
|
1,295
|
|
General
|
|
|
|
|
|
|
|
|
Dynamics
|
|
|
Morgan Stanley
|
|
|
|
|
|
Corp.
|
1.00
|
%
|
& Co., Inc.
|
9/20/16
|
USD
400
|
|
1,225
|
|
|
|
|
Morgan Stanley
|
|
|
|
|
|
Raytheon Co.
|
1.00
|
%
|
& Co., Inc.
|
9/20/16
|
USD
150
|
|
(187
|
)
|
|
|
|
Barclays
|
|
|
|
|
|
Dell, Inc.
|
1.00
|
%
|
Bank Plc
|
12/20/16
|
USD
630
|
|
(4,234
|
)
|
|
|
|
Credit Suisse
|
|
|
|
|
|
Computer
|
|
|
Securities
|
|
|
|
|
|
Sciences Corp.
|
1.00
|
%
|
(USA) LLC
|
12/20/16
|
USD
280
|
|
(5,686
|
)
|
Lockheed
|
|
|
Deutsche
|
|
|
|
|
|
Martin Corp.
|
1.00
|
%
|
Bank AG
|
12/20/16
|
USD
750
|
|
7,956
|
|
STMicroelectronics
|
|
|
Deutsche
|
|
|
|
|
|
NV
|
1.00
|
%
|
Bank AG
|
12/20/16
|
EUR
285
|
|
(348
|
)
|
Southwest
|
|
|
Goldman Sachs
|
|
|
|
|
|
Airlines Co.
|
1.00
|
%
|
Capital Markets LP
|
12/20/16
|
USD
280
|
|
(66
|
)
|
Southwest
|
|
|
Royal Bank
|
|
|
|
|
|
Airlines Co.
|
1.00
|
%
|
of Scotland Plc
|
12/20/16
|
USD
280
|
|
(1,272
|
)
|
Total
|
|
|
|
|
|
$
|
5,126
|
|
Credit default swaps on single-name issues sold protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Issuer
Credit
Rating
1
|
Notional
Amount
(000)
2
|
Appreciation
(Depreciation)
|
|
|
|
Deutsche
|
|
|
|
|
|
|
Aviva USA Corp.
|
1.00
|
%
|
Bank AG
|
5/25/12
|
AA-
|
USD 650
|
$
|
1,175
|
|
Assured
|
|
|
|
|
|
|
|
|
|
Guaranty Corp.
|
5.00
|
%
|
Citibank NA
|
12/20/14
|
AA+
|
USD 40
|
|
(223
|
)
|
Assured
|
|
|
|
|
|
|
|
|
|
Guaranty Corp.
|
5.00
|
%
|
Citibank NA
|
3/20/15
|
AA+
|
USD 185
|
|
296
|
|
|
|
|
Deutsche
|
|
|
|
|
|
|
MetLife, Inc.
|
1.00
|
%
|
Bank AG
|
3/20/18
|
A+
|
USD 200
|
|
(9,776
|
)
|
Total
|
|
|
|
|
|
|
$
|
(8,528
|
)
|
2
|
|
The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.
|
|
|
Credit default swaps on traded indexes buy protection
outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Depreciation
|
Dow Jones CDX
|
|
|
|
|
|
North America
|
|
|
JPMorgan
|
|
|
High Yield Index
|
|
|
Chase
|
|
|
Series 17
|
5.00
|
%
|
Bank & Co.
|
12/20/16
|
USD 1,050
|
$(100,610)
|
Interest rate swaps outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
Fixed
Rate
|
Floating
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Appreciation
(Depreciation)
|
1.43%
(b)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
9/13/13
|
EUR
|
10,600
|
$
|
(8,635
|
)
|
2.72%
(b)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
8/08/21
|
USD
|
1,400
|
|
52,236
|
|
4.35%
(a)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
4/15/41
|
USD
|
600
|
|
(167,211
|
)
|
3.93%
(a)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Citibank NA
|
7/21/41
|
USD
|
1,600
|
|
(311,632
|
)
|
3.01%
(b)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
9/13/41
|
USD
|
200
|
|
1,780
|
|
2.63%
(b)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
9/26/41
|
USD
|
400
|
|
(27,485
|
)
|
2.81%
(a)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
LIBOR
|
Securities (USA) LLC
|
10/11/41
|
USD
|
400
|
|
13,186
|
|
3.00%
(a)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
LIBOR
|
Securities (USA) LLC
|
10/18/41
|
USD
|
300
|
|
(1,882
|
)
|
Total
|
|
|
|
|
|
$
|
(449,643
|
)
|
(a)
|
|
Fund pays a fixed interest rate and receives floating
rate.
|
(b)
|
|
Fund pays a floating interest rate and receives fixed
rate.
|
|
|
Fair Value Measurements Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:
|
|
|
Level 1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Funds own assumptions
used in determining the fair value of investments and derivative financial instruments)
|
Changes in valuation techniques may result
in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments
and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument
and does not necessarily correspond to the Funds perceived risk of investing in those securities. For information about
the Funds policy regarding valuation of investments and derivative financial instruments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
22
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (concluded)
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Funds investments and derivative financial instruments:
Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
$
|
493,571
|
|
$
|
503,750
|
|
$
|
997,321
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
127,634,584
|
|
|
858,000
|
|
|
128,492,584
|
|
Preferred
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
$
|
340,913
|
|
|
25,478,943
|
|
|
|
|
|
25,819,856
|
|
Taxable
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
903,248
|
|
|
|
|
|
903,248
|
|
US Government
|
|
|
|
|
|
|
|
|
|
|
|
|
Sponsored
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
294,830
|
|
|
|
|
|
294,830
|
|
US Treasury
|
|
|
|
|
|
|
|
|
|
|
|
|
Obligations
|
|
|
|
|
776,592
|
|
|
|
|
|
776,592
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
1,362,932
|
|
|
|
|
|
|
|
|
1,362,932
|
|
Total
|
$
|
1,703,845
|
|
$
|
155,581,768
|
|
$
|
1,361,750
|
|
$
|
158,647,363
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
Level 1
|
Level 2
|
|
Level 3
|
|
Total
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
$
|
131,578
|
|
$
|
122,631
|
|
|
|
|
$
|
254,209
|
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
17,427
|
|
$
|
1,175
|
|
|
18,602
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
(8,995
|
)
|
|
(774,754
|
)
|
|
|
|
|
(783,749
|
)
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(2,106
|
)
|
|
|
|
|
(2,106
|
)
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(122,614
|
)
|
|
|
|
|
(122,614
|
)
|
Total
|
$
|
122,583
|
|
$
|
(759,416
|
)
|
$
|
1,175
|
|
$
|
(635,658
|
)
|
1
|
|
Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
Corporate
Bonds
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
|
|
|
|
|
Accrued discounts/premiums
|
|
|
|
|
|
|
|
|
Net realized gain (loss)
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation
2
|
$
|
(52,364
|
)
|
$
|
33,000
|
$
|
(19,364
|
)
|
Purchases
|
|
556,114
|
|
|
825,000
|
|
1,381,114
|
|
Sales
|
|
|
|
|
|
|
|
|
Transfers in
3
|
|
|
|
|
|
|
|
|
Transfers out
3
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2011
|
$
|
503,750
|
|
$
|
858,000
|
$
|
1,361,750
|
|
2
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The net change in unrealized appreciation/depreciation on investments still held at October 31,
2011 was $(19,364).
|
3
|
|
The Funds policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
|
The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
Credit
Contracts
|
Assets:
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
Accrued discounts/premiums
|
$
|
1,984
|
|
Net realized gain (loss)
|
|
|
|
Net change in unrealized appreciation/depreciation
4
|
|
1,175
|
|
Purchases
|
|
|
|
Issuances
5
|
|
3,440
|
|
Sales
|
|
|
|
Settlements
6
|
|
(5,424
|
)
|
Transfers in
3
|
|
|
|
Transfers out
3
|
|
|
|
Balance, as of October 31, 2011
|
$
|
1,175
|
|
4
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $1,175.
|
5
|
|
Issuances represent upfront cash received on certain
derivative financial instruments.
|
6
|
|
Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.
|
A
reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount
of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
23
|
|
|
Schedule
of Investments
October 31, 2011
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
Par
(000
)
|
|
Value
|
Atrium CDO Corp., Series 5A, Class A4,
|
|
|
|
|
|
0.69%, 7/20/20 (a)(b)
|
USD
|
2,650
|
|
$
|
2,053,750
|
SLM Student Loan Trust, Series 2004-B, Class A2,
|
|
|
|
|
|
0.55%, 6/15/21 (b)
|
|
2,170
|
|
|
2,077,112
|
Total Asset-Backed Securities 0.9%
|
|
|
|
|
4,130,862
|
|
Corporate Bonds
|
Aerospace & Defense 1.9%
|
|
|
|
|
|
BE Aerospace, Inc., 8.50%, 7/01/18
|
|
2,500
|
|
|
2,731,250
|
Bombardier, Inc., 7.75%, 3/15/20 (a)
|
|
3,205
|
|
|
3,525,500
|
Huntington Ingalls Industries, Inc. (a):
|
|
|
|
|
|
6.88%, 3/15/18
|
|
610
|
|
|
614,575
|
7.13%, 3/15/21
|
|
600
|
|
|
607,500
|
Kratos Defense & Security Solutions, Inc.,
|
|
|
|
|
|
10.00%, 6/01/17
|
|
1,014
|
|
|
1,049,490
|
|
|
|
|
|
8,528,315
|
Airlines 1.0%
|
|
|
|
|
|
American Airlines Pass-Through Trust:
|
|
|
|
|
|
Series 2011-1, Class A, 5.25%, 7/31/22
|
|
1,408
|
|
|
1,281,203
|
Series 2011-2, Class A, 8.63%, 4/15/23
|
|
570
|
|
|
570,000
|
Continental Airlines Pass-Through Certificates,
|
|
|
|
|
|
Series 2009-2, Class B, 9.25%, 5/10/17
|
|
1,453
|
|
|
1,493,424
|
Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24
|
|
1,146
|
|
|
1,131,963
|
|
|
|
|
|
4,476,590
|
Auto Components 1.5%
|
|
|
|
|
|
Daimler Finance North America LLC, 2.63%, 9/15/16 (a)(c)
|
3,425
|
|
|
3,404,015
|
Delphi Corp., 6.13%, 5/15/21 (a)
|
|
570
|
|
|
581,400
|
Icahn Enterprises LP:
|
|
|
|
|
|
7.75%, 1/15/16
|
|
880
|
|
|
902,000
|
8.00%, 1/15/18
|
|
2,000
|
|
|
2,035,000
|
|
|
|
|
|
6,922,415
|
Beverages 0.5%
|
|
|
|
|
|
Constellation Brands, Inc., 7.25%, 5/15/17
|
|
1,970
|
|
|
2,167,000
|
Building Products 0.3%
|
|
|
|
|
|
Building Materials Corp. of America (a):
|
|
|
|
|
|
7.00%, 2/15/20
|
|
375
|
|
|
397,500
|
6.75%, 5/01/21
|
|
1,160
|
|
|
1,203,500
|
|
|
|
|
|
1,601,000
|
Capital Markets 5.5%
|
|
|
|
|
|
Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)
|
|
3,250
|
|
|
3,541,723
|
E*Trade Financial Corp., 12.50%, 11/30/17 (d)
|
|
1,865
|
|
|
2,149,412
|
The Goldman Sachs Group, Inc.:
|
|
|
|
|
|
5.25%, 7/27/21
|
|
2,900
|
|
|
2,927,272
|
6.25%, 2/01/41 (c)
|
|
4,450
|
|
|
4,588,871
|
Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)
|
|
1,745
|
|
|
1,709,072
|
Morgan Stanley (c):
|
|
|
|
|
|
5.75%, 1/25/21
|
|
3,915
|
|
|
3,866,427
|
5.50%, 7/28/21
|
|
1,910
|
|
|
1,865,560
|
UBS AG:
|
|
|
|
|
|
2.25%, 1/28/14
|
|
1,627
|
|
|
1,621,268
|
5.88%, 7/15/16 (c)
|
|
2,800
|
|
|
2,892,512
|
|
|
|
|
|
25,162,117
|
Chemicals 1.0%
|
|
|
|
|
|
Ashland, Inc., 9.13%, 6/01/17
|
|
505
|
|
|
564,338
|
Celanese US Holdings LLC, 5.88%, 6/15/21
|
|
1,545
|
|
|
1,641,562
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
1,250
|
|
|
1,392,188
|
Solutia, Inc., 7.88%, 3/15/20
|
|
860
|
|
|
920,200
|
|
|
|
|
|
4,518,288
|
Commercial Banks 4.9%
|
|
|
|
|
|
Amsouth Bank, Series AI, 4.85%, 4/01/13
|
|
1,050
|
|
|
1,010,625
|
Asciano Finance Ltd., 5.00%, 4/07/18 (a)
|
|
900
|
|
|
956,833
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
|
Value
|
Commercial Banks (concluded)
|
|
|
|
|
|
Associated Banc-Corp, 5.13%, 3/28/16
|
USD
|
2,200
|
|
$
|
2,269,958
|
BNP Paribas, 3.60%, 2/23/16 (c)
|
|
998
|
|
|
995,203
|
Branch Banking & Trust Co. (b)(c):
|
|
|
|
|
|
0.66%, 9/13/16
|
|
1,100
|
|
|
1,019,176
|
0.60%, 5/23/17
|
|
675
|
|
|
612,830
|
CIT Group, Inc.:
|
|
|
|
|
|
7.00%, 5/01/15
|
|
260
|
|
|
260,000
|
7.00%, 5/02/16 (a)
|
|
1,570
|
|
|
1,566,075
|
7.00%, 5/01/17
|
|
1,263
|
|
|
1,263,000
|
7.00%, 5/02/17 (a)
|
|
350
|
|
|
349,125
|
City National Corp., 5.25%, 9/15/20 (c)
|
|
2,350
|
|
|
2,395,733
|
Discover Bank, 8.70%, 11/18/19
|
|
1,200
|
|
|
1,357,248
|
HSBC Holdings Plc, 5.10%, 4/05/21 (c)
|
|
1,625
|
|
|
1,750,235
|
Regions Financial Corp.:
|
|
|
|
|
|
4.88%, 4/26/13
|
|
2,525
|
|
|
2,461,875
|
5.75%, 6/15/15
|
|
1,800
|
|
|
1,732,500
|
SVB Financial Group, 5.38%, 9/15/20
|
|
2,300
|
|
|
2,373,490
|
|
|
|
|
|
22,373,906
|
Commercial Services & Supplies 3.8%
|
|
|
|
|
|
Aviation Capital Group Corp. (a):
|
|
|
|
|
|
7.13%, 10/15/20 (c)
|
|
9,300
|
|
|
9,001,917
|
6.75%, 4/06/21
|
|
2,325
|
|
|
2,238,766
|
Casella Waste Systems, Inc., 7.75%, 2/15/19
|
|
721
|
|
|
692,160
|
Clean Harbors, Inc., 7.63%, 8/15/16
|
|
1,314
|
|
|
1,389,555
|
Corrections Corp. of America, 7.75%, 6/01/17
|
|
3,375
|
|
|
3,653,438
|
Iron Mountain, Inc., 7.75%, 10/01/19
|
|
390
|
|
|
404,625
|
Mobile Mini, Inc., 7.88%, 12/01/20
|
|
275
|
|
|
275,000
|
|
|
|
|
|
17,655,461
|
Communications Equipment 0.9%
|
|
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15
|
|
900
|
|
|
796,500
|
Brocade Communications Systems, Inc., 6.88%, 1/15/20
|
2,965
|
|
|
3,105,838
|
EH Holding Corp., 6.50%, 6/15/19 (a)
|
|
420
|
|
|
429,450
|
|
|
|
|
|
4,331,788
|
Consumer Finance 4.2%
|
|
|
|
|
|
American Express Credit Corp., 2.75%, 9/15/15 (c)
|
|
5,850
|
|
|
5,922,920
|
Capital One Bank USA NA, 8.80%, 7/15/19
|
|
3,325
|
|
|
3,949,475
|
Ford Motor Credit Co., LLC, 7.00%, 4/15/15
|
|
2,580
|
|
|
2,812,200
|
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)
|
|
1,815
|
|
|
1,942,050
|
SLM Corp., 6.25%, 1/25/16
|
|
4,870
|
|
|
4,870,000
|
|
|
|
|
|
19,496,645
|
Containers & Packaging 1.4%
|
|
|
|
|
|
Ball Corp.:
|
|
|
|
|
|
7.13%, 9/01/16
|
|
1,750
|
|
|
1,894,375
|
6.75%, 9/15/20
|
|
2,210
|
|
|
2,381,275
|
Crown Americas LLC, 6.25%, 2/01/21 (a)
|
|
825
|
|
|
866,250
|
Graphic Packaging International, Inc., 9.50%, 6/15/17
|
665
|
|
|
726,512
|
Rock-Tenn Co., 9.25%, 3/15/16
|
|
325
|
|
|
345,313
|
Sealed Air Corp., 8.38%, 9/15/21 (a)
|
|
130
|
|
|
140,725
|
|
|
|
|
|
6,354,450
|
Diversified Financial Services 7.8%
|
|
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
|
|
4.50%, 2/11/14
|
|
1,775
|
|
|
1,735,062
|
8.30%, 2/12/15
|
|
1,230
|
|
|
1,291,500
|
8.00%, 11/01/31
|
|
1,620
|
|
|
1,615,950
|
Bank of America Corp.:
|
|
|
|
|
|
5.30%, 3/15/17 (c)
|
|
3,640
|
|
|
3,480,892
|
5.00%, 5/13/21
|
|
50
|
|
|
46,946
|
Citigroup, Inc.:
|
|
|
|
|
|
6.38%, 8/12/14
|
|
1,300
|
|
|
1,403,407
|
4.59%, 12/15/15 (c)
|
|
975
|
|
|
1,018,696
|
Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)
|
|
890
|
|
|
954,525
|
General Electric Capital Corp., 5.30%, 2/11/21 (c)
|
|
4,600
|
|
|
4,895,610
|
General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)
|
500
|
|
|
504,576
|
ING Bank NV, 5.00%, 6/09/21 (a)(c)
|
|
2,350
|
|
|
2,412,087
|
See Notes to Financial Statements.
24
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Diversified Financial Services (concluded)
|
|
|
|
|
|
Intesa Sanpaolo SpA (c):
|
|
|
|
|
|
2.38%, 12/21/12
|
USD
|
3,500
|
|
$
|
3,408,608
|
6.50%, 2/24/21 (a)
|
|
600
|
|
|
553,624
|
JPMorgan Chase & Co., 3.15%, 7/05/16 (c)
|
|
4,075
|
|
|
4,081,915
|
Moodys Corp., 6.06%, 9/07/17
|
|
6,000
|
|
|
6,342,174
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
|
|
7.13%, 4/15/19
|
|
245
|
|
|
249,900
|
7.88%, 8/15/19
|
|
870
|
|
|
909,150
|
6.88%, 2/15/21
|
|
215
|
|
|
217,150
|
8.25%, 2/15/21
|
|
485
|
|
|
444,988
|
WMG Acquisition Corp., 9.50%, 6/15/16 (a)
|
|
205
|
|
|
217,300
|
|
|
|
|
|
35,784,060
|
Diversified Telecommunication Services 5.4%
|
|
|
|
|
|
AT&T, Inc., 6.30%, 1/15/38 (c)
|
|
4,000
|
|
|
4,806,916
|
France Telecom SA, 4.13%, 9/14/21
|
|
675
|
|
|
695,404
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
8.75%, 2/15/17
|
|
675
|
|
|
690,188
|
8.13%, 7/01/19 (a)
|
|
2,489
|
|
|
2,464,110
|
Qwest Corp., 8.38%, 5/01/16
|
|
2,795
|
|
|
3,193,287
|
Telecom Italia Capital SA, 6.18%, 6/18/14
|
|
975
|
|
|
990,404
|
Telefonica Emisiones SAU, 5.46%, 2/16/21
|
|
1,360
|
|
|
1,378,365
|
Verizon Communications, Inc.:
|
|
|
|
|
|
1.95%, 3/28/14 (c)
|
|
3,650
|
|
|
3,748,189
|
7.35%, 4/01/39
|
|
4,025
|
|
|
5,556,339
|
Windstream Corp., 7.88%, 11/01/17
|
|
1,150
|
|
|
1,242,000
|
|
|
|
|
|
24,765,202
|
Electric Utilities 1.1%
|
|
|
|
|
|
Progress Energy, Inc., 7.00%, 10/30/31 (c)
|
|
4,000
|
|
|
5,245,584
|
Electronic Equipment, Instruments & Components 0.8%
|
|
|
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18
|
|
800
|
|
|
928,000
|
NXP BV, 3.15%, 10/15/13 (b)
|
|
2,950
|
|
|
2,891,000
|
|
|
|
|
|
3,819,000
|
Energy Equipment & Services 1.2%
|
|
|
|
|
|
Ensco Plc, 4.70%, 3/15/21 (c)
|
|
1,965
|
|
|
2,067,565
|
Frac Tech Services LLC, 7.63%, 11/15/18 (a)
|
|
1,085
|
|
|
1,133,825
|
Key Energy Services, Inc., 6.75%, 3/01/21
|
|
745
|
|
|
761,763
|
MEG Energy Corp., 6.50%, 3/15/21 (a)
|
|
955
|
|
|
995,587
|
Oil States International, Inc., 6.50%, 6/01/19
|
|
505
|
|
|
528,988
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (a)
|
|
190
|
|
|
191,900
|
|
|
|
|
|
5,679,628
|
Food & Staples Retailing 2.4%
|
|
|
|
|
|
CVS Caremark Corp., 6.30%, 6/01/62 (b)
|
|
3,650
|
|
|
3,545,062
|
Wal-Mart Stores, Inc. (c):
|
|
|
|
|
|
5.25%, 9/01/35
|
|
2,500
|
|
|
2,913,065
|
6.20%, 4/15/38
|
|
3,375
|
|
|
4,400,764
|
|
|
|
|
|
10,858,891
|
Food Products 1.0%
|
|
|
|
|
|
Kraft Foods, Inc.:
|
|
|
|
|
|
6.50%, 8/11/17
|
|
1,665
|
|
|
1,990,176
|
6.13%, 8/23/18
|
|
1,660
|
|
|
1,975,415
|
Smithfield Foods, Inc., 10.00%, 7/15/14
|
|
374
|
|
|
434,775
|
|
|
|
|
|
4,400,366
|
Gas Utilities 0.1%
|
|
|
|
|
|
Targa Resources Partners LP, 6.88%, 2/01/21 (a)
|
|
495
|
|
|
488,813
|
Health Care Equipment & Supplies 0.7%
|
|
|
|
|
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
|
|
2,250
|
|
|
2,542,500
|
Teleflex, Inc., 6.88%, 6/01/19
|
|
490
|
|
|
507,150
|
|
|
|
|
|
3,049,650
|
Health Care Providers & Services 4.3%
|
|
|
|
|
|
Aetna, Inc., 6.75%, 12/15/37 (c)
|
|
1,700
|
|
|
2,163,106
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19
|
|
460
|
|
|
443,900
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Health Care Providers & Services (concluded)
|
|
|
|
|
|
HCA, Inc.:
|
|
|
|
|
|
8.50%, 4/15/19
|
USD
|
240
|
|
$
|
264,000
|
6.50%, 2/15/20
|
|
2,380
|
|
|
2,493,050
|
7.25%, 9/15/20
|
|
3,435
|
|
|
3,679,744
|
7.50%, 2/15/22
|
|
2,020
|
|
|
2,060,400
|
INC Research LLC, 11.50%, 7/15/19 (a)
|
|
695
|
|
|
625,500
|
inVentiv Health, Inc., 10.00%, 8/15/18 (a)
|
|
510
|
|
|
489,600
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
10.00%, 5/01/18
|
|
1,530
|
|
|
1,755,675
|
8.88%, 7/01/19
|
|
1,125
|
|
|
1,271,250
|
UnitedHealth Group, Inc., 6.88%, 2/15/38
|
|
3,400
|
|
|
4,483,430
|
|
|
|
|
|
19,729,655
|
Household Durables 0.3%
|
|
|
|
|
|
Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)
|
|
1,462
|
|
|
1,158,635
|
Independent Power Producers & Energy Traders 1.3%
|
|
|
|
|
|
AES Corp.:
|
|
|
|
|
|
9.75%, 4/15/16
|
|
985
|
|
|
1,117,975
|
7.38%, 7/01/21 (a)
|
|
325
|
|
|
347,750
|
Calpine Construction Finance Co. LP, 8.00%,
|
|
|
|
|
|
6/01/16
(a)
|
|
535
|
|
|
569,775
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
440
|
|
|
457,600
|
Energy Future Intermediate Holding Co., LLC,
|
|
|
|
|
|
10.00%, 12/01/20
|
|
1,745
|
|
|
1,832,250
|
NRG Energy, Inc., 7.38%, 1/15/17
|
|
1,710
|
|
|
1,780,537
|
|
|
|
|
|
6,105,887
|
Insurance 8.3%
|
|
|
|
|
|
Allianz Finance II BV, 5.75%, 7/08/41 (b)
|
EUR
|
700
|
|
|
867,169
|
The Allstate Corp., 7.45%, 5/16/19 (c)
|
USD
|
5,600
|
|
|
6,963,757
|
American International Group, Inc.,
|
|
|
|
|
|
6.40%, 12/15/20 (c)
|
|
1,690
|
|
|
1,770,017
|
Aon Corp., 5.00%, 9/30/20 (c)
|
|
4,600
|
|
|
5,041,016
|
Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)
|
|
2,800
|
|
|
2,638,549
|
Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)
|
|
1,000
|
|
|
1,015,846
|
Genworth Financial, Inc., 7.63%, 9/24/21
|
|
970
|
|
|
876,812
|
Manulife Financial Corp., 4.90%, 9/17/20 (c)
|
|
4,700
|
|
|
4,827,379
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
|
|
430
|
|
|
369,800
|
Muenchener Rueckversicherungs AG,
|
|
|
|
|
|
6.00%, 5/26/41 (b)
|
EUR
|
300
|
|
|
399,239
|
Northwestern Mutual Life Insurance,
|
|
|
|
|
|
6.06%, 3/30/40 (a)
|
USD
|
3,800
|
|
|
4,453,520
|
Principal Financial Group, Inc., 8.88%, 5/15/19
|
|
980
|
|
|
1,241,662
|
Prudential Financial, Inc., 6.63%, 12/01/37 (c)
|
|
3,400
|
|
|
4,042,855
|
XL Group Ltd., 5.75%, 10/01/21 (c)
|
|
3,430
|
|
|
3,616,602
|
|
|
|
|
|
38,124,223
|
IT Services 0.7%
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)
|
|
720
|
|
|
673,200
|
First Data Corp. (a):
|
|
|
|
|
|
7.38%, 6/15/19
|
|
725
|
|
|
717,750
|
8.25%, 1/15/21
|
|
90
|
|
|
85,500
|
12.63%, 1/15/21
|
|
905
|
|
|
855,225
|
SunGard Data Systems, Inc., 7.38%, 11/15/18
|
|
970
|
|
|
991,825
|
|
|
|
|
|
3,323,500
|
Life Sciences Tools & Services 1.9%
|
|
|
|
|
|
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16
|
|
3,825
|
|
|
4,169,250
|
Life Technologies Corp., 6.00%, 3/01/20 (c)
|
|
4,200
|
|
|
4,681,072
|
|
|
|
|
|
8,850,322
|
Machinery 1.1%
|
|
|
|
|
|
Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 (c)
|
3,400
|
|
|
3,996,829
|
Navistar International Corp., 8.25%, 11/01/21
|
|
931
|
|
|
1,012,463
|
|
|
|
|
|
5,009,292
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
25
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Media 9.3%
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
USD
|
395
|
|
$
|
428,575
|
CCH II LLC, 13.50%, 11/30/16
|
|
2,317
|
|
|
2,670,342
|
Cengage Learning Acquisitions, Inc.,
|
|
|
|
|
|
10.50%, 1/15/15 (a)
|
|
700
|
|
|
553,000
|
Comcast Corp., 6.30%, 11/15/17 (c)
|
|
3,400
|
|
|
4,017,022
|
Cox Communications, Inc., 8.38%, 3/01/39 (a)
|
|
3,400
|
|
|
4,754,193
|
CSC Holdings LLC:
|
|
|
|
|
|
8.50%, 4/15/14
|
|
680
|
|
|
746,300
|
8.50%, 6/15/15
|
|
1,500
|
|
|
1,627,500
|
8.63%, 2/15/19
|
|
1,200
|
|
|
1,362,000
|
DIRECTV Holdings LLC, 5.00%, 3/01/21
|
|
2,575
|
|
|
2,818,822
|
DISH DBS Corp., 7.00%, 10/01/13
|
|
1,750
|
|
|
1,850,625
|
Intelsat Luxembourg SA (d):
|
|
|
|
|
|
11.50%, 2/04/17 (a)
|
|
140
|
|
|
140,000
|
11.50%, 2/04/17
|
|
400
|
|
|
400,000
|
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17
|
1,175
|
|
|
1,345,375
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)
|
1,040
|
|
|
1,081,600
|
News America, Inc., 6.15%, 3/01/37 (c)
|
|
4,200
|
|
|
4,612,528
|
Time Warner Cable, Inc., 6.75%, 6/15/39
|
|
4,050
|
|
|
4,922,759
|
Time Warner, Inc., 7.70%, 5/01/32
|
|
4,150
|
|
|
5,403,968
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC
|
|
|
|
|
|
Germany GmbH), 8.13%, 12/01/17 (a)
|
|
1,030
|
|
|
1,096,950
|
Virgin Media Secured Finance Plc, 6.50%, 1/15/18
|
|
2,675
|
|
|
2,882,312
|
|
|
|
|
|
42,713,871
|
Metals & Mining 2.6%
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21 (c)
|
|
2,455
|
|
|
2,432,561
|
Barrick Gold Corp., 2.90%, 5/30/16
|
|
1,150
|
|
|
1,194,001
|
Barrick North America Finance LLC, 5.70%, 5/30/41
|
1,325
|
|
|
1,539,975
|
FMG Resources August 2006 Property Ltd. (a):
|
|
|
|
|
|
6.88%, 2/01/18
|
|
235
|
|
|
225,600
|
8.25%, 11/01/19
|
|
190
|
|
|
191,900
|
Freeport-McMoRan Corp., 7.13%, 11/01/27
|
|
2,900
|
|
|
3,369,641
|
Novelis, Inc., 8.75%, 12/15/20
|
|
975
|
|
|
1,062,750
|
Teck Resources Ltd., 10.75%, 5/15/19 (c)
|
|
1,750
|
|
|
2,161,250
|
|
|
|
|
|
12,177,678
|
Multi-Utilities 1.6%
|
|
|
|
|
|
CenterPoint Energy, Inc.:
|
|
|
|
|
|
5.95%, 2/01/17
|
|
3,150
|
|
|
3,547,177
|
6.50%, 5/01/18
|
|
3,350
|
|
|
3,902,881
|
|
|
|
|
|
7,450,058
|
Multiline Retail 1.3%
|
|
|
|
|
|
JC Penney Co., Inc., 5.65%, 6/01/20
|
|
6,300
|
|
|
5,937,750
|
Oil, Gas & Consumable Fuels 13.0%
|
|
|
|
|
|
Alpha Natural Resources, Inc.:
|
|
|
|
|
|
6.00%, 6/01/19
|
|
255
|
|
|
253,088
|
6.25%, 6/01/21
|
|
705
|
|
|
696,188
|
Anadarko Petroleum Corp.:
|
|
|
|
|
|
5.95%, 9/15/16
|
|
994
|
|
|
1,142,322
|
6.38%, 9/15/17
|
|
23
|
|
|
27,065
|
Arch Coal, Inc. (a):
|
|
|
|
|
|
7.00%, 6/15/19
|
|
220
|
|
|
227,700
|
7.25%, 6/15/21
|
|
720
|
|
|
741,600
|
BP Capital Markets Plc (c):
|
|
|
|
|
|
3.88%, 3/10/15
|
|
1,500
|
|
|
1,605,862
|
3.20%, 3/11/16
|
|
1,875
|
|
|
1,969,978
|
Buckeye Partners LP, 4.88%, 2/01/21
|
|
1,000
|
|
|
1,053,169
|
Chesapeake Energy Corp., 6.13%, 2/15/21
|
|
3,445
|
|
|
3,608,637
|
Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)
|
595
|
|
|
600,950
|
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)
|
270
|
|
|
277,425
|
Consol Energy, Inc., 6.38%, 3/01/21 (a)
|
|
450
|
|
|
447,750
|
Copano Energy LLC, 7.13%, 4/01/21
|
|
560
|
|
|
572,600
|
DCP Midstream LLC, 4.75%, 9/30/21 (a)
|
|
1,200
|
|
|
1,252,478
|
Denbury Resources, Inc., 6.38%, 8/15/21
|
|
575
|
|
|
592,250
|
El Paso Corp., 7.00%, 6/15/17
|
|
1,430
|
|
|
1,601,600
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Oil, Gas & Consumable Fuels (concluded)
|
|
|
|
|
|
El Paso Pipeline Partners Operating Co., LLC,
|
|
|
|
|
|
5.00%, 10/01/21
|
USD
|
525
|
|
$
|
538,374
|
Enbridge Energy Partners LP, 9.88%, 3/01/19
|
|
2,100
|
|
|
2,812,517
|
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19
|
|
1,025
|
|
|
1,035,250
|
Enterprise Products Operating LLC, 6.65%, 4/15/18
|
|
4,200
|
|
|
4,940,636
|
Forest Oil Corp., 8.50%, 2/15/14
|
|
1,240
|
|
|
1,339,200
|
Hilcorp Energy I LP, 7.75%, 11/01/15 (a)
|
|
710
|
|
|
728,389
|
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20
|
|
4,200
|
|
|
5,018,605
|
Linn Energy LLC, 7.75%, 2/01/21
|
|
955
|
|
|
1,019,463
|
Marathon Petroleum Corp., 3.50%, 3/01/16 (a)
|
|
1,375
|
|
|
1,410,545
|
MarkWest Energy Partners LP, 6.25%, 6/15/22 (e)
|
|
530
|
|
|
543,250
|
Newfield Exploration Co., 5.75%, 1/30/22
|
|
495
|
|
|
524,700
|
Oasis Petroleum, Inc.:
|
|
|
|
|
|
7.25%, 2/01/19 (a)
|
|
340
|
|
|
358,700
|
6.50%, 11/01/21 (e)
|
|
305
|
|
|
306,525
|
OGX Petroleo e Gas Participacoes SA, 8.50%, 6/01/18 (a)
|
1,200
|
|
|
1,188,000
|
ONEOK Partners LP, 8.63%, 3/01/19
|
|
3,400
|
|
|
4,396,220
|
Petrobras International Finance Co., 3.88%, 1/27/16
|
|
3,725
|
|
|
3,811,796
|
Petrohawk Energy Corp.:
|
|
|
|
|
|
10.50%, 8/01/14
|
|
615
|
|
|
689,569
|
6.25%, 6/01/19
|
|
715
|
|
|
807,950
|
Pioneer Natural Resources Co.:
|
|
|
|
|
|
6.65%, 3/15/17
|
|
650
|
|
|
705,933
|
6.88%, 5/01/18
|
|
490
|
|
|
529,845
|
Plains Exploration & Production Co.:
|
|
|
|
|
|
7.75%, 6/15/15
|
|
785
|
|
|
814,438
|
10.00%, 3/01/16
|
|
405
|
|
|
449,550
|
Precision Drilling Corp., 6.50%, 12/15/21 (a)
|
|
425
|
|
|
448,375
|
Premier Oil, 5.00%, 6/09/18
|
|
3,400
|
|
|
3,536,000
|
Range Resources Corp., 6.75%, 8/01/20
|
|
855
|
|
|
949,050
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (a)
|
|
720
|
|
|
694,800
|
SM Energy Co., 6.63%, 2/15/19 (a)
|
|
220
|
|
|
222,200
|
Western Gas Partners LP, 5.38%, 6/01/21
|
|
1,525
|
|
|
1,621,746
|
The Williams Cos., Inc., 8.75%, 3/15/32
|
|
1,150
|
|
|
1,565,715
|
|
|
|
|
|
59,678,003
|
Paper & Forest Products 2.9%
|
|
|
|
|
|
Boise Paper Holdings LLC, 8.00%, 4/01/20
|
|
645
|
|
|
678,862
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (a)
|
|
3,400
|
|
|
3,770,053
|
International Paper Co.:
|
|
|
|
|
|
7.50%, 8/15/21
|
|
3,325
|
|
|
4,040,819
|
7.30%, 11/15/39
|
|
3,400
|
|
|
3,964,584
|
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a)
|
330
|
|
|
334,950
|
Verso Paper Holdings LLC, 11.50%, 7/01/14
|
|
355
|
|
|
372,750
|
|
|
|
|
|
13,162,018
|
Pharmaceuticals 7.5%
|
|
|
|
|
|
Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)
|
|
2,214
|
|
|
2,812,814
|
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)
|
EUR
|
300
|
|
|
423,412
|
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)
|
USD
|
7,250
|
|
|
9,799,629
|
Merck & Co., Inc. (c):
|
|
|
|
|
|
6.50%, 12/01/33
|
|
2,070
|
|
|
2,831,129
|
6.55%, 9/15/37
|
|
4,572
|
|
|
6,364,956
|
Pfizer, Inc., 7.20%, 3/15/39 (c)
|
|
6,250
|
|
|
9,335,337
|
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (a)
|
250
|
|
|
250,000
|
Watson Pharmaceuticals, Inc., 6.13%, 8/15/19
|
|
2,075
|
|
|
2,423,930
|
|
|
|
|
|
34,241,207
|
Real Estate Investment Trusts (REITs) 2.8%
|
|
|
|
|
|
AvalonBay Communities, Inc., 6.10%, 3/15/20
|
|
3,400
|
|
|
3,857,994
|
Developers Diversified Realty Corp.:
|
|
|
|
|
|
4.75%, 4/15/18
|
|
645
|
|
|
606,981
|
7.88%, 9/01/20
|
|
775
|
|
|
838,861
|
ERP Operating LP, 5.75%, 6/15/17 (c)
|
|
3,405
|
|
|
3,805,363
|
HCP, Inc., 5.38%, 2/01/21
|
|
1,025
|
|
|
1,052,710
|
UDR, Inc., 4.25%, 6/01/18
|
|
1,475
|
|
|
1,516,731
|
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21
|
|
1,135
|
|
|
1,111,449
|
|
|
|
|
|
12,790,089
|
See Notes to Financial Statements.
26
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
Value
|
Real Estate Management & Development 0.2%
|
|
|
|
|
|
Realogy Corp., 7.88%, 2/15/19 (a)
|
USD
|
570
|
|
$
|
513,000
|
Shea Homes LP, 8.63%, 5/15/19 (a)
|
|
480
|
|
|
434,400
|
|
|
|
|
|
947,400
|
Road & Rail 1.6%
|
|
|
|
|
|
Avis Budget Car Rental LLC, 8.25%, 1/15/19
|
|
435
|
|
|
433,912
|
Florida East Coast Railway Corp., 8.13%, 2/01/17
|
|
200
|
|
|
200,000
|
The Hertz Corp., 6.75%, 4/15/19
|
|
933
|
|
|
951,660
|
Norfolk Southern Corp., 6.00%, 3/15/2105 (c)
|
|
5,000
|
|
|
5,783,350
|
|
|
|
|
|
7,368,922
|
Semiconductors & Semiconductor Equipment 0.6%
|
|
|
|
|
Advanced Micro Devices, Inc., 7.75%, 8/01/20
|
|
775
|
|
|
786,625
|
KLA-Tencor Corp., 6.90%, 5/01/18
|
|
1,928
|
|
|
2,194,802
|
|
|
|
|
|
2,981,427
|
Specialty Retail 1.2%
|
|
|
|
|
|
AutoNation, Inc., 6.75%, 4/15/18
|
|
1,965
|
|
|
2,038,688
|
Best Buy Co., Inc., 5.50%, 3/15/21
|
|
550
|
|
|
525,727
|
Limited Brands, Inc., 7.00%, 5/01/20
|
|
980
|
|
|
1,043,700
|
QVC, Inc., 7.38%, 10/15/20 (a)
|
|
105
|
|
|
114,450
|
VF Corp., 5.95%, 11/01/17
|
|
1,475
|
|
|
1,746,736
|
|
|
|
|
|
5,469,301
|
Tobacco 2.0%
|
|
|
|
|
|
Altria Group, Inc.:
|
|
|
|
|
|
9.25%, 8/06/19
|
|
485
|
|
|
644,737
|
10.20%, 2/06/39
|
|
3,929
|
|
|
6,069,649
|
Lorillard Tobacco Co., 3.50%, 8/04/16
|
|
2,450
|
|
|
2,459,508
|
|
|
|
|
|
9,173,894
|
Wireless Telecommunication Services 3.6%
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16
|
|
2,675
|
|
|
2,670,701
|
American Tower Corp.:
|
|
|
|
|
|
4.50%, 1/15/18
|
|
1,925
|
|
|
1,979,951
|
5.90%, 11/01/21
|
|
1,295
|
|
|
1,431,287
|
Cricket Communications, Inc., 7.75%, 5/15/16
|
|
670
|
|
|
695,125
|
Crown Castle International Corp., 9.00%, 1/15/15
|
|
890
|
|
|
970,100
|
Crown Castle Towers LLC (a):
|
|
|
|
|
|
5.50%, 1/15/37
|
|
1,175
|
|
|
1,279,864
|
6.11%, 1/15/40
|
|
1,300
|
|
|
1,436,491
|
Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)
|
|
190
|
|
|
190,950
|
Nextel Communications, Inc., Series E, 6.88%, 10/31/13
|
840
|
|
|
829,500
|
SBA Tower Trust, 5.10%, 4/15/42 (a)
|
|
4,225
|
|
|
4,603,138
|
Sprint Capital Corp., 6.88%, 11/15/28
|
|
470
|
|
|
343,100
|
|
|
|
|
|
16,430,207
|
Total Corporate Bonds 115.5%
|
|
|
|
|
530,502,508
|
|
Preferred Securities
|
Capital Trusts
|
|
|
|
|
|
Capital Markets 4.0%
|
|
|
|
|
|
Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)
|
|
2,500
|
|
|
2,525,000
|
State Street Capital Trust III, 5.34% (b)(f)
|
|
2,920
|
|
|
2,924,964
|
State Street Capital Trust IV, 1.35%, 6/01/37 (b)
|
|
18,235
|
|
|
12,772,159
|
|
|
|
|
|
18,222,123
|
Commercial Banks 5.4%
|
|
|
|
|
|
Barclays Bank Plc, 7.43% (a)(b)(c)(f)
|
|
650
|
|
|
607,750
|
BNP Paribas, 7.20% (a)(b)(c)(f)
|
|
1,500
|
|
|
1,237,500
|
Credit Agricole SA (a)(b)(c)(f):
|
|
|
|
|
|
6.64
%
|
|
1,475
|
|
|
996,363
|
8.38
%
|
|
1,475
|
|
|
1,298,000
|
Dresdner Funding Trust I, 8.15%, 6/30/31 (a)
|
|
2,240
|
|
|
1,747,200
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trusts
|
|
Par
(000
)
|
|
Value
|
Commercial Banks (concluded)
|
|
|
|
|
|
HSBC Capital Funding LP/Jersey Channel Islands,
|
|
|
|
|
|
10.18% (a)(b)(c)(f)
|
USD
|
4,835
|
|
$
|
6,055,837
|
M&T Capital Trust II, 8.28%, 6/01/27
|
|
3,630
|
|
|
3,666,358
|
National City Preferred Capital Trust I, 12.00% (b)(f)
|
|
1,100
|
|
|
1,141,426
|
NationsBank Capital Trust III, 0.95%, 1/15/27 (b)
|
|
13,470
|
|
|
8,021,708
|
|
|
|
|
|
24,772,142
|
Diversified Financial Services 1.7%
|
|
|
|
|
|
ING Capital Funding Trust III, 3.97% (b)(f)
|
|
1,800
|
|
|
1,525,003
|
JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)(c)
|
|
8,775
|
|
|
6,058,365
|
|
|
|
|
|
7,583,368
|
Electric Utilities 0.6%
|
|
|
|
|
|
PPL Capital Funding, 6.70%, 3/30/67 (b)
|
|
3,000
|
|
|
2,895,000
|
Insurance 8.6%
|
|
|
|
|
|
Ace Capital Trust II, 9.70%, 4/01/30
|
|
2,500
|
|
|
3,244,830
|
The Allstate Corp., 6.50%, 5/15/67 (b)
|
|
5,000
|
|
|
4,656,250
|
American General Capital II, 8.50%, 7/01/30
|
|
100
|
|
|
98,000
|
American International Group, Inc., 8.18%, 5/15/68 (b)
|
|
900
|
|
|
868,500
|
Aon Corp., 8.21%, 1/01/27
|
|
2,500
|
|
|
2,911,810
|
AXA SA, 6.38% (a)(b)(f)
|
|
3,000
|
|
|
2,242,500
|
Bank One Capital III, 8.75%, 9/01/30 (c)
|
|
2,000
|
|
|
2,437,998
|
Chubb Corp., 6.38%, 3/29/67 (b)(c)
|
|
2,000
|
|
|
2,010,000
|
Farmers Exchange Capital, 7.05%, 7/15/28 (a)(c)
|
|
2,500
|
|
|
2,710,765
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)
|
|
2,925
|
|
|
3,553,875
|
Lincoln National Corp., 7.00%, 5/17/66 (b)(c)
|
|
3,350
|
|
|
3,149,000
|
MetLife, Inc., 6.40%, 12/15/66
|
|
3,325
|
|
|
3,266,274
|
Principal Life Insurance Co., 8.00%, 3/01/44 (a)
|
|
2,500
|
|
|
3,136,742
|
Reinsurance Group of America, 6.75%, 12/15/65 (b)
|
|
3,000
|
|
|
2,603,487
|
Swiss Re Solutions Holding Corp., 7.75%, 6/15/30 (c)
|
|
2,000
|
|
|
2,267,248
|
ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)
|
|
379
|
|
|
367,630
|
|
|
|
|
|
39,524,909
|
Multi-Utilities 1.5%
|
|
|
|
|
|
Dominion Resources Capital Trust I, 7.83%, 12/01/27
|
|
2,500
|
|
|
2,520,288
|
Dominion Resources, Inc., 7.50%, 6/30/66 (b)
|
|
3,900
|
|
|
4,095,000
|
|
|
|
|
|
6,615,288
|
Oil, Gas & Consumable Fuels 1.3%
|
|
|
|
|
|
Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)
|
|
2,000
|
|
|
2,070,000
|
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)
|
|
4,000
|
|
|
4,076,696
|
|
|
|
|
|
6,146,696
|
Road & Rail 0.8%
|
|
|
|
|
|
BNSF Funding Trust I, 6.61%, 12/15/55 (b)
|
|
3,750
|
|
|
3,810,938
|
Total Capital Trusts 23.9%
|
|
|
|
|
109,570,464
|
|
Preferred Stocks
|
|
Shares
|
|
|
Auto Components 0.1%
|
|
|
|
|
|
Dana Holding Corp., 4.00% (a)
|
|
4,000
|
|
|
495,000
|
Commercial Banks 0.2%
|
|
|
|
|
|
SG Preferred Capital II, 6.30% (a)(b)
|
|
1,000
|
|
|
1,004,687
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (a)
|
|
1,880
|
|
|
1,402,069
|
Thrifts & Mortgage Finance 0.0%
|
|
|
|
|
|
Fannie Mae, Series S, 8.25% (b)(g)
|
|
14,000
|
|
|
27,440
|
Freddie Mac, Series Z, 8.38% (b)(g)
|
|
14,000
|
|
|
29,960
|
|
|
|
|
|
57,400
|
Wireless Telecommunication Services 0.6%
|
|
|
|
|
|
Centaur Funding Corp., 9.08% (a)
|
|
2,423
|
|
|
2,800,837
|
Total Preferred Stocks 1.2%
|
|
|
|
|
5,759,993
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
27
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Trust Preferreds
|
|
Shares
|
Value
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
|
|
66,410
|
|
$
|
1,363,099
|
Total Trust Preferreds 0.3%
|
|
|
|
|
1,363,099
|
Total Preferred Securities 25.4%
|
|
|
|
|
116,693,556
|
|
|
Taxable Municipal Bonds
|
|
Par
(000
)
|
|
|
Metropolitan Transportation Authority, RB, Build
|
|
|
|
|
|
America Bonds, 6.55%, 11/15/31
|
USD
|
3,450
|
|
|
3,895,257
|
Total Taxable Municipal Bonds 0.8%
|
|
|
|
|
3,895,257
|
|
|
US Government Sponsored Agency Securities
|
|
|
|
|
|
Agency Obligations 0.3%
|
|
|
|
|
|
Fannie Mae, 4.23%, 10/09/19 (c)(h)
|
|
1,670
|
|
|
1,262,477
|
Total US Government Sponsored Agency Securities 0.3%
|
|
1,262,477
|
|
|
US Treasury Obligations
|
|
|
|
|
|
US Treasury Bonds, 4.75%, 2/15/41 (c)
|
|
2,670
|
|
|
3,471,000
|
US Treasury Notes, 1.00%, 9/30/16 (c)
|
|
1,450
|
|
|
1,451,015
|
Total US Treasury Obligations 1.1%
|
|
|
|
|
4,922,015
|
Total Long-Term Investments
|
|
|
|
|
|
(Cost $641,902,640) 144.0%
|
|
|
|
|
661,406,675
|
|
|
Short-Term Securities
|
|
Shares
|
|
|
BlackRock Liquidity Funds, TempFund,
|
|
|
|
|
|
Institutional Class, 0.14% (i)(j)
|
|
405,708
|
|
|
405,708
|
Total Short-Term Securities
|
|
|
|
|
|
(Cost $405,708) 0.1%
|
|
|
|
|
405,708
|
|
|
Options Purchased
|
|
Notional
Amount
(000
)
|
|
|
Over-the-Counter Put Swaptions 0.0%
|
|
|
|
|
|
Pay a fixed rate of 4.50% and receive a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 9/16/13, Broker
|
|
|
|
|
|
Credit Suisse International
|
EUR
|
5,300
|
|
|
108,147
|
Pay a fixed rate of 4.50% and receive a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 10/21/13, Broker
|
|
|
|
|
|
Citibank NA
|
|
5,000
|
|
|
111,161
|
|
|
|
|
|
219,308
|
Total Options Purchased
|
|
|
|
|
|
(Cost $264,170) 0.0%
|
|
|
|
|
219,308
|
Total Investments Before Options Written
|
|
|
|
|
|
(Cost $642,572,518*) 144.1%
|
|
|
|
|
662,031,691
|
|
|
|
|
|
|
Options Written
|
|
Notional
Amount
(000
)
|
Value
|
Over-the-Counter Call Swaptions (0.2)%
|
|
|
|
|
|
Pay a fixed rate of 4.03% and receive a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12,
|
|
|
|
|
|
Broker UBS AG
|
USD
|
7,700
|
$
|
(1,090,952
|
)
|
Over-the-Counter Put Swaptions (0.0)%
|
|
|
|
|
|
Receive a fixed rate of 4.03% and pay a floating rate
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12, Broker
|
|
|
|
|
|
UBS AG
|
|
7,700
|
|
(12,325
|
)
|
Total Options Written
|
|
|
|
|
|
(Premiums Received $554,400) (0.2)%
|
|
|
|
(1,103,277
|
)
|
Total Investments, Net of Options Written 143.9%
|
|
|
|
660,928,414
|
|
Liabilities in Excess of Other Assets (43.9)%
|
|
|
|
(201,649,692
|
)
|
Net Assets 100.0%
|
|
|
$
|
459,278,722
|
|
|
|
|
|
|
|
*
|
|
The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:
|
|
|
|
|
Aggregate cost
|
$
|
642,431,656
|
|
Gross unrealized appreciation
|
$
|
36,903,817
|
|
Gross unrealized depreciation
|
|
(17,303,782
|
)
|
Net unrealized appreciation
|
$
|
19,600,035
|
|
(a)
|
|
Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.
|
(b)
|
|
Variable rate security. Rate shown is as of report date.
|
(c)
|
|
All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.
|
(d)
|
|
Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(e)
|
|
When-issued security. Unsettled when-issued transactions
were as follows:
|
|
|
|
|
|
Counterparty
|
Value
|
Unrealized
Appreciation
|
Barclays Capital, Inc.
|
$
|
543,250
|
$
|
13,250
|
JPMorgan Chase Bank NA
|
$
|
306,525
|
$
|
1,525
|
(f)
|
|
Security is perpetual in nature and has no stated maturity
date.
|
(g)
|
|
Non-income producing security.
|
(h)
|
|
Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.
|
(i)
|
|
Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
Affiliate
|
Shares
Held at
October 31,
2010
|
Net
Activity
|
Shares
Held at
October 31,
2011
|
Income
|
BlackRock Liquidity
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
Institutional Class
|
1,483,567
|
(1,077,859)
|
405,708
|
$5,540
|
(j)
|
|
Represents the current yield as of report date.
|
|
|
For Fund compliance purposes, the Funds 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 Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.
|
See Notes to Financial Statements.
