BlackRock Floating Rate Income Trust
Table of Contents

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 811-21566

Name of Fund: BlackRock Floating Rate Income Trust (BGT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 10/31/2012

Date of reporting period: 10/31/2012


Table of Contents
Item 1 –   Report to Stockholders


Table of Contents
LOGO    October 31, 2012

 

 

 

 

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
Table of Contents     

 

      Page  

Dear Shareholder

     3   

Annual Report:

  

Fund Summaries

     4   

The Benefits and Risks of Leveraging

     14   

Derivative Financial Instruments

     15   

Financial Statements:

  

Schedules of Investments

     16   

Statements of Assets and Liabilities

     66   

Statements of Operations

     67   

Statements of Changes in Net Assets

     68   

Statements of Cash Flows

     71   

Financial Highlights

     72   

Notes to Financial Statements

     77   

Report of Independent Registered Public Accounting Firm

     90   

Important Tax Information

     90   

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

     91   

Automatic Dividend Reinvestment Plans

     95   

Officers and Directors

     96   

Additional Information

     99   

 

                
2    ANNUAL REPORT    OCTOBER 31, 2012   


Table of Contents
Dear Shareholder

 

In the final months of 2011, financial markets were highly volatile but were in a mode of gradual improvement. Global central bank actions and better-than-expected economic data tempered investors’ anxiety after markets had been upended in the previous quarter by sovereign debt turmoil in the United States and Europe. Improving sentiment carried over into early 2012 as investors felt some relief from the world’s financial woes. Volatility was low and risk assets (including stocks, commodities and high yield bonds) moved boldly higher through the first two months of 2012, while climbing Treasury yields pressured higher-quality fixed income assets.

Markets reversed course in the spring when Europe’s debt problems boiled over once again. High levels of volatility returned as political instability threatened Greece’s membership in the eurozone and debt problems in Spain grew increasingly severe. Sovereign debt yields in peripheral European countries continued to rise while finance leaders deliberated over the fiscal integration of the currency bloc. Alongside the drama in Europe, investors were discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, emerged as a particular concern. In the United States, disappointing jobs reports dealt a crushing blow to investor sentiment. Risk assets sold off in the second quarter as investors retreated to safe haven assets.

Despite ongoing concerns about the health of the global economy and the debt crisis in Europe, most asset classes enjoyed a robust summer rally powered mainly by expectations for policy stimulus from central banks in Europe and the United States. Global economic data continued to be mixed, but the spate of downside surprises seen in the second quarter had receded and, outside of some areas of Europe, the risk of recession largely subsided. Additionally, in response to mounting debt pressures, the European Central Bank allayed fears by affirming its conviction to preserve the euro bloc. Early in September, the European Central Bank announced its plan to purchase sovereign debt in the eurozone’s most troubled nations. Later that month, the US Federal Reserve announced its long-awaited — and surprisingly aggressive — stimulus program, committing to purchase $40 billion of agency mortgage-backed securities per month until the US economy exhibits enough strength to sustain real growth and the labor market shows solid improvement. These central bank actions boosted investor confidence and risk assets rallied globally.

European stocks continued their advance in the final month of the reporting period as progress toward fiscal integration created a more positive atmosphere for investors. However, as corporate earnings season got underway in the United States, lackluster results pointed to the fragility of global growth and pushed US equity markets down for the month of October. The period ended with increasing concern about how and when US politicians would resolve the nation’s looming fiscal crisis, known as the “fiscal cliff.”

All asset classes performed well for the 12-month period ended October 31, 2012, with the strongest returns coming from US stocks and high yield bonds. For the six-month period ended October 31, 2012, equities underperformed fixed income investments, where high yield was the leading sector. US and international stocks finished the six-month period with modest gains, while emerging market stocks lagged other asset classes amid ongoing uncertainty. Near-zero short term interest rates continued to keep yields on money market securities near their all-time lows.

Although the financial world remains highly uncertain, we believe there are new avenues of opportunity — new ways to invest and new markets to consider. We believe it’s our responsibility to help investors adapt to today’s new world of investing and build the portfolios these times require. We encourage you to visit www.blackrock.com/newworld for more information.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

“Although the financial world remains highly uncertain, we believe there are new avenues of opportunity.”

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of October 31, 2012  
    6-month     12-month  

US large cap equities (S&P 500® Index)

    2.16     15.21

US small cap equities (Russell 2000® Index)

    0.95        12.08   

International equities (MSCI Europe, Australasia, Far East Index)

    2.12        4.61   

Emerging market equities (MSCI Emerging Markets Index)

    (1.25     2.63   

3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury
Bill Index)

    0.06        0.08   

US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)

    3.49        7.46   

US investment grade bonds (Barclays US Aggregate Bond Index)

    2.75        5.25   

Tax-exempt municipal
bonds (S&P Municipal Bond Index)

    3.65        9.57   

US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)

    6.24        13.58   
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


Table of Contents
Fund Summary as of October 31, 2012    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 Fund’s investment objective will be achieved.

 

 

Portfolio Management Commentary      

 

Ÿ  

On July 27, 2012, the Board of Directors of PSW approved a plan of reorganization whereby BlackRock Credit Allocation Income Trust IV (BTZ) would acquire all of the assets and assume all of the liabilities of PSW in exchange for newly issued shares of BTZ in a merger transaction. At a shareholder meeting on November 2, 2012, PSW shareholders approved the plan of reorganization and BTZ shareholders approved the issuance of BTZ shares in connection with the reorganization. The reorganization took place on December 10, 2012.

 

How did the Fund perform?

 

Ÿ  

For the 12-month period ended October 31, 2012, the Fund returned 24.59% based on market price and 17.95% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 21.64% based on market price and 15.80% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed 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?

 

Ÿ  

The largest contributor to performance for the period was the Fund’s allocation to the financials sector, which has seen very strong performance in 2012, especially in the first quarter. The rally in financials was driven mainly by the completion of the widely anticipated Greek sovereign debt restructuring and the launch of a second allotment of long-term refinancing operations (“LTROs”) from the European Central Bank (“ECB”). Risk assets broadly moved higher through the first quarter due to the reduction of systemic risk stemming from the eurozone’s sovereign debt crisis coupled with improving economic data in the United States. The Fund has held a long position in financials since the latter half of 2011 when valuations became attractive and credit fundamentals began to improve due to heightened industry regulation following the 2008 financial crisis. Another source of positive performance was the Fund’s allocation to capital trust securities, which have experienced significant price appreciation due to banking and financial industry regulatory reform under Basel III and the Dodd Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”). Positioning within industrials aided performance as the Fund was selectively overweight in higher-beta names (i.e., those with greater sensitivity to market movements) early in 2012, particularly in the technology, media and telecommunications space. The

Fund’s exposure to high yield corporate bonds drove strong returns and supported the Fund’s overall yield.

 

Ÿ  

Detracting modestly from the Fund’s performance was an allocation to the metals and mining space. As China has shown signs of slowing economic growth and a move away from its investment-based economy, the metals and mining sector has struggled given its close ties to the Chinese growth story.

Describe recent portfolio activity.

 

Ÿ  

Early in the 12-month period, the Fund reduced its overall risk profile by favoring high quality companies with strong balance sheets and by decreasing leverage and portfolio duration (sensitivity to interest rate movements). However, following an important step by the ECB to alleviate liquidity strains in the financial markets through its LTROs, the Fund increased risk significantly in early 2012 as the market appeared to be poised for a strong rally. Improving credit fundamentals coupled with the reduction of major liquidity risks proved the right formula for a rally in the credit space. The Fund expressed this view largely by increasing exposure to the financials sector, where valuations were attractive. The Fund reduced risk again at the end of the first quarter as the positive effect of the ECB’s LTROs began to fade and the market was growing impatient with the stalling global economic growth. Accordingly, the Fund positioned itself away from sectors directly tied to growth, and instead focused on companies that derive cash flows from the United States and are less sensitive to slowing global growth. In particular, the Fund increased exposure to US pipelines and electric companies as they tend to generate stable cash flows despite the slowing growth dynamic.

Describe portfolio positioning at period end.

 

Ÿ  

As of period end, the Fund maintained diversified exposure across investment grade and high yield corporate credits. While investment grade credit has experienced dramatic spread tightening in the past year, Fund management continued to find value in this space. The Fund continued to generate additional yield from its sizeable allocation to high yield debt. Within the credit space, the Fund retained a strong allocation to financials, although to a lesser extent than earlier in 2012. The Fund’s holdings at period end reflected a slightly more defensive bias, with a focus on the US growth story, which remained relatively benign as compared to the rest of the world. To this end, the Fund favored companies with cash flows derived from the United States and a lower sensitivity to recession in Europe.

 

 

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, 2012   


Table of Contents
     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, 2012 ($10.70)1

   6.67%

Current Monthly Distribution per Common Share2

   $0.0595

Current Annualized Distribution per Common Share2

   $0.7140

Economic Leverage as of October 31, 20123

   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 Fund’s market price and NAV per share:

 

        10/31/12        10/31/11        Change      High        Low  

Market Price

     $ 10.70         $ 9.25           15.68    $ 10.80         $ 8.86   

Net Asset Value

     $ 11.52         $ 10.52           9.51    $ 11.52         $ 10.06   

The following charts show the portfolio composition of the Fund's long-term investments and credit quality allocations of the Fund’s corporate bond and US government securities investments:

 

Portfolio Composition               
      10/31/12     10/31/11  

Corporate Bonds

     80     82

Preferred Securities

     16        15   

US Treasury Obligations

     2        1   

Asset-Backed Securities

     1        1   

Taxable Municipal Bonds

     1        1   
Credit Quality Allocations4               
      10/31/12     10/31/11  

AAA/Aaa5

     2     1

AA/Aa

     3        7   

A.