28
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
|
Net Closing
Amount
|
Face
Amount
|
UBS Securities LLC
|
0.38%
|
5/18/11
|
Open
|
$
|
12,935,169
|
$
|
12,912,000
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
5/19/11
|
Open
|
|
4,646,054
|
|
4,637,500
|
UBS Securities LLC
|
0.38%
|
5/19/11
|
Open
|
|
2,183,820
|
|
2,180,000
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
5/20/11
|
Open
|
|
3,398,407
|
|
3,392,188
|
Barclays Capital Inc.
|
0.40%
|
5/31/11
|
Open
|
|
2,048,499
|
|
2,045,000
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
6/01/11
|
Open
|
|
6,953,547
|
|
6,943,219
|
UBS Securities LLC
|
0.35%
|
6/08/11
|
Open
|
|
4,836,856
|
|
4,830,000
|
UBS Securities LLC
|
0.38%
|
6/14/11
|
Open
|
|
6,404,450
|
|
6,395,000
|
UBS Securities LLC
|
0.38%
|
6/15/11
|
Open
|
|
9,065,464
|
|
9,051,999
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
6/20/11
|
Open
|
|
1,920,339
|
|
1,917,840
|
UBS Securities LLC
|
0.37%
|
6/22/11
|
Open
|
|
3,536,166
|
|
3,531,375
|
UBS Securities LLC
|
0.37%
|
6/27/11
|
Open
|
|
1,849,286
|
|
1,846,875
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
7/05/11
|
Open
|
|
1,612,645
|
|
1,610,781
|
UBS Securities LLC
|
0.35%
|
7/11/11
|
Open
|
|
2,408,543
|
|
2,405,900
|
UBS Securities LLC
|
0.32%
|
7/12/11
|
Open
|
|
2,247,660
|
|
2,245,425
|
UBS Securities LLC
|
0.28%
|
7/13/11
|
Open
|
|
588,508
|
|
588,000
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
7/20/11
|
Open
|
|
9,139,106
|
|
9,129,875
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.17%
|
7/29/11
|
Open
|
|
2,971,708
|
|
2,970,375
|
UBS Securities LLC
|
0.38%
|
8/01/11
|
Open
|
|
3,711,633
|
|
3,706,000
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
8/03/11
|
Open
|
|
3,624,969
|
|
3,621,800
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.09%
|
8/05/11
|
Open
|
|
1,227,720
|
|
1,227,450
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
8/16/11
|
Open
|
|
1,863,394
|
|
1,862,000
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.39%
|
8/17/11
|
Open
|
|
1,483,220
|
|
1,482,000
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/18/11
|
Open
|
|
3,912,851
|
|
3,910,000
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/26/11
|
Open
|
|
2,401,501
|
|
2,399,938
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/30/11
|
Open
|
|
4,528,272
|
|
4,525,500
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/31/11
|
Open
|
|
4,777,878
|
|
4,775,000
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
9/01/11
|
Open
|
|
17,070,843
|
|
17,060,725
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
9/01/11
|
Open
|
|
36,121,583
|
|
36,100,174
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/09/11
|
Open
|
|
7,104,147
|
|
7,100,489
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/12/11
|
Open
|
|
2,087,825
|
|
2,086,750
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40%
|
9/12/11
|
Open
|
|
3,980,210
|
|
3,978,000
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
9/20/11
|
Open
|
|
1,820,743
|
|
1,820,000
|
Barclays Capital Inc.
|
0.40%
|
9/23/11
|
Open
|
|
3,160,932
|
|
3,159,563
|
Barclays Capital Inc.
|
0.40%
|
9/30/11
|
Open
|
|
3,171,065
|
|
3,169,938
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
|
Net Closing
Amount
|
Face
Amount
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40
|
%
|
10/04/11
|
Open
|
$
|
2,957,170
|
$
|
2,956,250
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
10/06/11
|
Open
|
|
509,566
|
|
509,438
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35
|
%
|
10/12/11
|
Open
|
|
1,991,637
|
|
1,991,250
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc
.
|
0.35
|
%
|
10/12/11
|
Open
|
|
4,600,894
|
|
4,600,000
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35
|
%
|
10/14/11
|
Open
|
|
7,464,694
|
|
7,463,388
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.38
|
%
|
10/20/11
|
Open
|
|
1,042,632
|
|
1,042,500
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35
|
%
|
10/27/11
|
Open
|
|
1,618,566
|
|
1,618,487
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40
|
%
|
10/27/11
|
Open
|
|
5,838,587
|
|
5,838,262
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.39
|
%
|
10/27/11
|
Open
|
|
1,529,858
|
|
1,529,774
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
(0.70
|
%)
|
10/31/11
|
Open
|
|
1,449,972
|
|
1,450,000
|
|
UBS Securities LLC
|
0.38
|
%
|
10/31/11
|
Open
|
|
3,415,366
|
|
3,415,185
|
|
Total
|
|
|
|
|
$
|
213,213,955
|
$
|
213,033,213
|
|
1
|
|
Certain agreements have no stated maturity and can be
terminated by either party at anytime.
|
|
|
Financial futures contracts sold as of October 31, 2011
were as follows:
|
|
|
|
|
|
|
|
|
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)
|
404
|
Euro-Schatz
|
Eurex
|
December
|
|
|
|
|
|
|
|
|
2011
|
EUR
|
44,316,780
|
$
|
(36,951
|
)
|
1
|
German Euro
|
Chicago
|
December
|
|
|
|
|
|
|
Bund
|
Mercantile
|
2011
|
EUR
|
135,470
|
|
(306
|
)
|
890
|
10-Year US
|
Chicago
|
December
|
|
|
|
|
|
|
Treasury Note
|
Board of Trade
|
2011
|
USD
|
114,865,625
|
|
205,436
|
|
77
|
Ultra US
|
Chicago Board
|
December
|
|
|
|
|
|
|
Treasury Bond
|
of Trade
|
2011
|
USD
|
11,732,875
|
|
341,830
|
|
Total
|
|
|
|
|
|
$
|
510,009
|
|
Foreign currency exchange contracts as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
Currency
Purchased
|
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Depreciation
|
USD
|
1,477,438
|
|
EUR
|
1,074,500
|
Citibank NA
|
1/25/12
|
$
|
(8,539
|
)
|
USD
|
123,988
|
|
EUR
|
90,000
|
Deutsche Bank AG
|
1/25/12
|
|
(477
|
)
|
|
Total
|
|
|
|
|
|
|
$
|
(9,016
|
)
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
29
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
Credit default swaps on single-name issues buy protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Appreciation
(Depreciation)
|
Raytheon Co.
|
1.00
%
|
Citibank NA
|
9/20/16
|
USD 1,100
|
$
|
6,220
|
|
Raytheon Co.
|
1.00
%
|
Deutsche
|
|
|
|
|
|
|
|
Bank AG
|
9/20/16
|
USD 1,150
|
|
(902
|
)
|
General
|
|
JPMorgan
|
|
|
|
|
|
Dynamics Corp.
|
1.00
%
|
Chase
|
|
|
|
|
|
|
|
Bank & Co.
|
9/20/16
|
USD 2,475
|
|
21,317
|
|
Computer
|
|
Morgan Stanley
|
|
|
|
|
|
Sciences Corp.
|
1.00
%
|
& Co., Inc.
|
9/20/16
|
USD 1,160
|
|
5,463
|
|
General
|
|
Morgan Stanley
|
|
|
|
|
|
Dynamics Corp.
|
1.00
%
|
& Co., Inc.
|
9/20/16
|
USD 1,725
|
|
5,245
|
|
Raytheon Co.
|
1.00
%
|
Morgan Stanley
|
|
|
|
|
|
|
|
& Co., Inc.
|
9/20/16
|
USD 650
|
|
(812
|
)
|
Dell, Inc.
|
1.00
%
|
Barclays
|
|
|
|
|
|
|
|
Bank Plc
|
12/20/16
|
USD 2,665
|
|
(17,909
|
)
|
Computer
|
|
Credit Suisse
|
|
|
|
|
|
Sciences Corp.
|
1.00
%
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
12/20/16
|
USD 1,185
|
|
(24,066
|
)
|
Lockheed
|
|
Deutsche
|
|
|
|
|
|
Martin Corp.
|
1.00
%
|
Bank AG
|
12/20/16
|
USD 3,025
|
|
32,089
|
|
STMicroelectron-
|
|
Deutsche
|
|
|
|
|
|
ics NV
|
1.00
%
|
Bank AG
|
12/20/16
|
EUR 1,215
|
|
(1,481
|
)
|
Southwest
|
|
Goldman
|
|
|
|
|
|
Airlines Co.
|
1.00
%
|
Sachs Capital
|
|
|
|
|
|
|
|
Markets LP
|
12/20/16
|
USD 1,185
|
|
(279
|
)
|
Southwest
|
|
Royal Bank of
|
|
|
|
|
|
Airlines Co.
|
1.00
%
|
Scotland Plc
|
12/20/16
|
USD 1,185
|
|
(5,382
|
)
|
Total
|
|
|
|
|
$
|
19,503
|
|
|
|
Credit default swaps on single-name issues sold
protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
Issuer
|
Receive
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Issuer
Credit
Rating
1
|
Notional
Amount
(000)
2
|
Unrealized
Appreciation
(Depreciation)
|
Aviva USA
|
|
Deutsche
|
|
|
|
|
|
|
Corp.
|
1.00
%
|
Bank AG
|
5/25/12
|
AA
|
USD 2,775
|
$
|
5,018
|
|
Assured
|
|
|
|
|
|
|
|
|
Guaranty
|
|
|
|
|
|
|
|
|
Corp.
|
5.00
%
|
Citibank NA
|
12/20/14
|
AA+
|
USD
180
|
|
(1,004
|
)
|
Assured
|
|
|
|
|
|
|
|
|
Guaranty
|
|
|
|
|
|
|
|
|
Corp.
|
5.00
%
|
Citibank NA
|
3/20/15
|
AA+
|
USD
770
|
|
1,234
|
|
MetLife, Inc.
|
1.00
%
|
Deutsche
|
|
|
|
|
|
|
|
|
Bank AG
|
3/20/18
|
A+
|
USD
900
|
|
(43,991
|
)
|
Total
|
|
|
|
|
|
$
|
(38,743
|
)
|
2
|
|
The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.
|
|
|
Credit default swaps on traded indexes buy protection
outstanding as of October 31, 2011 were as follows:
|
Index
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Depreciation
|
Dow Jones
|
|
|
|
|
|
|
|
CDX North
|
|
|
|
|
|
|
|
America High
|
|
JPMorgan
|
|
|
|
|
|
Yield Index
|
|
Chase Bank
|
|
|
|
|
|
Series 17
|
5.00
%
|
& Co.
|
12/20/16
|
USD 4,450
|
$
|
(426,393
|
)
|
|
|
Interest rate swaps outstanding as of October 31, 2011
were as follows:
|
|
|
|
|
|
|
|
|
|
|
Fixed
Rate
|
Floating
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
|
Unrealized
Appreciation
(Depreciation)
|
1.43%(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
9/13/13
|
EUR
|
44,900
|
|
$
|
(36,575
|
)
|
2.72%(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
8/08/21
|
USD
|
6,500
|
|
|
242,524
|
|
4.35%(a)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
4/15/41
|
USD
|
3,000
|
|
|
(836,056
|
)
|
3.93%(a)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Citibank NA
|
7/21/41
|
USD
|
6,400
|
|
|
(1,246,530
|
)
|
3.01%(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
9/13/41
|
USD
|
900
|
|
|
8,010
|
|
2.63%(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
9/26/41
|
USD
|
1,900
|
|
|
(130,552
|
)
|
2.81%(a)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
|
LIBOR
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
10/11/41
|
USD
|
1,900
|
|
|
62,636
|
|
3.00%(a)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
|
LIBOR
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
10/18/41
|
USD
|
1,200
|
|
|
(7,526
|
)
|
Total
|
|
|
|
|
|
|
$
|
(1,944,069
|
)
|
(a)
|
|
Pays a fixed interest rate and receives floating rate.
|
(b)
|
|
Pays a floating interest rate and receives fixed rate.
|
|
|
Fair Value Measurements Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:
|
|
|
Level 1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Funds own assumptions
used in determining the fair value of investments and derivative financial instruments)
|
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Funds perceived risk of investing in those securities. For information about the Funds policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
30
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (concluded)
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Funds investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Back
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
$
|
2,077,112
|
|
$
|
2,053,750
|
|
$
|
4,130,862
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
526,966,508
|
|
|
3,536,000
|
|
|
530,502,508
|
|
Preferred
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
$
|
1,420,499
|
|
|
115,273,057
|
|
|
|
|
|
116,693,556
|
|
Taxable
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
3,895,257
|
|
|
|
|
|
3,895,257
|
|
US Government
|
|
|
|
|
|
|
|
|
|
|
|
|
Sponsored
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
1,262,477
|
|
|
|
|
|
1,262,477
|
|
US Treasury
|
|
|
|
|
|
|
|
|
|
|
|
|
Obligations
|
|
|
|
|
4,922,015
|
|
|
|
|
|
4,922,015
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
405,708
|
|
|
|
|
|
|
|
|
405,708
|
|
Total
|
$
|
1,826,207
|
|
$
|
654,396,426
|
|
$
|
5,589,750
|
|
$
|
661,812,383
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
Level 2
|
|
Level 3
|
|
Total
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
$
|
547,266
|
|
$
|
532,478
|
|
|
|
|
$
|
1,079,744
|
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
71,568
|
|
$
|
5,018
|
|
|
76,586
|
|
Liabilities
:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
(37,257
|
)
|
|
(3,360,516
|
)
|
|
|
|
|
(3,397,773
|
)
|
Foreign
|
|
|
|
|
|
|
|
|
|
|
|
|
currency
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(9,016
|
)
|
|
|
|
|
(9,016
|
)
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(522,219
|
)
|
|
|
|
|
(522,219
|
)
|
Total
|
$
|
510,009
|
|
$
|
(3,287,705
|
)
|
$
|
5,018
|
|
$
|
(2,772,678
|
)
|
1
|
|
Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
Corporate
Bonds
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
$
|
103,025
|
|
$
|
103,025
|
|
Accrued discounts/premiums
|
$
|
20,514
|
|
|
|
|
|
20,514
|
|
Net realized gain (loss)
|
|
|
|
|
34
|
|
|
34
|
|
Net change in unrealized appreciation/depreciation
2
|
|
(233,998
|
)
|
|
141,388
|
|
|
(92,610
|
)
|
Purchases
|
|
2,267,234
|
|
|
3,400,000
|
|
|
5,667,234
|
|
Sales
|
|
|
|
|
(108,447
|
)
|
|
(108,447
|
)
|
Transfers in
3
|
|
|
|
|
|
|
|
|
|
Transfers out
3
|
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2011
|
$
|
2,053,750
|
|
$
|
3,536,000
|
|
$
|
5,589,750
|
|
2
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(97,998).
|
3
|
|
The Funds policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
|
The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
Credit
Contracts
|
Assets:
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
Accrued discounts/premiums
|
$
|
8,471
|
|
Net realized gain (loss)
|
|
|
|
Net change in unrealized appreciation/depreciation
4
|
|
5,018
|
|
Purchases
|
|
|
|
Issuances
5
|
|
14,687
|
|
Sales
|
|
|
|
Settlements
6
|
|
(23,158
|
)
|
Transfers in
3
|
|
|
|
Transfers out
3
|
|
|
|
Balance, as of October 31, 2011
|
$
|
5,018
|
|
4
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $5,018.
|
5
|
|
Issuances represent upfront cash received on certain
derivative financial instruments.
|
6
|
|
Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.
|
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
31
|
|
|
Schedule
of Investments
October 31, 2011
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
Par
(000
)
|
Value
|
Atrium CDO Corp., Series 5A, Class A4,
|
|
|
|
|
|
0.69%, 7/20/20 (a)(b)
|
USD
|
1,300
|
|
$
|
1,007,500
|
Total Asset-Backed Securities 0.5%
|
|
|
|
|
1,007,500
|
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense 1.8%
|
|
|
|
|
|
BE Aerospace, Inc., 8.50%, 7/01/18
|
|
1,215
|
|
|
1,327,387
|
Bombardier, Inc., 7.75%, 3/15/20 (a)
|
|
1,405
|
|
|
1,545,500
|
Huntington Ingalls Industries, Inc. (a):
|
|
|
|
|
|
6.88%, 3/15/18
|
|
290
|
|
|
292,175
|
7.13%, 3/15/21
|
|
300
|
|
|
303,750
|
Kratos Defense & Security Solutions, Inc.,
|
|
|
|
|
|
10.00%, 6/01/17
|
|
460
|
|
|
476,100
|
|
|
|
|
|
3,944,912
|
Airlines 1.0%
|
|
|
|
|
|
American Airlines Pass-Through Trust:
|
|
|
|
|
|
Series 2011-1, Class A, 5.25%, 7/31/22
|
|
639
|
|
|
581,539
|
Series 2011-2, Class A, 8.63%, 4/15/23
|
|
265
|
|
|
265,000
|
Continental Airlines Pass-Through Certificates,
|
|
|
|
|
|
Series 2009-2, Class B, 9.25%, 5/10/17
|
|
693
|
|
|
712,248
|
Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24
|
|
588
|
|
|
580,742
|
|
|
|
|
|
2,139,529
|
Auto Components 1.5%
|
|
|
|
|
|
Daimler Finance North America LLC,
|
|
|
|
|
|
2.63%, 9/15/16 (a)(c)
|
|
1,650
|
|
|
1,639,890
|
Delphi Corp., 6.13%, 5/15/21 (a)
|
|
280
|
|
|
285,600
|
Icahn Enterprises LP:
|
|
|
|
|
|
7.75%, 1/15/16
|
|
420
|
|
|
430,500
|
8.00%, 1/15/18
|
|
1,000
|
|
|
1,017,500
|
|
|
|
|
|
3,373,490
|
Beverages 0.5%
|
|
|
|
|
|
Constellation Brands, Inc., 7.25%, 5/15/17
|
|
955
|
|
|
1,050,500
|
Building Products 0.3%
|
|
|
|
|
|
Building Materials Corp. of America (a):
|
|
|
|
|
|
7.00%, 2/15/20
|
|
180
|
|
|
190,800
|
6.75%, 5/01/21
|
|
570
|
|
|
591,375
|
|
|
|
|
|
782,175
|
Capital Markets 3.9%
|
|
|
|
|
|
Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)
|
|
1,500
|
|
|
1,634,641
|
E*Trade Financial Corp., 12.50%, 11/30/17 (d)
|
|
900
|
|
|
1,037,250
|
The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)
|
|
2,150
|
|
|
2,217,095
|
Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(e)
|
|
805
|
|
|
788,426
|
Morgan Stanley, 5.50%, 7/28/21 (c)(e)
|
|
2,400
|
|
|
2,344,159
|
UBS AG, 2.25%, 1/28/14 (c)
|
|
775
|
|
|
772,270
|
|
|
|
|
|
8,793,841
|
Chemicals 1.0%
|
|
|
|
|
|
Ashland, Inc., 9.13%, 6/01/17
|
|
245
|
|
|
273,788
|
Celanese US Holdings LLC, 5.88%, 6/15/21
|
|
760
|
|
|
807,500
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
595
|
|
|
662,681
|
Solutia, Inc., 7.88%, 3/15/20
|
|
415
|
|
|
444,050
|
|
|
|
|
|
2,188,019
|
Commercial Banks 5.4%
|
|
|
|
|
|
Amsouth Bank, Series AI, 4.85%, 4/01/13
|
|
525
|
|
|
505,312
|
Asciano Finance Ltd., 5.00%, 4/07/18 (a)
|
|
425
|
|
|
451,838
|
Associated Banc-Corp, 5.13%, 3/28/16
|
|
1,070
|
|
|
1,104,025
|
BNP Paribas, 3.60%, 2/23/16 (c)
|
|
810
|
|
|
807,730
|
Branch Banking & Trust Co. (b):
|
|
|
|
|
|
0.66%, 9/13/16
|
|
550
|
|
|
509,588
|
0.60%, 5/23/17
|
|
325
|
|
|
295,066
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Commercial Banks (concluded)
|
|
|
|
|
|
CIT Group, Inc.:
|
|
|
|
|
|
7.00%, 5/01/15
|
USD
|
120
|
|
$
|
120,000
|
7.00%, 5/02/16 (a)
|
|
720
|
|
|
718,200
|
7.00%, 5/01/17
|
|
685
|
|
|
685,000
|
7.00%, 5/02/17 (a)
|
|
100
|
|
|
99,750
|
Discover Bank, 8.70%, 11/18/19
|
|
550
|
|
|
622,072
|
HSBC Holdings Plc, 5.10%, 4/05/21 (c)
|
|
2,700
|
|
|
2,908,084
|
RESPARCS Funding LP I, 8.00% (f)(g)(h)
|
|
4,000
|
|
|
1,120,000
|
Regions Financial Corp.:
|
|
|
|
|
|
4.88%, 4/26/13
|
|
1,225
|
|
|
1,194,375
|
5.75%, 6/15/15
|
|
850
|
|
|
818,125
|
|
|
|
|
|
11,959,165
|
Commercial Services & Supplies 3.8%
|
|
|
|
|
|
Aviation Capital Group Corp. (a):
|
|
|
|
|
|
7.13%, 10/15/20 (c)
|
|
4,500
|
|
|
4,355,766
|
6.75%, 4/06/21
|
|
1,125
|
|
|
1,083,274
|
Casella Waste Systems, Inc., 7.75%, 2/15/19
|
|
336
|
|
|
322,560
|
Clean Harbors, Inc., 7.63%, 8/15/16
|
|
630
|
|
|
666,225
|
Corrections Corp. of America, 7.75%, 6/01/17
|
|
1,600
|
|
|
1,732,000
|
Iron Mountain, Inc., 7.75%, 10/01/19
|
|
190
|
|
|
197,125
|
Mobile Mini, Inc., 7.88%, 12/01/20
|
|
135
|
|
|
135,000
|
|
|
|
|
|
8,491,950
|
Communications Equipment 0.9%
|
|
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15
|
|
400
|
|
|
354,000
|
Brocade Communications Systems, Inc., 6.88%, 1/15/20
|
1,450
|
|
|
1,518,875
|
EH Holding Corp., 6.50%, 6/15/19 (a)
|
|
210
|
|
|
214,725
|
|
|
|
|
|
2,087,600
|
Consumer Finance 4.4%
|
|
|
|
|
|
American Express Credit Corp., 2.75%, 9/15/15 (c)
|
|
2,900
|
|
|
2,936,148
|
Capital One Bank USA NA, 8.80%, 7/15/19
|
|
1,625
|
|
|
1,930,195
|
Ford Motor Credit Co., LLC, 7.00%, 4/15/15
|
|
1,420
|
|
|
1,547,800
|
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)
|
|
870
|
|
|
930,900
|
SLM Corp., 6.25%, 1/25/16
|
|
2,365
|
|
|
2,365,000
|
|
|
|
|
|
9,710,043
|
Containers & Packaging 1.4%
|
|
|
|
|
|
Ball Corp.:
|
|
|
|
|
|
7.13%, 9/01/16
|
|
850
|
|
|
920,125
|
6.75%, 9/15/20
|
|
1,070
|
|
|
1,152,925
|
Crown Americas LLC, 6.25%, 2/01/21 (a)
|
|
400
|
|
|
420,000
|
Graphic Packaging International, Inc., 9.50%, 6/15/17
|
325
|
|
|
355,062
|
Rock-Tenn Co., 9.25%, 3/15/16
|
|
150
|
|
|
159,375
|
Sealed Air Corp., 8.38%, 9/15/21 (a)
|
|
65
|
|
|
70,363
|
|
|
|
|
|
3,077,850
|
Diversified Financial Services 9.0%
|
|
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
|
|
4.50%, 2/11/14
|
|
400
|
|
|
391,000
|
8.30%, 2/12/15
|
|
780
|
|
|
819,000
|
8.00%, 11/01/31
|
|
990
|
|
|
987,525
|
Bank of America Corp. (c):
|
|
|
|
|
|
5.30%, 3/15/17
|
|
2,440
|
|
|
2,333,345
|
5.00%, 5/13/21
|
|
3,625
|
|
|
3,403,556
|
Citigroup, Inc.:
|
|
|
|
|
|
6.38%, 8/12/14
|
|
625
|
|
|
674,715
|
4.59%, 12/15/15 (c)
|
|
475
|
|
|
496,288
|
8.50%, 5/22/19
|
|
550
|
|
|
680,580
|
Countrywide Financial Corp., 6.25%, 5/15/16
|
|
1,569
|
|
|
1,533,040
|
Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)
|
|
430
|
|
|
461,175
|
General Electric Capital Corp., 5.30%, 2/11/21 (c)
|
|
2,225
|
|
|
2,367,985
|
General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)
|
250
|
|
|
252,288
|
ING Bank NV, 5.00%, 6/09/21 (a)(c)
|
|
1,150
|
|
|
1,180,383
|
Intesa Sanpaolo SpA:
|
|
|
|
|
|
2.38%, 12/21/12 (c)(e)
|
|
1,700
|
|
|
1,655,610
|
6.50%, 2/24/21 (a)
|
|
300
|
|
|
276,812
|
See Notes to Financial Statements.
32
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Diversified Financial Services (concluded)
|
|
|
|
|
|
Moodys Corp., 6.06%, 9/07/17
|
USD
|
1,500
|
|
$
|
1,585,543
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
|
|
7.13%, 4/15/19
|
|
115
|
|
|
117,300
|
7.88%, 8/15/19
|
|
420
|
|
|
438,900
|
6.88%, 2/15/21
|
|
105
|
|
|
106,050
|
8.25%, 2/15/21
|
|
190
|
|
|
174,325
|
WMG Acquisition Corp., 9.50%, 6/15/16 (a)
|
|
100
|
|
|
106,000
|
|
|
|
|
|
20,041,420
|
Diversified Telecommunication Services 5.5%
|
|
|
|
|
|
AT&T, Inc., 6.30%, 1/15/38 (c)
|
|
2,000
|
|
|
2,403,458
|
France Telecom SA, 4.13%, 9/14/21
|
|
325
|
|
|
334,824
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
8.75%, 2/15/17
|
|
355
|
|
|
362,988
|
8.13%, 7/01/19 (a)
|
|
1,247
|
|
|
1,234,530
|
Qwest Corp., 8.38%, 5/01/16
|
|
1,360
|
|
|
1,553,800
|
Telecom Italia Capital SA, 6.18%, 6/18/14
|
|
500
|
|
|
507,899
|
Telefonica Emisiones SAU, 5.46%, 2/16/21
|
|
660
|
|
|
668,913
|
Verizon Communications, Inc. (c):
|
|
|
|
|
|
1.95%, 3/28/14
|
|
1,775
|
|
|
1,822,749
|
7.35%, 4/01/39
|
|
1,950
|
|
|
2,691,891
|
Windstream Corp., 7.88%, 11/01/17
|
|
640
|
|
|
691,200
|
|
|
|
|
|
12,272,252
|
Electric Utilities 1.8%
|
|
|
|
|
|
Duke Energy Corp., 3.55%, 9/15/21
|
|
825
|
|
|
847,464
|
Progress Energy, Inc., 7.00%, 10/30/31 (c)
|
|
2,000
|
|
|
2,622,792
|
Southern Co., 1.95%, 9/01/16
|
|
475
|
|
|
478,714
|
|
|
|
|
|
3,948,970
|
Electronic Equipment, Instruments & Components 0.8%
|
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18
|
|
400
|
|
|
464,000
|
NXP BV, 3.15%, 10/15/13 (b)
|
|
1,450
|
|
|
1,421,000
|
|
|
|
|
|
1,885,000
|
Energy Equipment & Services 1.2%
|
|
|
|
|
|
Ensco Plc, 4.70%, 3/15/21
|
|
960
|
|
|
1,010,108
|
Frac Tech Services LLC, 7.63%, 11/15/18 (a)
|
|
525
|
|
|
548,625
|
Key Energy Services, Inc., 6.75%, 3/01/21
|
|
360
|
|
|
368,100
|
MEG Energy Corp., 6.50%, 3/15/21 (a)
|
|
465
|
|
|
484,762
|
Oil States International, Inc., 6.50%, 6/01/19
|
|
245
|
|
|
256,638
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (a)
|
|
90
|
|
|
90,900
|
|
|
|
|
|
2,759,133
|
Food & Staples Retailing 2.3%
|
|
|
|
|
|
CVS Caremark Corp., 6.30%, 6/01/62 (b)
|
|
1,650
|
|
|
1,602,562
|
Wal-Mart Stores, Inc. (c):
|
|
|
|
|
|
5.25%, 9/01/35
|
|
1,850
|
|
|
2,155,668
|
6.20%, 4/15/38
|
|
1,075
|
|
|
1,401,725
|
|
|
|
|
|
5,159,955
|
Food Products 1.0%
|
|
|
|
|
|
Kraft Foods, Inc.:
|
|
|
|
|
|
6.50%, 8/11/17
|
|
800
|
|
|
956,241
|
6.13%, 8/23/18
|
|
800
|
|
|
952,007
|
Smithfield Foods, Inc., 10.00%, 7/15/14
|
|
187
|
|
|
217,388
|
|
|
|
|
|
2,125,636
|
Gas Utilities 0.1%
|
|
|
|
|
|
Targa Resources Partners LP, 6.88%, 2/01/21 (a)
|
|
240
|
|
|
237,000
|
Health Care Equipment & Supplies 0.6%
|
|
|
|
|
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
|
|
1,000
|
|
|
1,130,000
|
Teleflex, Inc., 6.88%, 6/01/19
|
|
240
|
|
|
248,400
|
|
|
|
|
|
1,378,400
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Health Care Providers & Services 4.3%
|
|
|
|
|
|
Aetna, Inc., 6.75%, 12/15/37 (c)
|
USD
|
850
|
|
$
|
1,081,553
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19
|
|
220
|
|
|
212,300
|
HCA, Inc.:
|
|
|
|
|
|
8.50%, 4/15/19
|
|
105
|
|
|
115,500
|
6.50%, 2/15/20
|
|
1,145
|
|
|
1,199,387
|
7.25%, 9/15/20
|
|
1,645
|
|
|
1,762,206
|
7.50%, 2/15/22
|
|
985
|
|
|
1,004,700
|
INC Research LLC, 11.50%, 7/15/19 (a)
|
|
340
|
|
|
306,000
|
inVentiv Health, Inc., 10.00%, 8/15/18 (a)
|
|
250
|
|
|
240,000
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
10.00%, 5/01/18
|
|
745
|
|
|
854,888
|
8.88%, 7/01/19
|
|
550
|
|
|
621,500
|
UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)
|
|
1,725
|
|
|
2,274,682
|
|
|
|
|
|
9,672,716
|
Household Durables 0.3%
|
|
|
|
|
|
Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)
|
|
723
|
|
|
572,978
|
Independent Power Producers & Energy Traders 1.4%
|
|
|
|
|
AES Corp.:
|
|
|
|
|
|
9.75%, 4/15/16
|
|
480
|
|
|
544,800
|
7.38%, 7/01/21 (a)
|
|
160
|
|
|
171,200
|
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)
|
375
|
|
|
399,375
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
220
|
|
|
228,800
|
Energy Future Intermediate Holding Co., LLC,
|
|
|
|
|
|
10.00%, 12/01/20
|
|
850
|
|
|
892,500
|
NRG Energy, Inc., 7.38%, 1/15/17
|
|
825
|
|
|
859,031
|
|
|
|
|
|
3,095,706
|
Insurance 5.7%
|
|
|
|
|
|
American International Group, Inc., 6.40%, 12/15/20 (c)
|
810
|
|
|
848,351
|
Aon Corp., 5.00%, 9/30/20
|
|
1,500
|
|
|
1,643,810
|
Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)
|
|
1,500
|
|
|
1,413,509
|
Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)
|
525
|
|
|
533,319
|
Genworth Financial, Inc., 7.63%, 9/24/21
|
|
480
|
|
|
433,886
|
Manulife Financial Corp., 4.90%, 9/17/20
|
|
1,075
|
|
|
1,104,135
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
|
|
210
|
|
|
180,600
|
Northwestern Mutual Life Insurance,
|
|
|
|
|
|
6.06%, 3/30/40 (a)(c)
|
|
1,800
|
|
|
2,109,562
|
Principal Financial Group, Inc., 8.88%, 5/15/19
|
|
475
|
|
|
601,826
|
Prudential Financial, Inc., 6.63%, 12/01/37 (c)
|
|
1,725
|
|
|
2,051,154
|
XL Group Ltd., 5.75%, 10/01/21 (c)
|
|
1,740
|
|
|
1,834,661
|
|
|
|
|
|
12,754,813
|
IT Services 0.7%
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)
|
|
340
|
|
|
317,900
|
First Data Corp. (a):
|
|
|
|
|
|
7.38%, 6/15/19
|
|
355
|
|
|
351,450
|
8.25%, 1/15/21
|
|
45
|
|
|
42,750
|
12.63%, 1/15/21
|
|
440
|
|
|
415,800
|
SunGard Data Systems, Inc., 7.38%, 11/15/18
|
|
470
|
|
|
480,575
|
|
|
|
|
|
1,608,475
|
Life Sciences Tools & Services 1.9%
|
|
|
|
|
|
Bio
-Rad Laboratories, Inc., 8.00%, 9/15/16
|
|
1,830
|
|
|
1,994,700
|
Life Technologies Corp., 6.00%, 3/01/20
|
|
2,000
|
|
|
2,229,082
|
|
|
|
|
|
4,223,782
|
Machinery 1.3%
|
|
|
|
|
|
AGY Holding Corp., 11.00%, 11/15/14
|
|
390
|
|
|
287,625
|
Ingersoll-Rand Global Holding Co. Ltd.,
|
|
|
|
|
|
9.50%, 4/15/14 (c)
|
|
1,725
|
|
|
2,027,803
|
Navistar International Corp., 8.25%, 11/01/21
|
|
451
|
|
|
490,463
|
|
|
|
|
|
2,805,891
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
33
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Media 10.0%
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
USD
|
190
|
|
$
|
206,150
|
CCH II LLC, 13.50%, 11/30/16
|
|
1,128
|
|
|
1,300,020
|
Comcast Corp., 6.30%, 11/15/17 (c)
|
|
1,725
|
|
|
2,038,048
|
Cox Communications, Inc., 8.38%, 3/01/39 (a)
|
|
1,725
|
|
|
2,412,054
|
CSC Holdings LLC:
|
|
|
|
|
|
8.50%, 4/15/14
|
|
330
|
|
|
362,175
|
8.50%, 6/15/15
|
|
800
|
|
|
868,000
|
8.63%, 2/15/19
|
|
580
|
|
|
658,300
|
DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)
|
|
1,250
|
|
|
1,368,360
|
DISH DBS Corp., 7.00%, 10/01/13
|
|
850
|
|
|
898,875
|
Intelsat Luxembourg SA (d):
|
|
|
|
|
|
11.50%, 2/04/17 (a)
|
|
60
|
|
|
60,000
|
11.50%, 2/04/17
|
|
190
|
|
|
190,000
|
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17
|
575
|
|
|
658,375
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)
|
500
|
|
|
520,000
|
News America, Inc., 6.15%, 3/01/37 (c)
|
|
2,000
|
|
|
2,196,442
|
The New York Times Co., 6.63%, 12/15/16
|
|
1,725
|
|
|
1,725,000
|
Time Warner Cable, Inc., 6.75%, 6/15/39
|
|
1,950
|
|
|
2,370,217
|
Time Warner, Inc., 7.70%, 5/01/32
|
|
2,000
|
|
|
2,604,322
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC Germany
|
|
|
|
|
GmbH), 8.13%, 12/01/17 (a)
|
|
505
|
|
|
537,825
|
Virgin Media Secured Finance Plc, 6.50%, 1/15/18
|
|
1,300
|
|
|
1,400,750
|
|
|
|
|
|
22,374,913
|
Metals & Mining 2.6%
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21
|
|
1,190
|
|
|
1,179,124
|
Barrick Gold Corp., 2.90%, 5/30/16 (c)
|
|
550
|
|
|
571,044
|
Barrick North America Finance LLC, 5.70%, 5/30/41
|
650
|
|
|
755,459
|
FMG Resources August 2006 Property Ltd. (a):
|
|
|
|
|
|
6.88%, 2/01/18
|
|
115
|
|
|
110,400
|
8.25%, 11/01/19
|
|
90
|
|
|
90,900
|
Freeport-McMoRan Corp., 7.13%, 11/01/27
|
|
1,400
|
|
|
1,626,723
|
Novelis, Inc., 8.75%, 12/15/20
|
|
470
|
|
|
512,300
|
Teck Resources Ltd., 10.75%, 5/15/19 (c)
|
|
850
|
|
|
1,049,750
|
|
|
|
|
|
5,895,700
|
Multi-Utilities 1.6%
|
|
|
|
|
|
CenterPoint Energy, Inc.:
|
|
|
|
|
|
5.95%, 2/01/17
|
|
1,500
|
|
|
1,689,132
|
6.50%, 5/01/18
|
|
1,600
|
|
|
1,864,062
|
|
|
|
|
|
3,553,194
|
Multiline Retail 0.6%
|
|
|
|
|
|
JC Penney Co., Inc., 5.65%, 6/01/20
|
|
1,400
|
|
|
1,319,500
|
Oil, Gas & Consumable Fuels 12.9%
|
|
|
|
|
|
Alpha Natural Resources, Inc.:
|
|
|
|
|
|
6.00%, 6/01/19
|
|
120
|
|
|
119,100
|
6.25%, 6/01/21
|
|
340
|
|
|
335,750
|
Anadarko Petroleum Corp.:
|
|
|
|
|
|
5.95%, 9/15/16
|
|
497
|
|
|
571,161
|
6.38%, 9/15/17
|
|
12
|
|
|
14,121
|
Arch Coal, Inc. (a):
|
|
|
|
|
|
7.00%, 6/15/19
|
|
115
|
|
|
119,025
|
7.25%, 6/15/21
|
|
350
|
|
|
360,500
|
BP Capital Markets Plc:
|
|
|
|
|
|
3.88%, 3/10/15
|
|
700
|
|
|
749,402
|
3.20%, 3/11/16 (c)
|
|
925
|
|
|
971,856
|
Buckeye Partners LP, 4.88%, 2/01/21
|
|
475
|
|
|
500,255
|
Chesapeake Energy Corp., 6.13%, 2/15/21
|
|
1,690
|
|
|
1,770,275
|
Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)
|
285
|
|
|
287,850
|
Chesapeake Oilfield Operating LLC,
|
|
|
|
|
|
6.63%, 11/15/19 (a)
|
|
130
|
|
|
133,575
|
Consol Energy, Inc., 6.38%, 3/01/21 (a)
|
|
220
|
|
|
218,900
|
Copano Energy LLC, 7.13%, 4/01/21
|
|
270
|
|
|
276,075
|
DCP Midstream LLC, 4.75%, 9/30/21 (a)
|
|
625
|
|
|
652,332
|
Denbury Resources, Inc., 6.38%, 8/15/21
|
|
280
|
|
|
288,400
|
El Paso Corp., 7.00%, 6/15/17
|
|
690
|
|
|
772,800
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Oil, Gas & Consumable Fuels (concluded)
|
|
|
|
|
|
El Paso Pipeline Partners Operating Co., LLC,
|
|
|
|
|
|
5.00%, 10/01/21
|
USD
|
300
|
|
$
|
307,642
|
Enbridge Energy Partners LP, 9.88%, 3/01/19 (c)
|
|
1,000
|
|
|
1,339,294
|
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19
|
|
500
|
|
|
505,000
|
Enterprise Products Operating LLC, 6.65%, 4/15/18
|
|
2,000
|
|
|
2,352,684
|
Forest Oil Corp., 8.50%, 2/15/14
|
|
600
|
|
|
648,000
|
Hilcorp Energy I LP, 7.75%, 11/01/15 (a)
|
|
345
|
|
|
353,936
|
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 (c)
|
|
2,000
|
|
|
2,389,812
|
Linn Energy LLC, 7.75%, 2/01/21
|
|
465
|
|
|
496,388
|
Marathon Petroleum Corp., 3.50%, 3/01/16 (a)
|
|
650
|
|
|
666,803
|
MarkWest Energy Partners LP, 6.25%, 6/15/22 (i)
|
|
255
|
|
|
261,375
|
Newfield Exploration Co., 5.75%, 1/30/22
|
|
240
|
|
|
254,400
|
Oasis Petroleum, Inc.:
|
|
|
|
|
|
7.25%, 2/01/19 (a)
|
|
165
|
|
|
174,075
|
6.50%, 11/01/21 (i)
|
|
145
|
|
|
145,725
|
OGX Petroleo e Gas Participacoes SA,
|
|
|
|
|
|
8.50%, 6/01/18 (a)
|
|
575
|
|
|
569,250
|
ONEOK Partners LP, 8.63%, 3/01/19
|
|
1,725
|
|
|
2,230,435
|
Petrobras International Finance Co., 3.88%, 1/27/16
|
|
1,800
|
|
|
1,841,942
|
Petrohawk Energy Corp.:
|
|
|
|
|
|
10.50%, 8/01/14
|
|
300
|
|
|
336,375
|
6.25%, 6/01/19
|
|
345
|
|
|
389,850
|
Pioneer Natural Resources Co.:
|
|
|
|
|
|
6.65%, 3/15/17
|
|
320
|
|
|
347,536
|
6.88%, 5/01/18
|
|
240
|
|
|
259,516
|
Plains Exploration & Production Co.:
|
|
|
|
|
|
7.75%, 6/15/15
|
|
385
|
|
|
399,438
|
10.00%, 3/01/16
|
|
200
|
|
|
222,000
|
Precision Drilling Corp., 6.50%, 12/15/21 (a)
|
|
210
|
|
|
221,550
|
Premier Oil, 5.00%, 6/09/18
|
|
1,625
|
|
|
1,690,000
|
Range Resources Corp., 6.75%, 8/01/20
|
|
415
|
|
|
460,650
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (a)
|
|
350
|
|
|
337,750
|
SM Energy Co., 6.63%, 2/15/19 (a)
|
|
110
|
|
|
111,100
|
Western Gas Partners LP, 5.38%, 6/01/21
|
|
725
|
|
|
770,994
|
The Williams Cos., Inc., 8.75%, 3/15/32
|
|
400
|
|
|
544,596
|
|
|
|
|
|
28,769,493
|
Paper & Forest Products 3.4%
|
|
|
|
|
|
Boise Paper Holdings LLC, 8.00%, 4/01/20
|
|
310
|
|
|
326,275
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (a)
|
|
1,635
|
|
|
1,812,952
|
International Paper Co.:
|
|
|
|
|
|
7.50%, 8/15/21
|
|
1,625
|
|
|
1,974,836
|
8.70%, 6/15/38
|
|
900
|
|
|
1,183,981
|
7.30%, 11/15/39
|
|
1,725
|
|
|
2,011,443
|
Longview Fibre Paper & Packaging, Inc.,
|
|
|
|
|
|
8.00%, 6/01/16 (a)
|
|
160
|
|
|
162,400
|
Verso Paper Holdings LLC, 11.50%, 7/01/14
|
|
170
|
|
|
178,500
|
|
|
|
|
|
7,650,387
|
Pharmaceuticals 6.7%
|
|
|
|
|
|
Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)
|
|
883
|
|
|
1,121,822
|
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)
|
|
3,460
|
|
|
4,676,789
|
Merck & Co., Inc. (c):
|
|
|
|
|
|
6.50%, 12/01/33
|
|
990
|
|
|
1,354,018
|
6.55%, 9/15/37
|
|
1,979
|
|
|
2,755,085
|
Pfizer, Inc., 7.20%, 3/15/39 (c)
|
|
2,500
|
|
|
3,734,135
|
Valeant Pharmaceuticals International,
|
|
|
|
|
|
6.50%, 7/15/16 (a)
|
|
125
|
|
|
125,000
|
Watson Pharmaceuticals, Inc., 6.13%, 8/15/19
|
|
1,021
|
|
|
1,192,690
|
|
|
|
|
|
14,959,539
|
Professional Services 0.0%
|
|
|
|
|
|
FTI Consulting, Inc., 7.75%, 10/01/16
|
|
100
|
|
|
104,250
|
Real Estate Investment Trusts (REITs) 2.9%
|
|
|
|
|
|
AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)
|
|
1,725
|
|
|
1,957,364
|
Developers Diversified Realty Corp.:
|
|
|
|
|
|
4.75%, 4/15/18
|
|
315
|
|
|
296,433
|
7.88%, 9/01/20
|
|
375
|
|
|
405,901
|
See Notes to Financial Statements.