     21        28   

BBB/Baa.

     43        38   

BB/Ba.

     17        15   

B.

     10        8   

CCC/Caa.

     1        1   

Not Rated

     3        2   

 

4   

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

 

5   

Includes US Treasury obligations that are deemed AAA by the investment advisor.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    5


Table of Contents
Fund Summary as of October 31, 2012    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 Fund’s investment objective will be achieved.

 

Portfolio Management Commentary      

 

Ÿ  

On July 27, 2012, the Board of Directors of PSY approved a plan of reorganization whereby BTZ would acquire all of the assets and assume all of the liabilities of PSY in exchange for newly issued shares of BTZ in a merger transaction. At a shareholder meeting on November 2, 2012, PSY shareholders approved the plan of reorganization and BTZ shareholders approved the issuance of BTZ shares in connection with the reorganization. The reorganization took place on December 10, 2012.

How did the Fund perform?

 

Ÿ  

For the 12-month period ended October 31, 2012, the Fund returned 26.84% based on market price and 18.28% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 21.64% based on market price and 15.80% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed 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?

 

Ÿ  

The largest contributor to performance for the period was the Fund’s allocation to the financials sector, which has seen very strong performance in 2012, especially in the first quarter. The rally in financials was driven mainly by the completion of the widely anticipated Greek sovereign debt restructuring and the launch of a second allotment of LTROs from the ECB. Risk assets broadly moved higher through the first quarter due to the reduction of systemic risk stemming from the eurozone’s sovereign debt crisis coupled with improving economic data in the United States. The Fund has held a long position in financials since the latter half of 2011 when valuations became attractive and credit fundamentals began to improve due to heightened industry regulation following the 2008 financial crisis. Another source of positive performance was the Fund’s allocation to capital trust securities, which have experienced significant price appreciation due to banking and financial industry regulatory reform under Basel III and the Dodd-Frank Act. Positioning within industrials aided performance as the Fund was selectively overweight in higher-beta names (i.e., those with greater sensitivity to market movements) early in 2012, particularly in the technology, media and telecommunications space. The Fund’s exposure to high yield corporate bonds drove strong returns and supported the Fund’s overall yield.

Ÿ  

Detracting modestly from the Fund’s performance was an allocation to the metals and mining space. As China has shown signs of slowing economic growth and a move away from its investment-based economy, the metals and mining sector has struggled given its close ties to the Chinese growth story.

Describe recent portfolio activity.

 

Ÿ  

Early in the 12-month period, the Fund reduced its overall risk profile by favoring high quality companies with strong balance sheets and by decreasing leverage and portfolio duration (sensitivity to interest rate movements). However, following an important step by the ECB to alleviate liquidity strains in the financial markets through its LTROs, the Fund increased risk significantly in early 2012 as the market appeared to be poised for a strong rally. Improving credit fundamentals coupled with the reduction of major liquidity risks proved the right formula for a rally in the credit space. The Fund expressed this view largely by increasing exposure to the financials sector, where valuations were attractive. The Fund reduced risk again at the end of the first quarter as the positive effect of the ECB’s LTROs began to fade and the market was growing impatient with the stalling global economic growth. Accordingly, the Fund positioned itself away from sectors directly tied to growth, and instead focused on companies that derive cash flows from the United States and are less sensitive to slowing global growth. In particular, the Fund increased exposure to US pipelines and electric companies as they tend to generate stable cash flows despite the slowing growth dynamic.

Describe portfolio positioning at period end.

 

Ÿ  

As of period end, the Fund maintained diversified exposure across investment grade and high yield corporate credits. While investment grade credit has experienced dramatic spread tightening in the past year, Fund management continued to find value in this space. The Fund continued to generate additional yield from its sizeable allocation to high yield debt. Within the credit space, the Fund retained a strong allocation to financials, although to a lesser extent than earlier in 2012. The Fund’s holdings at period end reflected a slightly more defensive bias, with a focus on the US growth story, which remained relatively benign as compared to the rest of the world. To this end, the Fund favored companies with cash flows derived from the United States and a lower sensitivity to recession in Europe.

 

 

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, 2012   


Table of Contents
     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, 2012 ($11.54)1

   6.34%

Current Monthly Distribution per Common Share2

   $0.061

Current Annualized Distribution per Common Share2

   $0.732

Economic Leverage as of October 31, 20123

   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 Fund’s market price and NAV per share:

 

        10/31/12        10/31/11        Change      High        Low  

Market Price

     $ 11.54         $ 9.74           18.48    $ 11.65         $ 9.42   

Net Asset Value

     $ 12.43         $ 11.25           10.49    $ 12.43         $ 10.84   

The following charts show the portfolio composition of the Fund's long-term investments and credit quality allocations of the Fund’s corporate bond and US government securities investments:

 

Portfolio Composition               
      10/31/12     10/31/11  

Corporate Bonds

     79     80

Preferred Securities

     16        17   

US Treasury Obligations

     3        1   

Asset-Backed Securities

     1        1   

Taxable Municipal Bonds

     1        1   
Credit Quality Allocations4               
      10/31/12     10/31/11  

AAA/Aaa5

     4     1

AA/Aa

     2        7   

A.

     22        26   

BBB/Baa.

     42        39   

BB/Ba.

     18        17   

B.

     9        7   

CCC/Caa.

     1        1   

Not Rated

     2        2   

 

4   

Using the higher of S&P’s or Moody’s ratings.

 

5   

Includes US Treasury obligations that are deemed AAA by the investment advisor.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    7


Table of Contents
Fund Summary as of October 31, 2012    BlackRock Credit Allocation Income Trust III

 

Fund Overview

BlackRock Credit Allocation Income Trust III’s (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 Fund’s investment objective will be achieved.

 

 

Portfolio Management Commentary      

 

Ÿ  

On July 27, 2012, the Board of Directors of BPP approved a plan of reorganization whereby BTZ would acquire all of the assets and assume all of the liabilities of BPP in exchange for newly issued shares of BTZ in a merger transaction. At a shareholder meeting on November 2, 2012, BPP shareholders approved the plan of reorganization and BTZ shareholders approved the issuance of BTZ shares in connection with the reorganization. The reorganization took place on December 10, 2012.

How did the Fund perform?

 

Ÿ  

For the 12-month period ended October 31, 2012, the Fund returned 24.67% based on market price and 17.53% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 21.64% based on market price and 15.80% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed 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?

 

Ÿ  

The largest contributor to performance for the period was the Fund’s allocation to the financials sector, which has seen very strong performance in 2012, especially in the first quarter. The rally in financials was driven mainly by the completion of the widely anticipated Greek sovereign debt restructuring and the launch of a second allotment of LTROs from the ECB. Risk assets broadly moved higher through the first quarter due to the reduction of systemic risk stemming from the eurozone’s sovereign debt crisis coupled with improving economic data in the United States. The Fund has held a long position in financials since the latter half of 2011 when valuations became attractive and credit fundamentals began to improve due to heightened industry regulation following the 2008 financial crisis. Another source of positive performance was the Fund’s allocation to capital trust securities, which have experienced significant price appreciation due to banking and financial industry regulatory reform under Basel III and the Dodd-Frank Act. Positioning within industrials aided performance as the Fund was selectively overweight in higher-beta names (i.e., those with greater sensitivity to market movements) early in 2012, particularly in the technology, media and telecommunications space. The Fund’s exposure to high yield corporate bonds drove strong returns and supported the Fund’s overall yield.

Ÿ  

Detracting modestly from the Fund’s performance was an allocation to the metals and mining space. As China has shown signs of slowing economic growth and a move away from its investment-based economy, the metals and mining sector has struggled given its close ties to the Chinese growth story.

Describe recent portfolio activity.

 

Ÿ  

Early in the 12-month period, the Fund reduced its overall risk profile by favoring high quality companies with strong balance sheets and by decreasing leverage and portfolio duration (sensitivity to interest rate movements). However, following an important step by the ECB to alleviate liquidity strains in the financial markets through its LTROs, the Fund increased risk significantly in early 2012 as the market appeared to be poised for a strong rally. Improving credit fundamentals coupled with the reduction of major liquidity risks proved the right formula for a rally in the credit space. The Fund expressed this view largely by increasing exposure to the financials sector, where valuations were attractive. The Fund reduced risk again at the end of the first quarter as the positive effect of the ECB’s LTROs began to fade and the market was growing impatient with the stalling global economic growth. Accordingly, the Fund positioned itself away from sectors directly tied to growth, and instead focused on companies that derive cash flows from the United States and are less sensitive to slowing global growth. In particular, the Fund increased exposure to US pipelines and electric companies as they tend to generate stable cash flows despite the slowing growth dynamic.

Describe portfolio positioning at period end.