34
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Real Estate Investment Trusts (REITs) (concluded)
|
|
|
|
|
|
ERP Operating LP, 5.75%, 6/15/17
|
USD
|
1,715
|
|
$
|
1,916,651
|
HCP, Inc., 5.38%, 2/01/21
|
|
500
|
|
|
513,517
|
UDR, Inc., 4.25%, 6/01/18
|
|
725
|
|
|
745,512
|
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21
|
550
|
|
|
538,587
|
|
|
|
|
|
6,373,965
|
Real Estate Management & Development 0.1%
|
|
|
|
|
|
Shea Homes LP, 8.63%, 5/15/19 (a)
|
|
230
|
|
|
208,150
|
Road & Rail 1.7%
|
|
|
|
|
|
Avis Budget Car Rental LLC, 8.25%, 1/15/19
|
|
209
|
|
|
208,478
|
Florida East Coast Railway Corp., 8.13%, 2/01/17
|
|
80
|
|
|
80,000
|
The Hertz Corp., 6.75%, 4/15/19
|
|
518
|
|
|
528,360
|
Norfolk Southern Corp., 6.00%, 3/15/2105 (c)
|
|
2,500
|
|
|
2,891,675
|
|
|
|
|
|
3,708,513
|
Semiconductors & Semiconductor Equipment 0.7%
|
|
|
|
|
Advanced Micro Devices, Inc., 7.75%, 8/01/20
|
|
400
|
|
|
406,000
|
KLA-Tencor Corp., 6.90%, 5/01/18
|
|
918
|
|
|
1,045,036
|
|
|
|
|
|
1,451,036
|
Specialty Retail 1.2%
|
|
|
|
|
|
AutoNation, Inc., 6.75%, 4/15/18
|
|
940
|
|
|
975,250
|
Best Buy Co., Inc., 5.50%, 3/15/21
|
|
275
|
|
|
262,864
|
Limited Brands, Inc., 7.00%, 5/01/20
|
|
470
|
|
|
500,550
|
QVC, Inc., 7.38%, 10/15/20 (a)
|
|
50
|
|
|
54,500
|
VF Corp., 5.95%, 11/01/17
|
|
725
|
|
|
858,565
|
|
|
|
|
|
2,651,729
|
Tobacco 2.6%
|
|
|
|
|
|
Altria Group, Inc.:
|
|
|
|
|
|
9.25%, 8/06/19
|
|
240
|
|
|
319,045
|
10.20%, 2/06/39 (c)
|
|
1,919
|
|
|
2,964,534
|
Lorillard Tobacco Co., 3.50%, 8/04/16
|
|
1,175
|
|
|
1,179,560
|
Philip Morris International, Inc., 2.50%, 5/16/16 (c)
|
|
1,225
|
|
|
1,273,596
|
|
|
|
|
|
5,736,735
|
Wireless Telecommunication Services 4.4%
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16 (c)
|
|
1,780
|
|
|
1,777,140
|
American Tower Corp.:
|
|
|
|
|
|
4.50%, 1/15/18
|
|
925
|
|
|
951,405
|
5.05%, 9/01/20
|
|
500
|
|
|
528,216
|
Cricket Communications, Inc., 7.75%, 5/15/16
|
|
325
|
|
|
337,188
|
Crown Castle International Corp., 9.00%, 1/15/15
|
|
430
|
|
|
468,700
|
Crown Castle Towers LLC (a):
|
|
|
|
|
|
5.50%, 1/15/37
|
|
575
|
|
|
626,316
|
4.17%, 8/15/37
|
|
1,000
|
|
|
1,018,865
|
6.11%, 1/15/40
|
|
625
|
|
|
690,621
|
Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)
|
|
150
|
|
|
150,750
|
Nextel Communications, Inc., Series E, 6.88%, 10/31/13
|
395
|
|
|
390,062
|
SBA Tower Trust, 5.10%, 4/15/42 (a)
|
|
2,500
|
|
|
2,723,750
|
Sprint Capital Corp., 6.88%, 11/15/28
|
|
230
|
|
|
167,900
|
|
|
|
|
|
9,830,913
|
Total Corporate Bonds 115.2%
|
|
|
|
|
256,729,218
|
|
|
Preferred Securities
|
|
|
|
|
|
|
Capital Trusts
|
|
|
|
|
|
Capital Markets 3.7%
|
|
|
|
|
|
State Street Capital Trust III, 5.34% (b)(g)
|
|
1,385
|
|
|
1,387,355
|
State Street Capital Trust IV, 1.35%, 6/01/37 (b)
|
|
9,675
|
|
|
6,776,563
|
|
|
|
|
|
8,163,918
|
|
|
|
|
|
|
Capital Trusts
|
|
Par
(000
)
|
Value
|
Commercial Banks 3.3%
|
|
|
|
|
|
Barclays Bank Plc (a)(b)(g):
|
|
|
|
|
|
5.93%
|
USD
|
1,700
|
|
$
|
1,377,000
|
7.43%
|
|
325
|
|
|
303,875
|
BNP Paribas, 7.20% (a)(b)(g)
|
|
700
|
|
|
577,500
|
Credit Agricole SA (a)(b)(c)(g):
|
|
|
|
|
|
6.64%
|
|
725
|
|
|
489,738
|
8.38%
|
|
725
|
|
|
638,000
|
Dresdner Funding Trust I, 8.15%, 6/30/31 (a)
|
|
1,095
|
|
|
854,100
|
FCB/NC Capital Trust I, 8.05%, 3/01/28
|
|
1,100
|
|
|
1,121,794
|
NBP Capital Trust III, 7.38% (g)
|
|
2,000
|
|
|
1,300,000
|
National City Preferred Capital Trust I, 12.00% (b)(g)
|
|
600
|
|
|
622,596
|
|
|
|
|
|
7,284,603
|
Consumer Finance 0.3%
|
|
|
|
|
|
Capital One Financial Corp. Capital V, 10.25%, 8/15/39
|
|
750
|
|
|
776,250
|
Diversified Financial Services 4.4%
|
|
|
|
|
|
ING Capital Funding Trust III, 3.97% (b)(g)
|
|
850
|
|
|
720,140
|
JPMorgan Chase Capital XXI, Series U,
|
|
|
|
|
|
1.21%, 2/02/37 (b)
|
|
7,125
|
|
|
4,937,946
|
JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)
|
|
6,190
|
|
|
4,273,650
|
|
|
|
|
|
9,931,736
|
Electric Utilities 0.4%
|
|
|
|
|
|
PPL Capital Funding, 6.70%, 3/30/67 (b)
|
|
900
|
|
|
868,500
|
Insurance 6.5%
|
|
|
|
|
|
The Allstate Corp., 6.50%, 5/15/67 (b)
|
|
900
|
|
|
838,125
|
American General Capital II, 8.50%, 7/01/30
|
|
100
|
|
|
98,000
|
American International Group, Inc., 8.18%, 5/15/68 (b)
|
|
400
|
|
|
386,000
|
AXA SA, 6.38% (a)(b)(g)
|
|
900
|
|
|
672,750
|
Chubb Corp., 6.38%, 3/29/67 (b)
|
|
900
|
|
|
904,500
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)
|
|
900
|
|
|
1,093,500
|
Lincoln National Corp., 7.00%, 5/17/66 (b)
|
|
900
|
|
|
846,000
|
MetLife, Inc., 6.40%, 12/15/66
|
|
900
|
|
|
884,104
|
Prudential Plc, 6.50% (g)
|
|
6,000
|
|
|
5,475,000
|
Reinsurance Group of America, 6.75%, 12/15/65 (b)
|
|
1,300
|
|
|
1,128,178
|
Swiss Re Capital I LP, 6.85% (a)(b)(g)
|
|
1,000
|
|
|
901,738
|
ZFS Finance (USA), Trust II, 6.45%, 12/15/65 (a)(b)
|
|
1,150
|
|
|
1,104,000
|
ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)
|
|
190
|
|
|
184,300
|
|
|
|
|
|
14,516,195
|
Oil, Gas & Consumable Fuels 0.4%
|
|
|
|
|
|
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)
|
|
900
|
|
|
917,257
|
Total Capital Trusts 19.0%
|
|
|
|
|
42,458,459
|
|
|
Preferred Stocks
|
|
Shares
|
|
|
Commercial Banks 0.5%
|
|
|
|
|
|
SG Preferred Capital II, 6.30% (a)(b)
|
|
1,000
|
|
|
1,004,687
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (a)
|
|
1,020
|
|
|
760,697
|
Total Preferred Stocks 0.8%
|
|
|
|
|
1,765,384
|
|
|
Trust Preferreds
|
|
|
|
|
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
|
|
30,290
|
|
|
621,718
|
Total Trust Preferreds 0.3%
|
|
|
|
|
621,718
|
|
Total Preferred Securities 20.1%
|
|
|
|
|
44,845,561
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
35
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
Taxable Municipal Bonds
|
|
Par
(000
)
|
Value
|
Metropolitan Transportation Authority, RB, Build
|
|
|
|
|
|
|
America Bonds, 6.55%, 11/15/31
|
USD
|
1,675
|
|
$
|
1,891,175
|
|
Total Taxable Municipal Bonds 0.8%
|
|
|
|
|
1,891,175
|
|
|
|
US Government Sponsored Agency Securities
|
|
|
|
|
|
|
Agency Obligations 0.3%
|
|
|
|
|
|
|
Fannie Mae, 4.23%, 10/09/19 (c)(j)
|
|
805
|
|
|
608,559
|
|
Total US Government Sponsored Agency Securities 0.3%
|
|
608,559
|
|
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
US Treasury Bonds, 4.75%, 2/15/41 (c)
|
|
1,295
|
|
|
1,683,500
|
|
US Treasury Notes, 2.13%, 8/15/21 (c)
|
|
1,902
|
|
|
1,893,688
|
|
Total U.S. Treasury Obligations 1.6%
|
|
|
|
|
3,577,188
|
|
|
|
Warrants (k)
|
|
Shares
|
|
|
|
Media 0.0%
|
|
|
|
|
|
|
Cumulus Media, Inc. (Expires 3/26/19)
|
|
5,183
|
|
|
14,822
|
|
Total Warrants 0.0%
|
|
|
|
|
14,822
|
|
Total Long-Term Investments
|
|
|
|
|
|
|
(Cost $303,928,660) 138.5%
|
|
|
|
|
308,674,023
|
|
|
|
Short-Term Securities
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund,
|
|
|
|
|
|
|
Institutional Class, 0.14% (l)(m)
|
|
2,459,914
|
|
|
2,459,914
|
|
Total Short-Term Securities
|
|
|
|
|
|
|
(Cost $2,459,914) 1.1%
|
|
|
|
|
2,459,914
|
|
Total Investments Before Options Written
|
|
|
|
|
|
|
(Cost $306,388,574*) 139.6%
|
|
|
|
|
311,133,937
|
|
|
|
Options Written
|
|
Notional
Amount
(000
)
|
|
|
|
Over-the-Counter Call Swaptions (0.7)%
|
|
|
|
|
|
|
Pay a fixed rate of 4.03% and receive a floating rate
|
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12,
|
|
|
|
|
|
|
Broker UBS AG
|
USD
|
3,700
|
|
|
(524,223
|
)
|
Pay a fixed rate of 4.75% and receive a floating rate
|
|
|
|
|
|
|
based on 3-month LIBOR, Expires 3/24/14,
|
|
|
|
|
|
|
Broker Citibank NA
|
|
5,000
|
|
|
(788,225
|
)
|
|
|
|
|
|
(1,312,448
|
)
|
|
|
|
|
|
|
|
Options Written
|
|
Notional
Amount
(000
)
|
Value
|
Over-the-Counter Put Swaptions 0.0%
|
|
|
|
|
|
|
Receive a fixed rate of 4.03% and pay a floating rate
|
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12,
|
|
|
|
|
|
|
Broker UBS AG
|
USD
|
3,700
|
|
$
|
(5,922
|
)
|
Receive a fixed rate of 4.75% and pay a floating rate
|
|
|
|
|
|
|
based on 3-month LIBOR, Expires 3/24/14,
|
|
|
|
|
|
|
Broker Citibank NA
|
|
5,000
|
|
|
(90,778
|
)
|
|
|
|
|
|
(96,700
|
)
|
Total Options Written
|
|
|
|
|
|
|
(Premiums Received $851,400) (0.7)%
|
|
|
|
|
(1,409,148
|
)
|
Total Investments, Net of Options Written 138.9%
|
|
|
|
|
309,724,789
|
|
Liabilities in Excess of Other Assets (38.9)%
|
|
|
|
|
(86,786,122
|
)
|
Net Assets 100.0%
|
|
|
|
$
|
222,938,667
|
|
|
|
|
|
|
|
|
*
|
|
The
cost and
unrealized
appreciation
(depreciation)
of investments
as of October
31, 2011,
as computed
for federal
income
tax purposes,
were as
follows:
|
|
|
|
|
Aggregate cost
|
$
|
306,130,368
|
|
Gross unrealized appreciation
|
$
|
16,739,176
|
|
Gross unrealized depreciation
|
|
(11,735,607
|
)
|
Net unrealized appreciation
|
$
|
5,003,569
|
|
(a)
|
|
Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.
|
(b)
|
|
Variable rate security. Rate shown is as of report date.
|
(c)
|
|
All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.
|
(d)
|
|
Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(e)
|
|
All or a portion of security has been pledged as collateral
in connection with swaps.
|
(f)
|
|
Security is perpetual in nature and has no stated maturity
date.
|
(g)
|
|
Non-income producing security.
|
(h)
|
|
Issuer filed for bankruptcy and/or is in default of interest
payments.
|
(i)
|
|
When-issued security. Unsettled when-issued transactions
were as follows:
|
Counterparty
|
Value
|
Unrealized
Appreciation
|
Barclays Capital, Inc.
|
$261,375
|
$6,375
|
JPMorgan Chase Bank NA
|
$145,725
|
$ 725
|
(j)
|
|
Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.
|
(k)
|
|
Warrants entitle the Fund to purchase a predetermined
number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment
under certain conditions until the expiration date, if any.
|
(l)
|
|
Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
|
Affiliate
|
Shares Held at
October 31,
2010
|
Net
Activity
|
Shares Held at
October 31,
2011
|
Income
|
BlackRock Liquidity
|
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
|
Institutional Class
|
34,466,527
|
(32,006,613)
|
2,459,914
|
$
|
7,711
|
(m)
|
|
Represents the current yield as of report date.
|
|
|
For Fund compliance purposes, the Funds 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 Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.
|
See Notes to Financial Statements.
36
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
1
|
Net Closing
Amount
|
Face
Amount
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
6/07/11
|
Open
|
$
|
2,652,545
|
|
$
|
2,648,220
|
|
UBS Securities LLC
|
0.35%
|
6/09/11
|
Open
|
|
4,472,545
|
|
|
4,466,250
|
|
UBS Securities LLC
|
0.38%
|
6/10/11
|
Open
|
|
3,459,175
|
|
|
3,453,925
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
6/15/11
|
Open
|
|
2,109,847
|
|
|
2,107,000
|
|
UBS Securities LLC
|
0.38%
|
6/15/11
|
Open
|
|
1,766,400
|
|
|
1,763,812
|
|
UBS Securities LLC
|
0.37%
|
6/27/11
|
Open
|
|
558,979
|
|
|
558,250
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
6/28/11
|
Open
|
|
923,355
|
|
|
922,225
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
7/05/11
|
Open
|
|
2,679,471
|
|
|
2,676,375
|
|
UBS Securities LLC
|
0.31%
|
7/07/11
|
Open
|
|
481,423
|
|
|
480,937
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
7/11/11
|
Open
|
|
849,002
|
|
|
848,070
|
|
UBS Securities LLC
|
0.30%
|
7/11/11
|
Open
|
|
2,454,509
|
|
|
2,452,200
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
7/20/11
|
Open
|
|
6,706,674
|
|
|
6,699,900
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.17%
|
7/29/11
|
Open
|
|
1,441,334
|
|
|
1,440,688
|
|
UBS Securities LLC
|
0.35%
|
8/01/11
|
Open
|
|
1,881,932
|
|
|
1,880,250
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.03%
|
8/04/11
|
Open
|
|
588,700
|
|
|
588,656
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
8/05/11
|
Open
|
|
1,244,966
|
|
|
1,243,750
|
|
UBS Securities LLC
|
0.39%
|
8/05/11
|
Open
|
|
1,046,497
|
|
|
1,045,500
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
8/10/11
|
Open
|
|
2,153,674
|
|
|
2,151,938
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
8/15/11
|
Open
|
|
1,191,603
|
|
|
1,190,700
|
|
UBS Securities LLC
|
0.35%
|
8/16/11
|
Open
|
|
1,152,012
|
|
|
1,151,150
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.37%
|
8/17/11
|
Open
|
|
2,013,572
|
|
|
2,012,000
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/18/11
|
Open
|
|
1,985,196
|
|
|
1,983,750
|
|
UBS Securities LLC
|
0.35%
|
8/18/11
|
Open
|
|
1,215,474
|
|
|
1,214,588
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/25/11
|
Open
|
|
2,231,474
|
|
|
2,230,000
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/31/11
|
Open
|
|
2,388,939
|
|
|
2,387,500
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/08/11
|
Open
|
|
1,783,295
|
|
|
1,782,359
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.38%
|
9/08/11
|
Open
|
|
1,301,491
|
|
|
1,300,750
|
|
UBS Securities LLC
|
0.37%
|
9/08/11
|
Open
|
|
1,744,906
|
|
|
1,743,938
|
|
UBS Securities LLC
|
0.40%
|
9/08/11
|
Open
|
|
1,678,657
|
|
|
1,677,650
|
|
UBS Securities LLC
|
0.38%
|
9/09/11
|
Open
|
|
4,658,730
|
|
|
4,656,125
|
|
UBS Securities LLC
|
0.40%
|
9/09/11
|
Open
|
|
1,587,184
|
|
|
1,586,250
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/12/11
|
Open
|
|
1,043,882
|
|
|
1,043,375
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40%
|
9/12/11
|
Open
|
|
2,019,371
|
|
|
2,018,250
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
9/14/11
|
Open
|
|
972,860
|
|
|
972,406
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
9/14/11
|
Open
|
|
4,737,775
|
|
|
4,735,250
|
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
|
Net Closing
Amount
|
Face
Amount
|
UBS Securities LLC
|
0.38%
|
9/14/11
|
Open
|
$
|
7,123,607
|
|
$
|
7,120,000
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40%
|
9/19/11
|
Open
|
|
1,310,626
|
|
|
1,310,000
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
9/20/11
|
Open
|
|
273,111
|
|
|
273,000
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.40%
|
9/23/11
|
Open
|
|
1,552,798
|
|
|
1,552,125
|
|
Barclays
|
|
|
|
|
|
|
|
|
|
Capital Inc.
|
0.40%
|
9/30/11
|
Open
|
|
2,143,575
|
|
|
2,142,813
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
10/28/11
|
Open
|
|
3,276,221
|
|
|
3,276,093
|
|
BNP Paribas
|
|
|
|
|
|
|
|
|
|
Securities Corp.
|
0.08%
|
10/31/11
|
Open
|
|
1,897,248
|
|
|
1,897,245
|
|
Credit Suisse
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
10/31/11
|
Open
|
|
1,427,790
|
|
|
1,427,790
|
|
UBS Securities LLC
|
0.38%
|
10/31/11
|
Open
|
|
2,858,220
|
|
|
2,858,220
|
|
Total
|
|
|
|
$
|
93,040,645
|
|
$
|
92,971,273
|
|
1
|
|
Certain agreements have no stated maturity and can be
terminated by either party at anytime.
|
|
|
Financial futures contracts purchased as of October 31,
2011 were as follows:
|
|
|
|
|
|
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Notional
Value
|
Unrealized
Appreciation
|
3
|
|
2-Year US
|
Chicago Board
|
December
|
|
|
|
Treasury Note
|
of Trade
|
2011
|
USD
|
660,844
|
$
|
416
|
|
|
|
Financial futures contracts sold as of October 31, 2011
were as follows:
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)
|
371
|
|
10-Year US
|
Chicago Board
|
December
|
|
|
|
|
|
|
|
Treasury Note
|
of Trade
|
2011
|
USD
|
47,882,188
|
$
|
44,207
|
|
1
|
|
30-Year US
|
Chicago Board
|
December
|
|
|
|
|
|
|
|
Treasury Bond
|
of Trade
|
2011
|
USD
|
139,031
|
|
(3,518
|
)
|
6
|
|
Ultra US
|
Chicago Board
|
December
|
|
|
|
|
|
|
|
Treasury Bond
|
of Trade
|
2011
|
USD
|
914,250
|
|
28,865
|
|
Total
|
|
|
|
$
|
69,554
|
|
|
|
Credit default swaps on single-name issues buy
protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000
)
|
Unrealized
Appreciation
(Depreciation)
|
Raytheon Co.
|
1.00%
|
Citibank NA
|
9/20/16
|
USD
|
525
|
$
|
2,969
|
|
Raytheon Co.
|
1.00%
|
Deutsche Bank AG
|
9/20/16
|
USD
|
560
|
|
(439
|
)
|
General
|
|
|
|
|
|
|
|
Dynamics
|
|
JPMorgan
|
|
|
|
|
|
Corp.
|
1.00%
|
Chase Bank & Co.
|
9/20/16
|
USD
|
1,225
|
|
10,551
|
|
Computer
|
|
|
|
|
|
|
|
Sciences
|
|
Morgan Stanley
|
|
|
|
|
|
Corp.
|
1.00%
|
& Co., Inc.
|
9/20/16
|
USD
|
565
|
|
2,661
|
|
General
|
|
|
|
|
|
|
|
Dynamics
|
|
Morgan Stanley
|
|
|
|
|
|
Corp.
|
1.00%
|
& Co., Inc.
|
9/20/16
|
USD
|
850
|
|
2,607
|
|
Raytheon Co.
|
1.00%
|
Morgan Stanley
|
|
|
|
|
|
|
|
& Co., Inc.
|
9/20/16
|
USD
|
325
|
|
(406
|
)
|
Dell, Inc.
|
1.00%
|
Barclays Bank Plc
|
12/20/16
|
USD
|
1,290
|
|
(8,669
|
)
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
37
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
Credit default swaps on single-name issues buy protection outstanding as of October 31, 2011 were as follows (concluded):
|
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000
)
|
Unrealized
Appreciation
(Depreciation)
|
The New York
|
|
|
|
|
|
|
|
|
Times Co.
|
1.00%
|
Barclays Bank Plc
|
12/20/16
|
USD
|
1,725
|
$
|
11,747
|
|
Computer
|
|
Credit Suisse
|
|
|
|
|
|
|
Sciences
|
|
Securities
|
|
|
|
|
|
|
Corp.
|
1.00%
|
(USA) LLC
|
12/20/16
|
USD
|
570
|
|
(11,576
|
)
|
Lockheed
|
|
|
|
|
|
|
|
|
Martin
|
|
Deutsche
|
|
|
|
|
|
|
Corp.
|
1.00%
|
Bank AG
|
12/20/16
|
USD
|
1,500
|
|
15,912
|
|
Southwest
|
|
Goldman Sachs
|
|
|
|
|
|
|
Airlines Co.
|
1.00%
|
Capital Markets LP
|
12/20/16
|
USD
|
570
|
|
(134
|
)
|
Southwest
|
|
Royal Bank of
|
|
|
|
|
|
|
Airlines Co.
|
1.00%
|
Scotland Plc
|
12/20/16
|
USD
|
570
|
|
(2,589
|
)
|
Total
|
|
|
|
|
|
$
|
22,634
|
|
|
|
Credit default swaps on single-name issuer sold
protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
|
Issuer
|
Receive
Fixed
Rate
|
Counterparty
|
Expiration
|
Issuer
Credit
Rating
1
|
Notional
Amount
(000)
2
|
Unrealized
Appreciation
(Depreciation)
|
Aviva USA
|
|
Deutsche
|
|
|
|
|
|
|
|
Corp.
|
1.00%
|
Bank AG
|
5/25/12
|
AA-
|
USD
|
1,300
|
$
|
2,351
|
|
Assured
|
|
|
|
|
|
|
|
|
|
Guaranty
|
|
|
|
|
|
|
|
|
|
Corp.
|
5.00%
|
Citibank NA
|
12/20/14
|
AA+
|
USD
|
85
|
|
(474
|
)
|
Assured
|
|
|
|
|
|
|
|
|
|
Guaranty
|
|
|
|
|
|
|
|
|
|
Corp.
|
5.00%
|
Citibank NA
|
3/20/15
|
AA+
|
USD
|
365
|
|
585
|
|
MetLife, Inc.
|
1.00%
|
Deutsche
|
|
|
|
|
|
|
|
|
|
Bank AG
|
3/20/18
|
A+
|
USD
|
425
|
|
(20,773
|
)
|
Total
|
|
|
|
|
|
|
$
|
(18,311
|
)
|
2
|
|
The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.
|
|
|
Credit default swaps on traded indexes buy protection
outstanding as of October 31, 2011 were as follows:
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Depreciation
|
Dow Jones
|
|
|
|
|
|
CDX North
|
|
|
|
|
|
America High
|
|
JPMorgan
|
|
|
|
Yield Index
|
|
Chase Bank
|
|
|
|
Series
|
17 5.00%
|
& Co.
|
12/20/16
|
USD 2,150
|
$(206,010)
|
|
|
Interest rate swaps outstanding as of October 31, 2011
were as follows:
|
|
|
|
|
|
|
|
|
|
Fixed
Rate
|
Floating
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Appreciation
(Depreciation)
|
0.63
(a)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
LIBOR
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
10/21/13
|
USD
|
30,600
|
$
|
40,700
|
|
0.64
(a)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
10/21/13
|
USD
|
30,600
|
|
48,184
|
|
0.60
(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
11/01/13
|
USD
|
61,000
|
|
(43,162
|
)
|
2.32
(a)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Citibank NA
|
3/28/16
|
USD
|
2,000
|
|
104,016
|
|
1.49
(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
10/14/16
|
USD
|
1,800
|
|
(17,574
|
)
|
2.72
(a)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
8/08/21
|
USD
|
5,500
|
|
205,212
|
|
2.39
(a)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
10/14/21
|
USD
|
1,000
|
|
5,915
|
|
4.38
(b)
|
3-month
|
Goldman Sachs
|
|
|
|
|
|
|
|
LIBOR
|
International
|
4/14/41
|
USD
|
200
|
|
(56,675
|
)
|
4.35
(b)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
4/15/41
|
USD
|
1,500
|
|
(418,028
|
)
|
3.93
(b)
|
3-month
|
|
|
|
|
|
|
|
|
LIBOR
|
Citibank NA
|
7/21/41
|
USD
|
2,600
|
|
(506,403
|
)
|
2.63
(a)
|
3-month
|
Deutsche
|
|
|
|
|
|
|
|
LIBOR
|
Bank AG
|
9/26/41
|
USD
|
900
|
|
(61,840
|
)
|
2.81
(b)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
LIBOR
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
10/11/41
|
USD
|
900
|
|
29,670
|
|
3.00
(b)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
LIBOR
|
Securities
|
|
|
|
|
|
|
|
|
(USA) LLC
|
10/18/41
|
USD
|
600
|
|
(3,763
|
)
|
Total
|
|
|
|
|
|
$
|
(673,748
|
)
|
(a)
|
|
Fund pays a floating interest rate and receives fixed rate.
|
(b)
|
|
Fund pays a fixed interest rate and receives floating rate.
|
|
|
Fair Value Measurements Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:
|
|
|
Level 1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Funds own assumptions
used in determining the fair value of investments and derivative financial instruments)
|
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Funds perceived risk of investing in those securities. For information about the Funds policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
38
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (concluded)
|
BlackRock Credit Allocation Income Trust III (BPP)
|
The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Funds investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
Valuation Inputs
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Back
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
$
|
1,007,500
|
$
|
1,007,500
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
$
|
255,039,218
|
|
|
1,690,000
|
|
256,729,218
|
|
Preferred
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
$
|
621,718
|
|
|
44,223,843
|
|
|
|
|
44,845,561
|
|
Taxable
|
|
|
|
|
|
|
|
|
|
|
|
Municipal
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
1,891,175
|
|
|
|
|
1,891,175
|
|
US Government
|
|
|
|
|
|
|
|
|
Sponsored
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
608,559
|
|
|
|
|
608,559
|
|
US Treasury
|
|
|
|
|
|
|
|
|
|
|
|
Obligations
|
|
|
|
|
3,577,188
|
|
|
|
|
3,577,188
|
|
Warrants
|
|
|
|
|
14,822
|
|
|
|
|
14,822
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
2,459,914
|
|
|
|
|
|
|
|
2,459,914
|
|
Total
|
$
|
3,081,632
|
|
$
|
305,354,805
|
|
$
|
2,697,500
|
$
|
311,133,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
Level 2
|
Level 3
|
|
Total
|
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
$
|
73,488
|
|
$
|
433,697
|
|
|
|
$
|
507,185
|
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
47,032
|
|
$
|
2,351
|
|
49,383
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
(3,518
|
)
|
|
(2,516,593
|
)
|
|
-
|
|
(2,520,111
|
)
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(251,070
|
)
|
|
|
|
(251,070
|
)
|
Total
|
$
|
69,970
|
|
$
|
(2,286,934
|
)
|
$
|
2,351
|
$
|
(2,214,613
|
)
|
1
|
|
Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
Common
Stocks
|
Corporate
Bonds
|
Preferred
Securities
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
$
|
54,708
|
|
$
|
180
|
|
$
|
270,532
|
|
$
|
325,420
|
|
Accrued discounts/premiums
|
$
|
10,064
|
|
|
|
|
|
720
|
|
|
|
|
|
10,784
|
|
Net realized gain (loss)
|
|
|
|
|
(1,062,064
|
)
|
|
3,233
|
|
|
452,316
|
|
|
(606,515
|
)
|
Net change in unrealized appreciation/depreciation
2
|
|
(114,792
|
)
|
|
1,129,549
|
|
|
69,964
|
|
|
(97,813
|
)
|
|
986,908
|
|
Purchases
|
|
1,112,228
|
|
|
|
|
|
1,625,000
|
|
|
|
|
|
2,737,228
|
|
Sales
|
|
|
|
|
(122,193
|
)
|
|
(9,097
|
)
|
|
(625,035
|
)
|
|
(756,325
|
)
|
Transfers in
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2011
|
$
|
1,007,500
|
|
|
|
|
$
|
1,690,000
|
|
|
|
|
$
|
2,697,500
|
|
2
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(49,792).
|
3
|
|
The Funds policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
|
The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
Credit
Contracts
|
Assets:
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
Accrued discounts/premiums
|
$
|
3,968
|
|
Net realized gain (loss)
|
|
|
|
Net change in unrealized appreciation/depreciation
4
|
|
2,351
|
|
Purchases
|
|
|
|
Issuances
5
|
|
6,880
|
|
Sales
|
|
|
|
Settlements
6
|
|
(10,848
|
)
|
Transfers in
3
|
|
|
|
Transfers out
3
|
|
|
|
Balance, as of October 31, 2011
|
$
|
2,351
|
|
4
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $2,351.
|
5
|
|
Issuances represent upfront cash received on certain
derivative financial instruments.
|
6
|
|
Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.
|
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
39
|
|
|
Schedule
of Investments
October 31, 2011
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Asset-Backed Securities
|
Par
(000
)
|
Value
|
Atrium CDO Corp., Series 5A, Class A4, 0.69%,
|
|
|
|
|
|
7/20/20
(a)(b)
|
$
|
4,400
|
|
$
|
3,410,000
|
SLM Student Loan Trust, Series 2004-B, Class A2,
|
|
|
|
|
|
0.55%, 6/15/21 (b)
|
|
3,995
|
|
|
3,825,176
|
Total Asset-Backed Securities 1.0%
|
|
|
|
|
7,235,176
|
|
|
Corporate Bonds
|
|
|
|
|
|
Aerospace & Defense 1.7%
|
|
|
|
|
|
BE Aerospace, Inc., 8.50%, 7/01/18
|
|
3,575
|
|
|
3,905,687
|
Bombardier, Inc., 7.75%, 3/15/20 (a)
|
|
4,500
|
|
|
4,950,000
|
Huntington Ingalls Industries, Inc. (a):
|
|
|
|
|
|
6.88%, 3/15/18
|
|
990
|
|
|
997,425
|
7.13%, 3/15/21
|
|
960
|
|
|
972,000
|
Kratos Defense & Security Solutions, Inc.,
|
|
|
|
|
|
10.00%, 6/01/17
|
|
1,662
|
|
|
1,720,170
|
|
|
|
|
|
12,545,282
|
Airlines 1.0%
|
|
|
|
|
|
American Airlines Pass-Through Trust:
|
|
|
|
|
|
Series 2011-1, Class A, 5.25%, 7/31/22
|
|
2,421
|
|
|
2,203,488
|
Series 2011-2, Class A, 8.63%, 4/15/23
|
|
940
|
|
|
940,000
|
Continental Airlines Pass-Through Certificates,
|
|
|
|
|
|
Series 2009-2, Class B, 9.25%, 5/10/17
|
|
1,990
|
|
|
2,044,841
|
Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24
|
|
2,205
|
|
|
2,177,782
|
|
|
|
|
|
7,366,111
|
Auto Components 1.5%
|
|
|
|
|
|
Daimler Finance North America LLC, 2.63%,
|
|
|
|
|
|
9/15/16
(a)(c)
|
|
5,675
|
|
|
5,640,229
|
Delphi Corp., 6.13%, 5/15/21 (a)
|
|
950
|
|
|
969,000
|
Icahn Enterprises LP:
|
|
|
|
|
|
7.75%, 1/15/16
|
|
1,700
|
|
|
1,742,500
|
8.00%, 1/15/18
|
|
2,500
|
|
|
2,543,750
|
|
|
|
|
|
10,895,479
|
Beverages 0.5%
|
|
|
|
|
|
Constellation Brands, Inc., 7.25%, 5/15/17
|
|
3,230
|
|
|
3,553,000
|
Building Products 0.4%
|
|
|
|
|
|
Building Materials Corp. of America (a):
|
|
|
|
|
|
7.00%, 2/15/20
|
|
790
|
|
|
837,400
|
6.75%, 5/01/21
|
|
1,930
|
|
|
2,002,375
|
|
|
|
|
|
2,839,775
|
Capital Markets 5.4%
|
|
|
|
|
|
Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)
|
|
4,500
|
|
|
4,903,925
|
E*Trade Financial Corp., 12.50%, 11/30/17 (d)
|
|
2,565
|
|
|
2,956,163
|
The Goldman Sachs Group, Inc. (c):
|
|
|
|
|
|
7.50%, 2/15/19
|
|
6,850
|
|
|
7,738,972
|
6.25%, 2/01/41
|
|
7,350
|
|
|
7,579,371
|
Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)
|
|
3,415
|
|
|
3,344,689
|
Morgan Stanley, 5.50%, 7/28/21 (c)
|
|
8,210
|
|
|
8,018,978
|
UBS AG (c):
|
|
|
|
|
|
2.25%, 1/28/14
|
|
2,678
|
|
|
2,668,565
|
5.88%, 7/15/16
|
|
1,575
|
|
|
1,627,038
|
|
|
|
|
|
38,837,701
|
Chemicals 1.0%
|
|
|
|
|
|
Ashland, Inc., 9.13%, 6/01/17
|
|
840
|
|
|
938,700
|
Celanese US Holdings LLC, 5.88%, 6/15/21
|
|
2,560
|
|
|
2,720,000
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
2,080
|
|
|
2,316,600
|
Solutia, Inc., 7.88%, 3/15/20
|
|
1,425
|
|
|
1,524,750
|
|
|
|
|
|
7,500,050
|
Commercial Banks 4.3%
|
|
|
|
|
|
Amsouth Bank, Series AI, 4.85%, 4/01/13
|
|
1,800
|
|
|
1,732,500
|
Asciano Finance Ltd., 5.00%, 4/07/18 (a)
|
|
1,475
|
|
|
1,568,143
|
Associated Banc-Corp, 5.13%, 3/28/16
|
|
3,645
|
|
|
3,760,907
|
|
|
|
|
|
|
Corporate Bonds
|
Par
(000
)
|
|
Value
|
Commercial Banks (concluded)
|
|
|
|
|
|
BNP Paribas, 3.60%, 2/23/16 (c)
|
$
|
2,790
|
|
$
|
2,782,180
|
Branch Banking & Trust Co. (b)(c):
|
|
|
|
|
|
0.66%, 9/13/16
|
|
1,850
|
|
|
1,714,069
|
0.60%, 5/23/17
|
|
1,100
|
|
|
998,686
|
CIT Group, Inc.:
|
|
|
|
|
|
7.00%, 5/01/15
|
|
420
|
|
|
420,000
|
7.00%, 5/02/16 (a)
|
|
2,590
|
|
|
2,583,525
|
7.00%, 5/01/17
|
|
1,898
|
|
|
1,898,000
|
7.00%, 5/02/17 (a)
|
|
650
|
|
|
648,375
|
Discover Bank, 8.70%, 11/18/19
|
|
1,950
|
|
|
2,205,528
|
HSBC Holdings Plc, 5.10%, 4/05/21 (c)
|
|
3,500
|
|
|
3,769,738
|
Regions Financial Corp.:
|
|
|
|
|
|
4.88%, 4/26/13
|
|
4,150
|
|
|
4,046,250
|
5.75%, 6/15/15
|
|
3,000
|
|
|
2,887,500
|
|
|
|
|
|
31,015,401
|
Commercial Services & Supplies 3.9%
|
|
|
|
|
|
Aviation Capital Group Corp. (a):
|
|
|
|
|
|
7.13%, 10/15/20 (c)
|
|
15,000
|
|
|
14,519,221
|
6.75%, 4/06/21
|
|
3,850
|
|
|
3,707,204
|
Casella Waste Systems, Inc., 7.75%, 2/15/19
|
|
1,201
|
|
|
1,152,960
|
Clean Harbors, Inc., 7.63%, 8/15/16
|
|
2,250
|
|
|
2,379,375
|
Corrections Corp. of America, 7.75%, 6/01/17
|
|
4,835
|
|
|
5,233,887
|
Iron Mountain, Inc., 7.75%, 10/01/19
|
|
650
|
|
|
674,375
|
Mobile Mini, Inc., 7.88%, 12/01/20
|
|
455
|
|
|
455,000
|
|
|
|
|
|
28,122,022
|
Communications Equipment 0.8%
|
|
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15
|
|
1,400
|
|
|
1,239,000
|
Brocade Communications Systems, Inc., 6.88%, 1/15/20
|
|
3,580
|
|
|
3,750,050
|
EH Holding Corp., 6.50%, 6/15/19 (a)
|
|
700
|
|
|
715,750
|
|
|
|
|
|
5,704,800
|
Consumer Finance 4.2%
|
|
|
|
|
|
American Express Credit Corp., 2.75%, 9/15/15 (c)
|
|
9,850
|
|
|
9,972,780
|
Capital One Bank USA NA, 8.80%, 7/15/19
|
|
3,950
|
|
|
4,691,858
|
Ford Motor Credit Co., LLC, 7.00%, 4/15/15
|
|
4,730
|
|
|
5,155,700
|
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)
|
|
2,515
|
|
|
2,691,050
|
SLM Corp., 6.25%, 1/25/16
|
|
8,205
|
|
|
8,205,000
|
|
|
|
|
|
30,716,388
|
Containers & Packaging 1.3%
|
|
|
|
|
|
Ball Corp.:
|
|
|
|
|
|
7.13%, 9/01/16
|
|
2,000
|
|
|
2,165,000
|
6.75%, 9/15/20
|
|
3,575
|
|
|
3,852,062
|
Crown Americas LLC, 6.25%, 2/01/21 (a)
|
|
1,350
|
|
|
1,417,500
|
Graphic Packaging International, Inc., 9.50%, 6/15/17
|
|
1,105
|
|
|
1,207,213
|
Rock-Tenn Co., 9.25%, 3/15/16
|
|
800
|
|
|
850,000
|
Sealed Air Corp., 8.38%, 9/15/21 (a)
|
|
220
|
|
|
238,150
|
|
|
|
|
|
9,729,925
|
Diversified Financial Services 10.4%
|
|
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
|
|
4.50%, 2/11/14
|
|
1,500
|
|
|
1,466,250
|
8.30%, 2/12/15
|
|
2,890
|
|
|
3,034,500
|
8.00%, 11/01/31
|
|
2,900
|
|
|
2,892,750
|
Bank of America Corp. (c):
|
|
|
|
|
|
5.30%, 3/15/17
|
|
6,505
|
|
|
6,220,660
|
5.00%, 5/13/21
|
|
12,100
|
|
|
11,360,835
|
Citigroup, Inc.:
|
|
|
|
|
|
6.38%, 8/12/14
|
|
2,150
|
|
|
2,321,020
|
4.59%, 12/15/15 (c)
|
|
1,575
|
|
|
1,645,585
|
Countrywide Financial Corp., 6.25%, 5/15/16
|
|
6,500
|
|
|
6,351,026
|
Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)
|
|
1,475
|
|
|
1,581,938
|
General Electric Capital Corp., 5.30%, 2/11/21 (c)
|
|
7,775
|
|
|
8,274,645
|
General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)
|
|
830
|
|
|
837,597
|
ING Bank NV, 5.00%, 6/09/21 (a)(c)
|
|
3,950
|
|
|
4,054,359
|
See Notes to Financial Statements.