 

Ÿ  

As of period end, the Fund maintained diversified exposure across investment grade and high yield corporate credits. While investment grade credit has experienced dramatic spread tightening in the past year, Fund management continued to find value in this space. The Fund continued to generate additional yield from its sizeable allocation to high yield debt. Within the credit space, the Fund retained a strong allocation to financials, although to a lesser extent than earlier in 2012. The Fund’s holdings at period end reflected a slightly more defensive bias, with a focus on the US growth story, which remained relatively benign as compared to the rest of the world. To this end, the Fund favored companies with cash flows derived from the United States and a lower sensitivity to recession in Europe.

 

 

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, 2012   


Table of Contents
     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, 2012 ($12.28)1

   6.21%

Current Monthly Distribution per Common Share2

   $0.0635

Current Annualized Distribution per Common Share2

   $0.7620

Economic Leverage as of October 31, 20123

   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 Fund’s market price and NAV per share:

 

        10/31/12        10/31/11        Change      High        Low  

Market Price

     $ 12.28         $ 10.53           16.62    $ 12.40         $ 10.05   

Net Asset Value

     $ 13.27         $ 12.07           9.94    $ 13.27         $ 11.58   

The following charts show the portfolio composition of the Fund's long-term investments and credit quality allocations of the Fund’s corporate bond and US government securities investments:

 

Portfolio Composition               
      10/31/12     10/31/11  

Corporate Bonds

     80     83

Preferred Securities

     14        15   

US Treasury Obligations

     5        1   

Taxable Municipal Bonds

     1        1   
Credit Quality Allocations4               
      10/31/12     10/31/11  

AAA/Aaa5

     5     1

AA/Aa

     1        6   

A.

     23        31   

BBB/Baa.

     41        37   

BB/Ba.

     17        15   

B.

     10        8   

CCC/Caa.

     1        1   

Not Rated

     2        1   

 

4   

Using the higher of S&P’s or Moody’s ratings.

 

5   

Includes US Treasury obligations that are deemed AAA by the investment advisor.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    9


Table of Contents
Fund Summary as of October 31, 2012    BlackRock Credit Allocation Income Trust IV

 

Fund Overview

BlackRock Credit Allocation Income Trust IV’s (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 Fund’s investment objective will be achieved.

 

Portfolio Management Commentary

 

Ÿ  

On July 27, 2012, the Board of Directors of BTZ approved separate plans of reorganization whereby BTZ would acquire all of the assets and assume all of the liabilities of PSW, PSY and BPP (PSW, PSY and BPP, each a “Target Fund”) in exchange for newly issued shares of BTZ in a merger transaction. At a shareholder meeting on November 2, 2012, each Target Fund’s shareholders approved their respective plan of reorganization and BTZ shareholders approved the issuance of BTZ shares in connection with the reorganization. The reorganization took place on December 10, 2012.

How did the Fund perform?

 

Ÿ  

For the 12-month period ended October 31, 2012, the Fund returned 26.44% based on market price and 18.35% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of 21.64% based on market price and 15.80% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed 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?

 

Ÿ  

The largest contributor to performance for the period was the Fund’s allocation to the financials sector, which has seen very strong performance in 2012, especially in the first quarter. The rally in financials was driven mainly by the completion of the widely anticipated Greek sovereign debt restructuring and the launch of a second allotment of LTROs from the ECB. Risk assets broadly moved higher through the first quarter due to the reduction of systemic risk stemming from the eurozone’s sovereign debt crisis coupled with improving economic data in the United States. The Fund has held a long position in financials since the latter half of 2011 when valuations became attractive and credit fundamentals began to improve due to heightened industry regulation following the 2008 financial crisis. Another source of positive performance was the Fund’s allocation to capital trust securities, which have experienced significant price appreciation due to banking and financial industry regulatory reform under Basel III and the Dodd-Frank Act. Positioning within industrials aided performance as the Fund was selectively overweight in higher-beta names (i.e., those with greater sensitivity to market movements) early in 2012, particularly in the technology, media and telecommunications space. The Fund’s exposure to high yield corporate bonds drove strong returns and supported the Fund’s overall yield.

Ÿ  

Detracting modestly from the Fund’s performance was an allocation to the metals and mining space. As China has shown signs of slowing economic growth and a move away from its investment-based economy, the metals and mining sector has struggled given its close ties to the Chinese growth story.

Describe recent portfolio activity.

 

Ÿ  

Early in the 12-month period, the Fund reduced its overall risk profile by favoring high quality companies with strong balance sheets and by decreasing leverage and portfolio duration (sensitivity to interest rate movements). However, following an important step by the ECB to alleviate liquidity strains in the financial markets through its LTROs, the Fund increased risk significantly in early 2012 as the market appeared to be poised for a strong rally. Improving credit fundamentals coupled with the reduction of major liquidity risks proved the right formula for a rally in the credit space. The Fund expressed this view largely by increasing exposure to the financials sector, where valuations were attractive. The Fund reduced risk again at the end of the first quarter as the positive effect of the ECB’s LTROs began to fade and the market was growing impatient with the stalling global economic growth. Accordingly, the Fund positioned itself away from sectors directly tied to growth, and instead focused on companies that derive cash flows from the United States and are less sensitive to slowing global growth. In particular, the Fund increased exposure to US pipelines and electric companies as they tend to generate stable cash flows despite the slowing growth dynamic.

Describe portfolio positioning at period end.

 

Ÿ  

As of period end, the Fund maintained diversified exposure across investment grade and high yield corporate credits. While investment grade credit has experienced dramatic spread tightening in the past year, Fund management continued to find value in this space. The Fund continued to generate additional yield from its sizeable allocation to high yield debt. Within the credit space, the Fund retained a strong allocation to financials, although to a lesser extent than earlier in 2012. The Fund’s holdings at period end reflected a slightly more defensive bias, with a focus on the US growth story, which remained relatively benign as compared to the rest of the world. To this end, the Fund favored companies with cash flows derived from the United States and a lower sensitivity to recession in Europe.

 

 

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, 2012   


Table of Contents
     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, 2012 ($14.23)1

   6.62%

Current Monthly Distribution per Common Share2

   $0.0785

Current Annualized Distribution per Common Share2

   $0.9420

Economic Leverage as of October 31, 20123

   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 Fund’s market price and NAV per share:

 

        10/31/12        10/31/11        Change      High        Low  

Market Price

     $ 14.23         $ 12.08           17.80    $ 14.32         $ 11.76   

Net Asset Value

     $ 15.37         $ 13.94           10.26    $ 15.37         $ 13.37   

The following charts show the portfolio composition of the Fund's long-term investments and credit quality allocations of the Fund’s corporate bond and US government securities investments:

 

Portfolio Composition               
      10/31/12     10/31/11  

Corporate Bonds

     80     80

Preferred Securities

     16        17   

US Treasury Obligations

     2        1   

Asset-Backed Securities

     1        1   

Taxable Municipal Bonds

     1        1   
Credit Quality Allocations4               
      10/31/12     10/31/11  

AAA/Aaa5

     3     1

AA/Aa

     2        7   

A.

     25        29   

BBB/Baa.

     39        37   

BB/Ba.

     18        16   

B.

     10        8   

CCC/Caa.

     1          

Not Rated

     2        2   

 

4   

Using the higher of S&P’s or Moody’s ratings.

 

5   

Includes US Treasury obligations that are deemed AAA by the investment advisor.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    11


Table of Contents
Fund Summary as of October 31, 2012    BlackRock Floating Rate Income Trust

 

Fund Overview

BlackRock Floating Rate Income Trust’s (BGT) (the “Fund”) primary investment objective is to provide a high level of current income. The Fund’s 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 Fund’s investment objectives will be achieved.

 

Portfolio Management Commentary

 

How did the Fund perform?

 

Ÿ  

For the 12-month period ended October 31, 2012, the Fund returned 25.33% based on market price and 12.37% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 21.76% based on market price and 12.63% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium 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?

 

Ÿ  

Security selection in the gaming, diversified manufacturing, electric and consumer services industries contributed positively to results, as did the Fund’s tactical allocation to fixed-rate high yield corporate bonds, which outperformed floating rate loan interests (bank loans) over the period.

 

Ÿ  

Conversely, security selection in the media non-cable industry detracted from performance, along with exposure to the media cable and independent energy industries. The Fund’s limited exposure to emerging market securities hindered returns as this segment of the fixed income universe outperformed both high yield and bank loans.

Describe recent portfolio activity.

 

Ÿ  

During the 12-month period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. Given mixed economic data along with global policy uncertainty and an overall weak outlook for global growth, the Fund remained cautious of lower-rated, less-liquid loans.

 

Ÿ  

Financial markets improved during the period due to the long-term refinancing operations introduced by the European Central Bank (“ECB”) in December 2011 and additional monetary stimulus from both the ECB and the US Federal Reserve in September 2012. These global central bank actions were supportive of risk markets, but did not have a significant influence on the Fund’s view on risk within the loan market. More specifically, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macro risks.

Describe portfolio positioning at period end.