40
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
Par
(000
)
|
Value
|
Diversified Financial Services (concluded)
|
|
|
|
|
|
Intesa Sanpaolo SpA (c):
|
|
|
|
|
|
2.38%, 12/21/12 (e)
|
$
|
5,800
|
|
$
|
5,648,550
|
6.50%, 2/24/21 (a)
|
|
922
|
|
|
850,735
|
JPMorgan Chase & Co., 3.15%, 7/05/16 (c)
|
|
4,375
|
|
|
4,382,424
|
Moody's Corp., 6.06%, 9/07/17
|
|
10,000
|
|
|
10,570,290
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
|
|
7.13%, 4/15/19
|
|
420
|
|
|
428,400
|
7.88%, 8/15/19
|
|
1,470
|
|
|
1,536,150
|
6.88%, 2/15/21
|
|
360
|
|
|
363,600
|
8.25%, 2/15/21
|
|
795
|
|
|
729,413
|
WMG Acquisition Corp., 9.50%, 6/15/16 (a)
|
|
340
|
|
|
360,400
|
|
|
|
|
|
74,911,127
|
Diversified Telecommunication Services 5.4%
|
|
|
|
|
|
AT&T, Inc.:
|
|
|
|
|
|
2.40%, 8/15/16
|
|
1,525
|
|
|
1,558,985
|
6.30%, 1/15/38 (c)
|
|
5,000
|
|
|
6,008,645
|
France Telecom SA, 4.13%, 9/14/21 (c)
|
|
1,125
|
|
|
1,159,007
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
8.75%, 2/15/17
|
|
1,240
|
|
|
1,267,900
|
8.13%, 7/01/19 (a)
|
|
4,407
|
|
|
4,362,930
|
Qwest Corp., 8.38%, 5/01/16
|
|
3,285
|
|
|
3,753,112
|
Telecom Italia Capital SA, 6.18%, 6/18/14
|
|
1,650
|
|
|
1,676,068
|
Telefonica Emisiones SAU, 5.46%, 2/16/21 (c)
|
|
2,250
|
|
|
2,280,384
|
Verizon Communications, Inc. (c):
|
|
|
|
|
|
1.95%, 3/28/14
|
|
8,525
|
|
|
8,754,331
|
7.35%, 4/01/39
|
|
4,700
|
|
|
6,488,148
|
Windstream Corp., 7.88%, 11/01/17
|
|
1,580
|
|
|
1,706,400
|
|
|
|
|
|
39,015,910
|
Electric Utilities 3.0%
|
|
|
|
|
|
Dominion Resources, Inc., 8.88%, 1/15/19 (c)
|
|
8,000
|
|
|
10,580,224
|
Duke Energy Corp., 3.55%, 9/15/21 (c)
|
|
2,825
|
|
|
2,901,922
|
Progress Energy, Inc., 7.00%, 10/30/31 (c)
|
|
5,000
|
|
|
6,556,980
|
Southern Co., 1.95%, 9/01/16
|
|
1,625
|
|
|
1,637,706
|
|
|
|
|
|
21,676,832
|
Electronic Equipment, Instruments & Components 0.9%
|
|
|
|
|
|
Jabil Circuit, Inc., 8.25%, 3/15/18
|
|
1,200
|
|
|
1,392,000
|
NXP BV, 3.15%, 10/15/13 (b)
|
|
4,900
|
|
|
4,802,000
|
|
|
|
|
|
6,194,000
|
Energy Equipment & Services 1.3%
|
|
|
|
|
|
Ensco Plc, 4.70%, 3/15/21
|
|
3,255
|
|
|
3,424,898
|
Frac Tech Services LLC, 7.63%, 11/15/18 (a)
|
|
1,795
|
|
|
1,875,775
|
Key Energy Services, Inc., 6.75%, 3/01/21
|
|
1,240
|
|
|
1,267,900
|
MEG Energy Corp., 6.50%, 3/15/21 (a)
|
|
1,580
|
|
|
1,647,150
|
Oil States International, Inc., 6.50%, 6/01/19
|
|
835
|
|
|
874,662
|
SunCoke Energy, Inc., 7.63%, 8/01/19 (a)
|
|
320
|
|
|
323,200
|
|
|
|
|
|
9,413,585
|
Food & Staples Retailing 1.8%
|
|
|
|
|
|
CVS Caremark Corp., 6.30%, 6/01/62 (b)
|
|
2,900
|
|
|
2,816,625
|
Wal-Mart Stores, Inc. (c):
|
|
|
|
|
|
5.25%, 9/01/35
|
|
2,650
|
|
|
3,087,849
|
6.20%, 4/15/38
|
|
5,225
|
|
|
6,813,034
|
|
|
|
|
|
12,717,508
|
Food Products 0.8%
|
|
|
|
|
|
Kraft Foods, Inc.:
|
|
|
|
|
|
6.50%, 8/11/17
|
|
1,985
|
|
|
2,372,672
|
6.13%, 8/23/18
|
|
1,990
|
|
|
2,368,118
|
Smithfield Foods, Inc., 10.00%, 7/15/14
|
|
668
|
|
|
776,550
|
|
|
|
|
|
5,517,340
|
Gas Utilities 0.1%
|
|
|
|
|
|
Targa Resources Partners LP, 6.88%, 2/01/21 (a)
|
|
820
|
|
|
809,750
|
Health Care Equipment & Supplies 0.8%
|
|
|
|
|
|
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
|
|
4,250
|
|
|
4,802,500
|
Teleflex, Inc., 6.88%, 6/01/19
|
|
815
|
|
|
843,525
|
|
|
|
|
|
5,646,025
|
|
|
|
|
|
|
Corporate Bonds
|
Par
(000
)
|
Value
|
|
Health Care Providers & Services 3.8%
|
|
|
|
|
|
Aetna, Inc., 6.75%, 12/15/37 (c)
|
$
|
2,025
|
|
$
|
2,576,640
|
Aviv Healthcare Properties LP, 7.75%, 2/15/19
|
|
765
|
|
|
738,225
|
HCA, Inc.:
|
|
|
|
|
|
8.50%, 4/15/19
|
|
265
|
|
|
291,500
|
6.50%, 2/15/20
|
|
3,780
|
|
|
3,959,550
|
7.25%, 9/15/20
|
|
4,590
|
|
|
4,917,038
|
7.50%, 2/15/22
|
|
3,365
|
|
|
3,432,300
|
INC Research LLC, 11.50%, 7/15/19 (a)
|
|
1,155
|
|
|
1,039,500
|
inVentiv Health, Inc., 10.00%, 8/15/18 (a)
|
|
840
|
|
|
806,400
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
10.00%, 5/01/18
|
|
2,175
|
|
|
2,495,813
|
8.88%, 7/01/19
|
|
1,825
|
|
|
2,062,250
|
UnitedHealth Group, Inc., 6.88%, 2/15/38
|
|
4,075
|
|
|
5,373,523
|
|
|
|
|
|
27,692,739
|
Household Durables 0.5%
|
|
|
|
|
|
Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)
|
|
4,947
|
|
|
3,920,498
|
Independent Power Producers & Energy Traders 1.5%
|
|
|
|
|
AES Corp.:
|
|
|
|
|
|
9.75%, 4/15/16
|
|
1,620
|
|
|
1,838,700
|
7.38%, 7/01/21 (a)
|
|
535
|
|
|
572,450
|
Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)
|
1,265
|
|
|
1,347,225
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
730
|
|
|
759,200
|
Energy Future Intermediate Holding Co., LLC,
|
|
|
|
|
|
10.00%, 12/01/20
|
|
2,910
|
|
|
3,055,500
|
NRG Energy, Inc., 7.38%, 1/15/17
|
|
2,820
|
|
|
2,936,325
|
|
|
|
|
|
10,509,400
|
Insurance 4.5%
|
|
|
|
|
|
American International Group, Inc., 6.40%, 12/15/20 (c)
|
2,800
|
|
|
2,932,572
|
Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)
|
|
4,975
|
|
|
4,688,137
|
Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)
|
|
1,625
|
|
|
1,650,750
|
Genworth Financial, Inc., 7.63%, 9/24/21
|
|
1,615
|
|
|
1,459,847
|
Manulife Financial Corp., 4.90%, 9/17/20
|
|
3,650
|
|
|
3,748,922
|
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
|
|
715
|
|
|
614,900
|
Northwestern Mutual Life Insurance, 6.06%, 3/30/40 (a)(c)
|
5,500
|
|
|
6,445,884
|
Principal Financial Group, Inc., 8.88%, 5/15/19
|
|
1,145
|
|
|
1,450,717
|
Prudential Financial, Inc., 6.63%, 12/01/37 (c)
|
|
4,075
|
|
|
4,845,481
|
XL Group Ltd., 5.75%, 10/01/21 (c)
|
|
4,105
|
|
|
4,328,324
|
|
|
|
|
|
32,165,534
|
IT Services 0.8%
|
|
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)
|
|
1,180
|
|
|
1,103,300
|
First Data Corp. (a):
|
|
|
|
|
|
7.38%, 6/15/19
|
|
1,205
|
|
|
1,192,950
|
8.25%, 1/15/21
|
|
145
|
|
|
137,750
|
12.63%, 1/15/21
|
|
1,490
|
|
|
1,408,050
|
SunGard Data Systems, Inc., 7.38%, 11/15/18
|
|
1,610
|
|
|
1,646,225
|
|
|
|
|
|
5,488,275
|
Life Sciences Tools & Services 1.6%
|
|
|
|
|
|
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16
|
|
5,480
|
|
|
5,973,200
|
Life Technologies Corp., 6.00%, 3/01/20
|
|
4,800
|
|
|
5,349,797
|
|
|
|
|
|
11,322,997
|
Machinery 0.9%
|
|
|
|
|
|
Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 (c)
|
4,075
|
|
|
4,790,317
|
Navistar International Corp., 8.25%, 11/01/21
|
|
1,439
|
|
|
1,564,913
|
|
|
|
|
|
6,355,230
|
Media
7.8
%
|
|
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
|
655
|
|
|
710,675
|
CCH II LLC, 13.50%, 11/30/16
|
|
3,851
|
|
|
4,438,277
|
Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (a)
|
1,165
|
|
|
920,350
|
Comcast Corp., 6.30%, 11/15/17 (c)
|
|
4,075
|
|
|
4,814,519
|
Cox Communications, Inc., 8.38%, 3/01/39 (a)
|
|
4,075
|
|
|
5,698,040
|
CSC Holdings LLC:
|
|
|
|
|
|
8.50%, 4/15/14
|
|
1,130
|
|
|
1,240,175
|
8.50%, 6/15/15
|
|
2,300
|
|
|
2,495,500
|
8.63%, 2/15/19
|
|
1,950
|
|
|
2,213,250
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
41
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
Par
(000
)
|
|
Value
|
Media (concluded)
|
|
|
|
|
|
DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)
|
$
|
4,150
|
|
$
|
4,542,955
|
DISH DBS Corp., 7.00%, 10/01/13
|
|
1,950
|
|
|
2,062,125
|
Intelsat Luxembourg SA (d):
|
|
|
|
|
|
11.50%, 2/04/17 (a)
|
|
240
|
|
|
240,000
|
11.50%, 2/04/17
|
|
630
|
|
|
630,000
|
The Interpublic Group of Cos., Inc., 10.00%, 7/15/17
|
|
1,975
|
|
|
2,261,375
|
Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)
|
|
1,760
|
|
|
1,830,400
|
News America, Inc., 6.15%, 3/01/37 (c)
|
|
4,850
|
|
|
5,326,372
|
Time Warner Cable, Inc., 6.75%, 6/15/39
|
|
4,675
|
|
|
5,682,444
|
Time Warner, Inc., 7.70%, 5/01/32 (c)
|
|
4,900
|
|
|
6,380,589
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC
|
|
|
|
|
|
Germany GmbH), 8.13%, 12/01/17 (a)
|
|
1,225
|
|
|
1,304,625
|
Virgin Media Secured Finance Plc, 6.50%, 1/15/18
|
|
3,175
|
|
|
3,421,062
|
|
|
|
|
|
56,212,733
|
Metals & Mining 2.4%
|
|
|
|
|
|
Alcoa, Inc., 5.40%, 4/15/21 (c)
|
|
4,090
|
|
|
4,052,618
|
Barrick Gold Corp., 2.90%, 5/30/16
|
|
1,925
|
|
|
1,998,654
|
Barrick North America Finance LLC, 5.70%, 5/30/41
|
|
2,275
|
|
|
2,644,107
|
FMG Resources August 2006 Property Ltd. (a):
|
|
|
|
|
|
6.88%, 2/01/18
|
|
390
|
|
|
374,400
|
8.25%, 11/01/19
|
|
310
|
|
|
313,100
|
Freeport-McMoRan Corp., 7.13%, 11/01/27
|
|
3,500
|
|
|
4,066,808
|
Novelis, Inc., 8.75%, 12/15/20
|
|
1,610
|
|
|
1,754,900
|
Teck Resources Ltd., 10.75%, 5/15/19
|
|
2,000
|
|
|
2,470,000
|
|
|
|
|
|
17,674,587
|
Multi-Utilities 1.2%
|
|
|
|
|
|
CenterPoint Energy, Inc.:
|
|
|
|
|
|
5.95%, 2/01/17
|
|
3,600
|
|
|
4,053,917
|
6.50%, 5/01/18
|
|
3,950
|
|
|
4,601,904
|
|
|
|
|
|
8,655,821
|
Multiline Retail 1.6%
|
|
|
|
|
|
JC Penney Co., Inc., 5.65%, 6/01/20
|
|
12,400
|
|
|
11,687,000
|
Oil, Gas & Consumable Fuels 12.5%
|
|
|
|
|
|
Alpha Natural Resources, Inc.:
|
|
|
|
|
|
6.00%, 6/01/19
|
|
415
|
|
|
411,888
|
6.25%, 6/01/21
|
|
1,165
|
|
|
1,150,438
|
Anadarko Petroleum Corp.:
|
|
|
|
|
|
5.95%, 9/15/16
|
|
1,686
|
|
|
1,937,580
|
6.38%, 9/15/17
|
|
52
|
|
|
61,191
|
Arch Coal, Inc. (a):
|
|
|
|
|
|
7.00%, 6/15/19
|
|
370
|
|
|
382,950
|
7.25%, 6/15/21
|
|
1,195
|
|
|
1,230,850
|
BP Capital Markets Plc (c):
|
|
|
|
|
|
5.25%, 11/07/13
|
|
2,100
|
|
|
2,271,032
|
3.88%, 3/10/15
|
|
3,085
|
|
|
3,302,724
|
Buckeye Partners LP, 4.88%, 2/01/21 (c)
|
|
1,650
|
|
|
1,737,729
|
Chesapeake Energy Corp., 6.13%, 2/15/21
|
|
5,745
|
|
|
6,017,887
|
Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)
|
|
980
|
|
|
989,800
|
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)
|
|
450
|
|
|
462,375
|
Consol Energy, Inc., 6.38%, 3/01/21 (a)
|
|
745
|
|
|
741,275
|
Copano Energy LLC, 7.13%, 4/01/21
|
|
930
|
|
|
950,925
|
DCP Midstream LLC, 4.75%, 9/30/21 (a)
|
|
2,100
|
|
|
2,191,837
|
Denbury Resources, Inc., 6.38%, 8/15/21
|
|
955
|
|
|
983,650
|
El Paso Corp., 7.00%, 6/15/17
|
|
2,390
|
|
|
2,676,800
|
El Paso Pipeline Partners Operating Co., LLC,
|
|
|
|
|
|
5.00%, 10/01/21
|
|
900
|
|
|
922,927
|
Enbridge Energy Partners LP, 9.88%, 3/01/19 (c)
|
|
2,425
|
|
|
3,247,788
|
Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19
|
|
1,700
|
|
|
1,717,000
|
Enterprise Products Operating LLC, 6.65%, 4/15/18
|
|
4,800
|
|
|
5,646,442
|
Forest Oil Corp., 8.50%, 2/15/14
|
|
2,055
|
|
|
2,219,400
|
Hilcorp Energy I LP, 7.75%, 11/01/15 (a)
|
|
1,175
|
|
|
1,205,432
|
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20
|
|
4,800
|
|
|
5,735,549
|
Linn Energy LLC, 7.75%, 2/01/21
|
|
1,585
|
|
|
1,691,987
|
Marathon Petroleum Corp., 3.50%, 3/01/16 (a)(c)
|
|
2,250
|
|
|
2,308,165
|
MarkWest Energy Partners LP, 6.25%, 6/15/22 (f)
|
|
880
|
|
|
902,000
|
|
|
|
|
|
|
Corporate Bonds
|
Par
(000
)
|
Value
|
Oil, Gas & Consumable Fuels (concluded)
|
|
|
|
|
|
Newfield Exploration Co., 5.75%, 1/30/22
|
$
|
820
|
|
$
|
869,200
|
Oasis Petroleum, Inc.:
|
|
|
|
|
|
7.25%, 2/01/19 (a)
|
|
560
|
|
|
590,800
|
6.50%, 11/01/21 (f)
|
|
505
|
|
|
507,525
|
OGX Petroleo e Gas Participacoes SA, 8.50%, 6/01/18 (a)
|
|
1,950
|
|
|
1,930,500
|
ONEOK Partners LP, 8.63%, 3/01/19 (c)
|
|
4,075
|
|
|
5,268,999
|
Petrobras International Finance Co., 3.88%, 1/27/16
|
|
6,150
|
|
|
6,293,301
|
Petrohawk Energy Corp.:
|
|
|
|
|
|
10.50%, 8/01/14
|
|
1,020
|
|
|
1,143,675
|
6.25%, 6/01/19
|
|
1,180
|
|
|
1,333,400
|
Pioneer Natural Resources Co.:
|
|
|
|
|
|
6.65%, 3/15/17
|
|
1,080
|
|
|
1,172,934
|
6.88%, 5/01/18
|
|
820
|
|
|
886,680
|
Plains Exploration & Production Co.:
|
|
|
|
|
|
7.75%, 6/15/15
|
|
1,300
|
|
|
1,348,750
|
10.00%, 3/01/16
|
|
700
|
|
|
777,000
|
Precision Drilling Corp., 6.50%, 12/15/21 (a)
|
|
700
|
|
|
738,500
|
Premier Oil, 5.00%, 6/09/18
|
|
5,650
|
|
|
5,876,000
|
Range Resources Corp., 6.75%, 8/01/20
|
|
1,415
|
|
|
1,570,650
|
SandRidge Energy, Inc., 7.50%, 3/15/21 (a)
|
|
1,200
|
|
|
1,158,000
|
SM Energy Co., 6.63%, 2/15/19 (a)
|
|
365
|
|
|
368,650
|
Western Gas Partners LP, 5.38%, 6/01/21
|
|
2,525
|
|
|
2,685,186
|
The Williams Cos., Inc., 8.75%, 3/15/32
|
|
1,900
|
|
|
2,586,833
|
|
|
|
|
|
90,204,204
|
Paper & Forest Products 2.8%
|
|
|
|
|
|
Boise Paper Holdings LLC, 8.00%, 4/01/20
|
|
1,070
|
|
|
1,126,175
|
Georgia-Pacific LLC, 8.25%, 5/01/16 (a)
|
|
3,955
|
|
|
4,385,458
|
International Paper Co.:
|
|
|
|
|
|
7.50%, 8/15/21 (c)
|
|
3,950
|
|
|
4,800,372
|
8.70%, 6/15/38
|
|
3,100
|
|
|
4,078,155
|
7.30%, 11/15/39
|
|
4,075
|
|
|
4,751,670
|
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a)
|
545
|
|
|
553,175
|
Verso Paper Holdings LLC, 11.50%, 7/01/14
|
|
590
|
|
|
619,500
|
|
|
|
|
|
20,314,505
|
Pharmaceuticals 7.1%
|
|
|
|
|
|
Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)
|
|
3,549
|
|
|
4,508,888
|
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)
|
10,100
|
|
|
13,651,897
|
Merck & Co., Inc. (c):
|
|
|
|
|
|
6.50%, 12/01/33
|
|
2,885
|
|
|
3,945,800
|
6.55%, 9/15/37
|
|
6,945
|
|
|
9,668,551
|
Pfizer, Inc., 7.20%, 3/15/39 (c)
|
|
10,000
|
|
|
14,936,540
|
Valeant Pharmaceuticals International,
|
|
|
|
|
|
6.50%, 7/15/16 (a)
|
|
450
|
|
|
450,000
|
Watson Pharmaceuticals, Inc., 6.13%, 8/15/19
|
|
3,495
|
|
|
4,082,716
|
|
|
|
|
|
51,244,392
|
Real Estate Investment Trusts (REITs) 2.5%
|
|
|
|
|
|
AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)
|
|
4,075
|
|
|
4,623,919
|
Developers Diversified Realty Corp.:
|
|
|
|
|
|
4.75%, 4/15/18
|
|
1,025
|
|
|
964,582
|
7.88%, 9/01/20
|
|
1,325
|
|
|
1,434,183
|
ERP Operating LP, 5.75%, 6/15/17
|
|
4,080
|
|
|
4,559,730
|
HCP, Inc., 5.38%, 2/01/21
|
|
1,675
|
|
|
1,720,282
|
UDR, Inc., 4.25%, 6/01/18
|
|
2,675
|
|
|
2,750,681
|
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21
|
|
1,880
|
|
|
1,840,990
|
|
|
|
|
|
17,894,367
|
Real Estate Management & Development 0.2%
|
|
|
|
|
|
Realogy Corp., 7.88%, 2/15/19 (a)
|
|
940
|
|
|
846,000
|
Shea Homes LP, 8.63%, 5/15/19 (a)
|
|
805
|
|
|
728,525
|
|
|
|
|
|
1,574,525
|
Road & Rail 1.7%
|
|
|
|
|
|
Avis Budget Car Rental LLC, 8.25%, 1/15/19
|
|
720
|
|
|
718,200
|
Florida East Coast Railway Corp., 8.13%, 2/01/17
|
|
320
|
|
|
320,000
|
The Hertz Corp., 6.75%, 4/15/19
|
|
1,554
|
|
|
1,585,080
|
Norfolk Southern Corp., 6.00%, 3/15/2105 (c)
|
|
8,500
|
|
|
9,831,695
|
|
|
|
|
|
12,454,975
|
See Notes to Financial Statements.
42
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
Par
(000
)
|
Value
|
Semiconductors & Semiconductor Equipment 0.5%
|
|
|
|
|
|
Advanced Micro Devices, Inc., 7.75%, 8/01/20
|
$
|
1,300
|
|
$
|
1,319,500
|
KLA-Tencor Corp., 6.90%, 5/01/18
|
|
2,208
|
|
|
2,513,550
|
|
|
|
|
|
3,833,050
|
Specialty Retail 1.2%
|
|
|
|
|
|
AutoNation, Inc., 6.75%, 4/15/18
|
|
2,775
|
|
|
2,879,063
|
Best Buy Co., Inc., 5.50%, 3/15/21
|
|
1,050
|
|
|
1,003,661
|
Limited Brands, Inc., 7.00%, 5/01/20
|
|
1,370
|
|
|
1,459,050
|
QVC, Inc., 7.38%, 10/15/20 (a)
|
|
175
|
|
|
190,750
|
VF Corp., 5.95%, 11/01/17 (c)
|
|
2,450
|
|
|
2,901,359
|
|
|
|
|
|
8,433,883
|
Tobacco 4.2%
|
|
|
|
|
|
Altria Group, Inc.:
|
|
|
|
|
|
9.70%, 11/10/18
|
|
4,075
|
|
|
5,476,885
|
9.25%, 8/06/19
|
|
4,780
|
|
|
6,354,312
|
10.20%, 2/06/39
|
|
6,607
|
|
|
10,206,712
|
Lorillard Tobacco Co., 3.50%, 8/04/16
|
|
4,150
|
|
|
4,166,106
|
Philip Morris International, Inc., 2.50%, 5/16/16 (c)
|
|
4,200
|
|
|
4,366,614
|
|
|
|
|
|
30,570,629
|
Wireless Telecommunication Services 4.3%
|
|
|
|
|
|
America Movil SAB de CV, 2.38%, 9/08/16
|
|
7,455
|
|
|
7,443,020
|
American Tower Corp.:
|
|
|
|
|
|
4.50%, 1/15/18
|
|
3,200
|
|
|
3,291,347
|
5.90%, 11/01/21
|
|
2,180
|
|
|
2,409,425
|
Cricket Communications, Inc., 7.75%, 5/15/16
|
|
780
|
|
|
809,250
|
Crown Castle International Corp., 9.00%, 1/15/15
|
|
1,470
|
|
|
1,602,300
|
Crown Castle Towers LLC (a):
|
|
|
|
|
|
5.50%, 1/15/37
|
|
1,975
|
|
|
2,151,261
|
4.17%, 8/15/37
|
|
2,000
|
|
|
2,037,730
|
6.11%, 1/15/40
|
|
2,330
|
|
|
2,574,634
|
Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)
|
|
320
|
|
|
321,600
|
Nextel Communications, Inc., Series E, 6.88%, 10/31/13
|
|
1,040
|
|
|
1,027,000
|
SBA Tower Trust, 5.10%, 4/15/42 (a)
|
|
6,250
|
|
|
6,809,375
|
Sprint Capital Corp., 6.88%, 11/15/28
|
|
780
|
|
|
569,400
|
|
|
|
|
|
31,046,342
|
Total Corporate Bonds 114.1%
|
|
|
|
|
823,983,697
|
|
|
Preferred Securities
|
|
|
|
|
|
|
Capital Trusts
|
|
|
|
|
|
Capital Markets 3.1%
|
|
|
|
|
|
Credit Suisse Guernsey Ltd., 5.86% (b)(g)
|
|
1,050
|
|
|
908,250
|
State Street Capital Trust III, 5.34% (b)(g)
|
|
1,740
|
|
|
1,742,958
|
State Street Capital Trust IV, 1.35%, 6/01/37 (b)
|
|
28,195
|
|
|
19,748,342
|
|
|
|
|
|
22,399,550
|
Commercial Banks 5.8%
|
|
|
|
|
|
Barclays Bank Plc, 7.43% (a)(b)(g)
|
|
1,100
|
|
|
1,028,500
|
BB&T Capital Trust IV, 6.82%, 6/12/77 (b)
|
|
15,300
|
|
|
15,300,000
|
BNP Paribas, 7.20% (a)(b)(c)(g)
|
|
2,500
|
|
|
2,062,500
|
Credit Agricole SA (a)(b)(c)(g):
|
|
|
|
|
|
6.64
%
|
|
2,450
|
|
|
1,654,975
|
8.38
%
|
|
2,450
|
|
|
2,156,000
|
Dresdner Funding Trust I, 8.15%, 6/30/31 (a)
|
|
3,715
|
|
|
2,897,700
|
HSBC Capital Funding LP/Jersey Channel Islands,
|
|
|
|
|
|
10.18% (a)(b)(c)(g)
|
|
7,000
|
|
|
8,767,500
|
National City Preferred Capital Trust I, 12.00% (b)(g)
|
|
3,713
|
|
|
3,852,832
|
Standard Chartered Plc, 7.01% (a)(b)(g)
|
|
5,000
|
|
|
4,477,080
|
|
|
|
|
|
42,197,087
|
|
|
|
|
|
|
Capital Trusts
|
Par
(000
)
|
Value
|
Consumer Finance 0.2%
|
|
|
|
|
|
Capital One Financial Corp. Capital V,
|
|
|
|
|
|
10.25%, 8/15/39
|
$
|
1,275
|
|
$
|
1,319,625
|
Diversified Financial Services 3.6%
|
|
|
|
|
|
ING Capital Funding Trust III, 3.97% (b)(g)
|
|
2,950
|
|
|
2,499,311
|
JPMorgan Chase Capital XXI, Series U, 1.21%, 2/02/37 (b)
|
|
12,875
|
|
|
8,922,954
|
JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)
|
|
20,695
|
|
|
14,288,076
|
|
|
|
|
|
25,710,341
|
Electric Utilities 0.5%
|
|
|
|
|
|
PPL Capital Funding, 6.70%, 3/30/67 (b)
|
|
3,900
|
|
|
3,763,500
|
Insurance 6.9%
|
|
|
|
|
|
Ace Capital Trust II, 9.70%, 4/01/30
|
|
4,000
|
|
|
5,191,728
|
The Allstate Corp., 6.50%, 5/15/67 (b)
|
|
4,000
|
|
|
3,725,000
|
American General Capital II, 8.50%, 7/01/30
|
|
300
|
|
|
294,000
|
American International Group, Inc., 8.18%, 5/15/68 (b)
|
|
1,300
|
|
|
1,254,500
|
Aon Corp., 8.21%, 1/01/27
|
|
4,000
|
|
|
4,658,896
|
AXA SA, 6.38% (a)(b)(g)
|
|
6,000
|
|
|
4,245,000
|
Chubb Corp., 6.38%, 3/29/67 (b)(c)
|
|
4,000
|
|
|
4,020,000
|
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)
|
|
4,000
|
|
|
4,860,000
|
Lincoln National Corp., 7.00%, 5/17/66 (b)
|
|
4,255
|
|
|
3,999,700
|
MetLife, Inc., 6.40%, 12/15/66
|
|
4,550
|
|
|
4,469,638
|
Reinsurance Group of America, 6.75%, 12/15/65 (b)(c)
|
|
7,000
|
|
|
6,074,803
|
Swiss Re Capital I LP, 6.85% (a)(b)(g)
|
|
3,000
|
|
|
2,705,214
|
ZFS Finance (USA), Trust II, 6.45%, 12/15/65 (a)(b)
|
|
3,850
|
|
|
3,696,000
|
ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)
|
|
599
|
|
|
581,030
|
|
|
|
|
|
49,775,509
|
Oil, Gas & Consumable Fuels 1.2%
|
|
|
|
|
|
Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)
|
|
4,500
|
|
|
4,657,500
|
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)
|
|
4,000
|
|
|
4,076,696
|
|
|
|
|
|
8,734,196
|
Total Capital Trusts 21.3%
|
|
|
|
|
153,899,808
|
|
|
Preferred Stocks
|
Shares
|
|
|
Auto Components 0.1%
|
|
|
|
|
|
Dana Holding Corp., 4.00% (a)
|
|
7,000
|
|
|
866,250
|
Commercial Banks 0.3%
|
|
|
|
|
|
SG Preferred Capital II, 6.30% (a)(b)
|
|
2,000
|
|
|
2,009,375
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
Ally Financial, Inc., 7.00% (a)
|
|
3,130
|
|
|
2,334,296
|
Real Estate Investment Trusts (REITs) 1.1%
|
|
|
|
|
|
Sovereign Real Estate Investment Trust, 12.00% (a)
|
|
7,000
|
|
|
7,540,960
|
Thrifts & Mortgage Finance 0.0%
|
|
|
|
|
|
Fannie Mae, Series S, 8.25% (b)(h)
|
|
23,000
|
|
|
45,080
|
Freddie Mac, Series Z, 8.38% (b)(h)
|
|
23,000
|
|
|
49,220
|
|
|
|
|
|
94,300
|
Wireless Telecommunication Services 1.6%
|
|
|
|
|
|
Centaur Funding Corp., 9.08% (a)
|
|
10,000
|
|
|
11,559,375
|
Total Preferred Stocks 3.4%
|
|
|
|
|
24,404,556
|
|
|
Trust Preferreds
|
|
|
|
|
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
|
|
101,420
|
|
|
2,081,700
|
Total Trust Preferreds 0.3%
|
|
|
|
|
2,081,700
|
Total Preferred Securities 25.0%
|
|
|
|
|
180,386,064
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
43
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
|
Taxable Municipal Bonds
|
Par
(000
)
|
Value
|
City of Chicago Illinois, RB, 6.85%, 1/01/38
|
$
|
5,000
|
|
$
|
5,433,750
|
|
Metropolitan Transportation Authority, RB, Build
|
|
|
|
|
|
|
America Bonds, 6.55%, 11/15/31
|
|
4,075
|
|
|
4,600,919
|
|
Total Taxable Municipal Bonds 1.4%
|
|
|
|
|
10,034,669
|
|
|
|
US Government Sponsored Agency Securities
|
|
|
|
|
|
|
Agency Obligations 0.3%
|
|
|
|
|
|
|
Fannie Mae, 4.23%, 10/09/19 (c)(i)
|
|
2,765
|
|
|
2,090,268
|
|
Total US Government Sponsored Agency Securities 0.3%
|
|
2,090,268
|
|
|
|
US Treasury Obligations
|
|
|
|
|
|
|
US Treasury Bonds, 4.75%, 2/15/41 (c)
|
|
4,505
|
|
|
5,856,500
|
|
US Treasury Notes, 2.13%, 8/15/21 (c)
|
|
5,047
|
|
|
5,024,945
|
|
Total US Treasury Obligations 1.5%
|
|
|
|
|
10,881,445
|
|
Total Long-Term Investments
|
|
|
|
|
|
|
(Cost $1,018,748,047) 143.3%
|
|
|
|
|
1,034,611,319
|
|
|
|
Short-Term Securities
|
Shares
|
|
|
|
BlackRock Liquidity Funds, TempFund, Institutional
|
|
|
|
|
|
|
Class, 0.14% (j)(k)
|
|
3,823,108
|
|
|
3,823,108
|
|
Total Short-Term Securities (Cost $3,823,108) 0.5%
|
|
3,823,108
|
|
Total Investments Before Options Written
|
|
|
|
|
|
|
(Cost $1,022,571,155*) 143.8%
|
|
|
|
|
1,038,434,427
|
|
|
|
Options Written
|
Notional
Amount
(000
)
|
|
|
|
Over-the-Counter Call Swaptions (0.6)%
|
|
|
|
|
|
|
Pay a fixed rate of 4.06% and receive a floating rate
|
|
|
|
|
|
|
based on 3-month LIBOR, Expires 4/16/12, Broker
|
|
|
|
|
|
|
Deutsche Bank AG
|
$
|
13,000
|
|
|
(1,875,818
|
)
|
Pay a fixed rate of 4.75% and receive a floating
|
|
|
|
|
|
|
rate based on 3-month LIBOR, Expires 3/24/14,
|
|
|
|
|
|
|
Broker Citibank NA
|
|
17,000
|
|
|
(2,679,963
|
)
|
|
|
|
|
|
(4,555,781
|
)
|
Over-the-Counter Put Swaptions (0.1)%
|
|
|
|
|
|
|
Receive a fixed rate of 4.06% and pay a floating rate
|
|
|
|
|
|
|
based on the 3-month LIBOR, Expires 4/16/12,
|
|
|
|
|
|
|
Broker Deutsche Bank AG
|
|
13,000
|
|
|
(19,481
|
)
|
Receive a fixed rate of 4.75% and pay a floating
|
|
|
|
|
|
|
rate based on 3-month LIBOR, Expires 3/24/14,
|
|
|
|
|
|
|
Broker Citibank NA
|
|
17,000
|
|
|
(308,645
|
)
|
|
|
|
|
|
(328,126
|
)
|
Total Options Written
|
|
|
|
|
|
|
(Premiums Received $2,923,700) (0.7)%
|
|
|
|
|
(4,883,907
|
)
|
Total Investments, Net of Options Written 143.1%
|
|
|
|
|
1,033,550,520
|
|
Liabilities in Excess of Other Assets (43.1)%
|
|
|
|
|
(311,213,345
|
)
|
Net Assets 100.0%
|
|
|
|
$
|
722,337,175
|
|
*
|
|
The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:
|
|
|
|
|
|
|
|
Aggregate cost
|
|
|
|
$
|
1,021,961,207
|
|
Gross unrealized appreciation
|
|
|
|
$
|
51,500,873
|
|
Gross unrealized depreciation
|
|
|
|
|
(35,027,653
|
)
|
Net unrealized appreciation
|
|
|
|
$
|
16,473,220
|
|
(a)
|
|
Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.
|
(b)
|
|
Variable rate security. Rate shown is as of report date.
|
(c)
|
|
All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.
|
(d)
|
|
Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(e)
|
|
All or a portion of security has been pledged as collateral
in connection with swaps.
|
(f)
|
|
When-issued security. Unsettled when-issued transactions
were as follows:
|
|
|
|
|
|
Counterparty
|
Value
|
Unrealized
Appreciation
|
Barclays Capital, Inc.
|
$
|
902,000
|
$
|
22,000
|
JPMorgan Chase Bank NA
|
$
|
507,525
|
$
|
2,525
|
(g)
|
|
Security is perpetual in nature and has no stated maturity
date.
|
(h)
|
|
Non-income producing security.
|
(i)
|
|
Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.
|
(j)
|
|
Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
Affiliate
|
Shares Held at
October 31,
2010
|
Net
Activity
|
Shares Held at
October 31,
2011
|
Income
|
BlackRock Liquidity
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
Institutional Class
|
26,924,664
|
(23,101,556)
|
3,823,108
|
$23,892
|
(k)
|
|
Represents the current yield as of report date.
|
|
|
For Fund compliance purposes, the Funds 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 Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
1
|
Net Closing
Amount
|
Face
Amount
|
UBS Securities LLC
|
0.38%
|
5/10/11
|
Open
|
$
|
12,530,805
|
$
|
12,507,700
|
UBS Securities LLC
|
0.38%
|
5/18/11
|
Open
|
|
5,649,942
|
|
5,640,000
|
UBS Securities LLC
|
0.38%
|
5/19/11
|
Open
|
|
3,001,250
|
|
2,996,000
|
UBS Securities LLC
|
0.38%
|
5/31/11
|
Open
|
|
12,319,993
|
|
12,300,000
|
UBS Securities LLC
|
0.35%
|
6/9/11
|
Open
|
|
14,908,486
|
|
14,887,500
|
UBS Securities LLC
|
0.38%
|
6/10/11
|
Open
|
|
11,466,678
|
|
11,449,275
|
UBS Securities LLC
|
0.38%
|
6/14/11
|
Open
|
|
7,188,107
|
|
7,177,500
|
UBS Securities LLC
|
0.38%
|
6/15/11
|
Open
|
|
15,070,924
|
|
15,048,844
|
UBS Securities LLC
|
0.37%
|
6/22/11
|
Open
|
|
8,259,128
|
|
8,247,938
|
UBS Securities LLC
|
0.37%
|
6/27/11
|
Open
|
|
5,206,787
|
|
5,200,000
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.38%
|
6/29/11
|
Open
|
|
6,571,159
|
|
6,562,500
|
UBS Securities LLC
|
0.31%
|
6/30/11
|
Open
|
|
4,158,497
|
|
4,154,062
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
7/01/11
|
Open
|
|
4,585,777
|
|
4,580,300
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
7/05/11
|
Open
|
|
8,856,485
|
|
8,846,250
|
UBS Securities LLC
|
0.35%
|
7/11/11
|
Open
|
|
4,012,603
|
|
4,008,200
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
7/12/11
|
Open
|
|
4,557,332
|
|
4,552,375
|
UBS Securities LLC
|
0.32%
|
7/12/11
|
Open
|
|
3,777,982
|
|
3,774,225
|
See Notes to Financial Statements.
44
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (continued):
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
1
|
Net Closing
Amount
|
Face
Amount
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
7/19/11
|
Open
|
$
|
13,843,993
|
$
|
13,829,875
|
UBS Securities LLC
|
0.35%
|
8/01/11
|
Open
|
|
8,146,030
|
|
8,138,750
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.03%
|
8/04/11
|
Open
|
|
2,022,056
|
|
2,021,906
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
8/05/11
|
Open
|
|
2,290,738
|
|
2,288,500
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
8/11/11
|
Open
|
|
904,280
|
|
903,560
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.35%
|
8/15/11
|
Open
|
|
6,541,557
|
|
6,536,600
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.37%
|
8/17/11
|
Open
|
|
4,882,911
|
|
4,879,100
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/18/11
|
Open
|
|
5,655,340
|
|
5,651,219
|
UBS Securities LLC
|
0.35%
|
8/18/11
|
Open
|
|
4,167,336
|
|
4,164,300
|
UBS Securities LLC
|
0.38%
|
8/22/11
|
Open
|
|
2,801,223
|
|
2,799,125
|
UBS Securities LLC
|
0.35%
|
8/26/11
|
Open
|
|
4,617,944
|
|
4,614,938
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/26/11
|
Open
|
|
2,657,230
|
|
2,655,500
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
8/31/11
|
Open
|
|
5,972,348
|
|
5,968,750
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
9/08/11
|
Open
|
|
6,103,703
|
|
6,100,500
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/08/11
|
Open
|
|
9,267,377
|
|
9,262,514
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
9/08/11
|
Open
|
|
4,444,082
|
|
4,441,750
|
UBS Securities LLC
|
0.38%
|
9/08/11
|
Open
|
|
6,312,784
|
|
6,309,188
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.39%
|
9/09/11
|
Open
|
|
3,284,325
|
|
3,282,440
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/09/11
|
Open
|
|
3,339,883
|
|
3,338,163
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
9/09/11
|
Open
|
|
6,211,781
|
|
6,208,125
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.39%
|
9/09/11
|
Open
|
|
1,657,551
|
|
1,656,600
|
UBS Securities LLC
|
0.38%
|
9/09/11
|
Open
|
|
12,480,478
|
|
12,473,500
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/09/11
|
Open
|
|
2,486,969
|
|
2,485,688
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40%
|
9/12/11
|
Open
|
|
4,770,399
|
|
4,767,750
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.35%
|
9/14/11
|
Open
|
|
3,287,596
|
|
3,286,063
|
Barclays
|
|
|
|
|
|
|
|
Capital Inc.
|
0.40%
|
9/14/11
|
Open
|
|
7,318,995
|
|
7,315,094
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
9/14/11
|
Open
|
|
9,706,778
|
|
9,702,250
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
9/14/11
|
Open
|
|
6,637,663
|
|
6,634,125
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
9/14/11
|
Open
|
|
1,654,522
|
|
1,653,750
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.40%
|
9/19/11
|
Open
|
|
3,178,268
|
|
3,176,750
|
|
|
Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):
|
|
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
1
|
Net Closing
Amount
|
|
Face
Amount
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
9/20/11
|
Open
|
$
|
2,731,115
|
$
|
2,730,000
|
Barclays Capital Inc.
|
0.40%
|
9/23/11
|
Open
|
|
5,237,457
|
|
5,235,188
|
Barclays Capital Inc.
|
0.40%
|
9/30/11
|
Open
|
|
3,795,812
|
|
3,794,462
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.40%
|
10/04/11
|
Open
|
|
1,076,116
|
|
1,075,780
|
UBS Securities LLC
|
0.35%
|
10/13/11
|
Open
|
|
4,426,443
|
|
4,425,624
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.35%
|
10/14/11
|
Open
|
|
2,070,362
|
|
2,070,000
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.38%
|
10/14/11
|
Open
|
|
1,113,422
|
|
1,113,210
|
Deutsche Bank
|
|
|
|
|
|
|
|
Securities, Inc.
|
0.08%
|
10/25/11
|
Open
|
|
5,856,591
|
|
5,856,500
|
UBS Securities LLC
|
0.38%
|
10/27/11
|
Open
|
|
10,890,575
|
|
10,890,000
|
BNP Paribas
|
|
|
|
|
|
|
|
Securities Corp.
|
0.08%
|
10/31/11
|
Open
|
|
5,034,394
|
|
5,034,382
|
Credit Suisse
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
10/31/11
|
Open
|
|
5,915,058
|
|
5,915,000
|
UBS Securities LLC
|
0.38%
|
10/31/11
|
Open
|
|
2,684,008
|
|
2,683,980
|
Total
|
|
|
|
$
|
339,599,428
|
$
|
339,303,168
|
1
|
|
Certain agreements have no stated maturity and can be
terminated by either party at anytime.
|
|
|
Financial futures contracts purchased as of October 31,
2011 were as follows:
|
|
|
|
|
|
|
|
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Notional
Value
|
Unrealized
Appreciation
|
13
|
2-Year US
|
Chicago Board
|
December
|
|
|
|
|
|
Treasury Note
|
of Trade
|
2011
|
$
|
2,863,656
|
$
|
1,803
|
|
|
Financial futures contracts sold as of October 31, 2011
were as follows:
|
|
|
|
|
|
|
|
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
|
Notional
Value
|
Unrealized
Appreciation
|
1,230
|
10-Year US
|
Chicago Board
|
December
|
|
|
|
|
|
Treasury Note
|
of Trade
|
2011
|
$
|
158,746,875
|
$
|
128,820
|
5
|
Ultra US
|
Chicago Board
|
December
|
|
|
|
|
|
Treasury Bond
|
of Trade
|
2011
|
$
|
761,875
|
|
24,054
|
Total
|
|
|
|
|
|
|
152,874
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
45
|
|
|
Schedule of Investments (continued)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
|
|
|
|
Credit default swaps on single-name issues buy
protection outstanding as of October 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
Issuer
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000
)
|
Unrealized
Appreciation
(Depreciation)
|
Raytheon Co.
|
1.00%
|
Citibank NA
|
9/20/16
|
$1,800
|
$
|
10,179
|
|
Raytheon Co.
|
1.00%
|
Deutsche Bank AG
|
9/20/16
|
$1,910
|
|
(1,498
|
)
|
General
|
|
JPMorgan
|
|
|
|
|
|
Dynamics
|
|
Chase
|
|
|
|
|
|
Corp.
|
1.00%
|
Bank & Co.
|
9/20/16
|
$4,125
|
|
35,529
|
|
Dell, Inc.
|
1.00%
|
Barclays Bank Plc
|
12/20/16
|
$4,415
|
|
(29,673
|
)
|
|
|
Credit Suisse
|
|
|
|
|
|
Computer
|
|
Securities
|
|
|
|
|
|
Sciences Corp.
|
1.00%
|
(USA) LLC
|
12/20/16
|
$1,965
|
|
(39,906
|
)
|
Lockheed Martin
|
|
Deutsche
|
|
|
|
|
|
Corp.
|
1.00%
|
Bank AG
|
12/20/16
|
$5,025
|
|
53,305
|
|
Northrop
|
|
Deutsche
|
|
|
|
|
|
Grumman Corp.
|
1.00%
|
Bank AG
|
12/20/16
|
$2,140
|
|
(6,083
|
)
|
Southwest
|
|
Goldman Sachs
|
|
|
|
|
|
Airlines Co.
|
1.00%
|
Capital Markets LP
|
12/20/16
|
$1,965
|
|
(463
|
)
|
Southwest
|
|
Royal Bank
|
|
|
|
|
|
Airlines Co.
|
1.00%
|
of Scotland Plc
|
12/20/16
|
$1,965
|
|
(8,924
|
)
|
Total
|
|
|
|
|
$
|
12,466
|
|
|
|
Credit default swaps on single-name issues sold
protection outstanding as of October 31, 2011 were as follows:
|
Issuer
|
Receive
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Issuer
Credit
Rating
1
|
Notional
Amount
(000)
2
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Deutsche
|
|
|
|
|
|
|
Aviva USA Corp.
|
1.00%
|
Bank AG
|
5/25/12
|
AA-
|
$4,525
|
$
|
8,182
|
|
Assured
|
|
|
|
|
|
|
|
|
Guaranty Corp.
|
5.00%
|
Citibank NA
|
12/20/14
|
AA+
|
$ 300
|
|
(1,673
|
)
|
Assured
|
|
|
|
|
|
|
|
|
Guaranty Corp.
|
5.00%
|
Citibank NA
|
3/20/15
|
AA+
|
$1,275
|
|
2,043
|
|
|
|
Deutsche
|
|
|
|
|
|
|
MetLife, Inc.
|
1.00%
|
Bank AG
|
3/20/18
|
A+
|
$1,500
|
|
(73,318
|
)
|
Total
|
|
|
|
|
|
$
|
(64,766
|
)
|
2
|
|
The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.
|
|
|
Credit default swaps on traded indexes buy protection
outstanding as of October 31, 2011 were as follows:
|
Index
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Depreciation
|
Dow Jones
|
|
|
|
|
|
CDX North
|
|
|
|
|
|
America High
|
|
JPMorgan
|
|
|
|
Yield Index
|
|
Chase Bank
|
|
|
|
Series 17
|
5.00%
|
& Co.
|
12/20/16
|
$7,350
|
$ (704,267)
|
|
|
Interest rate swaps outstanding as of October 31, 2011
were as follows:
|
|
|
|
|
|
|
|
|
|
|
Fixed
Rate
|
Floating
Rate
|
Counter-
party
|
Expiration
Date
|
Notional
Amount
(000
)
|
Unrealized
Appreciation
(Depreciation)
|
0.63
(a)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
|
LIBOR
|
Securities (USA) LLC
|
10/21/13
|
$
|
106,800
|
|
$
|
142,050
|
|
0.64
(a)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
10/21/13
|
$
|
102,000
|
|
|
160,612
|
|
0.60
(b)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
11/01/13
|
$
|
209,200
|
|
|
(148,024
|
)
|
2.32
(a)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Citibank NA
|
3/28/16
|
$
|
6,900
|
|
|
358,857
|
|
1.49
(b)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
10/14/16
|
$
|
6,200
|
|
|
(60,532
|
)
|
2.72
(a)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
8/08/21
|
$
|
19,400
|
|
|
723,840
|
|
2.39
(a)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
10/14/21
|
$
|
3,300
|
|
|
19,519
|
|
4.35
(b)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
4/15/41
|
$
|
5,000
|
|
|
(1,393,426
|
)
|
3.93
(b)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Citibank NA
|
7/21/41
|
$
|
9,200
|
|
|
(1,791,887
|
)
|
2.63
(a)
|
3-month
|
|
|
|
|
|
|
|
|
|
LIBOR
|
Deutsche Bank AG
|
9/26/41
|
$
|
3,200
|
|
|
(219,877
|
)
|
2.81
(b)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
|
LIBOR
|
Securities (USA) LLC
|
10/11/41
|
$
|
3,200
|
|
|
105,492
|
|
3.00
(b)
|
3-month
|
Credit Suisse
|
|
|
|
|
|
|
|
|
LIBOR
|
Securities (USA) LLC
|
10/18/41
|
$
|
2,100
|
|
|
(13,171
|
)
|
Total
|
|
|
|
|
|
|
$
|
(2,116,547
|
)
|
(a)
|
|
Pays a fixed interest rate and receives floating rate.
|
(b)
|
|
Pays floating interest rate and receives fixed rate.
|
|
|
Fair Value Measurements Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:
|
|
|
Level 1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Fund's own assumptions
used in determining the fair value of investments and derivative financial instruments)
|
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
46
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (concluded)
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Funds investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
$
|
3,825,176
|
|
$
|
3,410,000
|
$
|
7,235,176
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
818,107,697
|
|
|
5,876,000
|
|
823,983,697
|
|
Preferred
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
$
|
2,176,000
|
|
|
178,210,064
|
|
|
|
|
180,386,064
|
|
Taxable
|
|
|
|
|
|
|
|
|
|
|
|
Municipal
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
10,034,669
|
|
|
|
|
10,034,669
|
|
US Government
|
|
|
|
|
|
|
|
|
|
|
|
Sponsored
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
|
2,090,268
|
|
|
|
|
2,090,268
|
|
US Treasury
|
|
|
|
|
|
|
|
|
|
|
|
Obligations .
|
|
|
|
|
10,881,445
|
|
|
|
|
10,881,445
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
3,823,108
|
|
|
|
|
|
|
|
3,823,108
|
|
Total
|
$
|
5,999,108
|
|
$
|
1,023,149,319
|
|
$
|
9,286,000
|
$
|
1,038,434,427
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
Total
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
$
|
154,677
|
|
$
|
1,510,370
|
|
|
|
$
|
1,665,047
|
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
101,056
|
|
$
|
8,182
|
|
109,238
|
|
Liabilities
:
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(8,510,824
|
)
|
|
|
|
(8,510,824
|
)
|
Credit
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
|
|
(865,805
|
)
|
|
|
|
(865,805
|
)
|
Total
|
$
|
154,677
|
|
$
|
(7,765,203
|
)
|
$
|
8,182
|
$
|
(7,602,344
|
)
|
1
|
|
Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
Corporate
Bonds
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
$
|
280,170
|
|
$
|
280,170
|
|
Accrued discounts/premiums
|
$
|
34,142
|
|
|
(559
|
)
|
|
33,583
|
|
Net realized gain
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation
2
|
|
(388,606
|
)
|
|
229,389
|
|
|
(159,217
|
)
|
Purchases
|
|
3,764,464
|
|
|
5,650,000
|
|
|
9,414,464
|
|
Sales
|
|
|
|
|
(283,000
|
)
|
|
(283,000
|
)
|
Transfers in
3
|
|
|
|
|
|
|
|
|
|
Transfers out
3
|
|
|
|
|
|
|
|
|
|
Balance, as of October 31, 2011
|
$
|
3,410,000
|
|
$
|
5,876,000
|
|
$
|
9,286,000
|
|
2
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(162,606).
|
3
|
|
The Funds policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
|
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
Credit
Contracts
|
Assets:
|
|
|
|
Balance, as of October 31, 2010
|
|
|
|
Accrued discounts/premiums
|
$
|
13,812
|
|
Net realized gain
|
|
|
|
Net change in unrealized appreciation/depreciation
4
|
|
8,182
|
|
Purchases
|
|
|
|
Issuances
5
|
|
23,949
|
|
Sales
|
|
|
|
Settlements
6
|
|
(37,761
|
)
|
Transfers in
3
|
|
|
|
Transfers out
3
|
|
|
|
Balance, as of October 31, 2011
|
$
|
8,182
|
|
4
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $8,182.
|
5
|
|
Issuances represent upfront cash received on certain
derivative financial instruments.
|
6
|
|
Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.
|
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
47
|
|
|
Schedule of Investments
October 31, 2011
|
BlackRock Floating Rate Income Trust (BGT)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
Par
(000
)
|
Value
|
ARES CLO Funds, Series 2005-10A, Class B,
|
|
|
|
|
|
0.74%, 9/18/17 (a)(b)
|
USD
|
1,000
|
|
$
|
888,450
|
Ballyrock CDO Ltd., Series 2006-1A, Class B,
|
|
|
|
|
|
0.67%, 8/28/19 (a)(b)
|
|
1,000
|
|
|
780,000
|
Canaras Summit CLO Ltd., Series 2007-1A, Class B,
|
|
|
|
|
|
0.83%, 6/19/21 (a)(b)
|
|
930
|
|
|
735,435
|
Chatham Light CLO Ltd., Series 2005-2A, Class A2,
|
|
|
|
|
|
0.66%, 8/03/19 (a)(b)
|
|
1,000
|
|
|
840,000
|
Flagship CLO, Series 2006-1A, Class B,
|
|
|
|
|
|
0.70%, 9/20/19 (a)(b)
|
|
1,196
|
|
|
879,060
|
Franklin CLO Ltd., Series 6A, Class B,
|
|
|
|
|
|
0.72%, 8/09/19 (a)(b)
|
|
1,180
|
|
|
944,000
|
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,
|
|
|
|
|
|
0.78%, 10/27/20 (b)
|
|
715
|
|
|
529,100
|
Greyrock CDO Ltd., Series 2005-1X, Class A2L,
|
|
|
|
|
|
0.71%, 11/15/17 (b)
|
|
1,495
|
|
|
1,200,635
|
Landmark CDO Ltd., Series 2006-8A, Class B,
|
|
|
|
|
|
0.77%, 10/19/20 (a)(b)
|
|
1,335
|
|
|
1,044,824
|
MAPS CLO Fund LLC, Series 2005-1A, Class C,
|
|
|
|
|
|
1.30%, 12/21/17 (a)(b)
|
|
705
|
|
|
600,590
|
Portola CLO Ltd., Series 2007-1X, Class B1,
|
|
|
|
|
|
1.74%, 11/15/21 (b)
|
|
950
|
|
|
787,835
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,
|
|
|
|
|
|
1.00%, 7/15/19 (a)(b)
|
|
815
|
|
|
730,207
|
Total Asset-Backed Securities 3.0%
|
|
|
|
|
9,960,136
|
|
|
Common Stocks (c)
|
|
Shares
|
|
|
Construction & Engineering 0.0%
|
|
|
|
|
|
USI United Subcontractors Common
|
|
7,645
|
|
|
61,156
|
Hotels, Restaurants & Leisure 0.1%
|
|
|
|
|
|
BLB Worldwide Holdings, Inc.
|
|
50,832
|
|
|
304,992
|
Metals & Mining 0.1%
|
|
|
|
|
|
Euramax International
|
|
1,135
|
|
|
340,560
|
Paper & Forest Products 0.1%
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd.
|
|
55,255
|
|
|
84,261
|
Ainsworth Lumber Co. Ltd. (a)
|
|
62,685
|
|
|
95,592
|
|
|
|
|
|
179,853
|
Software 0.0%
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc.
|
|
2,947
|
|
|
30
|
HMH Holdings/EduMedia
|
115,632
|
|
|
173,448
|
|
|
|
|
|
173,478
|
Total Common Stocks 0.3%
|
|
|
|
|
1,060,039
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
|
|
Airlines 0.3%
|
|
|
|
|
|
Air Canada, 9.25%, 8/01/15 (a)
|
USD
|
590
|
|
|
564,925
|
American Airlines Pass-Through Trust, Series 2011-2,
|
|
|
|
|
|
Class A, 8.63%, 4/15/23
|
|
345
|
|
|
345,000
|
|
|
|
|
|
909,925
|
Auto Components 1.0%
|
|
|
|
|
|
Icahn Enterprises LP, 7.75%, 1/15/16
|
|
3,175
|
|
|
3,254,375
|
Beverages 0.7%
|
|
|
|
|
|
Central European Distribution Corp., 3.32%, 5/15/14
|
EUR
|
1,500
|
|
|
1,701,951
|
Refresco Group BV, 5.54%, 5/15/18 (a)(b)
|
|
500
|
|
|
671,095
|
|
|
|
|
|
2,373,046
|
Building Products 0.3%
|
|
|
|
|
|
Grohe Holding GmbH, 5.53%, 9/15/17 (a)(b)
|
|
700
|
|
|
891,171
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Capital Markets 0.1%
|
|
|
|
|
|
E*Trade Financial Corp., 3.35%, 8/31/19 (a)(d)(e)
|
USD
|
439
|
|
$
|
460,401
|
Chemicals 0.2%
|
|
|
|
|
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
700
|
|
|
779,625
|
Commercial Banks 3.2%
|
|
|
|
|
|
CIT Group, Inc.:
|
|
|
|
|
|
7.00%, 5/01/15
|
|
450
|
|
|
450,000
|
7.00%, 5/01/17
|
|
2,542
|
|
|
2,542,000
|
7.00%, 5/02/17 (a)
|
|
400
|
|
|
399,000
|
VTB Capital SA:
|
|
|
|
|
|
6.47%, 3/04/15
|
|
3,000
|
|
|
3,120,000
|
6.88%, 5/29/18
|
|
3,940
|
|
|
4,122,225
|
|
|
|
|
|
10,633,225
|
Commercial Services & Supplies 0.3%
|
|
|
|
|
|
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)
|
|
817
|
|
|
813,130
|
Containers & Packaging 1.0%
|
|
|
|
|
|
Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)
|
EUR
|
400
|
|
|
550,713
|
Ball Corp., 5.75%, 5/15/21
|
USD
|
625
|
|
|
645,312
|
GCL Holdings SCA, 9.38%, 4/15/18 (a)
|
EUR
|
329
|
|
|
409,713
|
Graphic Packaging International, Inc., 9.50%, 6/15/17
|
USD
|
270
|
|
|
294,975
|
Smurfit Kappa Acquisitions (a):
|
|
|
|
|
|
7.25%, 11/15/17
|
EUR
|
655
|
|
|
928,982
|
7.75%, 11/15/19
|
|
416
|
|
|
592,888
|
|
|
|
|
|
3,422,583
|
Diversified Financial Services 1.1%
|
|
|
|
|
|
Ally Financial, Inc., 2.53%, 12/01/14 (b)
|
USD
|
1,850
|
|
|
1,619,099
|
FCE Bank Plc, 4.75%, 1/19/15
|
EUR
|
450
|
|
|
619,552
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
|
|
7.13%, 4/15/19
|
USD
|
655
|
|
|
668,100
|
7.88%, 8/15/19
|
|
300
|
|
|
313,500
|
6.88%, 2/15/21
|
|
490
|
|
|
494,900
|
|
|
|
|
|
3,715,151
|
Diversified Telecommunication Services 0.2%
|
|
|
|
|
|
ITC Deltacom, Inc., 10.50%, 4/01/16
|
|
530
|
|
|
535,300
|
Energy Equipment & Services 0.0%
|
|
|
|
|
|
Compagnie Generale de Geophysique Veritas,
|
|
|
|
|
|
7.75%, 5/15/17
|
|
45
|
|
|
46,631
|
Health Care Providers & Services 1.3%
|
|
|
|
|
|
HCA, Inc.:
|
|
|
|
|
|
6.50%, 2/15/20
|
|
1,445
|
|
|
1,513,637
|
7.25%, 9/15/20
|
|
1,230
|
|
|
1,317,637
|
7.50%, 2/15/22
|
|
515
|
|
|
525,300
|
Omnicare, Inc., 7.75%, 6/01/20
|
|
685
|
|
|
738,088
|
Tenet Healthcare Corp., 9.00%, 5/01/15
|
|
95
|
|
|
100,938
|
|
|
|
|
|
4,195,600
|
Hotels, Restaurants & Leisure 0.6%
|
|
|
|
|
|
MGM Resorts International:
|
|
|
|
|
|
10.38%, 5/15/14
|
|
705
|
|
|
786,075
|
11.13%, 11/15/17
|
|
1,050
|
|
|
1,191,750
|
|
|
|
|
|
1,977,825
|
Household Durables 0.5%
|
|
|
|
|
|
Beazer Homes USA, Inc., 12.00%, 10/15/17
|
|
1,500
|
|
|
1,606,875
|
Berkline/Benchcraft LLC, 4.50%, 11/03/12 (c)(f)
|
|
400
|
|
|
|
|
|
|
|
|
1,606,875
|
Independent Power Producers & Energy Traders 2.1%
|
|
|
|
|
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
3,200
|
|
|
3,328,000
|
Energy Future Holdings Corp., 10.00%, 1/15/20
|
|
1,000
|
|
|
1,045,000
|
Energy Future Intermediate Holding Co. LLC,
|
|
|
|
|
|
10.00%, 12/01/20
|
|
2,350
|
|
|
2,467,500
|
|
|
|
|
|
6,840,500
|
IT Services 0.3%
|
|
|
|
|
|
First Data Corp., 7.38%, 6/15/19 (a)
|
|
940
|
|
|
930,600
|
See Notes to Financial Statements.