 

Ÿ  

At period end, the Fund held 80% of its total portfolio in floating rate loan interests and 16% in corporate bonds, with the remainder invested in a mix of asset-backed securities, foreign agency obligations and common stocks. The Fund’s largest sector exposures included health care, media cable and chemicals. The Fund ended the period with leverage at 30% 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, 2012   


Table of Contents
     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, 2012 ($15.07)1

   6.17%

Current Monthly Distribution per Common Share2

   $0.0775

Current Annualized Distribution per Common Share2

   $0.9300

Economic Leverage as of October 31, 20123

   30%

 

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 Fund’s market price and NAV per share:

 

        10/31/12        10/31/11        Change      High        Low  

Market Price

     $ 15.07         $ 13.00           15.92    $ 15.80         $ 12.55   

Net Asset Value

     $ 14.52         $ 13.97           3.94    $ 14.54         $ 13.53   

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bonds:

 

Portfolio Composition               
      10/31/12     10/31/11  

Floating Rate Loan Interests

     80     78

Corporate Bonds

     16        18   

Asset-Backed Securities

     2        2   

Foreign Agency Obligations

     1        1   

Common Stocks

     1          

Other Interests

            1   
Credit Quality Allocations4               
      10/31/12     10/31/11  

AA/Aa

            9

A.

            2   

BBB/Baa.

     19     25   

BB/Ba.

     36        27   

B.

     42        34   

CCC/Caa.

     2        1   

Not Rated

     1        2   

 

4   

Using the higher of S&P's or Moody's ratings.

 

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    13


Table of Contents
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 and/or entering into reverse repurchase agreements. 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 Fund’s 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 Fund’s capitalization is $100 million and it borrows for 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 Fund’s long-term investments, and therefore the Fund’s 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 Fund’s 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, 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 Fund’s 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 Fund’s 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, as amended (the “1940 Act”), the Funds are permitted to issue senior securities representing indebtedness up to 33 1/3% of their total managed assets (each Fund’s net assets plus the proceeds of any outstanding borrowings). If the Funds segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Fund voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of October 31, 2012, the Funds had aggregate economic leverage from reverse repurchase agreements and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

 

      Percent of
Economic
Leverage
 

PSW

     33

PSY

     32

BPP

     32

BTZ

     32

BGT

     30
 

 

                
14    ANNUAL REPORT    OCTOBER 31, 2012   


Table of Contents
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 security, index and/or market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate 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 advisor’s 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, 2012    15


Table of Contents

Schedule of Investments October 31, 2012

  

BlackRock Credit Allocation Income Trust I, Inc. (PSW)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities          

Par  

(000)

    Value  
      

321 Henderson Receivables I LLC, Series 2012-1A, Class A, 4.21%, 2/16/65 (a)

    USD         246      $ 258,216   

Atrium CDO Corp., Series 5A, Class A4,
0.82%, 7/20/20 (a)(b)

       650        588,250   

SLM Student Loan Trust, Series 2004-B, Class A2, 0.59%, 6/15/21 (b)

             417        407,522   
Total Asset-Backed Securities – 1.1%                      1,253,988   
      
                          
Corporate Bonds                      

Aerospace & Defense — 0.9%

      

BE Aerospace, Inc., 5.25%, 4/01/22

       400        417,000   

Huntington Ingalls Industries, Inc.:

      

6.88%, 3/15/18

       150        162,000   

7.13%, 3/15/21

       140        150,500   

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

       282        304,560   
      

 

 

 
                       1,034,060   

Airlines — 0.6%

      

American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21

       52        54,034   

Continental Airlines Pass-Through Trust, Series 2009-2, Class B, 9.25%, 5/10/17

       293        320,369   

Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 1/02/23

       260        285,918   
      

 

 

 
                       660,321   

Auto Components — 1.0%

      

Delphi Corp., 6.13%, 5/15/21

       130        143,650   

Ford Motor Co., 7.45%, 7/16/31

       260        328,900   

Icahn Enterprises LP:

      

7.75%, 1/15/16

       140        146,300   

8.00%, 1/15/18

       560        602,000   
      

 

 

 
                       1,220,850   

Beverages — 0.6%

      

Anheuser-Busch InBev Worldwide, Inc.,
1.38%, 7/15/17 (c)

       225        228,392   

Constellation Brands, Inc., 7.25%, 5/15/17

       460        541,650   
      

 

 

 
                       770,042   

Building Products — 0.3%

      

Building Materials Corp. of America (a):

      

7.00%, 2/15/20

       85        92,225   

6.75%, 5/01/21

       250        272,500   
      

 

 

 
                       364,725   

Capital Markets — 5.2%

      

Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)

       750        886,720   

E*Trade Financial Corp., 12.50%, 11/30/17

       440        498,300   

The Goldman Sachs Group, Inc. (c):

      

6.15%, 4/01/18

       125        146,380   

5.75%, 1/24/22

       385        446,938   

6.25%, 2/01/41

       1,050        1,246,598   

Morgan Stanley, 5.75%, 1/25/21 (c)