48
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Floating Rate Income Trust (BGT)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Corporate Bonds
|
|
Par
(000
)
|
Value
|
Machinery 1.0%
|
|
|
|
|
|
KION Finance SA, 5.82%, 4/15/18 (a)(b)
|
EUR
|
3,000
|
|
$
|
3,320,880
|
Media
4.2
%
|
|
|
|
|
|
CCH II LLC, 13.50%, 11/30/16
|
USD
|
224
|
|
|
257,652
|
Clear Channel Worldwide Holdings, Inc.:
|
|
|
|
|
|
9.25%, 12/15/17
|
|
501
|
|
|
541,080
|
Series B, 9.25%, 12/15/17
|
|
1,704
|
|
|
1,848,840
|
Kabel BW Erste Beteiligungs GmbH, 5.78%,
|
|
|
|
|
|
3/15/18 (a)(b)
|
EUR
|
2,000
|
|
|
2,739,726
|
Odeon & UCI Finco Plc, 9.00%, 8/01/18 (a)
|
GBP
|
914
|
|
|
1,432,880
|
Unitymedia Hessen GmbH & Co. KG (FKA UPC
|
|
|
|
|
|
Germany GmbH):
|
|
|
|
|
|
8.13%, 12/01/17 (a)
|
USD
|
2,500
|
|
|
2,662,500
|
8.13%, 12/01/17
|
EUR
|
500
|
|
|
719,524
|
Virgin Media Secured Finance Plc, 7.00%, 1/15/18
|
GBP
|
1,197
|
|
|
2,073,818
|
Ziggo Finance BV, 6.13%, 11/15/17 (a)
|
EUR
|
1,005
|
|
|
1,411,478
|
|
|
|
|
|
13,687,498
|
Metals & Mining 0.1%
|
|
|
|
|
|
New World Resources NV, 7.88%, 5/01/18
|
|
285
|
|
|
368,721
|
Oil, Gas & Consumable Fuels 4.1%
|
|
|
|
|
|
Alpha Natural Resources, Inc., 6.00%, 6/01/19
|
USD
|
460
|
|
|
456,550
|
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)
|
|
342
|
|
|
368,505
|
Gazprom OAO Via RBS AG, 9.63%, 3/01/13
|
|
7,230
|
|
|
7,873,470
|
KazmunaiGaz Finance Sub BV, 8.38%, 7/02/13
|
|
1,500
|
|
|
1,597,500
|
Petroleos de Venezuela SA, 5.25%, 4/12/17
|
|
4,000
|
|
|
2,465,000
|
Plains Exploration & Production Co., 7.00%, 3/15/17
|
|
580
|
|
|
601,750
|
|
|
|
|
|
13,362,775
|
Paper & Forest Products 0.3%
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)
|
|
532
|
|
|
351,075
|
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a)
|
420
|
|
|
426,300
|
Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (b)
|
|
450
|
|
|
333,000
|
|
|
|
|
|
1,110,375
|
Pharmaceuticals 0.3%
|
|
|
|
|
|
Valeant Pharmaceuticals International, 6.50%,
|
|
|
|
|
|
7/15/16
(a)
|
|
1,045
|
|
|
1,045,000
|
Specialty Retail 0.1%
|
|
|
|
|
|
House of Fraser Plc, 8.88%, 8/15/18 (a)
|
GBP
|
349
|
|
|
479,812
|
Transportation Infrastructure 0.4%
|
|
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18 (a)
|
CHF
|
1,100
|
|
|
1,215,539
|
Wireless Telecommunication Services 0.9%
|
|
|
|
|
|
Cricket Communications, Inc., 7.75%, 5/15/16
|
USD
|
1,950
|
|
|
2,023,125
|
iPCS, Inc., 2.38%, 5/01/13 (b)
|
|
1,155
|
|
|
1,045,275
|
|
|
|
|
|
3,068,400
|
Total Corporate Bonds 24.6%
|
|
|
|
|
81,044,963
|
|
|
Floating Rate Loan Interests (b)
|
|
|
|
|
|
Aerospace & Defense 1.3%
|
|
|
|
|
|
DynCorp International, Term Loan, 6.25% 6.75%, 7/05/16
|
550
|
|
|
537,349
|
Hawker Beechcraft Acquisition Co., LLC, Facility Deposit,
|
|
|
|
|
|
2.37%, 3/26/14
|
|
49
|
|
|
35,921
|
SI Organization, Inc., Term Loan B, 4.50%, 11/22/16
|
|
1,086
|
|
|
1,020,502
|
TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17
|
|
1,985
|
|
|
1,976,723
|
Wesco Aircraft Hardware Corp., Term Loan B,
|
|
|
|
|
|
4.25%, 4/07/17
|
|
833
|
|
|
835,423
|
|
|
|
|
|
4,405,918
|
Airlines 0.6%
|
|
|
|
|
|
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17
|
|
2,020
|
|
|
1,962,713
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Auto Components 2.1%
|
|
|
|
|
|
Allison Transmission, Inc., Term Loan, 2.75%, 8/07/14
|
USD
|
3,564
|
|
$
|
3,441,415
|
Autoparts Holdings Ltd., Term Loan (First Lien),
|
|
|
|
|
|
6.50%, 7/28/17
|
|
1,650
|
|
|
1,654,125
|
Federal-Mogul Corp.:
|
|
|
|
|
|
Term Loan B, 2.18% 2.19%, 12/29/14
|
|
724
|
|
|
682,026
|
Term Loan C, 2.18% 2.19%, 12/28/15
|
|
369
|
|
|
347,972
|
GPX International Tire Corp. (c)(f):
|
|
|
|
|
|
12.00%, 3/30/12
|
|
4
|
|
|
|
8.37%, 3/31/12
|
|
274
|
|
|
|
UCI International, Inc., Term Loan, 5.50%, 7/26/17
|
|
943
|
|
|
942,875
|
|
|
|
|
|
7,068,413
|
Beverages 0.0%
|
|
|
|
|
|
Le-Nature's, Inc, Tranche B Term Loan,
|
|
|
|
|
|
9.50%, 3/01/11 (c)(f)
|
|
1,000
|
|
|
100
|
Biotechnology 0.2%
|
|
|
|
|
|
Grifols SA, Term Loan B, 6.00%, 6/01/17
|
|
803
|
|
|
803,325
|
Building Products 2.6%
|
|
|
|
|
|
Armstrong World Industries, Inc., Term Loan B,
|
|
|
|
|
|
4.00%, 3/09/18
|
|
1,393
|
|
|
1,371,409
|
CPG International I, Inc., Term Loan B, 6.00%, 2/18/17
|
2,134
|
|
|
2,005,842
|
Goodman Global, Inc., Initial Term Loan (First Lien),
|
|
|
|
|
|
5.75%, 10/28/16
|
|
3,714
|
|
|
3,702,948
|
Momentive Performance Materials (Blitz 06-103 GmbH):
|
|
|
|
|
Tranche B-1 Term Loan, 3.75%, 5/05/15
|
|
356
|
|
|
334,342
|
Tranche B-2B Term Loan, 4.87%, 5/05/15
|
EUR
|
814
|
|
|
1,020,658
|
United Subcontractors, Inc., Term Loan (First Lien),
|
|
|
|
|
|
4.37%, 6/30/15
|
USD
|
181
|
|
|
153,947
|
|
|
|
|
|
8,589,146
|
Capital Markets 1.6%
|
|
|
|
|
|
American Capital Ltd., Term Loan B, 7.50%, 12/31/13
|
|
624
|
|
|
620,799
|
HarbourVest Partners, Term Loan (First Lien),
|
|
|
|
|
|
6.25%, 12/14/16
|
|
2,205
|
|
|
2,205,418
|
Marsico Parent Co., LLC, Term Loan, 5.25% 5.44%,
|
|
|
|
|
|
12/14/14
|
|
117
|
|
|
51,358
|
Nuveen Investments, Inc. (First Lien):
|
|
|
|
|
|
Extended Term Loan, 5.81% 5.92%, 5/12/17
|
|
1,773
|
|
|
1,698,833
|
Non-Extended Term Loan, 3.37% 3.42%, 11/13/14
|
750
|
|
|
724,544
|
|
|
|
|
|
5,300,952
|
Chemicals 5.6%
|
|
|
|
|
|
American Rock Salt Co., LLC, Term Loan, 5.50%, 4/25/17
|
1,468
|
|
|
1,430,934
|
Arizona Chemical, Inc., Term Loan, 4.75%, 11/21/16
|
|
8
|
|
|
7,808
|
Ashland, Inc., Term Loan B, 3.75%, 8/23/18
|
|
950
|
|
|
951,834
|
Chemtura Corp., Term Facility, 5.50%, 8/27/16
|
|
1,800
|
|
|
1,795,500
|
Gentek, Inc., Term Loan B, 1.00%, 10/06/15
|
|
1,562
|
|
|
1,543,678
|
MacDermid, Inc., Tranche C Term Loan,
|
|
|
|
|
|
3.56%, 4/11/14
|
EUR
|
1,424
|
|
|
1,915,843
|
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
|
USD
|
1,393
|
|
|
1,345,401
|
PQ Corp., Original Term Loan (First Lien),
|
|
|
|
|
|
3.50% 3.68%, 7/30/14
|
|
1,342
|
|
|
1,266,358
|
Styron Sarl, Term Loan, 6.00%, 8/02/17
|
|
2,251
|
|
|
2,053,393
|
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15
|
3,176
|
|
|
3,152,180
|
Univar, Inc., Term Loan B, 5.00%, 6/30/17
|
|
2,978
|
|
|
2,904,551
|
|
|
|
|
|
18,367,480
|
Commercial Services & Supplies 3.1%
|
|
|
|
|
|
Altegrity, Inc. (FKA US Investigations Services, Inc.),
|
|
|
|
|
|
Tranche D Term Loan, 7.75%, 2/20/15
|
|
1,998
|
|
|
1,973,455
|
AWAS Finance Luxembourg Sarl, Term Loan,
|
|
|
|
|
|
5.25%, 6/10/16
|
|
1,240
|
|
|
1,240,272
|
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16
|
|
2,175
|
|
|
2,188,594
|
KAR Auction Services, Inc., Term Loan B,
|
|
|
|
|
|
5.00%, 5/19/17
|
|
2,195
|
|
|
2,181,465
|
Synagro Technologies, Inc., Term Loan (First Lien),
|
|
|
|
|
|
2.25%, 4/02/14
|
|
1,737
|
|
|
1,514,104
|
Volume Services America, Inc. (Centerplate),
|
|
|
|
|
|
Term Loan B, 10.50% 10.75%, 9/16/16
|
|
1,213
|
|
|
1,192,533
|
|
|
|
|
|
10,290,423
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
49
|
|
|
Schedule of Investments (continued)
|
BlackRock Floating Rate Income Trust (BGT)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Communications Equipment 0.8%
|
|
|
|
|
|
Avaya, Inc., Term Loan B, 3.06%, 10/24/14
|
USD
|
778
|
|
$
|
739,323
|
CommScope, Inc., Term Loan B, 5.00%, 1/14/18
|
|
1,989
|
|
|
1,973,099
|
|
|
|
|
|
2,712,422
|
Construction & Engineering 1.0%
|
|
|
|
|
|
BakerCorp International, Inc., Term Loan B, 5.00%, 6/01/18
|
683
|
|
|
673,038
|
Brand Energy & Infrastructure Services, Inc. (FR Brand Acqui-
|
|
|
|
|
sition Corp.), Synthetic Letter of Credit, 2.63%, 2/07/14
|
500
|
|
|
403,335
|
Safway Services LLC, First Out Tranche Loan,
|
|
|
|
|
|
9.00%, 12/16/17
|
|
2,100
|
|
|
2,100,000
|
|
|
|
|
|
3,176,373
|
Consumer Finance 1.6%
|
|
|
|
|
|
Springleaf Financial Funding Co. (FKA AGFS Funding Co.),
|
|
|
|
|
Term Loan, 5.50%, 5/10/17
|
|
5,920
|
|
|
5,404,131
|
Containers & Packaging 0.9%
|
|
|
|
|
|
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18
|
|
1,631
|
|
|
1,641,790
|
Smurfit Kappa Acquisitions (JSG):
|
|
|
|
|
|
Term B1, 4.48% 4.71%, 12/01/14
|
EUR
|
458
|
|
|
627,051
|
Term Loan Facility C1, 4.73% 4.96%, 12/31/14
|
|
453
|
|
|
623,003
|
|
|
|
|
|
2,891,844
|
Diversified Consumer Services 3.0%
|
|
|
|
|
|
Coinmach Service Corp.:
|
|
|
|
|
|
Delayed Draw Term Loan, 3.23% 3.32%, 11/20/14 USD 487
|
|
427,144
|
Term Loan, 3.30% 3.32%, 11/20/14
|
|
2,229
|
|
|
1,953,460
|
Laureate Education, Series A, Extended Term Loan,
|
|
|
|
|
|
5.25%, 8/15/18
|
|
4,661
|
|
|
4,342,181
|
ServiceMaster Co.:
|
|
|
|
|
|
Closing Date Term Loan, 2.74% 2.83%, 7/24/14
|
|
2,936
|
|
|
2,803,916
|
Delayed Draw Term Loan, 2.75%, 7/24/14
|
|
292
|
|
|
279,228
|
|
|
|
|
|
9,805,929
|
Diversified Financial Services 2.1%
|
|
|
|
|
|
Reynolds Group Holdings, Inc., Term Loan B,
|
|
|
|
|
|
6.75%, 2/09/18
|
EUR
|
4,975
|
|
|
6,772,044
|
Diversified Telecommunication Services 4.2%
|
|
|
|
|
|
Hawaiian Telcom Communications, Inc., Term Loan,
|
|
|
|
|
|
9.00%, 11/01/15
|
USD
|
1,814
|
|
|
1,814,824
|
Integra Telecom Holdings, Inc., Term Loan, 9.25%, 4/15/15
|
2,000
|
|
|
1,852,710
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
Add on Term Loan, 11.50%, 3/13/14
|
|
1,450
|
|
|
1,506,796
|
Term Loan B2, 5.75%, 9/03/18
|
|
4,600
|
|
|
4,513,750
|
Tranche A Incremental Term Loan, 2.65%, 3/13/14
|
|
2,550
|
|
|
2,471,919
|
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
|
|
1,916
|
|
|
1,819,112
|
|
|
|
|
|
13,979,111
|
Electronic Equipment, Instruments & Components 1.5%
|
|
|
|
|
Aeroflex, Inc., Term Loan B, 4.25%, 5/09/18
|
|
1,296
|
|
|
1,270,890
|
CDW LLC, Term Loan, 3.74%, 10/10/14
|
|
1,612
|
|
|
1,560,835
|
Sensata Technologies Finance Company LLC,
|
|
|
|
|
|
Term Loan, 4.00%, 5/11/18
|
|
2,195
|
|
|
2,181,245
|
|
|
|
|
|
5,012,970
|
Energy Equipment & Services 3.0%
|
|
|
|
|
|
CCS Corp., Term Loan B, 3.37%, 11/14/14
|
|
1,806
|
|
|
1,644,017
|
Dynegy Holdings, Inc.:
|
|
|
|
|
|
CoalCo Term Loan, 9.25%, 8/04/16
|
|
795
|
|
|
781,087
|
GasCo Term Loan, 9.25%, 8/04/16
|
|
1,455
|
|
|
1,449,806
|
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18
|
|
6,100
|
|
|
6,069,500
|
|
|
|
|
|
9,944,410
|
Food & Staples Retailing 2.4%
|
|
|
|
|
|
AB Acquisitions UK Topco 2 Ltd., Facility B1,
|
|
|
|
|
|
3.63% 3.64%, 7/09/15
|
GBP
|
4,525
|
|
|
6,589,138
|
US Foodservice, Inc., Term Loan B,
|
|
|
|
|
|
2.74% 2.75%, 7/03/14
|
USD
|
1,461
|
|
|
1,349,047
|
|
|
|
|
|
7,938,185
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Food Products 5.1%
|
|
|
|
|
|
Advance Pierre Foods, Term Loan:
|
|
|
|
|
|
(First Lien), 7.00% 7.50%, 9/30/16
|
USD
|
2,148
|
|
$
|
2,130,576
|
(Second Lien), 11.25%, 9/29/17
|
|
1,400
|
|
|
1,388,338
|
Birds Eye Iglo Group Ltd. (Liberator Midco Ltd.),
|
|
|
|
|
|
Term Loan B, 5.87%, 4/30/16
|
EUR
|
3,000
|
|
|
4,137,277
|
Del Monte Corp., Term Loan B, 4.50%, 3/08/18
|
USD
|
5,844
|
|
|
5,668,850
|
Michaels Foods Group, Inc., Term Loan B,
|
|
|
|
|
|
4.25%, 2/23/18
|
|
323
|
|
|
318,488
|
Pinnacle Foods Finance LLC, Tranche D Term Loan,
|
|
|
|
|
|
6.00%, 4/02/14
|
|
1,468
|
|
|
1,479,052
|
Solvest Ltd. (Dole):
|
|
|
|
|
|
Tranche B-1 Term Loan, 5.00% 6.00%, 7/06/18
|
|
583
|
|
|
581,062
|
Tranche C-1 Term Loan, 5.00% 6.00%, 7/06/18
|
|
1,083
|
|
|
1,079,116
|
|
|
|
|
|
16,782,759
|
Health Care Equipment & Supplies 1.8%
|
|
|
|
|
|
Biomet, Inc.:
|
|
|
|
|
|
Term Loan, 4.49%, 3/25/15
|
EUR
|
985
|
|
|
1,318,071
|
Term Loan B, 3.24% 3.36%, 3/25/15
|
USD
|
484
|
|
|
474,975
|
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18
|
|
1,500
|
|
|
1,499,070
|
DJO Finance LLC, Term Loan, 3.25%, 5/20/14
|
|
1,013
|
|
|
974,565
|
Immucor, Inc., Term Loan B, 7.25%, 8/17/18
|
|
1,760
|
|
|
1,766,600
|
|
|
|
|
|
6,033,281
|
Health Care Providers & Services 4.5%
|
|
|
|
|
|
CHS/Community Health Systems, Inc.:
|
|
|
|
|
|
Extended Term Loan B, 3.82%, 1/25/17
|
|
214
|
|
|
207,877
|
Non-Extended Delayed Draw Term Loan,
|
|
|
|
|
|
2.57%, 7/25/14
|
|
83
|
|
|
80,390
|
Non-Extended Term Loan, 2.57%, 7/25/14
|
|
1,614
|
|
|
1,564,075
|
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16
|
|
1,216
|
|
|
1,188,457
|
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16
|
|
1,886
|
|
|
1,874,982
|
Emergency Medical Services, Term Loan,
|
|
|
|
|
|
5.25% 6.00%, 5/25/18
|
|
2,079
|
|
|
2,030,843
|
Harden Healthcare, Inc.:
|
|
|
|
|
|
Tranche A Additional Term Loan, 7.75%, 3/02/15
|
|
1,399
|
|
|
1,371,070
|
Tranche A Term Loan, 8.50%, 3/02/15
|
|
844
|
|
|
827,175
|
inVentiv Health, Inc.:
|
|
|
|
|
|
Incremental Term Loan B3, 6.75%, 5/15/18
|
|
748
|
|
|
738,773
|
Term Loan B, 6.50%, 8/04/16
|
|
1,951
|
|
|
1,900,871
|
Medpace, Inc., Term Loan, 6.50% 7.25%, 6/16/17
|
|
1,496
|
|
|
1,421,437
|
Renal Advantage Holdings, Inc., Tranche B Term Loan,
|
|
|
|
|
|
5.75%, 12/16/16
|
|
1,489
|
|
|
1,486,264
|
|
|
|
|
|
14,692,214
|
Health Care Technology 1.3%
|
|
|
|
|
|
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17
|
|
1,496
|
|
|
1,485,444
|
Kinetic Concepts, Inc., Term Loan B, 7.00%, 11/02/18
|
|
1,755
|
|
|
1,761,143
|
MedAssets, Inc., Term Loan B, 5.25%, 11/16/16
|
|
975
|
|
|
965,109
|
|
|
|
|
|
4,211,696
|
Hotels, Restaurants & Leisure 5.4%
|
|
|
|
|
|
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18
|
|
1,566
|
|
|
1,563,120
|
Caesars Entertainment Operating Co., Inc.
|
|
|
|
|
|
(FKA Harrah's Operating Co., Inc.):
|
|
|
|
|
|
Term Loan B-2, 3.24% 3.42%, 1/28/15
|
|
667
|
|
|
586,573
|
Term Loan B-3, 3.32% 3.42%, 1/28/15
|
|
4,886
|
|
|
4,295,989
|
Term Loan B-4, 9.50%, 10/31/16
|
|
1,385
|
|
|
1,394,358
|
Dunkin' Brands, Inc., Term Loan B, 4.00%, 11/23/17
|
|
1,783
|
|
|
1,775,443
|
OSI Restaurant Partners LLC, Pre-Funded RC Loan,
|
|
|
|
|
|
2.69% 2.75%, 6/14/13
|
|
32
|
|
|
30,645
|
Seaworld Parks & Entertainment, Inc. (FKA SW
|
|
|
|
|
|
Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17
|
|
1,432
|
|
|
1,421,594
|
Six Flags Theme Parks, Inc., Tranche B Term Loan
|
|
|
|
|
|
(First Lien), 5.25%, 6/30/16
|
|
1,260
|
|
|
1,262,127
|
Twin River Worldwide Holdings, Inc., Term Loan,
|
|
|
|
|
|
7.75%, 11/05/15
|
|
1,282
|
|
|
1,264,923
|
See Notes to Financial Statements.
50
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Floating Rate Income Trust (BGT)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Hotels, Restaurants & Leisure (concluded)
|
|
|
|
|
|
VML US Finance LLC:
|
|
|
|
|
|
Term B Delayed Draw Project Loan, 4.75%, 5/25/12
|
USD
|
1,608
|
|
$
|
1,601,519
|
Term B Funded Project Loan, 4.75%, 5/27/13
|
|
2,783
|
|
|
2,772,649
|
|
|
|
|
|
17,968,940
|
Household Durables 0.0%
|
|
|
|
|
|
Berkline/Benchcraft LLC, Term Loan B,
|
|
|
|
|
|
14.00%, 11/03/13 (c)(f)
|
|
148
|
|
|
7,397
|
Independent Power Producers & Energy Traders 2.5%
|
|
|
|
|
|
AES Corp., Term Loan B, 4.25%, 6/01/18
|
|
1,940
|
|
|
1,934,856
|
Calpine Corp., Term Loan B, 4.50%, 4/02/18
|
|
2,569
|
|
|
2,535,510
|
Texas Competitive Electric Holdings Co., LLC (TXU),
|
|
|
|
|
|
Extended Term Loan, 4.74% 4.77%, 10/10/17
|
|
5,511
|
|
|
3,735,729
|
|
|
|
|
|
8,206,095
|
Industrial Conglomerates 1.0%
|
|
|
|
|
|
Sequa Corp.:
|
|
|
|
|
|
Incremental Term Loan, 3.50% 7.50%, 12/03/14
|
|
675
|
|
|
675,000
|
Term Loan, 3.50% 3.63%, 12/03/14
|
|
2,822
|
|
|
2,719,934
|
|
|
|
|
|
3,394,934
|
Insurance 0.5%
|
|
|
|
|
|
CNO Financial Group, Inc., Term Loan B, 6.25%, 9/30/16
|
1,706
|
|
|
1,701,450
|
Internet Software & Services 0.3%
|
|
|
|
|
|
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17
|
|
1,050
|
|
|
937,125
|
IT Services 3.8%
|
|
|
|
|
|
Ceridian Corp., US Term Loan, 3.25%, 11/10/14
|
|
1,708
|
|
|
1,564,621
|
First Data Corp.:
|
|
|
|
|
|
Initial Tranche B-1 Term Loan, 2.99%, 9/24/14
|
|
426
|
|
|
394,098
|
Initial Tranche B-2 Term Loan, 4.24%, 3/23/18
|
|
6,558
|
|
|
5,644,782
|
Initial Tranche B-3 Term Loan, 2.99%, 9/24/14
|
|
281
|
|
|
259,627
|
infoGROUP, Inc., Term Loan, 5.75%, 5/22/18
|
|
442
|
|
|
424,915
|
Trans Union LLC, Term Loan B, 4.75%, 2/12/18
|
|
2,845
|
|
|
2,822,287
|
Travelex Plc:
|
|
|
|
|
|
Tranche B5, 2.70%, 10/31/13
|
|
637
|
|
|
631,270
|
Tranche C5, 3.20%, 10/31/14
|
|
632
|
|
|
629,031
|
|
|
|
|
|
12,370,631
|
Machinery 1.5%
|
|
|
|
|
|
Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12
|
|
1,015
|
|
|
1,007,036
|
Tomkins Plc, Term Loan B, 4.25%, 9/21/16
|
|
2,010
|
|
|
2,003,886
|
Terex Corp.:
|
|
|
|
|
|
Term Loan, 6.03%, 4/28/17
|
EUR
|
355
|
|
|
475,249
|
Term Loan B, 5.50%, 4/28/17
|
USD
|
1,300
|
|
|
1,296,204
|
|
|
|
|
|
4,782,375
|
Media 20.2%
|
|
|
|
|
|
Acosta, Inc., Term Loan, 4.75% 5.50%, 3/01/18
|
|
1,664
|
|
|
1,632,044
|
Affinion Group, Inc., Tranche B Term Loan,
|
|
|
|
|
|
5.00%, 10/10/16
|
|
2,090
|
|
|
1,918,513
|
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18
|
|
1,796
|
|
|
1,779,035
|
Atlantic Broadband Finance LLC, Term Loan B,
|
|
|
|
|
|
4.00%, 3/08/16
|
|
914
|
|
|
894,005
|
Bresnan Telecommunications Co., LLC, Term Loan,
|
|
|
|
|
|
4.50% 5.25%, 12/14/17
|
|
1,558
|
|
|
1,539,389
|
Catalina Marketing Corp., Term Loan, 3.00%, 10/01/14
|
|
289
|
|
|
276,912
|
Cengage Learning Acquisitions, Inc. (Thomson Learning):
|
|
|
|
|
|
Term Loan, 2.50%, 7/03/14
|
|
626
|
|
|
540,631
|
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14
|
|
1,121
|
|
|
1,070,676
|
Charter Communications Operating LLC:
|
|
|
|
|
|
Term Loan B, 7.25%, 3/06/14
|
|
36
|
|
|
35,629
|
Term Loan C, 3.62%, 9/06/16
|
|
628
|
|
|
621,778
|
Clarke American Corp., Term Loan B,
|
|
|
|
|
|
2.75% 2.87%, 6/30/14
|
|
324
|
|
|
272,218
|
Clear Channel Communications, Inc., Term Loan B,
|
|
|
|
|
|
3.90%, 1/28/16
|
|
2,385
|
|
|
1,864,927
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Media (concluded)
|
|
|
|
|
|
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18
|
USD
|
1,500
|
|
$
|
1,481,250
|
Gray Television, Inc., Term Loan B, 3.74%, 12/31/14
|
|
1,478
|
|
|
1,440,994
|
HMH Publishing Co. Ltd., Tranche A Term Loan,
|
|
|
|
|
|
6.24%, 6/12/14
|
|
1,870
|
|
|
1,327,611
|
Hubbard Radio LLC, Term Loan (Second Lien),
|
|
|
|
|
|
5.25%, 4/28/17
|
|
1,097
|
|
|
1,087,649
|
Intelsat Jackson Holdings SA (FKA Intelsat Jackson
|
|
|
|
|
|
Holdings Ltd.), Tranche B Term Loan, 5.25%, 4/02/18
|
10,199
|
|
|
10,109,511
|
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18
|
|
3,607
|
|
|
3,578,309
|
Kabel Deutschland GmbH:
|
|
|
|
|
|
Term Loan A, 3.74%, 3/31/14
|
EUR
|
3,043
|
|
|
4,115,623
|
Term Loan D, 5.37%, 12/13/16
|
|
1,000
|
|
|
1,360,717
|
Term Loan E, 4.62%, 6/15/18
|
EUR
|
4,000
|
|
|
5,371,081
|
Knology, Inc., Term Loan B, 4.00%, 8/18/17
|
USD
|
418
|
|
|
407,219
|
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):
|
|
|
|
|
|
Facility B1, 4.20%, 3/06/15
|
EUR
|
304
|
|
|
356,746
|
Facility C1, 4.45%, 3/04/16
|
|
608
|
|
|
717,697
|
Liberty Cablevision of Puerto Rico Ltd., Initial Term
|
|
|
|
|
|
Facility, 2.35%, 6/13/14
|
USD
|
1,436
|
|
|
1,371,619
|
Mediacom Illinois LLC, Tranche D Term Loan,
|
|
|
|
|
|
5.50%, 3/31/17
|
|
2,212
|
|
|
2,179,219
|
Newsday LLC:
|
|
|
|
|
|
Fixed Rate Term Loan, 10.50%, 8/01/13
|
|
1,500
|
|
|
1,548,750
|
Floating Rate Term Loan, 6.65%, 8/01/13
|
|
1,250
|
|
|
1,264,587
|
Nielsen Finance LLC, Class B Term Loan, 3.99%, 5/02/16
|
1,714
|
|
|
1,705,201
|
Serpering Investments BV (Casema NV), Term Loan B,
|
|
|
|
|
|
4.37%, 3/31/17
|
EUR
|
619
|
|
|
847,310
|
Sinclair Television Group, Inc., Term Loan B,
|
|
|
|
|
|
4.00%, 10/28/16
|
USD
|
839
|
|
|
838,232
|
Sunshine Acquisition Ltd., Term Facility, 5.51%, 6/01/12
|
|
1,955
|
|
|
1,921,641
|
Telesat Canada:
|
|
|
|
|
|
Delayed Draw Term Loan, 3.25%, 10/31/14
|
|
373
|
|
|
365,313
|
Term Loan B, 3.25%, 10/31/14
|
|
4,345
|
|
|
4,252,834
|
Univision Communications, Inc., Extended Term Loan
|
|
|
|
|
|
(First Lien), 4.50%, 3/31/17
|
|
1,797
|
|
|
1,629,868
|
UPC Broadband Holding BV:
|
|
|
|
|
|
Term Loan AB, 4.75%, 12/31/17
|
|
90
|
|
|
89,550
|
Term Loan U, 5.37%, 12/31/17
|
EUR
|
1,552
|
|
|
2,064,234
|
Weather Channel, Term Loan B, 4.25%, 2/13/17
|
USD
|
2,606
|
|
|
2,605,518
|
|
|
|
|
|
66,484,040
|
Metals & Mining 2.3%
|
|
|
|
|
|
Novelis, Inc., Term Loan, 3.75%, 3/10/17
|
|
3,304
|
|
|
3,274,076
|
SunCoke Energy, Inc., Term Loan B, 4.00% 5.25%, 7/26/18
|
848
|
|
|
845,755
|
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18
|
|
3,636
|
|
|
3,619,147
|
|
|
|
|
|
7,738,978
|
Multi-Utilities 0.0%
|
|
|
|
|
|
Mach Gen LLC, Synthetic Letter of Credit Loan (First Lien),
|
|
|
|
|
2.37%, 2/22/13
|
|
69
|
|
|
62,432
|
Multiline Retail 1.6%
|
|
|
|
|
|
Hema Holding BV:
|
|
|
|
|
|
Facility B, 3.35%, 7/06/15
|
EUR
|
169
|
|
|
213,626
|
Facility C, 4.10%, 7/05/16
|
|
169
|
|
|
214,797
|
Facility D, 6.35%, 1/05/17
|
|
3,800
|
|
|
4,416,770
|
The Neiman Marcus Group, Inc., Term Loan,
|
|
|
|
|
|
4.75%, 5/16/18
|
USD
|
465
|
|
|
452,650
|
|
|
|
|
|
5,297,843
|
Oil, Gas & Consumable Fuels 2.0%
|
|
|
|
|
|
EquiPower Resources Holdings LLC, Term Loan B,
|
|
|
|
|
|
5.75%, 1/26/18
|
|
1,903
|
|
|
1,888,946
|
Gibson Energy, Term Loan B, 5.75%, 6/14/18
|
|
2,195
|
|
|
2,168,451
|
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
|
2,380
|
|
|
2,380,313
|
|
|
|
|
|
6,437,710
|
Paper & Forest Products 0.2%
|
|
|
|
|
|
NewPage Corp., Term Loan, 8.00%, 3/07/13
|
|
550
|
|
|
551,831
|
Verso Paper Finance Holdings LLC, Term Loan,
|
|
|
|
|
|
6.51% 7.26%, 2/01/13 (g)
|
|
412
|
|
|
205,898
|
|
|
|
|
|
757,729
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
51
|
|
|
Schedule of Investments (continued)
|
BlackRock Floating Rate Income Trust (BGT)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Pharmaceuticals 2.3%
|
|
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17
|
USD
|
2,680
|
|
$
|
2,580,948
|
Endo Pharmaceuticals Holdings, Inc., Term Loan B,
|
|
|
|
|
|
4.00%, 6/18/18
|
|
1,046
|
|
|
1,046,036
|
Quinteles Transnational Corp., Term Loan B, 5.00%, 6/08/18
|
1,317
|
|
|
1,296,950
|
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18
|
|
1,097
|
|
|
1,092,674
|
Warner Chilcott Corp.:
|
|
|
|
|
|
Term Loan B-1, 4.25%, 3/15/18
|
|
773
|
|
|
766,731
|
Term Loan B-2, 4.25%, 3/15/18
|
|
387
|
|
|
383,365
|
Term Loan B-3, 4.25%, 3/15/18
|
|
532
|
|
|
527,127
|
|
|
|
|
|
7,693,831
|
Professional Services 1.0%
|
|
|
|
|
|
Emdeon Business Services LLC, Term Loan B,
|
|
|
|
|
|
6.75%, 10/15/18
|
|
1,800
|
|
|
1,805,202
|
Fifth Third Processing Solutions LLC, Term Loan B
|
|
|
|
|
|
(First Lien), 4.50%, 11/03/16
|
|
1,602
|
|
|
1,593,707
|
|
|
|
|
|
3,398,909
|
Real Estate Investment Trusts (REITs) 0.8%
|
|
|
|
|
|
iStar Financial, Inc., Term Loan A, 5.00%, 6/28/13
|
|
2,493
|
|
|
2,469,545
|
Real Estate Management & Development 1.5%
|
|
|
|
|
|
Pivotal Promontory LLC, Term Loan (Second Lien),
|
|
|
|
|
|
12.00%, 8/31/11 (c)(f)
|
|
750
|
|
|
1
|
Realogy Corp.:
|
|
|
|
|
|
Delayed Draw Term Loan, 3.27%, 10/10/13
|
|
1,976
|
|
|
1,844,989
|
Extended Synthetic Letter of Credit Loan,
|
|
|
|
|
|
4.44%, 10/10/16
|
|
177
|
|
|
153,645
|
Extended Term Loan, 4.52%, 10/10/16
|
|
2,575
|
|
|
2,232,217
|
Synthetic Letter of Credit, 3.19%, 10/10/13
|
|
81
|
|
|
76,039
|
Term Loan, 3.44%, 10/10/13
|
|
647
|
|
|
603,703
|
|
|
|
|
|
4,910,594
|
Road & Rail 1.0%
|
|
|
|
|
|
Avis Budget Car Rental LLC, Incremental Term Loan,
|
|
|
|
|
|
6.25%, 9/21/18
|
|
1,000
|
|
|
1,003,750
|
RAC Ltd., Term Loan B, 5.66%, 7/30/18
|
GBP
|
1,500
|
|
|
2,240,006
|
|
|
|
|
|
3,243,756
|
Semiconductors & Semiconductor Equipment 0.6%
|
|
|
|
|
|
Freescale Semiconductor, Inc., Extended Maturity Term
|
|
|
|
|
|
Loan, 4.49%, 12/01/16
|
USD
|
561
|
|
|
538,116
|
Microsemi Corp., Term Loan B, 5.75%, 11/02/17
|
|
1,471
|
|
|
1,471,019
|
|
|
|
|
|
2,009,135
|
Software 0.6%
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc.:
|
|
|
|
|
|
Term Loan (First Lien), 7.50%, 8/20/14
|
|
719
|
|
|
145,683
|
Term Loan (Second Lien), 8.30%, 8/20/15
|
|
258
|
|
|
9,471
|
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18
|
|
450
|
|
|
433,548
|
Rovi Corp., Term Loan B, 4.00%, 2/07/18
|
|
995
|
|
|
996,244
|
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16
|
|
341
|
|
|
332,070
|
|
|
|
|
|
1,917,016
|
Specialty Retail 3.9%
|
|
|
|
|
|
Academy Ltd., Term Loan, 6.00%, 8/03/18
|
|
1,900
|
|
|
1,876,250
|
Burlington Coat Factory Warehouse Corp., Term
|
|
|
|
|
|
Loan B, 6.25%, 2/23/17
|
|
1,062
|
|
|
1,037,380
|
General Nutrition Centers, Inc., Term Loan B,
|
|
|
|
|
|
4.25%, 3/02/18
|
|
1,990
|
|
|
1,976,727
|
J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18
|
|
1,015
|
|
|
952,169
|
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18
|
|
606
|
|
|
577,934
|
Michaels Stores, Inc.:
|
|
|
|
|
|
Term Loan B-1, 2.63% 2.69%, 10/31/13
|
|
820
|
|
|
800,744
|
Term Loan B-2, 4.88% 4.94%, 7/31/16
|
|
920
|
|
|
900,882
|
Petco Animal Supplies, Inc., Term Loan B,
|
|
|
|
|
|
4.50%, 11/24/17
|
|
2,382
|
|
|
2,346,664
|
Toys R Us Delaware, Inc.:
|
|
|
|
|
|
Term Loan, 6.00%, 9/01/16
|
|
2,105
|
|
|
2,069,290
|
Term Loan B, 5.25%, 5/25/18
|
|
499
|
|
|
486,531
|
|
|
|
|
|
13,024,571
|
|
|
|
|
|
|
Floating Rate Loan Interests (b)
|
|
Par
(000
)
|
Value
|
Textiles, Apparel & Luxury Goods 0.9%
|
|
|
|
|
|
Phillips-Van Heusen Corp., Term Loan B,
|
|
|
|
|
|
4.31% 4.50%, 5/06/16
|
EUR
|
2,096
|
|
$
|
2,834,434
|
Wireless Telecommunication Services 1.8%
|
|
|
|
|
|
Digicel International Finance Ltd., US Term Loan
|
|
|
|
|
|
(Non-Rollover), 2.88%, 3/30/12
|
USD
|
1,522
|
|
|
1,514,788
|
MetroPCS Wireless, Inc., Term Loan B, 4.00%, 3/16/18
|
|
1,062
|
|
|
1,045,873
|
Vodafone Americas Finance 2, Inc. (g):
|
|
|
|
|
|
PIK Term Loan, 6.88%, 8/11/15
|
|
2,408
|
|
|
2,408,234
|
PIK Term Loan B, 6.25%, 7/11/16
|
|
800
|
|
|
804,000
|
|
|
|
|
|
5,772,895
|
Total Floating Rate Loan Interests 106.0%
|
|
|
|
|
349,568,204
|
|
|
Foreign Agency Obligations
|
|
|
|
|
|
Argentina Bonos:
|
|
|
|
|
|
0.44%, 8/03/12 (b)
|
|
1,250
|
|
|
1,195,620
|
7.00%, 10/03/15
|
|
2,000
|
|
|
1,766,334
|
Colombia Government International Bond,
|
|
|
|
|
|
3.90%, 3/17/13 (b)
|
|
540
|
|
|
545,400
|
Uruguay Government International Bond,
|
|
|
|
|
|
6.88%, 1/19/16
|
EUR
|
950
|
|
|
1,422,305
|
Total Foreign Agency Obligations 1.5%
|
|
|
|
|
4,929,659
|
|
|
Other Interests (h)
|
Beneficial
Interest
(000
)
|
|
|
Auto Components 0.8%
|
|
|
|
|
|
Delphi Debtor-in-Possession Holding Co., LLP, Class B
|
|
|
|
|
|
Membership Interests (c)
|
USD
|
(i)
|
|
|
2,687,136
|
Lear Corp. Escrow (c)
|
|
500
|
|
|
5,000
|
|
|
|
|
|
2,692,136
|
Diversified Financial Services 0.4%
|
|
|
|
|
|
BGT JGW SPV, LLC (JG Wentworth LLC Preferred
|
|
|
|
|
|
Equity Interests) (c)(j)
|
|
1
|
|
|
1,269,904
|
Health Care Providers & Services 0.0%
|
|
|
|
|
|
Critical Care Systems International, Inc. (c)
|
|
1
|
|
|
96
|
Hotels, Restaurants & Leisure 0.0%
|
|
|
|
|
|
Wembley Contigent (c)
|
|
2
|
|
|
6,000
|
Household Durables 0.0%
|
|
|
|
|
|
Berkline Benchcraft Equity LLC (c)
|
|
6
|
|
|
|
Total Other Interests 1.2%
|
|
|
|
|
3,968,136
|
|
|
Warrants (k)
|
|
Shares
|
|
|
Chemicals 0.0%
|
|
|
|
|
|
British Vita Holdings Co. (Non-Expiring)
|
|
166
|
|
|
|
Media
0.0
%
|
|
|
|
|
|
New Vision Holdings LLC:
|
|
|
|
|
|
(Expires 9/30/14)
|
|
19,023
|
|
|
190
|
(Expires 9/30/14)
|
|
3,424
|
|
|
34
|
|
|
|
|
|
224
|
Software 0.0%
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (Expires 9/29/17)
|
251
|
|
|
3
|
HMH Holdings/EduMedia (Expires 3/09/17)
|
|
21,894
|
|
|
|
|
|
|
|
|
3
|
Total Warrants 0.0%
|
|
|
|
|
227
|
Total Long-Term Investments
|
|
|
|
|
|
(Cost $463,999,793) 136.6%
|
|
|
|
|
450,531,364
|
See Notes to Financial Statements.
52
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Schedule of Investments (continued)
|
BlackRock Floating Rate Income Trust (BGT)
|
|
(Percentages shown are based on Net Assets)
|
|
|
|
|
|
Short-Term Securities
|
Shares
|
Value
|
BlackRock Liquidity Funds, TempFund,
|
|
|
|
|
Institutional Class 0.14% (l)(m)
|
1,071,567
|
$
|
1,071,567
|
|
Total Short-Term Securities
|
|
|
|
|
(Cost $1,071,567) 0.3%
|
|
|
1,071,567
|
|
|
|
Options Purchased
|
Contracts
|
|
|
|
Over-the-Counter Call Options 0.0%
|
|
|
|
|
Marsico Parent Superholdco LLC, Strike Price USD 942.86,
|
|
|
|
Expires 12/21/19, Broker Goldman Sachs Bank USA
|
26
|
|
|
|
Total Options Purchased
|
|
|
|
|
(Cost $25,422) 0.0%
|
|
|
|
|
Total Investments (Cost $465,096,782*) 136.9%
|
|
|
451,602,931
|
|
Liabilities in Excess of Other Assets (36.9)%
|
|
|
(121,772,326
|
)
|
Net Assets 100.0%
|
|
$
|
329,830,605
|
|
*
|
|
The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:
|
|
|
|
|
Aggregate cost
|
$
|
462,508,581
|
|
Gross unrealized appreciation
|
$
|
8,056,994
|
|
Gross unrealized depreciation
|
|
(18,962,644
|
)
|
Net unrealized depreciation
|
$
|
(10,905,650
|
)
|
(a)
|
|
Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.
|
(b)
|
|
Variable rate security. Rate shown is as of report date.
|
(c)
|
|
Non-income producing security.
|
(d)
|
|
Convertible security.
|
(e)
|
|
Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.
|
(f)
|
|
Issuer filed for bankruptcy and/or is in default of interest
payments.
|
(g)
|
|
Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(h)
|
|
Other interests represent beneficial interest in liquidation
trusts and other reorganization or private entities.
|
(i)
|
|
Amount is less than $500.
|
(j)
|
|
The investment is held by a wholly owned subsidiary.
|
(k)
|
|
Warrants entitle the Fund to purchase a predetermined
number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment
under certain conditions until the expiration date, if any.
|
(l)
|
|
Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
|
|
Affiliate
|
Shares Held at
October 31,
2010
|
Net
Activity
|
Shares Held at
October 31,
2011
|
Income
|
BlackRock Liquidity
|
|
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
|
|
Institutional Class
|
8,770,511
|
(7,698,944
|
)
|
1,071,567
|
$4,488
|
(m)
|
|
Represents the current yield as of report date.
|
|
|
For Fund compliance purposes, the Funds and 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 Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.
|
|
|
Foreign currency exchange contracts as of October 31,
2011 were as follows:
|
Currency
Purchased
|
|
|
Currency
Sold
|
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
|
CAD
|
179,000
|
USD
|
172,140
|
|
Citibank NA
|
1/18/12
|
$
|
7,137
|
|
GBP
|
605,000
|
USD
|
947,939
|
|
Citibank NA
|
1/18/12
|
|
24,024
|
|
USD
|
1,179,725
|
CHF
|
1,055,000
|
|
UBS AG
|
1/18/12
|
|
(23,932
|
)
|
USD
|
12,660,475
|
GBP
|
8,123,500
|
|
Citibank NA
|
1/18/12
|
|
(390,339
|
)
|
USD
|
55,389,402
|
|
EUR
|
40,275,000
|
|
Citibank NA
|
1/25/12
|
|
(307,702
|
)
|
Total
|
|
|
|
|
|
|
|
$
|
(690,812
|
)
|
|
|
Fair Value Measurements Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:
|
|
|
Level 1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Fund's own assumptions
used in determining the fair value of investments and derivative financial instruments)
|
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Funds investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
Level 1
|
Level 2
|
|
Level 3
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
Long Term
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
|
$
|
3,398,916
|
|
$
|
6,561,220
|
$
|
9,960,136
|
Common
|
|
|
|
|
|
|
|
|
|
|
Stocks
|
$
|
84,261
|
|
|
741,144
|
|
|
234,634
|
|
1,060,039
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
|
|
|
81,044,963
|
|
|
|
|
81,044,963
|
Floating
|
|
|
|
|
|
|
|
|
|
|
Rate Loan
|
|
|
|
|
|
|
|
|
|
|
Interests
|
|
|
|
|
317,101,379
|
|
|
32,466,825
|
|
349,568,204
|
Foreign Agency
|
|
|
|
|
|
|
|
|
|
|
Obligations
|
|
|
|
|
1,967,705
|
|
|
2,961,954
|
|
4,929,659
|
Other
|
|
|
|
|
|
|
|
|
|
|
Interests
|
|
|
|
|
2,687,136
|
|
|
1,281,000
|
|
3,968,136
|
Warrants
|
|
|
|
|
|
|
|
227
|
|
227
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
1,071,567
|
|
|
|
|
|
|
|
1,071,567
|
Total
|
$
|
1,155,828
|
|
$
|
406,941,243
|
|
$
|
43,505,860
|
$
|
451,602,931
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
53
|
|
|
Schedule of Investments (concluded)
|
BlackRock Floating Rate Income Trust (BGT)
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs
|
Level 1
|
|
Level 2
|
Level 3
|
|
Total
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
contracts
|
|
$
|
31,161
|
|
|
|
$
|
31,161
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
(721,973
|
)
|
|
|
|
(721,973
|
)
|
Total
|
|
$
|
(690,812
|
)
|
|
|
$
|
(690,812
|
)
|
1
|
|
Derivative financial instruments are foreign currency
exchange contracts and options. Foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on
the instrument and options are shown at value.
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
Asset-
Backed
Securities
|
Common
Stocks
|
|
Corporate
Bonds
|
Floating
Rate Loan
Interests
|
Foreign
Agency
Obligations
|
Other
Interests
|
Preferred
Securities
|
Unfunded
Loan
Commitments
Assets
|
Unfunded
Loan
Commitments
Liabilities
|
Warrants
|
|
Total
|
|
Assets/Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October 31, 2010
|
|
|
|
$
|
595,520
|
|
$
|
61,912
|
|
$
|
64,699,477
|
|
$
|
4,228,067
|
|
$
|
5,533,239
|
|
$
|
85,828
|
|
$
|
160,394
|
|
$
|
(42,707
|
)
|
$
|
227
|
$
|
75,321,957
|
|
Accrued discounts/
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
premiums
|
$
|
85,168
|
|
|
|
|
|
101,941
|
|
|
258,256
|
|
|
197,954
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
643,319
|
|
Realized gain (loss)
|
|
|
|
|
(348,191
|
)
|
|
(1,019,809
|
)
|
|
(5,061,690
|
)
|
|
70,260
|
|
|
|
|
|
136,990
|
|
|
|
|
|
|
|
|
|
|
(6,222,440
|
)
|
Net change in unrealized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation/
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
depreciation
1
|
|
(694,398
|
)
|
|
(132,121
|
)
|
|
947,258
|
|
|
4,872,207
|
|
|
(284,327
|
)
|
|
117,404
|
|
|
(31,032
|
)
|
|
(160,394
|
)
|
|
42,707
|
|
|
|
|
4,677,304
|
|
Purchases
|
|
6,613,650
|
|
|
|
|
|
38,466
|
|
|
27,438,429
|
|
|
|
|
|
26,311
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,116,856
|
|
Sales
|
|
|
|
|
(38,760
|
)
|
|
(129,768
|
)
|
|
(49,981,028
|
)
|
|
(1,250,000
|
)
|
|
|
|
|
(191,786
|
)
|
|
|
|
|
|
|
|
|
|
(51,591,342
|
)
|
Transfers in
2
|
|
556,800
|
|
|
158,186
|
|
|
|
|
|
2,149,987
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,864,973
|
|
Transfers out
2
|
|
|
|
|
|
|
|
|
|
|
(11,908,813
|
)
|
|
|
|
|
(4,395,954
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
(16,304,767
|
)
|
Balance, as of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October 31, 2011
|
$
|
6,561,220
|
|
$
|
234,634
|
|
|
|
|
$
|
32,466,825
|
|
$
|
2,961,954
|
|
$
|
1,281,000
|
|
|
|
|
|
|
|
|
|
|
$
|
227
|
$
|
43,505,860
|
|
1
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(1,698,378).
|
2
|
|
The Funds policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
|
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:
|
|
|
|
|
Credit
Contracts
|
Assets:
|
|
|
|
Balance, as of October 31, 2010
|
$
|
19,172
|
|
Accrued discounts/premiums
|
|
|
|
Net realized gain (loss)
|
|
|
|
Net change in unrealized appreciation/depreciation
3
|
|
(19,172
|
)
|
Purchases
|
|
|
|
Issuances
4
|
|
|
|
Sales
|
|
|
|
Settlements
5
|
|
|
|
Transfers in
2
|
|
|
|
Transfers out
2
|
|
|
|
Balance, as of October 31, 2011
|
|
|
|
3
|
|
Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $0.
|
4
|
|
Issuances represent upfront cash received on certain
derivative financial instruments.
|
5
|
|
Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.
|
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
54
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Statements of Assets and Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October 31, 2011
|
BlackRock
Credit
Allocation
Income
Trust I, Inc.
(PSW)
|
BlackRock
Credit
Allocation
Income
Trust II, Inc.
(PSY)
|
BlackRock
Credit
Allocation
Income
Trust III
(BPP)
|
BlackRock
Credit
Allocation
Income
Trust IV
(BTZ)
|
BlackRock
Floating
Rate
Income
Trust
(BGT)
|
Assets
|
Investments at value unaffiliated
1
|
$
|
157,339,860
|
|
$
|
661,625,983
|
|
$
|
308,674,023
|
|
$
|
1,034,611,319
|
|
$
|
450,531,364
|
|
Investments at value affiliated
2
|
|
1,362,932
|
|
|
405,708
|
|
|
2,459,914
|
|
|
3,823,108
|
|
|
1,071,567
|
|
Unrealized appreciation on swaps
|
|
85,804
|
|
|
389,756
|
|
|
483,080
|
|
|
1,619,608
|
|
|
|
|
Unrealized appreciation on foreign currency exchange contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,161
|
|
Cash
|
|
41,703
|
|
|
168,875
|
|
|
70,000
|
|
|
652,836
|
|
|
|
|
Cash pledged as collateral for financial futures contracts
|
|
517,000
|
|
|
2,246,000
|
|
|
805,000
|
|
|
2,389,940
|
|
|
|
|
Cash pledged as collateral for reverse repurchase agreements
|
|
|
|
|
|
|
|
|
|
|
690,000
|
|
|
|
|
Cash pledged as collateral for swaps
|
|
600,000
|
|
|
1,270,000
|
|
|
|
|
|
5,350,000
|
|
|
|
|
Interest receivable
|
|
2,359,673
|
|
|
10,314,414
|
|
|
4,562,840
|
|
|
16,006,139
|
|
|
1,613,341
|
|
Investments sold receivable
|
|
715,259
|
|
|
1,727,818
|
|
|
1,361,222
|
|
|
4,672,842
|
|
|
8,010,494
|
|
Reverse repurchase agreements receivable
|
|
372,450
|
|
|
960,076
|
|
|
2,207,010
|
|
|
8,598,980
|
|
|
|
|
Swaps premiums paid
|
|
247,862
|
|
|
1,050,104
|
|
|
605,709
|
|
|
1,557,261
|
|
|
|
|
Swaps receivable
|
|
13,608
|
|
|
62,192
|
|
|
61,081
|
|
|
213,170
|
|
|
|
|
Foreign currency at value
3
|
|
10,294
|
|
|
39,404
|
|
|
497
|
|
|
47
|
|
|
|
|
Dividends receivable
|
|
2,000
|
|
|
336
|
|
|
225
|
|
|
517
|
|
|
418
|
|
Prepaid expenses
|
|
6,616
|
|
|
15,844
|
|
|
22,905
|
|
|
61,431
|
|
|
54,023
|
|
Other assets
|
|
456
|
|
|
89,507
|
|
|
51,943
|
|
|
138,860
|
|
|
106,808
|
|
Total assets
|
|
163,675,517
|
|
|
680,366,017
|
|
|
321,365,449
|
|
|
1,080,386,058
|
|
|
461,419,176
|
|
|
Liabilities
|
Reverse repurchase agreements
|
|
53,267,631
|
|
|
213,033,213
|
|
|
92,971,273
|
|
|
339,303,168
|
|
|
|
|
Loan payable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
122,000,000
|
|
Options written at value
4
|
|
257,909
|
|
|
1,103,277
|
|
|
1,409,148
|
|
|
4,883,907
|
|
|
|
|
Unrealized depreciation on swaps
|
|
639,459
|
|
|
2,779,458
|
|
|
1,358,515
|
|
|
4,492,722
|
|
|
|
|
Unrealized depreciation on foreign currency exchange contracts
|
|
2,106
|
|
|
9,016
|
|
|
|
|
|
|
|
|
721,973
|
|
Cash received as collateral for reverse repurchase agreements
|
|
|
|
|
|
|
|
325,000
|
|
|
848,000
|
|
|
|
|
Cash received as collateral for swaps
|
|
|
|
|
|
|
|
|
|
|
700,000
|
|
|
|
|
Investments purchased payable
|
|
362,501
|
|
|
1,529,078
|
|
|
1,192,636
|
|
|
4,078,480
|
|
|
7,845,710
|
|
Margin variation payable
|
|
287,296
|
|
|
1,253,555
|
|
|
383,266
|
|
|
1,208,177
|
|
|
|
|
Investment advisory fees payable
|
|
80,372
|
|
|
335,809
|
|
|
168,017
|
|
|
567,361
|
|
|
278,383
|
|
Swaps premiums received
|
|
98,903
|
|
|
418,708
|
|
|
201,767
|
|
|
641,936
|
|
|
|
|
Interest expense payable
|
|
32,175
|
|
|
143,436
|
|
|
69,913
|
|
|
361,942
|
|
|
98,390
|
|
Swaps payable
|
|
32,658
|
|
|
135,503
|
|
|
72,862
|
|
|
240,074
|
|
|
|
|
Income dividends payable
|
|
27,362
|
|
|
124,515
|
|
|
36,737
|
|
|
226,785
|
|
|
47,461
|
|
Officer's and Directors' fees payable
|
|
538
|
|
|
90,328
|
|
|
58,445
|
|
|
153,605
|
|
|
109,199
|
|
Bank overdraft on foreign currency at value
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,411
|
|
Other accrued expenses payable
|
|
57,470
|
|
|
131,399
|
|
|
179,203
|
|
|
342,726
|
|
|
420,044
|
|
Total liabilities
|
|
55,146,380
|
|
|
221,087,295
|
|
|
98,426,782
|
|
|
358,048,883
|
|
|
131,588,571
|
|
Net Assets
|
$
|
108,529,137
|
|
$
|
459,278,722
|
|
$
|
222,938,667
|
|
$
|
722,337,175
|
|
$
|
329,830,605
|
|
|
Net Assets Consist of
|
Paid-in capital
5,6,7
|
$
|
235,477,660
|
|
$
|
937,350,272
|
|
$
|
422,218,171
|
|
$
|
1,123,084,063
|
|
$
|
428,621,718
|
|
Undistributed net investment income
|
|
810,163
|
|
|
2,350,278
|
|
|
787,825
|
|
|
1,025,075
|
|
|
5,628,436
|
|
Accumulated net realized loss
|
|
(133,350,575
|
)
|
|
(497,436,803
|
)
|
|
(203,449,517
|
)
|
|
(412,956,597
|
)
|
|
(90,227,574
|
)
|
Net unrealized appreciation/depreciation
|
|
5,591,889
|
|
|
17,014,975
|
|
|
3,382,188
|
|
|
11,184,634
|
|
|
(14,191,975
|
)
|
Net Assets
|
$
|
108,529,137
|
|
$
|
459,278,722
|
|
$
|
222,938,667
|
|
$
|
722,337,175
|
|
$
|
329,830,605
|
|
Net asset value
|
$
|
10.52
|
|
$
|
11.25
|
|
$
|
12.07
|
|
$
|
13.94
|
|
$
|
13.97
|
|
1
Investments at cost unaffiliated
|
$
|
151,184,693
|
|
$
|
642,166,810
|
|
$
|
303,928,660
|
|
$
|
1,018,748,047
|
|
$
|
464,025,215
|
|
2
Investments at cost affiliated
|
$
|
1,362,932
|
|
$
|
405,708
|
|
$
|
2,459,914
|
|
$
|
3,823,108
|
|
$
|
1,071,567
|
|
3
Foreign currency at cost
|
$
|
12,054
|
|
$
|
46,155
|
|
$
|
459
|
|
$
|
43
|
|
$
|
(69,028
|
)
|
4
Premiums received
|
$
|
129,600
|
|
$
|
554,400
|
|
$
|
851,400
|
|
$
|
2,923,700
|
|
|
|
|
5
Common shares par value per share
|
$
|
0.100
|
|
$
|
0.100
|
|
$
|
0.001
|
|
$
|
0.001
|
|
$
|
0.001
|
|
6
Common shares outstanding
|
|
10,311,941
|
|
|
40,807,418
|
|
|
18,467,785
|
|
|
51,828,157
|
|
|
23,616,745
|
|
7
Common shares authorized
|
|
199,994,540
|
|
|
199,978,000
|
|
|
unlimited
|
|
|
unlimited
|
|
|
unlimited
|
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
55
|
Statements of Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31, 2011
|
BlackRock
Credit
Allocation
Income
Trust I, Inc.
(PSW)
|
BlackRock
Credit
Allocation
Income
Trust II, Inc.
(PSY)
|
BlackRock
Credit
Allocation
Income
Trust III
(BPP)
|
BlackRock
Credit
Allocation
Income
Trust IV
(BTZ)
|
BlackRock
Floating
Rate
Income
Trust
(BGT)
|
Investment Income
|
Interest
|
$
|
8,059,109
|
|
$
|
34,533,976
|
|
$
|
15,284,006
|
|
$
|
51,582,916
|
|
$
|
28,901,520
|
|
Dividends unaffiliated
|
|
306,005
|
|
|
332,756
|
|
|
72,951
|
|
|
1,829,954
|
|
|
|
|
Income affiliated
|
|
824
|
|
|
9,358
|
|
|
9,838
|
|
|
31,528
|
|
|
13,587
|
|
Facility and other fees
|
|
|
|
|
|
|
|
|
|
|
|
|
|
111,972
|
|
Total income
|
|
8,365,938
|
|
|
34,876,090
|
|
|
15,366,795
|
|
|
53,444,398
|
|
|
29,027,079
|
|
|
Expenses
|
Investment advisory
|
|
884,816
|
|
|
3,796,125
|
|
|
1,838,844
|
|
|
6,192,077
|
|
|
3,491,061
|
|
Professional
|
|
60,097
|
|
|
461,461
|
|
|
80,727
|
|
|
389,219
|
|
|
317,644
|
|
Accounting services
|
|
42,295
|
|
|
89,744
|
|
|
56,942
|
|
|
130,008
|
|
|
57,689
|
|
Printing
|
|
10,042
|
|
|
44,563
|
|
|
64,686
|
|
|
158,254
|
|
|
62,789
|
|
Custodian
|
|
20,124
|
|
|
40,640
|
|
|
29,681
|
|
|
60,001
|
|
|
161,912
|
|
Officer and Directors
|
|
12,398
|
|
|
55,147
|
|
|
28,648
|
|
|
92,024
|
|
|
43,471
|
|
Transfer agent
|
|
35,562
|
|
|
88,349
|
|
|
11,780
|
|
|
17,606
|
|
|
22,799
|
|
Commissions for Preferred Shares
|
|
5,877
|
|
|
46,069
|
|
|
10,120
|
|
|
57,686
|
|
|
8,234
|
|
Registration
|
|
9,372
|
|
|
14,227
|
|
|
9,372
|
|
|
18,070
|
|
|
9,481
|
|
Borrowing costs
1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
378,407
|
|
Miscellaneous
|
|
31,665
|
|
|
54,068
|
|
|
43,785
|
|
|
85,353
|
|
|
74,392
|
|
Total expenses excluding interest expense
|
|
1,112,248
|
|
|
4,690,393
|
|
|
2,174,585
|
|
|
7,200,298
|
|
|
4,627,879
|
|
Interest expense
|
|
130,498
|
|
|
498,474
|
|
|
184,655
|
|
|
739,372
|
|
|
1,245,385
|
|
Total expenses
|
|
1,242,746
|
|
|
5,188,867
|
|
|
2,359,240
|
|
|
7,939,670
|
|
|
5,873,264
|
|
Less fees waived by advisor
|
|
(896
|
)
|
|
(3,835
|
)
|
|
(3,273
|
)
|
|
(10,610
|
)
|
|
(431,176
|
)
|
Less fees paid indirectly
|
|
(21
|
)
|
|
(75
|
)
|
|
(23
|
)
|
|
(136
|
)
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
1,241,829
|
|
|
5,184,957
|
|
|
2,355,944
|
|
|
7,928,924
|
|
|
5,442,088
|
|
Net investment income
|
|
7,124,109
|
|
|
29,691,133
|
|
|
13,010,851
|
|
|
45,515,474
|
|
|
23,584,991
|
|
|
Realized and Unrealized Gain (Loss)
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
1,266,758
|
|
|
2,608,897
|
|
|
1,593,588
|
|
|
4,505,460
|
|
|
1,935,296
|
|
Financial futures contracts
|
|
(3,130,213
|
)
|
|
(13,357,266
|
)
|
|
(3,586,041
|
)
|
|
(11,928,642
|
)
|
|
|
|
Foreign currency transactions
|
|
11,537
|
|
|
31,217
|
|
|
|
|
|
(25
|
)
|
|
(5,403,756
|
)
|
Options written
|
|
(40,906
|
)
|
|
(172,975
|
)
|
|
(53,664
|
)
|
|
(154,409
|
)
|
|
|
|
Swaps
|
|
(452,769
|
)
|
|
(1,816,534
|
)
|
|
(1,008,740
|
)
|
|
(3,406,631
|
)
|
|
1,581
|
|
|
|
(2,345,593
|
)
|
|
(12,706,661
|
)
|
|
(3,054,857
|
)
|
|
(10,984,247
|
)
|
|
(3,466,879
|
)
|
Net change in unrealized appreciation/depreciation on:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
(124,729
|
)
|
|
(893,116
|
)
|
|
(2,431,629
|
)
|
|
(12,180,752
|
)
|
|
(11,698,167
|
)
|
Financial futures contracts
|
|
119,839
|
|
|
575,672
|
|
|
109,368
|
|
|
(73,058
|
)
|
|
|
|
Foreign currency transactions
|
|
(3,925
|
)
|
|
(15,599
|
)
|
|
(3
|
)
|
|
|
|
|
5,277,129
|
|
Options written
|
|
(128,309
|
)
|
|
(548,877
|
)
|
|
(557,748
|
)
|
|
(1,960,207
|
)
|
|
|
|
Swaps
|
|
(553,655
|
)
|
|
(2,389,702
|
)
|
|
(875,435
|
)
|
|
(2,873,114
|
)
|
|
(19,172
|
)
|
Unfunded loan commitments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(117,687
|
)
|
|
|
(690,779
|
)
|
|
(3,271,622
|
)
|
|
(3,755,447
|
)
|
|
(17,087,131
|
)
|
|
(6,557,897
|
)
|
Total realized and unrealized loss
|
|
(3,036,372
|
)
|
|
(15,978,283
|
)
|
|
(6,810,304
|
)
|
|
(28,071,378
|
)
|
|
(10,024,776
|
)
|
|
Dividends to Preferred Shareholders From
|
Net investment income
|
|
(61,138
|
)
|
|
(506,078
|
)
|
|
(23,469
|
)
|
|
(646,135
|
)
|
|
(90,614
|
)
|
Net Increase in Net Assets Resulting from Operations
|
$
|
4,026,599
|
|
$
|
13,206,772
|
|
$
|
6,177,078
|
|
$
|
16,797,961
|
|
$
|
13,469,601
|
|
1
|
|
See Note 6 of the Notes to the Financial Statements for
details of short-term borrowings.
|
See Notes to Financial Statements.
56
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Credit Allocation
Income Trust I, Inc. (PSW)
|
|
BlackRock Credit Allocation
Income Trust II, Inc. (PSY)
|
|
Year Ended October 31,
|
|
Year Ended October 31,
|
Increase (Decrease) in Net Assets Applicable to Common Shareholders:
|
2011
|
|
2010
|
|
2011
|
|
2010
|
Operations
|
Net investment income
|
$
|
7,124,109
|
|
$
|
6,504,548
|
|
|
$
|
29,691,133
|
|
$
|
29,526,710
|
|
Net realized loss
|
|
(2,345,593
|
)
|
|
(3,995,338
|
)
|
|
|
(12,706,661
|
)
|
|
(33,383,348
|
)
|
Net change in unrealized appreciation/depreciation
|
|
(690,779
|
)
|
|
20,132,597
|
|
|
|
(3,271,622
|
)
|
|
104,507,204
|
|
Dividends to Preferred Shareholders from net investment income
|
|
(61,138
|
)
|
|
(611,907
|
)
|
|
|
(506,078
|
)
|
|
(2,578,803
|
)
|
Net increase in net assets applicable to Common Shareholders resulting from
operations
|
|
4,026,599
|
|
|
22,029,900
|
|
|
|
13,206,772
|
|
|
98,071,763
|
|
|
Dividends and Distributions to Common Shareholders From
|
Net investment income
|
|
(6,305,752
|
)
|
|
(6,360,087
|
)
|
|
|
(26,912,492
|
)
|
|
(29,029,600
|
)
|
Tax return of capital
|
|
|
|
|
(909,831
|
)
|
|
|
|
|
|
(5,350,650
|
)
|
Decrease in net assets resulting from dividends and distributions to Common
Shareholders
|
|
(6,305,752
|
)
|
|
(7,269,918
|
)
|
|
|
(26,912,492
|
)
|
|
(34,380,250
|
)
|
|
Net Assets Applicable to Common Shareholders
|
Total increase (decrease) in net assets applicable to Common Shareholders
|
|
(2,279,153
|
)
|
|
14,759,982
|
|
|
|
(13,705,720
|
)
|
|
63,691,513
|
|
Beginning of year
|
|
110,808,290
|
|
|
96,048,308
|
|
|
|
472,984,442
|
|
|
409,292,929
|
|
End of year
|
$
|
108,529,137
|
|
$
|
110,808,290
|
|
|
$
|
459,278,722
|
|
$
|
472,984,442
|
|
Undistributed net investment income
|
$
|
810,163
|
|
$
|
114,857
|
|
|
$
|
2,350,278
|
|
$
|
324,705
|
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
57
|
Statements of Changes in Net Assets (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Credit Allocation
Income Trust III (BPP)
|
|
BlackRock Credit Allocation
Income Trust IV (BTZ)
|
|
Year Ended October 31,
|
|
Year Ended October 31,
|
Increase (Decrease) in Net Assets Applicable to Common Shareholders:
|
2011
|
|
2010
|
|
2011
|
|
2010
|
Operations
|
Net investment income
|
$
|
13,010,851
|
|
$
|
13,514,214
|
|
|
$
|
45,515,474
|
|
$
|
44,282,613
|
|
Net realized gain (loss)
|
|
(3,054,857
|
)
|
|
(12,773,618
|
)
|
|
|
(10,984,247
|
)
|
|
712,631
|
|
Net change in unrealized appreciation/depreciation
|
|
(3,755,447
|
)
|
|
39,939,765
|
|
|
|
(17,087,131
|
)
|
|
109,629,309
|
|
Dividends to Preferred Shareholders from net investment income
|
|
(23,469
|
)
|
|
(202,609
|
)
|
|
|
(646,135
|
)
|
|
(3,511,929
|
)
|
Net increase in net assets applicable to Common Shareholders resulting from
operations
|
|
6,177,078
|
|
|
40,477,752
|
|
|
|
16,797,961
|
|
|
151,112,624
|
|
|
Dividends and Distributions to Common Shareholders From
|
Net investment income
|
|
(12,336,480
|
)
|
|
(14,081,286
|
)
|
|
|
(43,820,706
|
)
|
|
(41,824,719
|
)
|
Tax return of capital
|
|
|
|
|
(1,431,653
|
)
|
|
|
|
|
|
(14,927,112
|
)
|
Decrease in net assets resulting from dividends and distributions to Common
Shareholders
|
|
(12,336,480
|
)
|
|
(15,512,939
|
)
|
|
|
(43,820,706
|
)
|
|
(56,751,831
|
)
|
|
Net Assets Applicable to Common Shareholders
|
Total increase (decrease) in net assets applicable to Common Shareholders
|
|
(6,159,402
|
)
|
|
24,964,813
|
|
|
|
(27,022,745
|
)
|
|
94,360,793
|
|
Beginning of year
|
|
229,098,069
|
|
|
204,133,256
|
|
|
|
749,359,920
|
|
|
654,999,127
|
|
End of year
|
$
|
222,938,667
|
|
$
|
229,098,069
|
|
|
$
|
722,337,175
|
|
$
|
749,359,920
|
|
Undistributed net investment income
|
$
|
787,825
|
|
$
|
328,304
|
|
|
$
|
1,025,075
|
|
$
|
525,038
|
|
See Notes to Financial Statements.
58
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Statements of Changes in Net Assets (concluded)
|
|
|
|
|
|
|
|
BlackRock
Floating Rate Income Trust (BGT)
|
|
Year Ended October 31,
|
Increase (Decrease) in Net Assets Applicable to Common Shareholders:
|
2011
|
2010
|
Operations
|
Net investment income
|
$
|
23,584,991
|
|
$
|
22,931,750
|
|
Net realized loss
|
|
(3,466,879
|
)
|
|
(7,990,225
|
)
|
Net change in unrealized appreciation/depreciation
|
|
(6,557,897
|
)
|
|
33,559,226
|
|
Dividends to Preferred Shareholders from net investment income
|
|
(90,614
|
)
|
|
(893,902
|
)
|
Net increase in net assets applicable to Common Shareholders resulting from operations
|
|
13,469,601
|
|
|
47,606,849
|
|
|
Dividends and Distributions to Common Shareholders From
|
Net investment income
|
|
(25,653,072
|
)
|
|
(19,496,826
|
)
|
|
Capital Share Transactions
|
Reinvestment of common dividends
|
|
577,941
|
|
|
453,913
|
|
|
Net Assets Applicable to Common Shareholders
|
Total increase (decrease) in net assets applicable to Common Shareholders
|
|
(11,605,530
|
)
|
|
28,563,936
|
|
Beginning of year
|
|
341,436,135
|
|
|
312,872,199
|
|
End of year
|
$
|
329,830,605
|
|
$
|
341,436,135
|
|
Undistributed net investment income
|
$
|
5,628,436
|
|
$
|
10,644,933
|
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
59
|
Statements of Cash Flows
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31, 2011
|
BlackRock
Credit
Allocation
Income
Trust I, Inc.
(PSW)
|
BlackRock
Credit
Allocation
Income
Trust II, Inc.
(PSY)
|
BlackRock
Credit
Allocation
Income
Trust III
(BPP)
|
BlackRock
Credit
Allocation
Income
Trust IV
(BTZ)
|
BlackRock
Floating
Rate
Income
Trust
(BGT)
|
Cash Provided by (Used for) Operating Activities
|
Net increase in net assets resulting from operations, excluding dividends
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
to Preferred Shareholders
|
$
|
4,087,737
|
|
$
|
13,712,850
|
|
$
|
6,200,547
|
|
$
|
17,444,096
|
|
$
|
13,560,215
|
|
Adjustments to reconcile net increase in net assets resulting from operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
to net cash provided by (used for) operating activities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Increase) decrease in interest receivable
|
|
(249,203
|
)
|
|
(1,102,309
|
)
|
|
(846,444
|
)
|
|
(2,134,979
|
)
|
|
1,627,555
|
|
(Increase) decrease in swap receivable
|
|
(13,608
|
)
|
|
(62,192
|
)
|
|
(61,081
|
)
|
|
(213,170
|
)
|
|
6,730
|
|
(Increase) decrease in other assets
|
|
166,547
|
|
|
1,256,816
|
|
|
2,461
|
|
|
(6,890
|
)
|
|
240,290
|
|
Decrease in prepaid expenses
|
|
9,470
|
|
|
30,165
|
|
|
11,727
|
|
|
38,547
|
|
|
76,586
|
|
Decrease in commitment fees receivable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,782
|
|
(Increase) decrease in dividends receivable
|
|
(2,000
|
)
|
|
(336
|
)
|
|
(225
|
)
|
|
706,335
|
|
|
1,272
|
|
Decrease in margin variation receivable
|
|
8,063
|
|
|
14,375
|
|
|
8,625
|
|
|
166,094
|
|
|
|
|
Decrease in dividends receivable affiliated
|
|
|
|
|
283
|
|
|
208
|
|
|
|
|
|
|
|
Decrease in cash pledged as collateral for reverse
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
repurchase agreements
|
|
|
|
|
|
|
|
325,000
|
|
|
158,000
|
|
|
|
|
Increase in cash pledged as collateral for financial futures contracts
|
|
(467,000
|
)
|
|
(2,186,000
|
)
|
|
(765,000
|
)
|
|
(1,759,940
|
)
|
|
|
|
(Increase) decrease in cash pledged as collateral for swaps
|
|
(600,000
|
)
|
|
(1,270,000
|
)
|
|
|
|
|
(4,650,000
|
)
|
|
100,000
|
|
Increase in investment advisory fees payable
|
|
676
|
|
|
1,213
|
|
|
4,332
|
|
|
11,705
|
|
|
42,578
|
|
Increase in interest expense and fees payable
|
|
31,064
|
|
|
143,409
|
|
|
69,913
|
|
|
361,942
|
|
|
34,189
|
|
Decrease in other affiliates payable
|
|
(968
|
)
|
|
(4,048
|
)
|
|
(1,856
|
)
|
|
(6,636
|
)
|
|
(2,636
|
)
|
Decrease in other liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(196,354
|
)
|
Increase in other accrued expenses payable
|
|
22,782
|
|
|
76,660
|
|
|
81,167
|
|
|
164,430
|
|
|
98,421
|
|
Increase in margin variation payable
|
|
287,296
|
|
|
1,253,555
|
|
|
383,266
|
|
|
1,208,177
|
|
|
|
|
Increase in swaps payable
|
|
32,658
|
|
|
135,503
|
|
|
72,862
|
|
|
240,074
|
|
|
|
|
Increase (decrease) in Officers and Directors fees payable
|
|
278
|
|
|
4,081
|
|
|
2,362
|
|
|
20,059
|
|
|
3,941
|
|
Net periodic and termination payments of swaps
|
|
(148,959
|
)
|
|
(631,396
|
)
|
|
(403,942
|
)
|
|
(915,325
|
)
|
|
|
|
Net realized and unrealized (gain) loss on investments
|
|
(415,306
|
)
|
|
1,411,073
|
|
|
2,324,892
|
|
|
12,666,726
|
|
|
4,801,747
|
|
Amortization of premium and accretion of discount on investments
|
|
275,999
|
|
|
1,470,810
|
|
|
646,032
|
|
|
2,068,898
|
|
|
(3,041,192
|
)
|
Paid-in-kind income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,982
|
|
Premiums received from options written
|
|
255,600
|
|
|
1,087,200
|
|
|
1,141,085
|
|
|
3,937,635
|
|
|
|
|
Proceeds from sales of long-term investments
|
|
76,845,818
|
|
|
312,213,871
|
|
|
133,081,838
|
|
|
506,046,675
|
|
|
424,548,661
|
|
Purchases of long-term investments
|
|
(84,611,768
|
)
|
|
(341,244,282
|
)
|
|
(181,824,016
|
)
|
|
(611,946,163
|
)
|
|
(449,027,119
|
)
|
Net proceeds from sales of short-term securities
|
|
4,521,166
|
|
|
1,077,859
|
|
|
32,006,613
|
|
|
23,101,556
|
|
|
7,698,944
|
|
Premiums paid on closing options written
|
|
(166,906
|
)
|
|
(705,775
|
)
|
|
(343,350
|
)
|
|
(1,168,344
|
)
|
|
|
|
Cash provided by (used for) operating activities
|
|
(130,564
|
)
|
|
(13,316,615
|
)
|
|
(7,882,984
|
)
|
|
(54,460,498
|
)
|
|
587,592
|
|
|
Cash Provided by (Used for) Financing Activities
|
Cash receipts from borrowings
|
|
64,934,501
|
|
|
303,838,198
|
|
|
126,218,237
|
|
|
451,862,673
|
|
|
380,000,000
|
|
Cash payments on borrowings
|
|
(18,121,820
|
)
|
|
(93,770,061
|
)
|
|
(35,453,974
|
)
|
|
(121,158,485
|
)
|
|
(296,000,000
|
)
|
Cash payments on redemption of Preferred Shares
|
|
(40,250,000
|
)
|
|
(169,025,000
|
)
|
|
(70,425,000
|
)
|
|
(231,000,000
|
)
|
|
(58,800,000
|
)
|
Cash dividends paid to Common Shareholders
|
|
(6,309,486
|
)
|
|
(26,938,952
|
)
|
|
(12,360,466
|
)
|
|
(43,957,502
|
)
|
|
(25,027,670
|
)
|
Cash dividends paid to Preferred Shareholders
|
|
(70,242
|
)
|
|
(572,540
|
)
|
|
(25,813
|
)
|
|
(691,245
|
)
|
|
(102,862
|
)
|
Increase (decrease) in bank overdraft
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(657,169
|
)
|
Cash provided by (used for) financing activities
|
|
182,953
|
|
|
13,531,645
|
|
|
7,952,984
|
|
|
55,055,441
|
|
|
(587,701
|
)
|
|
Cash Impact from Foreign Exchange Fluctuations
|
Cash impact from foreign exchange fluctuations
|
|
(1,793
|
)
|
|
(6,751
|
)
|
|
(3
|
)
|
|
1
|
|
|
109
|
|
|
Cash and Foreign Currency
|
Net increase (decrease) in cash and foreign currency
|
|
50,596
|
|
|
208,279
|
|
|
69,997
|
|
|
594,944
|
|
|
|
|
Cash and foreign currency at beginning of year
|
|
1,401
|
|
|
|
|
|
500
|
|
|
57,939
|
|
|
|
|
Cash and foreign currency at end of year
|
$
|
51,997
|
|
$
|
208,279
|
|
$
|
70,497
|
|
$
|
652,883
|
|
|
|
|
|
Cash Flow Information
|
Cash paid during the year for interest and fees
|
$
|
99,434
|
|
$
|
355,065
|
|
$
|
114,742
|
|
$
|
377,430
|
|
$
|
1,211,196
|
|
|
Noncash Financing Activities
|
Capital shares issued in reinvestment of dividends paid to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
577,941
|
|
A Statement of
Cash Flows is presented when a Fund had a significant amount of borrowing during the period, based on the average borrowing outstanding
in relation to average total assets.
See Notes to Financial Statements.
60
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Financial Highlights
|
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
|
2011
|
2010
|
2009
|
2008
|
2007
|
Per Share Operating Performance
|
Net asset value, beginning of year
|
$
|
10.75
|
|
$
|
9.31
|
|
$
|
7.43
|
|
$
|
19.54
|
|
$
|
22.25
|
|
Net investment income
1
|
|
0.69
|
|
|
0.63
|
|
|
0.86
|
|
|
1.70
|
|
|
2.01
|
|
Net realized and unrealized gain (loss)
|
|
(0.30
|
)
|
|
1.58
|
|
|
2.06
|
|
|
(12.06
|
)
|
|
(2.41
|
)
|
Dividends to Preferred Shareholders from net investment income
|
|
(0.01
|
)
|
|
(0.06
|
)
|
|
(0.08
|
)
|
|
(0.48
|
)
|
|
(0.71
|
)
|
Net increase (decrease) from investment operations
|
|
0.38
|
|
|
2.15
|
|
|
2.84
|
|
|
(10.84
|
)
|
|
(1.11
|
)
|
Dividends and distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.61
|
)
|
|
(0.62
|
)
|
|
(0.83
|
)
|
|
(1.22
|
)
|
|
(1.18
|
)
|
Tax return of capital
|
|
|
|
|
(0.09
|
)
|
|
(0.13
|
)
|
|
(0.05
|
)
|
|
(0.42
|
)
|
Total dividends and distributions
|
|
(0.61
|
)
|
|
(0.71
|
)
|
|
(0.96
|
)
|
|
(1.27
|
)
|
|
(1.60
|
)
|
Net asset value, end of year
|
$
|
10.52
|
|
$
|
10.75
|
|
$
|
9.31
|
|
$
|
7.43
|
|
$
|
19.54
|
|
Market price, end of year
|
$
|
9.25
|
|
$
|
9.67
|
|
$
|
8.24
|
|
$
|
7.00
|
|
$
|
17.29
|
|
|
Total Investment Return Applicable to Common Shareholders
2
|
Based on net asset value
|
|
4.55
|
%
|
|
24.77
|
%
3
|
|
46.46
|
%
|
|
(58.09
|
)%
|
|
(5.03
|
)%
|
Based on market price
|
|
2.20
|
%
|
|
26.81
|
%
|
|
37.59
|
%
|
|
(55.38
|
)%
|
|
(12.05
|
)%
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
Total expenses
4
|
|
1.14
|
%
|
|
1.16
|
%
|
|
1.61
|
%
|
|
2.00
|
%
|
|
1.32
|
%
|
Total expenses after fees waived and paid indirectly
4
|
|
1.14
|
%
|
|
1.14
|
%
|
|
1.59
|
%
|
|
2.00
|
%
|
|
1.32
|
%
|
Total expenses after fees waived and paid indirectly and excluding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
interest expense
4
|
|
1.02
|
%
|
|
1.13
|
%
|
|
1.44
|
%
|
|
1.48
|
%
|
|
1.29
|
%
|
Net investment income
4
|
|
6.56
|
%
|
|
6.28
|
%
|
|
12.45
|
%
|
|
10.79
|
%
|
|
9.38
|
%
|
Dividends to Preferred Shareholders
|
|
0.06
|
%
|
|
0.59
|
%
|
|
1.09
|
%
|
|
3.03
|
%
|
|
3.29
|
%
|
Net investment income to Common Shareholders
|
|
6.50
|
%
|
|
5.69
|
%
|
|
11.36
|
%
|
|
7.76
|
%
|
|
6.09
|
%
|
|
Supplemental Data
|
Net assets applicable to Common Shareholders, end of year (000)
|
$
|
108,529
|
|
$
|
110,808
|
|
$
|
96,048
|
|
$
|
76,430
|
|
$
|
201,155
|
|
Preferred Shares outstanding at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year (000)
|
|
|
|
$
|
40,250
|
|
$
|
40,250
|
|
$
|
68,250
|
|
$
|
136,500
|
|
Borrowings outstanding, end of year (000)
|
$
|
53,268
|
|
$
|
6,083
|
|
$
|
4,972
|
|
$
|
4,024
|
|
$
|
590
|
|
Average borrowings outstanding during the year (000)
|
$
|
34,952
|
|
$
|
5,269
|
|
$
|
5,321
|
|
$
|
25,692
|
|
$
|
2,690
|
|
Portfolio turnover
|
|
53
|
%
|
|
66
|
%
|
|
36
|
%
|
|
119
|
%
|
|
88
|
%
|
Asset coverage per Preferred Share at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year
|
|
|
|
$
|
93,831
|
|
$
|
84,663
|
|
$
|
53,009
|
|
$
|
61,846
|
|
Asset coverage, end of period per $1,000
|
$
|
3,037
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
Based on average shares outstanding.
|
2
|
|
Total investment returns based on market price, which
can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
3
|
|
Includes proceeds from a settlement of litigation which
impacted the Fund. Not including these proceeds the Funds total return would have been 24.54%.
|
4
|
|
Do not reflect the effect of dividends to Preferred Shareholders.
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
61
|
|
|
Financial Highlights
|
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
|
2011
|
2010
|
2009
|
2008
|
2007
|
Per Share Operating Performance
|
Net asset value, beginning of year
|
$
|
11.59
|
|
$
|
10.03
|
|
$
|
7.96
|
|
$
|
19.93
|
|
$
|
22.36
|
|
Net investment income
1
|
|
0.73
|
|
|
0.72
|
|
|
1.11
|
|
|
1.73
|
|
|
2.02
|
|
Net realized and unrealized gain (loss)
|
|
(0.40
|
)
|
|
1.74
|
|
|
2.17
|
|
|
(11.84
|
)
|
|
(2.35
|
)
|
Dividends to Preferred Shareholders from net investment income
|
|
(0.01
|
)
|
|
(0.06
|
)
|
|
(0.09
|
)
|
|
(0.49
|
)
|
|
(0.73
|
)
|
Net increase (decrease) from investment operations
|
|
0.32
|
|
|
2.40
|
|
|
3.19
|
|
|
(10.60
|
)
|
|
(1.06
|
)
|
Dividends and distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.66
|
)
|
|
(0.71
|
)
|
|
(1.12
|
)
|
|
(1.15
|
)
|
|
(1.16
|
)
|
Tax return of capital
|
|
|
|
|
(0.13
|
)
|
|
(0.00
|
)
2
|
|
(0.22
|
)
|
|
(0.21
|
)
|
Total dividends and distributions
|
|
(0.66
|
)
|
|
(0.84
|
)
|
|
(1.12
|
)
|
|
(1.37
|
)
|
|
(1.37
|
)
|
Net asset value, end of year
|
$
|
11.25
|
|
$
|
11.59
|
|
$
|
10.03
|
|
$
|
7.96
|
|
$
|
19.93
|
|
Market price, end of year
|
$
|
9.74
|
|
$
|
10.39
|
|
$
|
8.90
|
|
$
|
8.10
|
|
$
|
16.94
|
|
|
Total Investment Return Applicable to Common Shareholders
3
|
Based on net asset value
|
|
3.71
|
%
|
|
25.70
|
%
4
|
|
48.36
|
%
|
|
(55.71
|
)%
|
|
(4.35
|
)%
|
Based on market price
|
|
0.16
|
%
|
|
26.99
|
%
|
|
29.37
|
%
|
|
(46.97
|
)%
|
|
(9.65
|
)%
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
Total expenses
5
|
|
1.12
|
%
|
|
1.04
|
%
|
|
1.41
|
%
|
|
1.90
|
%
|
|
1.27
|
%
|
Total expenses after fees waived and paid indirectly
5
|
|
1.12
|
%
|
|
1.03
|
%
|
|
1.41
|
%
|
|
1.90
|
%
|
|
1.27
|
%
|
Total expenses after fees waived and paid indirectly and excluding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
interest expense
5
|
|
1.01
|
%
|
|
1.02
|
%
|
|
1.33
|
%
|
|
1.40
|
%
|
|
1.23
|
%
|
Net investment income
5
|
|
6.42
|
%
|
|
6.66
|
%
|
|
15.05
|
%
|
|
10.71
|
%
|
|
9.29
|
%
|
Dividends to Preferred Shareholders
|
|
0.11
|
%
|
|
0.58
|
%
|
|
1.19
|
%
|
|
3.04
|
%
|
|
3.34
|
%
|
Net investment income to Common Shareholders
|
|
6.31
|
%
|
|
6.08
|
%
|
|
13.86
|
%
|
|
7.67
|
%
|
|
5.95
|
%
|
|
Supplemental Data
|
Net assets applicable to Common Shareholders, end of year (000)
|
$
|
459,279
|
|
$
|
472,984
|
|
$
|
409,293
|
|
$
|
323,132
|
|
$
|
809,411
|
|
Preferred Shares outstanding at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year (000)
|
|
|
|
$
|
169,025
|
|
$
|
169,025
|
|
$
|
275,000
|
|
$
|
550,000
|
|
Borrowings outstanding, end of year (000)
|
$
|
213,033
|
|
$
|
4,020
|
|
$
|
9,511
|
|
$
|
54,369
|
|
|
|
|
Average borrowings outstanding during the year (000)
|
$
|
137,824
|
|
$
|
13,407
|
|
$
|
15,842
|
|
$
|
94,908
|
|
$
|
14,375
|
|
Portfolio turnover
|
|
50
|
%
|
|
73
|
%
|
|
16
|
%
|
|
120
|
%
|
|
81
|
%
|
Asset coverage per Preferred Share at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year
|
|
|
|
$
|
94,968
|
|
$
|
85,547
|
|
$
|
54,408
|
|
$
|
61,817
|
|
Asset coverage, end of year per $1,000
|
$
|
3,156
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
Based on average shares outstanding.
|
2
|
|
Amount is less than $(0.01) per share.
|
3
|
|
Total investment returns based on market price, which
can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
4
|
|
Includes proceeds from a settlement of litigation which
impacted the Fund. Not including these proceeds the Funds total return would have been 25.37%.
|
5
|
|
Do not reflect the effect of dividends to Preferred Shareholders.
|
See Notes to Financial Statements.
62
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Financial Highlights
|
BlackRock Credit Allocation Income Trust III (BPP)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
Period
January 1,
2008
to
October 31,
2008
|
Year Ended December 31,
|
|
2011
|
2010
|
2009
|
2007
|
2006
|
Per Share Operating Performance
|
Net asset value, beginning of year
|
$
|
12.41
|
|
$
|
11.05
|
|
$
|
8.77
|
|
$
|
19.47
|
|
$
|
24.52
|
|
$
|
24.43
|
|
Net investment income
|
|
0.70
|
1
|
|
0.73
|
1
|
|
1.09
|
1
|
|
1.48
|
1
|
|
2.05
|
|
|
2.05
|
|
Net realized and unrealized gain (loss)
|
|
(0.37
|
)
|
|
1.48
|
|
|
2.40
|
|
|
(10.74
|
)
|
|
(4.72
|
)
|
|
0.62
|
|
Dividends and distributions to Preferred Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.00
|
)
2
|
|
(0.01
|
)
|
|
(0.03
|
)
|
|
(0.31
|
)
|
|
(0.62
|
)
|
|
(0.46
|
)
|
Net realized gain
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.12
|
)
|
Net increase (decrease) from investment operations
|
|
0.33
|
|
|
2.20
|
|
|
3.46
|
|
|
(9.57
|
)
|
|
(3.29
|
)
|
|
2.09
|
|
Dividends and distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.67
|
)
|
|
(0.76
|
)
|
|
(0.95
|
)
|
|
(0.83
|
)
|
|
(1.59
|
)
|
|
(1.58
|
)
|
Net realized gain
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.02
|
)
|
|
(0.42
|
)
|
Tax return of capital
|
|
|
|
|
(0.08
|
)
|
|
(0.23
|
)
|
|
(0.30
|
)
|
|
(0.15
|
)
|
|
|
|
Total dividends and distributions
|
|
(0.67
|
)
|
|
(0.84
|
)
|
|
(1.18
|
)
|
|
(1.13
|
)
|
|
(1.76
|
)
|
|
(2.00
|
)
|
Net asset value, end of year
|
$
|
12.07
|
|
$
|
12.41
|
|
$
|
11.05
|
|
$
|
8.77
|
|
$
|
19.47
|
|
$
|
24.52
|
|
Market price, end of year
|
$
|
10.53
|
|
$
|
11.23
|
|
$
|
9.94
|
|
$
|
8.51
|
|
$
|
17.31
|
|
$
|
26.31
|
|
|
Total Investment Return Applicable to Common Shareholders
3
|
Based on net asset value
|
|
3.56
|
%
|
|
21.52
|
%
|
|
47.16
|
%
|
|
(51.22
|
)%
4
|
|
(13.86
|
)%
|
|
8.89
|
%
|
Based on market price
|
|
(0.16
|
)%
|
|
22.25
|
%
|
|
36.42
|
%
|
|
(46.76
|
)%
4
|
|
(28.62
|
)%
|
|
17.98
|
%
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
Total expenses
5
|
|
1.05
|
%
|
|
1.09
|
%
|
|
1.66
|
%
|
|
1.96
|
%
6
|
|
1.46
|
%
|
|
1.62
|
%
|
Total expenses after fees waived and paid indirectly
5
|
|
1.05
|
%
|
|
1.08
|
%
|
|
1.64
|
%
|
|
1.96
|
%
6
|
|
1.45
|
%
|
|
1.62
|
%
|
Total expenses after fees waived and paid indirectly and excluding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
interest expense
5
|
|
0.96
|
%
|
|
1.07
|
%
|
|
1.39
|
%
|
|
1.39
|
%
6
|
|
1.24
|
%
|
|
1.25
|
%
|
Net investment income
5
|
|
5.78
|
%
|
|
6.31
|
%
|
|
13.08
|
%
|
|
10.53
|
%
6
|
|
8.90
|
%
|
|
8.46
|
%
|
Dividends to Preferred Shareholders
|
|
0.01
|
%
|
|
0.10
|
%
|
|
0.38
|
%
|
|
2.19
|
%
6
|
|
2.70
|
%
|
|
1.89
|
%
|
Net investment income to Common Shareholders
|
|
5.77
|
%
|
|
6.21
|
%
|
|
12.70
|
%
|
|
8.34
|
%
6
|
|
6.20
|
%
|
|
6.58
|
%
|
|
Supplemental Data
|
Net assets applicable to Common Shareholders,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year (000)
|
$
|
222,939
|
|
$
|
229,098
|
|
$
|
204,133
|
|
$
|
161,311
|
|
$
|
358,017
|
|
$
|
449,995
|
|
Preferred Shares outstanding at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year (000)
|
|
|
|
$
|
70,425
|
|
$
|
70,425
|
|
$
|
110,400
|
|
$
|
220,800
|
|
$
|
220,800
|
|
Borrowings outstanding, end of year (000)
|
$
|
92,971
|
|
|
|
|
$
|
13,235
|
|
$
|
44,281
|
|
|
|
|
|
|
|
Average borrowings outstanding during the year (000)
|
$
|
51,264
|
|
$
|
2,121
|
|
$
|
16,330
|
|
$
|
51,995
|
|
$
|
903
|
|
|
1,303
|
|
Portfolio turnover
|
|
48
|
%
|
|
67
|
%
|
|
16
|
%
|
|
121
|
%
|
|
97
|
%
|
|
91
|
%
|
Asset coverage per Preferred Share at $25,000 liquidation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
preference, end of year
|
|
|
|
$
|
106,328
|
|
$
|
97,465
|
|
$
|
61,540
|
|
$
|
65,554
|
|
$
|
75,965
|
|
Asset coverage, end of year per $1,000
|
$
|
3,398
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
Based on average shares outstanding.
|
2
|
|
Amount is less than $(0.01) per share.
|
3
|
|
Total investment returns based on market price, which
can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
4
|
|
Aggregate total investment return.
|
5
|
|
Do not reflect the effect of dividends to Preferred Shareholders.
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
63
|
|
|
Financial Highlights
|
BlackRock Credit Allocation Income Trust IV (BTZ)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
Period
December 27,
2006
1
to
October 31,
2007
|
|
2011
|
2010
|
2009
|
2008
|
Per Share Operating Performance
|
Net asset value, beginning of year
|
$
|
14.46
|
|
$
|
12.64
|
|
$
|
10.59
|
|
$
|
21.39
|
|
$
|
23.88
|
2
|
Net investment income
|
|
0.88
|
3
|
|
0.85
|
3
|
|
0.99
|
3
|
|
1.33
|
3
|
|
1.25
|
|
Net realized and unrealized gain (loss)
|
|
(0.54
|
)
|
|
2.14
|
|
|
2.54
|
|
|
(10.06
|
)
|
|
(1.86
|
)
|
Dividends to Preferred Shareholders from net investment income
|
|
(0.01
|
)
|
|
(0.07
|
)
|
|
(0.07
|
)
|
|
(0.33
|
)
|
|
(0.31
|
)
|
Net increase (decrease) from investment operations
|
|
0.33
|
|
|
2.92
|
|
|
3.46
|
|
|
(9.06
|
)
|
|
(0.92
|
)
|
Dividends and distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.85
|
)
|
|
(0.81
|
)
|
|
(0.93
|
)
|
|
(0.90
|
)
|
|
(0.93
|
)
|
Tax return of capital
|
|
|
|
|
(0.29
|
)
|
|
(0.48
|
)
|
|
(0.84
|
)
|
|
(0.47
|
)
|
Total dividends and distributions
|
|
(0.85
|
)
|
|
(1.10
|
)
|
|
(1.41
|
)
|
|
(1.74
|
)
|
|
(1.40
|
)
|
Capital charge with respect to issuance of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.04
|
)
|
Preferred Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.13
|
)
|
Total capital charges
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.17
|
)
|
Net asset value, end of year
|
$
|
13.94
|
|
$
|
14.46
|
|
$
|
12.64
|
|
$
|
10.59
|
|
$
|
21.39
|
|
Market price, end of year
|
$
|
12.08
|
|
$
|
13.02
|
|
$
|
10.96
|
|
$
|
9.36
|
|
$
|
18.65
|
|
|
Total Investment Return Applicable to Common Shareholders
4
|
Based on net asset value
|
|
3.28
|
%
|
|
25.16
|
%
|
|
41.06
|
%
|
|
(44.27
|
)%
|
|
(4.42
|
)%
5
|
Based on market price
|
|
(0.60
|
)%
|
|
29.98
|
%
|
|
38.38
|
%
|
|
(43.51
|
)%
|
|
(20.34
|
)%
5
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
Total expenses
6
|
|
1.09
|
%
|
|
1.12
|
%
|
|
1.60
|
%
|
|
1.65
|
%
|
|
1.90
|
%
7
|
Total expenses after fees waived and paid indirectly
6
|
|
1.09
|
%
|
|
1.11
|
%
|
|
1.58
|
%
|
|
1.65
|
%
|
|
1.88
|
%
7
|
Total expenses after fees waived and paid indirectly and excluding interest expense
6
|
|
0.99
|
%
|
|
1.07
|
%
|
|
1.24
|
%
|
|
1.21
|
%
|
|
1.04
|
%
7
|
Net investment income
6
|
|
6.25
|
%
|
|
6.33
|
%
|
|
9.93
|
%
|
|
7.63
|
%
|
|
6.50
|
%
7
|
Dividends to Preferred Shareholders
|
|
0.09
|
%
|
|
0.50
|
%
|
|
0.74
|
%
|
|
1.89
|
%
|
|
1.64
|
%
7
|
Net investment income to Common Shareholders
|
|
6.16
|
%
|
|
5.83
|
%
|
|
9.19
|
%
|
|
5.74
|
%
|
|
4.86
|
%
7
|
|
Supplemental Data
|
Net assets applicable to Common Shareholders, end of year (000)
|
$
|
722,337
|
|
$
|
749,360
|
|
$
|
654,999
|
|
$
|
548,612
|
|
$
|
1,108,534
|
|
Preferred Shares outstanding at $25,000 liquidation preference, end of year (000)
|
|
|
|
$
|
231,000
|
|
$
|
231,000
|
|
$
|
231,000
|
|
$
|
462,000
|
|
Borrowings outstanding, end of year (000)
|
$
|
339,303
|
|
|
|
|
$
|
61,576
|
|
$
|
223,512
|
|
$
|
88,291
|
|
Average borrowings outstanding during the year (000)
|
$
|
182,843
|
|
$
|
63,660
|
|
$
|
76,521
|
|
$
|
107,377
|
|
$
|
96,468
|
|
Portfolio turnover
|
|
54
|
%
|
|
64
|
%
|
|
30
|
%
|
|
126
|
%
|
|
35
|
%
|
Asset coverage per Preferred Share at $25,000 liquidation preference, end of year
|
|
|
|
$
|
106,104
|
|
$
|
95,892
|
|
$
|
84,384
|
|
$
|
89,737
|
|
Asset coverage, end of year per $1,000
|
$
|
3,129
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
Commencement of operations.
|
2
|
|
Net asset value, beginning of period, reflects a deduction
of $1.12 per share sales charge from initial offering price of $25.00 per share.
|
3
|
|
Based on average shares outstanding.
|
4
|
|
Total investment returns based on market price, which
can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
5
|
|
Aggregate total investment return.
|
6
|
|
Do not reflect the effect of dividends to Preferred Shareholders.
|
See Notes to Financial Statements.
64
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
|
|
Financial Highlights
|
BlackRock Floating Rate Income Trust (BGT)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31,
|
Period
January 1,
2008
to
October 31,
2008
|
Year Ended December 31,
|
|
2011
|
2010
|
2009
|
2007
|
2006
|
Per Share Operating Performance
|
Net asset value, beginning of year
|
$
|
14.48
|
|
$
|
13.29
|
|
$
|
11.24
|
|
$
|
17.71
|
|
$
|
19.11
|
|
$
|
19.13
|
|
Net investment income
|
|
1.00
|
1
|
|
0.97
|
1
|
|
0.98
|
1
|
|
1.42
|
1
|
|
2.03
|
|
|
1.99
|
|
Net realized and unrealized gain (loss)
|
|
(0.42
|
)
|
|
1.09
|
|
|
2.72
|
|
|
(6.62
|
)
|
|
(1.39
|
)
|
|
(0.06
|
)
|
Dividends and distributions to Preferred Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.00
|
)
2
|
|
(0.04
|
)
|
|
(0.04
|
)
|
|
(0.24
|
)
|
|
(0.54
|
)
|
|
(0.48
|
)
|
Net realized gain
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.01
|
)
|
Net increase (decrease) from investment operations
|
|
0.58
|
|
|
2.02
|
|
|
3.66
|
|
|
(5.44
|
)
|
|
0.10
|
|
|
1.44
|
|
Dividends and distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(1.09
|
)
|
|
(0.83
|
)
|
|
(1.19
|
)
|
|
(1.03
|
)
|
|
(1.14
|
)
|
|
(1.44
|
)
|
Net realized gain
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.02
|
)
|
Tax return of capital
|
|
|
|
|
|
|
|
(0.42
|
)
|
|
|
|
|
(0.36
|
)
|
|
|
|
Total dividends and distributions
|
|
(1.09
|
)
|
|
(0.83
|
)
|
|
(1.61
|
)
|
|
(1.03
|
)
|
|
(1.50
|
)
|
|
(1.46
|
)
|
Net asset value, end of year
|
$
|
13.97
|
|
$
|
14.48
|
|
$
|
13.29
|
|
$
|
11.24
|
|
$
|
17.71
|
|
$
|
19.11
|
|
Market price, end of year
|
$
|
13.00
|
|
$
|
14.52
|
|
$
|
12.58
|
|
$
|
9.63
|
|
$
|
15.78
|
|
$
|
19.27
|
|
|
Total Investment Return Applicable to Common Shareholders
3
|
Based on net asset value
|
|
4.03
|
%
|
|
15.55
|
%
|
|
39.51
|
%
|
|
(31.62
|
)%
4
|
|
0.98
|
%
|
|
7.93
|
%
|
Based on market price
|
|
(3.46
|
)%
|
|
22.41
|
%
|
|
54.14
|
%
|
|
(34.24
|
)%
4
|
|
(10.92
|
)%
|
|
21.31
|
%
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
Total expenses
5
|
|
1.73
|
%
|
|
1.43
|
%
|
|
1.96
|
%
|
|
2.22
|
%
6
|
|
1.67
|
%
|
|
1.75
|
%
|
Total expenses after fees waived and paid indirectly
5
|
|
1.60
|
%
|
|
1.25
|
%
|
|
1.68
|
%
|
|
1.89
|
%
6
|
|
1.33
|
%
|
|
1.43
|
%
|
Total expenses after fees waived and paid indirectly and excluding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
interest expense
5
|
|
1.24
|
%
|
|
1.15
|
%
|
|
1.24
|
%
|
|
1.21
|
%
6
|
|
1.16
|
%
|
|
1.19
|
%
|
Net investment income
5
|
|
6.95
|
%
|
|
7.01
|
%
|
|
8.92
|
%
|
|
10.56
|
%
6
|
|
10.83
|
%
|
|
10.38
|
%
|
Dividends to Preferred Shareholders
|
|
0.03
|
%
|
|
0.27
|
%
|
|
0.38
|
%
|
|
1.75
|
%
6
|
|
2.88
|
%
|
|
2.51
|
%
|
Net investment income to Common Shareholders
|
|
6.92
|
%
|
|
6.74
|
%
|
|
8.54
|
%
|
|
8.81
|
%
6
|
|
7.95
|
%
|
|
7.87
|
%
|
|
Supplemental Data
|
Net assets applicable to Common Shareholders,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year (000)
|
$
|
329,831
|
|
$
|
341,436
|
|
$
|
312,872
|
|
$
|
264,590
|
|
$
|
417,086
|
|
$
|
449,065
|
|
Preferred Shares outstanding at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year (000)
|
|
|
|
$
|
58,800
|
|
$
|
58,800
|
|
$
|
58,800
|
|
$
|
243,450
|
|
$
|
243,450
|
|
Borrowings outstanding, end of year (000)
|
$
|
122,000
|
|
$
|
38,000
|
|
$
|
14,000
|
|
$
|
123,150
|
|
|
|
|
$
|
26,108
|
|
Average borrowings outstanding during the year (000)
|
$
|
120,334
|
|
$
|
24,321
|
|
$
|
53,156
|
|
$
|
71,780
|
|
$
|
10,524
|
|
$
|
19,562
|
|
Portfolio turnover
|
|
89
|
%
|
|
87
|
%
|
|
42
|
%
|
|
25
|
%
|
|
41
|
%
|
|
50
|
%
|
Asset coverage per Preferred Share at $25,000 liquidation preference,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
end of year
|
|
|
|
$
|
170,174
|
|
$
|
158,029
|
|
$
|
137,505
|
|
$
|
67,849
|
|
$
|
73,810
|
|
Asset coverage, end of year per $1,000
|
$
|
3,704
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
Based on average shares outstanding.
|
2
|
|
Amount is less than $(0.01) per share.
|
3
|
|
Total investment returns based on market price, which
can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
4
|
|
Aggregate total investment return.
|
5
|
|
Do not reflect the effect of dividends to Preferred Shareholders.
|
See Notes to Financial Statements.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
65
|
Notes to Financial Statements
1. Organization and Significant Accounting Policies:
BlackRock Credit Allocation Income Trust I, Inc. (PSW) and BlackRock Credit Allocation Income Trust II, Inc. (PSY) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the 1940 Act). BlackRock Credit Allocation Income Trust III (BPP), BlackRock Credit Allocation Income Trust IV (BTZ) and BlackRock Floating Rate Income Trust (BGT) are registered as non-diversified, closed-end management investment companies under the 1940 Act. PSW and PSY are organized as Maryland corporations. BPP, BTZ and BGT are organized as Delaware statutory trusts. PSW, PSY, BPP, BTZ and BGT are collectively referred to as the Funds or individually as the Fund. The Funds financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Board of Directors and Board of Trustees of the Funds, as applicable, are referred to throughout this report as the Board of Directors or the Board and the directors, thereof are collectively referred to throughout this report as Directors. The Funds determine, and make available for publication the NAVs of their Common Shares on a daily basis.
The following is a summary of significant accounting policies followed by the Funds:
Valuation:
US GAAP defines fair value as the price the Funds would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement
date. The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies
approved by the Board. The Funds value their bond investments on the basis of last available bid prices or current market quotations
provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more
brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may
use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions
in comparable investments, various relationships observed in the market between investments and calculated yield measures. Financial
futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received
daily by the Funds pricing service or through brokers, which are derived using daily swap curves and models that incorporate
a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments
in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities
of 60 days or less may be valued at amortized cost, which approximates fair value.
Municipal investments (including commitments to purchase such investments on a when-issued basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.
Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (NASDAQ) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that such prior days price no longer reflects the fair value of the security.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (NYSE). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior days price will be used, unless it is determined that the prior days price no longer reflects the fair value of the option. Over-the-counter (OTC) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (Fair Value Assets). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arms-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Funds net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and
66
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ANNUAL REPORT
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OCTOBER 31, 2011
|
Notes to Financial Statements (continued)
foreign exchange-traded and OTC options (the Systematic Fair Value Price). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.
Foreign Currency Transactions:
The Funds books and records
are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on
the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Funds
investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs
if the US dollar falls in relative value.
The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are segregated on the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Asset-Backed Securities:
The Funds may invest in asset-backed
securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership
interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are
generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such
debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties.
The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference
is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may
be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments
as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed
security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Fund has
purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal
to the extent of the premium paid.
Collateralized Debt Obligations:
The Funds may invest in
collateralized debt obligations (CDOs), which include collateralized bond obligations (CBOs) and
collateralized loan obligations (CLOs). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy
remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows
of the CDO can be split into multiple segments, called tranches, which will vary in risk profile and yield. The
riskiest segment is the subordinated or equity tranche. This tranche bears the greatest risk of defaults from the
underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe
circumstances. Since it is shielded from defaults by the more junior tranches, a senior tranche will typically
have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from
one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior
tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the
disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of
assets.
Zero-Coupon Bonds:
The Funds may invest in zero-coupon bonds,
which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon
bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest
payments.
Capital Trusts:
The Funds may invest in capital trusts. These
securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics,
or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures
or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can
have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration,
although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not
affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather
than dividends for federal income tax purposes. These securities generally are rated below that of the issuing companys
senior debt securities.
Preferred Stock:
The Funds may invest in preferred stocks. Preferred
stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to
the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate
and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible
preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities
and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value
of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on
debt securities, preferred stock dividends are payable only if declared by the issuers board of directors. Preferred stock
also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests:
The Funds may invest in floating
rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the borrower)
by banks, other financial institutions, and privately and publicly offered corporations (the lender). Floating rate
loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain
and companies that are highly
ANNUAL REPORT
|
OCTOBER 31, 2011
|
67
|
Notes to Financial Statements (continued)
leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of their investment policies.
When a Fund purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrowers option. The Funds may invest in such loans in the form of participations in loans (Participations) or assignments (Assignments) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.
Reverse Repurchase Agreements:
The Funds may enter into
reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell
securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the
reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of
issuance. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned
from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse
repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Funds are
obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities
under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Funds use of the proceeds of the
agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the
Funds obligation to repurchase the securities.
Segregation and Collateralization:
In cases in which the 1940
Act and the interpretive positions of the Securities and Exchange Commission (SEC) require that the Funds either deliver
collateral or segregate assets in connection with certain investments (e.g., financial futures contracts, foreign currency exchange
contracts, swaps and options written), or certain borrowings (e.g., reverse repurchase agreements and loan payable), the Funds
will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their
books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required
to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers,
each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.
Investment Transactions and Investment Income:
For financial reporting
purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains
and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend
dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are
informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on
capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate
investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including
amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.
Dividends and Distributions:
Dividends from net investment income
are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and
distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total
distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in
accordance with federal income tax regulations, which may differ
68
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ANNUAL REPORT
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OCTOBER 31, 2011
|
Notes to Financial Statements (continued)
from US GAAP. Dividends and distributions to Preferred Shareholders are accrued and determined as described in Note 6.
Income Taxes:
It is each Funds policy to comply with the
requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute
substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.
BGT has a wholly owned taxable subsidiary organized as a limited liability company (the Taxable Subsidiary) which is listed in the Schedule of Investments. The Taxable Subsidiary enables the Fund to hold an investment that is organized as an operating partnership while still satisfying Regulated Investment Company tax requirements. Income earned on the investment held by the Taxable Subsidiary is taxable to such subsidiary. An income tax provision for all income, including realized and unrealized gains, if any, of the Taxable Subsidiary is reflected as a reduction in the value of the Taxable Subsidiary.
Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Funds US federal tax returns remains open for each of the four years ended October 31, 2011. The statutes of limitations on each Funds state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Recent Accounting Standard:
In May 2011, the Financial Accounting
Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures
for fair value measurements categorized as Level 3: quantitative information about unobservable inputs and assumptions used in
the fair value measurement, a description of the valuation policies and procedures and a narrative description of sensitivity
of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs.
In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The
amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods
within those fiscal years. Management is evaluating the impact of this guidance on the Funds financial statements and disclosures.
Deferred Compensation and BlackRock Closed-End Share Equivalent Investment
Plan:
Under the deferred compensation plan approved by each Funds Board, independent Directors (Independent Directors)
may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent
dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors.
This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the
deferred amounts directly in certain other BlackRock Closed-End Funds.
The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Funds deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in income affiliated in the Statements of Operations.
Other:
Expenses directly related to the Funds are charged to that
Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or
other appropriate methods.
The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Derivative Financial Instruments:
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (commodity price risk and inflation risk). These contracts may be transacted on an exchange or OTC.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (ISDA Master Agreement) implemented between a Fund and each of its respective counterparties. An ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instruments payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise,
ANNUAL REPORT
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OCTOBER 31, 2011
|
69
|
Notes to Financial Statements (continued)
the Funds bear the risk of loss from counterparty non-performance. See Note 1 Segregation and Collateralization for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
Financial Futures Contracts:
The Funds purchase or sell financial
futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest
rates (interest rate risk). Financial futures contracts are agreements between the Funds and the counterparty to buy or sell a
specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular
contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or
by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Funds agree to receive from or pay
to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as
margin variation and are recorded by the Funds as unrealized appreciation or depreciation. When the contract is closed, the Funds
record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value
at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements
in the price of financial futures contracts, interest rates and the underlying assets.
Foreign Currency Exchange Contracts:
The Funds enter into foreign
currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure
to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two
parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by
the Funds, help to manage the overall exposure to the currencies, in which some of the investments held by the Funds are denominated.
The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss.
When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it
was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the
value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies
and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Options:
The Funds purchase and write call and put options
to increase or decrease their exposure to underlying instruments (including credit risk, equity risk and/or interest rate
risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser
(holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option
is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option
period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the
exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (writes) an
option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the
asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written).
When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to
(or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold.
When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the
extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the
premiums received or paid). When the Funds write a call option, such option is covered, meaning that the Funds
hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such
option is covered by cash in an amount sufficient to cover the obligation.
In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security at a price different from the current market value.
Swaps:
The Funds enter into swap agreements, in which the Funds
and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination.
These payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively.
Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the
term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).
When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or
cost of) the closing transaction and the Funds basis in the contract, if any. Generally, the basis of the contracts is the
premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in
excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or
disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates
and/or market values associated with these transactions.
|
|
Credit default swaps The Funds enter into credit
default swaps to manage their exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults
of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise
exposed (credit risk). The Funds enter into credit default swap agreements to provide a measure of protection
|
70
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Notes to Financial Statements (continued)
against the default
of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller
of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign),
a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in
which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific
payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation
accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer
pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should
a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs.
As a buyer, if an underlying credit event occurs, the Funds will either receive from the seller an amount equal to the notional
amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement
of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the
index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the
notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay
a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities
comprising the index.
|
|
Interest rate swaps The Funds enter into interest
rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically
hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps
are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another partys
stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate
floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to
the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional
principal amount may decline (or amortize) over time.
|
Derivative Financial Instruments Categorized by Risk Exposure:
|
|
|
|
|
|
|
|
|
|
|
|
Fair Values of Derivative Financial Instruments as of October 31, 2011
|
|
|
Asset Derivatives
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
|
Statements of Assets
and Liabilities Location
|
Value
|
Foreign currency exchange contracts
|
Unrealized appreciation on
|
|
|
|
|
|
|
|
|
|
|
|
foreign currency contracts
|
|
|
|
|
|
|
|
|
$
|
31,161
|
Interest rate contracts
|
Net unrealized appreciation/
|
|
|
|
|
|
|
|
|
|
|
|
depreciation**; Investments at
|
|
|
|
|
|
|
|
|
|
|
|
value-unaffiliated
|
$
|
254,209
|
$
|
1,079,744
|
$
|
507,185
|
$
|
1,665,047
|
|
|
Credit contracts
|
Unrealized appreciation on swaps;
|
|
|
|
|
|
|
|
|
|
|
|
Investments at value unaffiliated
|
|
18,602
|
|
76,586
|
|
49,383
|
|
109,238
|
|
|
Total
|
|
$
|
272,811
|
$
|
1,156,330
|
$
|
556,568
|
$
|
1,774,285
|
$
|
31,161
|
|
|
|
Liability Derivatives
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
|
Statements of Assets
and Liabilities Location
|
Value
|
Foreign currency exchange contracts
|
Unrealized depreciation on
|
|
|
|
|
|
|
|
|
|
|
|
foreign currency contracts
|
$
|
2,106
|
$
|
9,016
|
|
|
|
|
$
|
721,973
|
Interest rate contracts
|
Net unrealized appreciation/
|
|
|
|
|
|
|
|
|
|
|
|
depreciation*; Unrealized depreciation
|
|
|
|
|
|
|
|
|
|
|
|
on swaps; Options written at value
|
|
783,749
|
|
3,397,773
|
$
|
2,520,111
|
$
|
8,510,824
|
|
|
Credit contracts
|
Unrealized depreciation on swaps;
|
|
|
|
|
|
|
|
|
|
|
|
Options written at value
|
|
122,614
|
|
522,219
|
|
251,070
|
|
865,805
|
|
|
Total
|
|
$
|
908,469
|
$
|
3,929,008
|
$
|
2,771,181
|
$
|
9,376,629
|
$
|
721,973
|
*
|
|
Includes cumulative appreciation/depreciation on financial
futures contracts as reported in the Schedule of Investments. Only the current days margin variation is reported within
the Statements of Assets and Liabilities.
|
**
|
|
Options purchased are included in the net realized gain
(loss) from investments and net change in unrealized appreciation/depreciation on investments.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
71
|
Notes to Financial Statements (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Effect of Derivative Financial Instruments in the Statements of Operations
|
Year Ended October 31, 2011
|
|
Net Realized Gain (Loss) From
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Interest rate contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts
|
$
|
(3,130,213)
|
|
$
|
(13,357,266
|
)
|
$
|
(3,586,041)
|
|
$
|
(11,928,642
|
)
|
|
|
|
Options*
|
|
29,340
|
|
|
125,260
|
|
|
13,467
|
|
|
75,286
|
|
|
|
|
Swaps
|
|
(658,879
|
)
|
|
(2,692,039
|
)
|
|
(1,285,792
|
)
|
|
(4,482,282
|
)
|
|
|
|
Foreign currency exchange contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts
|
|
1,118
|
|
|
3,998
|
|
|
|
|
|
|
|
$
|
(4,259,489
|
)
|
Credit contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options*
|
|
(40,906
|
)
|
|
(172,975
|
)
|
|
(84,150
|
)
|
|
(286,344
|
)
|
|
|
|
Swaps
|
|
206,110
|
|
|
875,505
|
|
|
277,052
|
|
|
1,075,651
|
|
|
1,581
|
|
Equity contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options*
|
|
147,167
|
|
|
622,653
|
|
|
302,395
|
|
|
1,030,167
|
|
|
|
|
Total
|
$
|
(3,446,263)
|
|
$
|
(14,594,864
|
)
|
$
|
(4,363,069
|
)
|
$
|
(14,516,164
|
)
|
$
|
(4,257,908
|
)
|
|
|
Net Change in Unrealized Appreciation/Depreciation on
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Interest rate contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts
|
$
|
119,767
|
|
$
|
575,373
|
|
$
|
109,369
|
|
$
|
(73,057
|
)
|
|
|
|
Options*
|
|
(139,502
|
)
|
|
(593,738
|
)
|
|
(557,748
|
)
|
|
(1,960,207
|
)
|
|
|
|
Swaps
|
|
(449,649
|
)
|
|
(1,944,096
|
)
|
|
(673,748
|
)
|
|
(2,116,546
|
)
|
|
|
|
Foreign currency exchange contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts
|
|
(2,106
|
)
|
|
(9,016
|
)
|
|
|
|
|
|
|
$
|
5,237,155
|
|
Credit contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
(104,010
|
)
|
|
(445,635
|
)
|
|
(201,689
|
)
|
|
(756,568
|
)
|
|
(19,172
|
)
|
Total
|
$
|
(575,500
|
)
|
$
|
(2,417,112
|
)
|
$
|
(1,323,816
|
)
|
$
|
(4,906,378
|
)
|
$
|
5,217,983
|
|
*
|
|
Options purchased are included in the net realized gain
(loss) from investments and net change in unrealized appreciation/depreciation on investments.
|
For the year ended October 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Financial futures contracts:
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts purchased
|
|
48
|
|
128
|
|
84
|
|
277
|
|
|
Average number of contracts sold
|
|
230
|
|
987
|
|
264
|
|
886
|
|
|
Average notional value of contracts purchased
|
$
|
10,488,551
|
$
|
27,997,805
|
$
|
17,857,086
|
$
|
59,211,028
|
|
|
Average notional value of contracts sold
|
$
|
29,416,965
|
$
|
126,250,641
|
$
|
33,116,865
|
$
|
111,058,326
|
|
|
Foreign currency exchange contracts:
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts US dollars purchased
|
|
1
|
|
1
|
|
|
|
|
|
6
|
Average number of contracts US dollars sold
|
|
1
|
|
1
|
|
|
|
|
|
2
|
Average US dollar amounts purchased
|
$
|
128,636
|
$
|
677,250
|
|
|
|
|
$
|
78,101,399
|
Average US dollar amounts sold
|
$
|
34,856
|
$
|
102,772
|
|
|
|
|
$
|
724,617
|
Options:
|
|
|
|
|
|
|
|
|
|
|
Average number of option contracts purchased
|
|
14
|
|
59
|
|
5,675,029
|
|
19,325,098
|
|
26
|
Average number of option contracts written
|
|
|
|
|
|
|
|
|
|
|
Average notional value of option contracts purchased
|
$
|
1,750,000
|
$
|
7,375,000
|
$
|
9,300,000
|
$
|
31,575,000
|
$
|
24,514
|
Average notional value of option contracts written
|
|
|
|
|
|
|
|
|
|
|
Average number of swaption contracts purchased
|
|
1
|
|
1
|
|
1
|
|
1
|
|
|
Average number of swaption contracts written
|
|
2
|
|
2
|
|
1
|
|
4
|
|
|
Average notional value of swaption contracts purchased
|
$
|
650,000
|
$
|
2,575,000
|
$
|
925,000
|
$
|
3,150,000
|
|
|
Average notional value of swaption contracts written
|
$
|
20,200,000
|
$
|
85,550,000
|
$
|
49,050,000
|
$
|
167,500,000
|
|
|
Credit default swaps:
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts buy protection
|
|
5
|
|
5
|
|
6
|
|
4
|
|
|
Average number of contracts sell protection
|
|
3
|
|
3
|
|
3
|
|
3
|
|
|
Average notional value buy protection
|
$
|
2,836,250
|
$
|
12,026,250
|
$
|
7,437,500
|
$
|
18,515,000
|
|
|
Average notional value sell protection
|
$
|
1,928,547
|
$
|
8,274,333
|
$
|
2,531,250
|
$
|
8,700,000
|
|
|
Interest rate swaps:
|
|
|
|
|
|
|
|
|
|
|
Average number of contracts pays fixed rate
|
|
4
|
|
4
|
|
5
|
|
5
|
|
|
Average number of contracts received fixed rate
|
|
1
|
|
1
|
|
2
|
|
2
|
|
|
Average notional value pays fixed rate
|
$
|
12,450,000
|
$
|
52,825,000
|
$
|
41,850,000
|
$
|
141,175,000
|
|
|
Average notional value received fixed rate
|
$
|
3,350,000
|
$
|
14,375,000
|
$
|
18,525,000
|
$
|
65,200,000
|
|
|
72
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Notes to Financial Statements (continued)
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the Manager), the Funds investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Funds portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee at the following annual rates of each Funds average daily (weekly for BPP, BTZ and BGT) net assets (including any assets attributable to borrowings or to the proceeds from the issuance of Preferred Shares) as follows:
|
|
|
PSW
|
0.60
|
%
|
PSY
|
0.60
|
%
|
BPP
|
0.65
|
%
|
BTZ
|
0.65
|
%
|
BGT
|
0.75
|
%
|
The Manager voluntarily agreed to waive a portion of the investment advisory fees or other expenses on BGT as a percentage of its average weekly net assets (including any assets attributable to borrowings or to the proceeds from the issuance of Preferred Shares) minus the sum of liabilities (other than borrowings representing financial leverage) as follows: 0.10% for the period September 1, 2010 to August 31, 2011 and 0.05% for the period September 1, 2011 to August 31, 2012. For the year ended October 31, 2011, the Manager waived $428,722, which is included in fees waived by advisor in the Statements of Operations.
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds, however, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through each Funds investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the year ended October 31, 2011, the amounts waived were as follows:
|
|
|
PSW
|
$
|
896
|
PSY
|
$
|
3,835
|
BPP
|
$
|
3,273
|
BTZ
|
$
|
10,610
|
BGT
|
$
|
2,454
|
The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (BFM), an affiliate of the Manager. The Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.
For the period November 1, 2010 through December 31, 2010, the Funds reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:
|
|
|
PSW
|
$
|
228
|
PSY
|
$
|
1,017
|
BPP
|
$
|
2,822
|
BTZ
|
$
|
1,330
|
BGT
|
$
|
751
|
Effective January 1, 2011, the Funds no longer reimburse the Manager for accounting services.
Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds Chief Compliance Officer.
4. Investments:
Purchases and sales of investments including paydowns and payups, excluding short-term securities and US government securities for the year ended October 31, 2011, were as follows:
|
|
|
|
|
|
Purchases
|
Sales
|
PSW
|
$
|
80,551,829
|
$
|
53,549,617
|
PSY
|
$
|
325,153,755
|
$
|
205,749,646
|
BPP
|
$
|
173,332,985
|
$
|
105,716,939
|
BTZ
|
$
|
575,172,504
|
$
|
339,856,385
|
BGT
|
$
|
423,513,718
|
$
|
422,533,406
|
Purchases and sales of US government securities for the year ended October 31, 2011, were as follows:
|
|
|
|
|
|
Purchases
|
Sales
|
PSW
|
$
|
4,113,707
|
$
|
23,571,576
|
PSY
|
$
|
16,334,169
|
$
|
106,422,862
|
BPP
|
$
|
9,044,689
|
$
|
27,801,765
|
BTZ
|
$
|
38,685,547
|
$
|
167,596,111
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
73
|
Notes to Financial Statements (continued)
Transactions in options written for the year ended October 31, 2011, were as follows:
|
Calls
|
|
Puts
|
|
Option
Contracts
|
Swaptions
Notional
(000)
|
Premium
Received
|
|
Option
Contracts
|
Swaptions
Notional
(000)
|
Premium
Received
|
PSW
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written
|
|
|
$
|
1,800
|
|
$
|
64,800
|
|
|
|
|
$
|
36,800
|
|
$
|
190,800
|
|
Options expired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options exercised
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options closed
|
|
|
|
|
|
|
|
|
|
|
|
|
(35,000
|
)
|
|
(126,000
|
)
|
Outstanding options, end of year
|
|
|
$
|
1,800
|
|
$
|
64,800
|
|
|
|
|
$
|
1,800
|
|
$
|
64,800
|
|
|
PSY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written
|
|
|
$
|
7,700
|
|
$
|
277,200
|
|
|
|
|
$
|
155,700
|
|
$
|
810,000
|
|
Options expired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options exercised
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options closed
|
|
|
|
|
|
|
|
|
|
|
|
|
(148,000
|
)
|
|
(532,800
|
)
|
Outstanding options, end of year
|
|
|
$
|
7,700
|
|
$
|
277,200
|
|
|
|
|
$
|
7,700
|
|
$
|
277,200
|
|
|
BPP
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written
|
3
|
|
$
|
8,700
|
|
$
|
429,271
|
|
|
3
|
|
$
|
80,700
|
|
$
|
711,814
|
|
Options expired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options exercised
|
(3
|
)
|
|
|
|
|
(3,571
|
)
|
|
(3
|
)
|
|
|
|
|
(26,914
|
)
|
Options closed
|
|
|
|
|
|
|
|
|
|
|
|
|
(72,000
|
)
|
|
(259,200
|
)
|
Outstanding options, end of year
|
|
|
$
|
8,700
|
|
$
|
425,700
|
|
|
|
|
$
|
8,700
|
|
$
|
425,700
|
|
|
BTZ
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding options, beginning of year
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options written
|
13
|
|
$
|
30,000
|
|
$
|
1,477,177
|
|
|
13
|
|
$
|
275,000
|
|
$
|
2,460,458
|
|
Options expired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options exercised
|
(13
|
)
|
|
|
|
|
(15,327
|
)
|
|
(13
|
)
|
|
|
|
|
(116,608
|
)
|
Options closed
|
|
|
|
|
|
|
|
|
|
|
|
|
(245,000
|
)
|
|
(882,000
|
)
|
Outstanding options, end of year
|
|
|
$
|
30,000
|
|
$
|
1,461,850
|
|
|
|
|
$
|
30,000
|
|
$
|
1,461,850
|
|
5. Income Tax Information:
Reclassifications:
US GAAP requires that certain components of
net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect
on net assets or net asset values per share. The following permanent differences as of October 31, 2011 attributable to foreign
currency transactions, the accounting for swap agreements, the classification of investments, income recognized from pass-through
entities, and the expiration of capital loss carryforwards were reclassified to the following accounts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Paid-in-capital
|
|
|
$
|
(1,276,621
|
)
|
|
|
|
|
|
|
|
|
|
$
|
29,467
|
|
Undistributed net investment income
|
|
|
$
|
(61,913
|
)
|
$
|
(246,990
|
)
|
$
|
(191,381
|
)
|
$
|
(548,596
|
)
|
$
|
(2,857,802
|
)
|
Accumulated net realized loss
|
|
|
$
|
1,338,534
|
|
$
|
246,990
|
|
$
|
191,381
|
|
$
|
548,596
|
|
$
|
2,828,335
|
|
The tax character of distributions paid during the fiscal years ended October 31, 2011 and October 31, 2010 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Ordinary income
|
10/31/2011
|
|
$
|
6,366,890
|
|
$
|
27,418,570
|
|
$
|
12,359,949
|
|
$
|
44,466,841
|
|
$
|
25,743,686
|
|
|
10/31/2010
|
|
|
6,971,994
|
|
|
31,608,403
|
|
|
14,283,895
|
|
|
45,336,648
|
|
|
20,390,728
|
|
Tax return of capital
|
10/31/2010
|
|
|
909,831
|
|
|
5,350,650
|
|
|
1,431,653
|
|
|
14,927,112
|
|
|
|
|
Total distributions
|
10/31/2011
|
|
$
|
6,366,890
|
|
$
|
27,418,570
|
|
$
|
12,359,949
|
|
$
|
44,466,841
|
|
$
|
25,743,686
|
|
|
10/31/2010
|
|
$
|
7,881,825
|
|
$
|
36,959,053
|
|
$
|
15,715,548
|
|
$
|
60,263,760
|
|
$
|
20,390,728
|
|
74
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Notes to Financial Statements (continued)
As of October 31, 2011, the tax components of accumulated net losses were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Undistributed ordinary income
|
|
|
$
|
674,094
|
|
$
|
2,062,942
|
|
$
|
600,196
|
|
$
|
260,420
|
|
$
|
5,663,378
|
|
Capital loss carryforwards
|
|
|
|
(133,183,040
|
)
|
|
(496,772,908
|
)
|
|
(203,308,710
|
)
|
|
(412,613,268
|
)
|
|
(90,203,968
|
)
|
Net unrealized gains (losses)*
|
|
|
|
5,560,423
|
|
|
16,638,416
|
|
|
3,429,010
|
|
|
11,605,960
|
|
|
(14,250,523
|
)
|
Total
|
|
|
$
|
(126,948,523
|
)
|
$
|
(478,071,550
|
)
|
$
|
(199,279,504
|
)
|
$
|
(400,746,888
|
)
|
$
|
(98,791,113
|
)
|
*
|
|
The difference between book-basis and tax-basis net unrealized
gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes
of unrealized gains/losses on certain futures and foreign currency exchange contracts, the accrual of income on securities in
default, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing
and recognition of partnership income, the accounting for swap agreements, the deferral of compensation to Directors, the classification
of investments, and investments in wholly owned subsidiaries.
|
As of October 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expires October 31,
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
2012
|
|
|
$
|
10,243,141
|
|
$
|
62,733,648
|
|
|
|
|
|
|
|
|
|
|
2013
|
|
|
|
5,058,900
|
|
|
17,911,331
|
|
|
|
|
|
|
|
|
|
|
2014
|
|
|
|
8,481,628
|
|
|
12,145,117
|
|
|
|
|
|
|
|
|
|
|
2015
|
|
|
|
6,724,694
|
|
|
19,582,978
|
|
$
|
18,184,893
|
|
$
|
49,741,712
|
|
$
|
3,268,804
|
|
2016
|
|
|
|
40,232,230
|
|
|
140,413,242
|
|
|
58,197,929
|
|
|
113,355,213
|
|
|
24,616,531
|
|
2017
|
|
|
|
55,825,534
|
|
|
194,970,854
|
|
|
108,996,120
|
|
|
223,939,227
|
|
|
45,385,443
|
|
2018
|
|
|
|
4,498,024
|
|
|
37,285,625
|
|
|
15,245,888
|
|
|
15,223,841
|
|
|
16,526,601
|
|
2019
|
|
|
|
2,118,889
|
|
|
11,730,113
|
|
|
2,683,880
|
|
|
10,353,275
|
|
|
406,589
|
|
Total
|
|
|
$
|
133,183,040
|
|
$
|
496,772,908
|
|
$
|
203,308,710
|
|
$
|
412,613,268
|
|
$
|
90,203,968
|
|
Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Fund after October 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.
6. Borrowings:
BGT entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the SSB Agreement) with State Street Bank and Trust Company (SSB). The SSB Agreement provides the Fund with a maximum commitment of $172.2 million. The Fund has granted a security interest in substantially all of its assets to SSB.
Advances are made by SSB to the Fund, at the Funds option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. In addition, the Fund pays a facility fee and a commitment fee based upon SSBs total commitment to the Fund. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Fund as of October 31, 2011 are shown in the Statements of Assets and Liabilities as loan payable. The SSB Agreement was renewed for 364 days under substantially the same terms effective March 3, 2011. The commitment amount was increased from $134 million to $172.2 million. For the year ended October 31, 2011, the daily weighted average interest rate was 1.03%.
BGT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.
For the year ended October 31, 2011, the daily weighted average interest rates for Funds with reverse repurchase agreements were as follows:
|
|
|
PSW
|
0.37
|
%
|
PSY
|
0.36
|
%
|
BPP
|
0.36
|
%
|
BTZ
|
0.40
|
%
|
7. Commitments:
The Funds may invest in floating rate loan interests. In connection with these investments, the Fund may also enter into unfunded floating rate loan interests (commitments). In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statement of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and Statement of Operations. As of October 31, 2011, the Funds had the no unfunded floating rate loan interests.
8. Concentration, Market and Credit Risk:
As of October 31, 2011, PSW, PSY, BPP and BTZ invested a significant portion of their assets in securities in the financials sector whereas BGT invested a significant portion of its assets in the media sector. Changes in economic conditions affecting the financials and media sectors would have a greater impact on the Funds and could affect the value, income and/or liquidity of positions in such securities.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
75
|
Notes to Financial
Statements (continued)
In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds Statements of Assets and Liabilities, less any collateral held by the Funds.
9. Capital Share Transactions:
PSW and PSY are each authorized to issue 200 million of $0.10 par value shares, all of which were initially classified as Common Shares. Each Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders. The Boards of PSW and PSY reclassified 5,460 and 22,000 unissued Common Shares as $0.10 par value Preferred Shares, respectively, none of which are outstanding. There are an unlimited number of $0.001 par value shares authorized for BPP, BTZ and BGT, which may be issued as either Common Shares or Preferred Shares.
Common Shares
For the year ended October 31, 2011, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
|
|
|
|
Year Ended
October 31,
2011
|
Year Ended
October 31,
2010
|
BGT
|
39,329
|
32,177
|
Shares issued and outstanding for the years ended October 31, 2011 and October 31, 2010 remained constant for PSW, PSY, BPP and BTZ, respectively.
Preferred Shares
During the year ended October 31, 2011, the Funds announced the following redemptions of Preferred Shares at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:
|
|
|
|
|
|
|
Series
|
Redemption
Date
|
Shares
Redeemed
|
Aggregate
Principal
|
PSW
|
M7
|
12/07/10
|
805
|
$
|
20,125,000
|
|
T7
|
12/08/10
|
805
|
$
|
20,125,000
|
PSY
|
M7
|
1/04/11
|
861
|
$
|
21,525,000
|
|
T7
|
1/05/11
|
861
|
$
|
21,525,000
|
|
W7
|
1/06/11
|
861
|
$
|
21,525,000
|
|
R7
|
1/07/11
|
861
|
$
|
21,525,000
|
|
F7
|
1/10/11
|
861
|
$
|
21,525,000
|
|
W28
|
1/13/11
|
1,228
|
$
|
30,700,000
|
|
R28
|
1/28/11
|
1,228
|
$
|
30,700,000
|
BPP
|
T7
|
12/08/10
|
939
|
$
|
23,475,000
|
|
W7
|
12/09/10
|
939
|
$
|
23,475,000
|
|
R7
|
12/10/10
|
939
|
$
|
23,475,000
|
BTZ
|
T7
|
1/05/11
|
2,310
|
$
|
57,750,000
|
|
W7
|
1/06/11
|
2,310
|
$
|
57,750,000
|
|
R7
|
1/07/11
|
2,310
|
$
|
57,750,000
|
|
F7
|
1/10/11
|
2,310
|
$
|
57,750,000
|
BGT
|
T7
|
12/08/10
|
784
|
$
|
19,600,000
|
|
W7
|
12/09/10
|
784
|
$
|
19,600,000
|
|
R7
|
12/10/10
|
784
|
$
|
19,600,000
|
All of the Funds, except BGT, financed the Preferred Share redemptions with cash received from reverse repurchase agreements. BGT financed the Preferred Share redemption with cash received from a line of credit.
The Preferred Shares were redeemable at the option of each Fund, in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The Preferred Shares were also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of a Fund, as set forth in each Funds Articles of Supplementary (the Governing Instrument) are not satisfied.
The holders of Preferred Shares had voting rights equal to the holders of Common Shares (one vote per share) and would vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, were also entitled to elect two Directors for each Fund. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Funds sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.
76
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Notes to Financial
Statements (concluded)
Dividends on seven-day and 28-day Preferred Shares were cumulative at a rate which is reset every seven or 28 days, respectively, based on the results of an auction. If the Preferred Shares failed to clear the auction on an auction date, each Fund was required to pay the maximum applicable rate on the Preferred Shares to holders of such shares for successive dividend periods until such time as the shares were successfully auctioned. The maximum applicable rate on the Preferred Shares at the last auction date was as follows: for PSW, PSY and BGT, the higher of 125% times or 1.25% plus the Telerate/BBA LIBOR rate; for BPP 150% of the interest equivalent of the 30-day commercial paper rate and for BTZ, the higher of 150% times or 1.25% plus the Telerate/BBA LIBOR rate. The low, high and average dividend rates for the year ended October 31, 2011, were as follows:
|
|
|
|
|
|
Series
|
Low
|
High
|
Average
|
PSW
|
M7
|
1.50%
|
1.50%
|
1.50%
|
|
T7
|
1.50%
|
1.50%
|
1.50%
|
PSY
|
M7
|
1.50%
|
1.51%
|
1.50%
|
|
T7
|
1.50%
|
1.51%
|
1.50%
|
|
W7
|
1.50%
|
1.51%
|
1.50%
|
|
TH7
|
1.50%
|
1.51%
|
1.50%
|
|
F7
|
1.50%
|
1.51%
|
1.50%
|
|
W28
|
1.50%
|
1.51%
|
1.51%
|
|
TH28
|
1.50%
|
1.52%
|
1.51%
|
BPP
|
T7
|
0.30%
|
0.32%
|
0.31%
|
|
W7
|
0.32%
|
0.33%
|
0.32%
|
|
R7
|
0.30%
|
0.38%
|
0.33%
|
BTZ
|
T7
|
1.50%
|
1.51%
|
1.50%
|
|
W7
|
1.50%
|
1.51%
|
1.50%
|
|
R7
|
1.50%
|
1.51%
|
1.50%
|
|
F7
|
1.50%
|
1.51%
|
1.50%
|
BGT
|
T7
|
1.50%
|
1.50%
|
1.50%
|
|
W7
|
1.50%
|
1.50%
|
1.50%
|
|
R7
|
1.50%
|
1.50%
|
1.50%
|
Since February 13, 2008, the Preferred Shares of the Funds failed to clear any of their auctions. As a result, the Preferred Shares dividend rates were reset to the maximum applicable rate, which ranged from 0.35% to 1.94% for the year ended October 31, 2011. A failed auction is not an event of default for the Funds but it has a negative impact on the liquidity of Preferred Shares. A failed auction occurs when there are more sellers of a Funds auction rate preferred shares than buyers. A successful auction for the Funds Preferred Shares may not occur for some time, if ever, and even if liquidity does resume, holders of Preferred Shares may not have the ability to sell the Preferred Shares at their liquidation preference.
The Funds paid commissions of 0.15% on the aggregate principal amount of all shares that failed to clear their auctions and 0.25% on the aggregate principal amount of all shares that successfully clear their auctions. Certain broker dealers had individually agreed to reduce commissions for failed auctions.
10. Subsequent Events:
Managements evaluation of the impact of all subsequent events on the Funds financial statements was completed through the date the financial statements were issued and the following items were noted:
The Funds paid a net investment income dividend in the following amounts per share on November 30, 2011 to Common Shareholders on record on November 15, 2011:
|
|
|
Common
Dividend
Per Share
|
PSW
|
$
0.0595
|
PSY
|
$
0.0610
|
BPP
|
$
0.0615
|
BTZ
|
$
0.0765
|
BGT
|
$
0.0775
|
The Funds paid a net investment income dividend in the following amounts per share on December 19, 2011 to Common Shareholders on record on December 14, 2011:
|
|
|
Common
Dividend
Per Share
|
PSW
|
$
0.0595
|
PSY
|
$
0.0610
|
BPP
|
$
0.0635
|
BTZ
|
$
0.0785
|
BGT
|
$
0.0775
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
77
|
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Directors of BlackRock Credit Allocation
Income Trust I, Inc. and BlackRock Credit Allocation Income Trust II, Inc. and to the Shareholders and Board of Trustees of BlackRock
Credit Allocation Income Trust III, BlackRock Credit Allocation Income Trust IV and BlackRock Floating Rate Income Trust:
We have audited the accompanying statements of assets and liabilities of BlackRock Credit Allocation Income Trust I, Inc., BlackRock Credit Allocation Income Trust II, Inc., BlackRock Credit Allocation Income Trust III, BlackRock Credit Allocation Income Trust IV and BlackRock Floating Rate Income Trust (collectively, the Funds), including the schedules of investments, as of October 31, 2011, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock Credit Allocation Income Trust I, Inc., BlackRock Credit Allocation Income Trust II, Inc., BlackRock Credit Allocation Income Trust III, BlackRock Credit Allocation Income Trust IV and BlackRock Floating Rate Income Trust as of October 31, 2011, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
December 23, 2011
Important Tax Information (Unaudited)
The following information is provided with respect to the ordinary income distributions paid by the Funds for the taxable year ended October 31, 2011.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PSW
|
PSY
|
BPP
|
BTZ
|
BGT
|
Qualified Dividend Income for Individuals
1
|
|
|
|
|
|
|
|
|
|
|
Months Paid:
|
November 2010 January 2011
|
1.90
|
%
|
1.28
|
%
|
5.67
|
%
|
1.12
|
%
|
|
|
|
February October 2011
|
3.41
|
%
|
2.22
|
%
|
8.59
|
%
|
8.74
|
%
|
|
|
Interest-Related Dividends and Qualified Short-Term Capital Gains
|
for Non-US Residents
2
|
|
|
|
|
|
|
|
|
|
|
Months Paid:
|
November 2010 January 2011
|
64.61
|
%
|
69.06
|
%
|
67.41
|
%
|
65.27
|
%
|
61.97
|
%
|
|
February October 2011
|
94.69
|
%
|
97.12
|
%
|
94.35
|
%
|
92.56
|
%
|
62.43
|
%
|
Federal Obligation Interest
3
|
0.54
|
%
|
1.36
|
%
|
0.79
|
%
|
1.47
|
%
|
|
|
1
|
|
The Funds hereby designate the percentage indicated or
the maximum amount allowable by law.
|
2
|
|
Represents the portion of the taxable ordinary income
dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.
|
3
|
|
The law varies in each state as to whether and what percentage
of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax
advisor to determine if any portion of the dividends you received is exempt from state income taxes.
|
78
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Board of Directors and the Board of Trustees, as the case may be (each, a Board, collectively, the Boards, and the members of which are referred to as Board Members) of BlackRock Credit Allocation Income Trust I, Inc. (PSW), BlackRock Credit Allocation Income Trust II, Inc. (PSY), BlackRock Credit Allocation Income Trust III (BPP), BlackRock Credit Allocation Income Trust IV (BTZ) and BlackRock Floating Rate Income Trust (BGT, and together with PSW, PSY, BPP and BTZ, each a Fund and, collectively, the Funds) met on April 14, 2011 and May 1213, 2011 to consider the approval of each Funds investment advisory agreement (each, an Advisory Agreement) with BlackRock Advisors, LLC (the Manager), each Funds investment advisor. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a Sub-Advisory Agreement) between the Manager and BlackRock Financial Management, Inc. (the Sub-Advisor), with respect to each Fund. The Manager and the Sub-Advisor are referred to herein as BlackRock. The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the Agreements.
Activities and Composition of the Board
Each Board consists of eleven individuals, nine of whom are not interested persons of such Fund as defined in the Investment Company Act of 1940 (the 1940 Act) (the Independent Board Members). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by an Independent Board Member. The Board of each Fund had established a Committee on Auction Market Preferred Shares prior to the redemption of all of its respective Fund's outstanding auction market preferred shares. Further, the Boards, together with the Boards of other BlackRock-managed funds, also had established an ad hoc committee, the Joint Product Pricing Committee, which consisted of Independent Board Members and the directors/trustees of the boards of certain other BlackRock-managed funds, who were not "interested persons" of their respective funds.
The Agreements
Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance program and assistance in meeting applicable legal and regulatory requirements.
The Boards, acting directly and through their respective
committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to their
annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds
and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-, three- and
five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior managements
and portfolio managers analyses of the reasons for any over performance or underperformance against their peers and/or
benchmark, as applicable; (b) fees, including advisory and other amounts paid to BlackRock and its affiliates by the Funds
for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the
Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds
investment objectives, policies and restrictions; (e) the Funds compliance with their Code of Ethics and other
compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by
BlackRock and its affiliates; (g) BlackRocks and other service providers internal controls and risk and
compliance oversight mechanisms; (h) BlackRocks implementation of the proxy voting policies approved by the Boards; (i)
execution quality of portfolio transactions; (j) BlackRocks implementation of the Funds valuation and liquidity
procedures; (k) analyses of contractual and actual management fee ratios for products with similar investment objectives
across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l)
BlackRocks compensation methodology for its investment professionals and the incentives it creates; and (m) periodic
updates on BlackRocks business.
Board Considerations in Approving the Agreements
The Approval Process:
Prior to the April 14, 2011 meeting, the
Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with BlackRock
to review periodically the nature and scope of the information provided to better assist their deliberations. The materials provided
in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (Lipper)
on Fund fees and expenses and the investment performance of the Funds as compared with a peer group of funds as determined by
Lipper and a customized peer group selected by BlackRock (collectively, Peers); (b) information on the profitability
of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders;
(c) general analyses provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration
fee, if any) charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as
applicable; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock and (f) if
applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.
At an in-person meeting held on April 14, 2011, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 14, 2011 meeting, and as a culmination of the Boards year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May 1213, 2011 Board meeting.
ANNUAL REPORT
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OCTOBER 31, 2011
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79
|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
At an in-person meeting held on May 1213, 2011, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to its Fund, each for a one-year term ending June 30, 2012. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (f) other factors deemed relevant by the Board Members.
The Boards also considered other matters they deemed important to the approval process, such as services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock:
The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock,
including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared
Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark,
if any. The Boards met with BlackRocks senior management personnel responsible for investment operations, including the
senior investment officers. Each Board also reviewed the materials provided by its Funds portfolio management team discussing
Fund performance and the Funds investment objective, strategies and outlook.
The Boards considered, among other factors, the number, education and experience of BlackRocks investment personnel generally and their Funds portfolio management teams, investments by portfolio managers in the funds they manage, BlackRocks portfolio trading capabilities, BlackRocks use of technology, BlackRocks commitment to compliance, BlackRocks credit analysis capabilities, BlackRocks risk analysis capabilities and BlackRocks approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRocks compensation structure with respect to their Funds portfolio management teams and BlackRocks ability to attract and retain high-quality talent and create performance incentives.
In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In addition to investment advisory services, BlackRock and its affiliates provide the Funds with other services, including (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRocks fund administration, accounting, legal and compliance departments and considered BlackRocks policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Funds and BlackRock:
The
Boards, including the Independent Board Members, also reviewed and considered the performance history of their Funds. In preparation
for the April 14, 2011 meeting, the Boards worked with BlackRock and Lipper to develop a template for, and was provided with reports
independently prepared by Lipper, which included a comprehensive analysis of each Funds performance. The Boards also reviewed
a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect
Lippers rankings. In connection with its review, each Board received and reviewed information regarding the investment performance,
based on net asset value (NAV), of its Fund as compared to funds in that Funds applicable Lipper category and a customized
peer group selected by BlackRock. The Boards were provided with a description of the methodology used by Lipper to select peer
funds. The Boards and each Boards Performance Oversight Committee regularly review, and meet with Fund management to discuss,
the performance of the Funds throughout the year.
The Board of each of PSW, PSY and BPP noted that its respective Fund performed below the median of its Customized Lipper Peer Group in the three- and five-year periods reported, but that the Fund performed at or above the median of its Customized Lipper Peer Group in the one-year period reported. The Board of each of PSW, PSY and BPP and BlackRock reviewed and discussed the reasons for its respective Funds underperformance during the three- and five-year periods compared with its Peers. The Board was informed that, among other things, weak 2008 performance continues to weigh on the three- and five-year periods.
The Board of BTZ noted that BTZ performed below the median of its Customized Lipper Peer Group in the three-year and since-inception periods reported, but that BTZ performed at or above the median of its Customized Lipper Peer Group in the one-year period reported. The Board of BTZ and BlackRock reviewed and discussed the reasons for BTZs underperformance during the three-year and since-inception periods compared with its Peers. The Board was informed that, among other things, weak 2008 performance continues to weigh on the three-year and since-inception periods.
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ANNUAL REPORT
|
OCTOBER 31, 2011
|
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
The Board of each of PSW, PSY, BPP and BTZ and BlackRock discussed BlackRocks strategy for improving its respective Funds performance and BlackRocks commitment to providing the resources necessary to assist the Funds portfolio managers and to improve the Funds performance.
The Board of BGT noted that, in general, BGT performed better than its Peers in that BGTs performance was at or above the median of its Customized Lipper Peer Group in two of the one-, three- and five-year periods reported.
The Boards noted that BlackRock has made changes to the organization of the overall fixed income group management structure designed to result in a strengthened leadership team.
C. Consideration of the Advisory/Management Fees and the Cost of the
Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds:
Each Board, including
the Independent Board Members, reviewed its Funds contractual management fee ratio compared with the other funds in its
Lipper category. It also compared the Funds total expense ratio, as well as actual management fee ratio, to those of other
funds in its Lipper category. Each Board considered the services provided and the fees charged by BlackRock to other types of
clients with similar investment mandates, including separately managed institutional accounts.
The Boards received and reviewed statements relating to BlackRocks financial condition and profitability with respect to the services it provided the Funds. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRocks profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2010 compared to available aggregate profitability data provided for the years ended December 31, 2009, and December 31, 2008. The Boards reviewed BlackRocks profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRocks assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.
The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards considered BlackRocks overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. That data indicates that operating margins for BlackRock, in general and with respect to its registered funds, are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Boards considered, among other things, certain third party data comparing BlackRocks operating margin with that of other publicly-traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.
In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRocks and its affiliates profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRocks methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.
The Board of each Fund noted that its respective Funds contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Funds Peers, in each case before taking into account any expense reimbursements or fee waivers.
D. Economies of Scale:
Each Board, including the Independent Board
Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also
considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate
or structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints
in the advisory fee based upon the asset level of the Fund. Based on the ad hoc Joint Product Pricing Committees and each
Boards review and consideration of this issue, each Board concluded that closed-end funds are typically priced at scale
at a funds inception; therefore, the implementation of breakpoints was not necessary.
The Boards noted that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. The Boards noted that only one closed-end fund in the Fund Complex has breakpoints in its advisory fee structure.
E. Other Factors Deemed Relevant by the Board Members:
The Boards,
including the Independent Board Members, also took into account other ancillary or fall-out benefits that BlackRock
or its affiliates and significant shareholders may derive from their respective relationships with the Funds, both tangible and
intangible, such as BlackRocks ability to leverage its investment professionals who manage other portfolios and risk management
personnel, an increase in BlackRocks profile in the investment advisory community, and the engagement of BlackRocks
affiliates as service providers to the Funds, including securities lending services. The Boards also considered BlackRocks
overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that
BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions
to assist in managing all or a number of its other client accounts. The Boards further noted that BlackRocks funds may invest
in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.
ANNUAL REPORT
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OCTOBER 31, 2011
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81
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)
In connection with its consideration of the Agreements, the Boards also received information regarding BlackRocks brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Boards noted the competitive nature of the closed-end fund marketplace and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Funds fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Conclusion
Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2012 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Fund, for a one-year term ending June 30, 2012. As part of its approval, each Board considered the detailed review of BlackRocks fee structure, as it applies to its Fund, conducted by the ad hoc Joint Product Pricing Committee. Based upon its evaluation of all of the aforementioned factors in their totality, each Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of its Fund and its shareholders. In arriving at its decision to approve the Agreements, no Board identified any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members conclusions may be based in part on their consideration of these arrangements in prior years.
82
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ANNUAL REPORT
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OCTOBER 31, 2011
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Automatic Dividend Reinvestment Plans
Pursuant to each Funds Dividend Reinvestment Plan (the Reinvestment Plan), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the Reinvestment Plan Agent) in the respective Funds shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.
After the Funds declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Fund (newly issued shares) or (ii) by purchase of outstanding shares on the open market or on the Funds primary exchange (open-market purchases). If, on the dividend payment date, the net asset value per share (NAV) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a market premium), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participants account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a market discount), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.
Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.
The Reinvestment Plan Agents fees for the handling of the reinvestment of dividends and distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agents open-market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.
Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares through Computershare Trust Company, N.A. are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to the Reinvestment Plan Agent: Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM or overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.
ANNUAL REPORT
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OCTOBER 31, 2011
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83
|
Officers and Directors
Name, Address
and Year of Birth
|
|
Position(s)
Held with
Funds
|
|
Length
of Time
Served as
a Director
2
|
|
Principal Occupation(s) During Past Five Years
|
|
Number of BlackRock-
Advised Registered
Investment Companies
(RICs) Consisting of
Investment Portfolios
(Portfolios) Overseen
|
|
Public
Directorships
|
Independent Directors
1
|
Richard E. Cavanagh
55 East 52nd Street
New York, NY 10055
1946
|
|
Chairman
of the Board
and Director
|
|
Since
2007
|
|
Trustee, Aircraft
Finance Trust from 1999 to 2009; Director, The
Guardian Life Insurance Company of America since 1998; Trustee, Educational
Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008
and
Director thereof since 1996; Adjunct Lecturer, Harvard University
since 2007; President and Chief Executive Officer,
The Conference
Board, Inc. (global business research organization) from 1995 to 2007.
|
|
97 RICS consisting of
97 Portfolios
|
|
Arch Chemical
(chemical and allied
products)
|
Karen P. Robards
55 East 52nd Street
New York, NY 10055
1950
|
|
Vice Chairperson
of the Board,
Chairperson
of the Audit
Committee
and Director
|
|
Since
2007
|
|
Partner of Robards & Company, LLC (financial advisory firm) since
1987; Co-founder and Director of the Cooke Center for Learning and
Development (a not-for-profit organization) since 1987; Director of
Care Investment Trust, Inc. (health care real estate investment trust)
from 2007 to 2010; Director of Enable Medical Corp. from 1996
to 2005; Investment Banker at Morgan Stanley from 1976 to 1987.
|
|
97 RICs consisting of
97 Portfolios
|
|
AtriCure, Inc.
(medical devices)
|
Michael J. Castellano
55 East 52nd Street
New York, NY 10055
1946
|
|
Director
and Member
of the Audit
Committee
|
|
Since
2011
|
|
Managing Director and Chief Financial Officer of Lazard Group LLC
from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004
to 2011; Director, Support Our Aging Religions (non-profit) since
2009; Director, National Advisory Board of Church Management
at Villanova University since 2010.
|
|
97 RICs consisting of
97 Portfolios
|
|
None
|
Frank J. Fabozzi
55 East 52nd Street
New York, NY 10055
1948
|
|
Director
and Member
of the Audit
Committee
|
|
Since
2007
|
|
Editor
of and Consultant for The Journal of Portfolio Management since
1986; Professor of Finance, EDHEC Business School since
2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct
Professor of
Finance and Becton Fellow, Yale University from 1994 to 2006.
|
|
97 RICs consisting of
97 Portfolios
|
|
None
|
Kathleen F. Feldstein
55 East 52nd Street
New York, NY 10055
1941
|
|
Director
|
|
Since
2007
|
|
President of Economics Studies, Inc. (private economic consulting
firm) since 1987; Chair, Board of Trustees, McLean Hospital from
2000 to 2008 and Trustee Emeritus thereof since 2008; Member of
the Board of Partners Community Healthcare, Inc. from 2005 to 2009;
Member of the Corporation of Partners HealthCare since 1995;
Trustee, Museum of Fine Arts, Boston since 1992; Member of the
Visiting Committee to the Harvard University Art Museum since 2003;
Director, Catholic Charities of Boston since 2009.
|
|
97 RICs consisting of
97 Portfolios
|
|
The McClatchy
Company (publishing)
Bellsouth
(telecommunications)
Knight Ridder
(publishing)
|
James T. Flynn
55 East 52nd Street
New York, NY 10055
1939
|
|
Director
and Member
of the Audit
Committee
|
|
Since
2007
|
|
Chief Financial Officer of JP Morgan & Co., Inc. from 1990 to 1995.
|
|
97 RICs consisting of
97 Portfolios
|
|
None
|
Jerrold B. Harris
55 East 52nd Street
New York, NY 10055
1942
|
|
Director
|
|
Since
2007
|
|
Trustee, Ursinus College since 2000; Director, Troemner LLC
(scientific equipment) since 2000; Director of Delta Waterfowl
Foundation since 2001; President and Chief Executive Officer, VWR
Scientific Products Corporation from 1990 to 1999.
|
|
97 RICs consisting of
97 Portfolios
|
|
BlackRock Kelso
Capital Corp. (business
development company)
|
84
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Officers and Directors (continued)
Name, Address
and Year of Birth
|
|
Position(s)
Held with
Funds
|
|
Length
of Time
Served as
a Director
2
|
|
Principal Occupation(s) During Past Five Years
|
|
Number of BlackRock-
Advised Registered
Investment Companies
(RICs) Consisting of
Investment Portfolios
(Portfolios) Overseen
|
|
Public
Directorships
|
Independent Directors
1
(concluded)
|
R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958
|
|
Director
|
|
Since
2007
|
|
Dean, Columbia Business School since 2004; Columbia faculty
member since 1988; Co-Director, Columbia Business Schools
Entrepreneurship Program from 1997 to 2004; Chairman, U.S.
Council of Economic Advisers under the President of the United
States from 2001 to 2003; Chairman, Economic Policy Committee
of the OECD from 2001 to 2003.
|
|
97 RICs consisting of
97 Portfolios
|
|
ADP (data and
information services)
KKR Financial
Corporation (finance)
Metropolitan Life
Insurance Company
(insurance)
|
W. Carl Kester
55 East 52nd Street
New York, NY 10055
1951
|
|
Director
and Member
of the Audit
Committee
|
|
Since
2007
|
|
George Fisher Baker Jr. Professor of Business Administration, Harvard
Business School; Deputy Dean for Academic Affairs from 2006 to
2010; Chairman of the Finance Department, Harvard Business School,
from 2005 to 2006; Senior Associate Dean and Chairman of the MBA
Program of Harvard Business School from 1999 to 2005; Member of
the faculty of Harvard Business School since 1981.
|
|
97 RICs consisting of
97 Portfolios
|
|
None
|
|
1
|
|
Directors serve until their resignation, removal or death,
or until December 31 of the year in which they turn 72. In 2011, the Board of Directors unanimously approved extending the mandatory
retirement age for James T. Flynn by one additional year, which the Board believes would be in the best interest of shareholders.
|
|
2
|
|
Date shown is the earliest date a person has served for
the Funds covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (MLIM)
and BlackRock, Inc. (BlackRock) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned
and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Funds
board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: Richard
E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn
Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.
|
Interested Directors
3
|
Paul L. Audet
55 East 52nd Street
New York, NY 10055
1953
|
|
Director
|
|
Since
2011
|
|
Senior Managing Director, BlackRock and Head of BlackRocks Real Estate
business from 2008 to 2011; Member of BlackRocks Global Operating
and Corporate Risk Management Committees and the BlackRock Alternative
Investors Executive Committee and Investment Committee for the Private
Equity Fund of Funds business since 2008; Head of BlackRocks Global
Cash Management business from 2005 to 2010; Acting Chief Financial
Officer of BlackRock from 2007 to 2008; Chief Financial Officer of
BlackRock from 1998 to 2005.
|
|
159 RICs
consisting of
286 Portfolios
|
|
None
|
Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947
|
|
Director
|
|
Since
2007
|
|
Consultant, BlackRock, from 2007 to 2008; Managing Director, BlackRock,
from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC
from 1998 to 2007; President of BlackRock Funds and BlackRock Bond
Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end
funds in the BlackRock fund complex from 1989 to 2006.
|
|
159 RICs
consisting of
286 Portfolios
|
|
None
|
|
3
|
|
Mr. Audet is an interested person, as defined
in the 1940 Act, of the Funds based on his position with BlackRock and its affiliates. Mr. Gabbay is an interested person
of the Funds based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC
Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered open-end funds.
Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
85
|
Officers and Directors (concluded)
|
|
|
|
|
|
|
Name, Address
and Year of Birth
|
|
Position(s)
Held with
Funds
|
|
Length of
Time Served
|
|
Principal Occupation(s) During Past Five Years
|
Officers
1
|
John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964
|
|
President
and Chief
Executive
Officer
|
|
Since
2011
|
|
Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Administration since 2009; Managing
Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003
to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to
2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable
foundation) since 2009.
|
Anne Ackerley
55 East 52nd Street
New York, NY 10055
1962
|
|
Vice
President
|
|
Since
2007
2
|
|
Managing Director of BlackRock since 2000; President and Chief Executive Officer of the BlackRock-advised funds
from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of
BlackRocks Global Client Group since 2009; Chief Operating Officer of BlackRocks US Retail Group from 2006 to
2009; Head of BlackRocks Mutual Fund Group from 2000 to 2006.
|
Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977
|
|
Vice
President
|
|
Since
2009
|
|
Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product
Development and Management for BlackRocks US Retail Group since 2009 and Co-head thereof from 2007 to 2009;
Vice President of BlackRock from 2005 to 2008.
|
Neal Andrews
55 East 52nd Street
New York, NY 10055
1966
|
|
Chief
Financial
Officer
|
|
Since
2007
|
|
Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund
Accounting and Administration at PNC Global Investment Servicing (US) Inc. from 1992 to 2006.
|
Jay Fife
55 East 52nd Street
New York, NY 10055
1970
|
|
Treasurer
|
|
Since
2007
|
|
Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund
Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
|
Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959
|
|
Chief
Compliance
Officer and
Anti-Money
Laundering Officer
|
|
Since
2007
|
|
Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel
of BlackRock since 2005.
|
Ira P. Shapiro
55 East 52nd Street
New York, NY 10055
1963
|
|
Secretary
|
|
Since
2010
|
|
Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays
Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.
|
|
1
|
|
Officers of the Funds serve at the pleasure of the Board.
|
|
2
|
|
Ms. Ackerley was President and Chief Executive Officer
from 2009 to 2011.
|
|
|
|
|
|
|
Investment Advisor
|
Custodian
|
Transfer Agent
|
Independent
|
Legal Counsel
|
Address of the Funds
|
BlackRock Advisors, LLC
|
State Street Bank and
|
Common Shares
|
Registered Public
|
Skadden, Arps, Slate,
|
100 Bellevue Parkway
|
Wilmington, DE 19809
|
Trust Company
|
Computershare Trust
|
Accounting Firm
|
Meagher & Flom LLP
|
Wilmington, DE 19809
|
|
Boston, MA 02110
|
Company, N.A.
|
Deloitte & Touche LLP
|
New York, NY 10036
|
|
Sub-Advisor
|
|
Canton, MA 02021
|
Boston, MA 02116
|
|
|
BlackRock Financial
|
|
|
|
|
|
Management, Inc.
|
|
Accounting Agent
|
|
|
|
New York, NY 10022
|
|
State Street Bank
|
|
|
|
|
|
and Trust Company
|
|
|
|
|
|
Boston, MA 02110
|
|
|
|
Effective July 28, 2011, Richard S. Davis resigned as Director of the Funds,
and Paul L. Audet became Director of the Funds
86
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Additional Information
Proxy Results
The Annual Meeting of Shareholders was held on July 28, 2011, for shareholders of record on May 31, 2011, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.
Approved the Class I Directors as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paul L. Audet
|
|
Michael J. Castellano
|
|
R. Glenn Hubbard
|
|
W. Carl Kester
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
BPP
|
16,723,353
|
306,694
|
0
|
|
16,725,948
|
304,099
|
0
|
|
16,720,667
|
309,380
|
0
|
|
16,720,314
|
309,733
|
0
|
BTZ
|
42,910,998
|
4,210,384
|
0
|
|
42,906,687
|
4,214,695
|
0
|
|
42,806,687
|
4,314,695
|
0
|
|
42,818,399
|
4,302,983
|
0
|
BGT
|
16,765,207
|
455,090
|
0
|
|
16,818,574
|
401,723
|
0
|
|
16,805,500
|
414,797
|
0
|
|
16,829,537
|
390,760
|
0
|
For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.
Approved the Directors as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paul L. Audet
|
|
Michael J. Castellano
|
|
Richard E. Cavanagh
|
|
Frank J. Fabozzi
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
PSW
|
9,378,699
|
258,572
|
0
|
|
9,374,605
|
262,666
|
0
|
|
9,351,219
|
286,052
|
0
|
|
9,378,699
|
258,572
|
0
|
PSY
|
34,877,224
|
2,617,537
|
0
|
|
34,851,957
|
2,642,804
|
0
|
|
34,828,847
|
2,665,914
|
0
|
|
34,877,660
|
2,617,101
|
0
|
|
|
Kathleen F. Feldstein
|
|
James T. Flynn
|
|
Henry Gabbay
|
|
Jerrold B. Harris
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
PSW
|
9,335,536
|
301,735
|
0
|
|
9,375,616
|
261,655
|
0
|
|
9,376,010
|
261,261
|
0
|
|
9,372,345
|
264,926
|
0
|
PSY
|
34,790,278
|
2,704,483
|
0
|
|
34,855,086
|
2,639,675
|
0
|
|
34,865,317
|
2,629,444
|
0
|
|
34,856,209
|
2,638,552
|
0
|
|
|
R. Glenn Hubbard
|
|
W. Carl Kester
|
|
Karen P. Robards
|
|
|
|
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
Votes For
|
Votes
Withheld
|
Abstain
|
|
|
|
|
PSW
|
9,350,644
|
286,627
|
0
|
|
9,376,435
|
260,836
|
0
|
|
9,336,390
|
300,881
|
0
|
|
|
|
|
PSY
|
34,823,847
|
2,670,914
|
0
|
|
34,858,068
|
2,636,693
|
0
|
|
34,841,143
|
2,653,618
|
0
|
|
|
|
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
87
|
Additional Information (continued)
Fund Certification
Each Fund is listed for trading on the NYSE and has filed with the
NYSE their annual chief executive officer certification regarding compliance with the NYSEs listing standards. The
Funds file with the SEC the certification of its chief executive officer and chief financial officer required by section 302
of the Sarbanes-Oxley Act.
Dividend Policy
The Funds dividend policy is to distribute all or a portion
of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable
level of dividend distributions, the Funds may at times pay out less than the entire amount of net investment income earned
in any particular month and may at times in any particular month pay out such accumulated but undistributed income in
addition to net investment income earned in that month. As a result, the dividends paid by the Funds for any particular month
may be more or less than the amount of net investment income earned by the Funds during such month. The Funds current
accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which
comprises part of the financial information included in this report.
General Information
On July 29, 2010, the Manager announced that a derivative complaint had been filed by Roy Curbow and other plaintiffs, including shareholders of PSY and BTZ on July 27, 2010 in the Supreme Court of the State of New York, New York County. The complaint names the Manager, BlackRock, Inc. and certain of the directors, officers and portfolio managers of PSY and BTZ as defendants. The complaint alleges, among other things, that the parties named in the complaint breached fiduciary duties owed to PSY and BTZ and their Common Shareholders by redeeming auction-market preferred shares, auction rate preferred securities, auction preferred shares and auction rate securities (collectively, AMPS) at their liquidation preference. The complaint seeks unspecified damages for losses purportedly suffered by PSY and BTZ as a result of the prior redemptions and injunctive relief preventing PSY and BTZ from redeeming AMPS at their liquidation preference in the future. The Manager, BlackRock, Inc. and the other defendants named in the complaint believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.
On November 15, 2010, the Manager announced the intention to redeem all of the outstanding AMPS issued by five of its taxable closed-end funds: PSW, PSY, BPP, BTZ, and BGT. All such outstanding AMPS were subsequently redeemed. The redemptions encompass all remaining taxable AMPS issued by BlackRock closed-end funds and total approximately $569 million. The AMPS were redeemed with available cash or proceeds from reverse repurchase agreement financing or a credit facility on a fund-by-fund basis and, in each case, the refinancing resulted in a lower cost of financing for each fund under then-existing market conditions.
In exchange for the shareholder plaintiff's agreement to withdraw a
previously filed motion for preliminary injunction enjoining any further redemptions of AMPS, each of these funds agreed to
provide the plaintiffs in those actions with 30 days prior notice of any additional redemptions. On November 24, 2010, the
Manager announced that counsel for the plaintiffs filed a motion for a preliminary injunction enjoining PSY and BTZ from
redeeming outstanding AMPS pending final resolution of the underlying shareholder derivative suit. On December 23, 2010, the
court denied plaintiffs motion for a preliminary injunction.
On June 3, 2011, a putative class action lawsuit was brought by Hinda Wachtel against PSY, certain former and current Directors of PSY, BlackRock, Inc., and certain other financial institutions in the Circuit Court for Baltimore City. The complaint alleges that the redemptions at par of certain AMPS issued by PSY constituted a breach of the fiduciary duties purportedly owed to the common shareholders of PSY; that PSY allegedly aided and abetted breaches of fiduciary duties by the Directors; and that PSY, BlackRock, Inc., and others were unjustly enriched. The Complaint requests a declaratory judgment that PSY aided and abetted breaches of fiduciary duties by the Directors and that PSY, BlackRock, Inc. and certain other financial institutions were unjustly enriched; seeks to enjoin BlackRock, Inc. from serving as investment adviser to PSY or otherwise earning fees for services rendered to PSY; and claims unquantified damages, attorneys' fees, interest and punitive damages. PSY, the Directors and BlackRock, Inc. believe that the claims asserted in the complaint are without merit and intend to defend themselves vigorously in the litigation.
On June 9, 2011, a putative class action lawsuit was brought by Sydell Protas against BTZ, certain former and current Directors of BTZ, BlackRock, Inc., and certain other financial institutions, in the Court of Chancery of the State of Delaware. On August 31, 2011, Plaintiff filed an "Amended Verified Derivative and Class Action Complaint" (the "Amended Complaint"), which purports to assert certain of the claims derivatively on behalf of BTZ and certain of the claims directly as class claims. The Amended Complaint alleges that the redemptions at par of certain AMPS issued by BTZ constituted a breach of the fiduciary duties purportedly owed to the common shareholders of BTZ; that BTZ allegedly aided and abetted breaches of fiduciary duties by the Directors; and that BTZ, BlackRock, Inc., and others were unjustly enriched. The Amended Complaint requests a declaratory judgment that BTZ aided and abetted breaches of fiduciary duties by the Directors and that BTZ, BlackRock, Inc. and certain other financial institutions were unjustly enriched; seeks to enjoin BlackRock, Inc. from serving
88
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Additional Information (continued)
General Information (concluded)
as investment adviser to BTZ or otherwise earning fees for services rendered to BTZ; and claims unquantified damages, attorneys' fees, interest and punitive damages. On October 14, 2011, all of the defendants moved to dismiss the Amended Complaint or to stay the action. BTZ, the Directors and BlackRock, Inc. believe that the claims asserted in the Amended Complaint are without merit and intend to defend themselves vigorously in the litigation.
The Funds do not make available copies of their Statements of Additional Information because the Funds shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Funds offerings and the information contained in each Funds Statement of Additional Information may have become outdated.
During the period, there were no material changes in the Funds investment objectives or policies or to the Funds charter or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds portfolios.
Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRocks website, which can be accessed at http://www.blackrock.com. This reference to BlackRocks website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRocks website in this report.
Electronic Delivery
Electronic copies of most financial reports are available on the Funds websites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds electronic delivery program.
To enroll:
Shareholders Who Hold Accounts with Investment Advisors, Banks or
Brokerages:
Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.
Householding
The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called householding and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds Forms N-Q are available on the SECs website at http://www.sec.gov and may also be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information on how to access documents on the SECs website without charge may be obtained by calling (800) SEC-0330. The Funds Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SECs website at http://www.sec.gov.
Availability of Proxy Voting Record
Information about how the Funds voted proxies relating to securities held in the Funds portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SECs website at http://www.sec.gov.
Availability of Fund Updates
BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the Closed-end Funds section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
89
|
Additional Information (continued)
Section 19(a) Notices
These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Funds investment experience during the year and may be subject to changes based on the tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.
October 31, 2011
|
|
|
|
|
|
|
|
|
|
|
Total Cumulative Distributions
for the Fiscal Year-to-Date
|
|
% Breakdown of the Total Cumulative
Distributions for the Fiscal Year-to-Date
|
|
Net
Investment
Income
|
Net Realized
Capital
Gains
Short Term
|
Return of
Capital
|
Total Per
Common
Share
|
|
Net
Investment
Income
|
Net Realized
Capital
Gains
|
Return of
Capital
|
Total Per
Common
Share
|
PSW
|
$0.611500
|
|
|
$0.611500
|
|
100%
|
|
|
100%
|
PSY
|
$0.659500
|
|
|
$0.659500
|
|
100%
|
|
|
100%
|
BPP
|
$0.668000
|
|
|
$0.668000
|
|
100%
|
|
|
100%
|
BTZ
|
$0.845500
|
|
|
$0.845500
|
|
100%
|
|
|
100%
|
90
|
ANNUAL REPORT
|
OCTOBER 31, 2011
|
Additional Information (concluded)
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, Clients) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
ANNUAL REPORT
|
OCTOBER 31, 2011
|
91
|
This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds leverage their Common Shares, which creates risk for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares yield. Statements and other information herein are as dated and are subject to change.
#CE-CAFRI-5-10/11-AR
Item 2 – Code of Ethics
– The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report,
applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to
or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.
Item 3 – Audit Committee
Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that
(i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee
financial expert is independent:
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards
The registrant’s board of directors
has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.
Prof. Kester has a thorough
understanding of generally accepted accounting principles, financial statements and internal control over financial reporting
as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services
to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity
of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to
be raised by the registrant’s financial statements.
Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control
over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial
advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for
evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience
analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.
Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert”
for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being
designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial
expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities
imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations,
or liability of any other member of the audit committee or board of directors.
Item 4 – Principal Accountant
Fees and Services
The following table presents fees billed by Deloitte
& Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:
|
(a) Audit
Fees
|
(b)
Audit-Related Fees
1
|
(c)
Tax Fees
2
|
(d)
All Other Fees
3
|
Entity
Name
|
Current
Fiscal Year End
|
Previous
Fiscal Year End
|
Current
Fiscal Year End
|
Previous
Fiscal Year End
|
Current
Fiscal Year End
|
Previous
Fiscal Year End
|
Current
Fiscal Year End
|
Previous
Fiscal Year End
|
BlackRock Credit Allocation Income Trust
IV
|
$35,100
|
$34,000
|
$0
|
$3,500
|
$21,100
|
$6,100
|
$0
|
$0
|
The following table presents fees billed by D&T that
were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate
directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment
Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not
including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment
adviser) that provide ongoing services to the Fund (“Fund Service Providers”):
|
Current
Fiscal Year End
|
Previous
Fiscal Year End
|
(b) Audit-Related
Fees
1
|
$0
|
$0
|
(c) Tax Fees
2
|
$0
|
$0
|
(d) All Other Fees
3
|
$3,030,000
|
$2,950,000
|
1
The nature of the services includes assurance and related
services reasonably related to the performance of the audit of financial statements not included in Audit Fees.
2
The nature of the
services includes tax compliance, tax advice and tax planning.
3
Aggregate fees borne
by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect
to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.
(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies
and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant
on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided
to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly
to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes
are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the
independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case
basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval,
unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a
direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual
project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will
be aggregated to determine if they exceed the previously mentioned cost levels.
Any proposed services
exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject
to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject
to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services
is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve
the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved
cost levels.
(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis
exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable
(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment
Adviser and the Fund Service Providers were:
Entity
Name
|
Current
Fiscal Year End
|
Previous
Fiscal Year End
|
BlackRock Credit Allocation Income Trust IV
|
$21,100
|
$20,377
|
Additionally, SAS No. 70 fees
for the current and previous fiscal years of $3,030,000 and $2,950,000, respectively, were billed by D&T to the Investment
Adviser.
(h) The Committee has considered
and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant’s independence.
Item 5 – Audit Committee
of Listed Registrants
(a)
The following individuals are members of the registrant’s separately-designated standing
audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):
Michael Castellano
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards
(b)
Not Applicable
Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this
form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of
Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated
the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s
proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best
interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s
stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser,
on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee
thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and
if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular
proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary
to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the
Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent
fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s
Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote
cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures
are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most
recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website
at http://www.sec.gov.
Item 8 – Portfolio Managers
of Closed-End Management Investment Companies – as of October 31, 2011.
(a)(1) The Fund is managed by
a team of investment professionals comprised of Jeff Cucunato, Managing Director at BlackRock, Mitchell S. Garfin, Managing Director
at BlackRock and Stephan Bassas, Director at BlackRock. Each is jointly responsible for the day-to-day management of the registrant’s
portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant
and/or selection of its investments. Messrs. Cucunato, Bassas and Garfin have been members of the registrant’s portfolio
management team since 2011.
Portfolio
Manager
|
Biography
|
Jeffrey Cucunato
|
Managing Director of BlackRock since
2005.
|
Stephan Bassas
|
Director of BlackRock since 2006.
|
Mitchell S.
Garfin
|
Managing Director of BlackRock since
2009; Director of BlackRock from 2005 to 2008.
|
(a)(2) As of October 31, 2011:
|
(ii) Number of Other Accounts Managed
and Assets by Account Type
|
(iii) Number of Other Accounts and
Assets for Which Advisory Fee
is
Performance-Based
|
(i) Name of
Portfolio Manager
|
Other
Registered
Investment
Companies
|
Other Pooled
Investment
Vehicles
|
Other
Accounts
|
Other
Registered
Investment
Companies
|
Other Pooled
Investment
Vehicles
|
Other
Accounts
|
Jeffrey Cucunato
|
6
|
20
|
77
|
0
|
0
|
2
|
|
$1.522
Billion
|
$141
Billion
|
$36.52
Billion
|
$0
|
$0
|
$855.4
Million
|
Stephan Bassas
|
3
|
9
|
72
|
0
|
0
|
0
|
|
$790.8
Million
|
$11.62
Billion
|
$35.25
Billion
|
$0
|
$0
|
$0
|
Mitchell Garfin
|
13
|
7
|
25
|
0
|
3
|
4
|
|
$9.06
Billion
|
$3.91
Billion
|
$6.17
Billion
|
$0
|
$204.5
Million
|
$570.3
Million
|
(iv) Potential Material
Conflicts of Interest
BlackRock has built a professional working environment,
firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor
one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities,
execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed
to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and
advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment
recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid
to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or
different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any
officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock
recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director,
shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock
with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities
of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors
or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders
or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public
information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to
the strategy utilized for a fund. It should also be noted that Messrs. Bassas and Cucunato may be managing certain hedge
fund and/or long only accounts, or may be part of a team managing certain hedge fund and/or long only accounts, subject to incentive
fees. Messrs. Bassas and Cucunato may therefore be entitled to receive a portion of any incentive fees earned on such accounts.
As a fiduciary, BlackRock owes a duty of loyalty to its
clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades
must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair
and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc.
has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient
flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base,
as appropriate.
(a)(3) As of October 31, 2011:
Portfolio Manager Compensation Overview
BlackRock’s financial arrangements
with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior
management places on key resources. Compensation may include a variety of components and may vary from year to year based on a
number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation
in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
Base compensation.
Generally, portfolio managers receive base compensation based on their position with the firm.
Discretionary Incentive Compensation.
Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance
of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s
assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s
performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks
are the same as the benchmark or benchmarks against which the performance of the funds or other accounts managed by the portfolio
managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with
respect to each portfolio manager’s compensation based on the performance of the funds and other accounts managed by each
portfolio manager relative to the various benchmarks. Performance of fixed income and multi-asset class funds is measured
on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. Performance
of index funds is based on the performance of such funds relative to pre-determined tolerance bands around a benchmark, as applicable.
With respect to these portfolio managers, such benchmarks for the Fund and other accounts include the following:
Portfolio
Manager
|
Applicable
Benchmarks
|
Jeffrey Cucunato
Stephan Bassas
|
3-Month Sterling LIBID
50% BARGOVCORP / 50% GOVCRPLONG I
50% GOV_10P / 50% LCORPLNG INDEX
50% LCREDLONG / 25% GOV_10P / 25%
50% LCREDLONG / 30% LSTR20PN / 20%
50% LEHSTR20P / 50% LCREDLONG INDE
55% LCREDLONG / 45% CGSTRIP15P IND
60% LEH_CREDIT / 40% LCREDLONG IND
69% LEH_CREDIT / 41% LHY2ICAP / 27
70% ML_CORPHQ / 30% ML6MOUSTBL IND
75% Barclays Long Credit / 23% BAR
75% LCREDLONG / 25% GOV_10P INDEX
75% MLCRPLXFIN / 25% MLCRPLFIN IND
78% LCRPLONGHQ / 22% BCORPINTHQ IN
90% LCRDLONGHQ / 10% GOV_10P INDEX
90% Barclays Long Corporate/10% Barclays Long
Government
92.5% LCRDLONGHQ / 7.5% BSTRPR2036
Barclays Capital 63.75% LCREDLONG
Barclays Capital Corporate 3+ YR I
Barclays Capital Corporate Index
Barclays Capital Credit Index
Barclays Capital Global Aggregate
Barclays Capital Global Aggregate-US 300
Barclays Capital Intermediate Credit
Barclays Capital Long Corporate/Credit High
Barclays Capital Long Corporate/Credit Index
Barclays Capital Long Government/Credit
Barclays Capital Treasury 10+ Year I
Barclays Capital U.S. Corporate BAA
Barclays Capital U.S. Dollar Capital Securities
Barclays Long Corporate EX Tier 1
BBA JPY LIBOR 1-Month Index
Bank of America ML Treasury 5-Year Index
Citigroup Customized Credit, ABS A
Citigroup Large Pension Fund Index
PERF HOL FROM 09/27/11
|
Mitchell Garfin
|
Barclays
Capital High Yield 2% Iss
|
Distribution of Discretionary Incentive Compensation
Discretionary incentive compensation
is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over
a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards
that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years.
The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash
bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion
of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s
ability to sustain and improve its performance over future periods. Providing a portion of annual bonuses in deferred cash awards
that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.
Long-Term Incentive Plan Awards
—
From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align
their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the
form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Cucunato and
Garfin have each received long-term incentive awards.
Deferred Compensation Program
—
A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that
tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program
is permitted to allocate his deferred amounts among various BlackRock investment options. Messrs. Bassas, Cucunato and Garfin
have each participated in the deferred compensation program.
Other compensation benefits.
In
addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate
in one or more of the following incentive savings plans. BlackRock, Inc. has created a variety of incentive savings plans
in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings
Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company
match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement
contribution equal to 3-5% of eligible compensation. The RSP offers a range of investment options, including registered
investment companies and collective investment funds managed by the firm. BlackRock contributions follow the investment direction
set by participants for their own contributions or, absent participant investment direction, are invested into an index target
date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment
in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual
participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000. Each portfolio manager
is eligible to participate in these plans.
(a)(4)
Beneficial Ownership
of Securities
– As of October 31, 2011.
Portfolio
Manager
|
Dollar Range
of Equity Securities
of the Fund Beneficially Owned
|
Jeffrey Cucunato
|
None
|
Stephan Bassas
|
None
|
Mitchell Garfin
|
None
|
(b) Not Applicable
Item 9 – Purchases of
Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such
purchases during the period covered by this report.
Item 10 – Submission of Matters
to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(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.
(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 second fiscal
quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the
registrant’s internal control over financial reporting.
Item 12 – Exhibits attached
hereto
(a)(1) – Code of Ethics
– See Item 2
(a)(2) – Certifications
– Attached hereto
(a)(3) – Not Applicable
(b) – 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 Credit Allocation Income Trust IV
By:
/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Credit Allocation Income
Trust IV
Date: January 3, 2012
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 Credit Allocation Income
Trust IV
Date: January 3, 2012
By:
/s/ Neal J.
Andrews
Neal J. Andrews
Chief Financial Officer (principal
financial officer) of
BlackRock Credit Allocation Income
Trust IV
Date: January 3, 2012
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