       1,025        1,146,822   
Corporate Bonds           Par  
(000)
    Value  
      

Capital Markets (concluded)

      

UBS AG:

      

2.25%, 1/28/14 (c)

    USD         375      $ 380,693   

5.88%, 7/15/16 (c)

       650        727,784   

7.63%, 8/17/22

       600        647,044   
      

 

 

 
                       6,127,279   

Chemicals — 2.3%

      

Ashland, Inc., 4.75%, 8/15/22 (a)

       120        122,400   

Celanese US Holdings LLC, 5.88%, 6/15/21

       370        412,088   

Hexion US Finance Corp., 6.63%, 4/15/20

       110        109,725   

Huntsman International LLC, 8.63%, 3/15/21

       140        159,250   

INEOS Finance Plc (a):

      

8.38%, 2/15/19

       100        105,000   

7.50%, 5/01/20

       105        106,313   

Linde Finance BV, 7.38%, 7/14/66 (b)

    EUR         180        272,969   

LyondellBasell Industries NV, 5.75%, 4/15/24 (c)

    USD         445        515,087   

MPM Escrow LLC/MPM Finance Escrow Corp.,
8.88%, 10/15/20 (a)

       70        68,600   

Nufarm Australia Ltd., 6.38%, 10/15/19 (a)

       70        71,750   

Rockwood Specialties Group, Inc., 4.63%, 10/15/20

       395        406,850   

Tronox Finance LLC, 6.38%, 8/15/20 (a)

       360        359,100   
      

 

 

 
                       2,709,132   

Commercial Banks — 5.4%

      

Amsouth Bank, Series AI, 4.85%, 4/01/13

       200        202,750   

Asciano Finance Ltd., 5.00%, 4/07/18 (a)

       200        215,565   

Associated Banc-Corp, 5.13%, 3/28/16 (c)

       515        564,704   

BBVA US Senior SAU, 4.66%, 10/09/15

       600        605,932   

Branch Banking & Trust Co. (b):

      

0.72%, 9/13/16

       250        242,971   

0.73%, 5/23/17

       150        144,081   

CIT Group, Inc.:

      

4.25%, 8/15/17

       320        328,258   

5.25%, 3/15/18

       280        297,500   

5.50%, 2/15/19 (a)

       240        255,900   

5.00%, 8/15/22

       100        103,623   

City National Corp., 5.25%, 9/15/20 (c)

       550        606,245   

Discover Bank, 8.70%, 11/18/19

       300        392,257   

HSBC Finance Corp., 6.68%, 1/15/21 (c)

       350        414,167   

Regions Financial Corp.:

      

4.88%, 4/26/13

       600        609,750   

5.75%, 6/15/15

       460        503,700   

Santander Holdings USA, Inc., 3.00%, 9/24/15

       275        280,264   

SVB Financial Group, 5.38%, 9/15/20 (c)

       550        622,897   
      

 

 

 
                       6,390,564   

Commercial Services & Supplies — 4.0%

      

ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)

       70        72,450   

The ADT Corp., 4.88%, 7/15/42 (a)

       295        314,817   

Aviation Capital Group Corp. (a):

      

7.13%, 10/15/20 (c)

       2,200        2,320,995   

6.75%, 4/06/21

       550        571,401   

Casella Waste Systems, Inc., 7.75%, 2/15/19

       84        82,320   

Clean Harbors, Inc., 5.25%, 8/01/20 (a)

       108        110,700   

Corrections Corp. of America, 7.75%, 6/01/17

       775        828,281   

Covanta Holding Corp., 6.38%, 10/01/22

       155        168,682   
 
Portfolio Abbreviations      

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

AUD   Australian Dollar
CAD   Canadian Dollar
CHF   Swiss Franc
DIP   Debtor-In-Possession
EUR   Euro
EURIBOR   EURO Interbank Offered Rate
FKA   Formerly Known As
GBP   British Pound
LIBOR   London Interbank Offered Rate
RB   Revenue Bonds
USD   US Dollar

 

 

 

See Notes to Financial Statements.

 

                
16    ANNUAL REPORT    OCTOBER 31, 2012   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust I, Inc. (PSW)

(Percentages shown are based on Net Assets)

 

Corporate Bonds          

Par  

(000)

    Value  
      

Commercial Services & Supplies (concluded)

      

HDTFS, Inc. (a):

      

5.88%, 10/15/20

    USD         85      $ 85,850   

6.25%, 10/15/22

       110        111,513   

Mobile Mini, Inc., 7.88%, 12/01/20

       65        70,281   
      

 

 

 
                       4,737,290   

Communications Equipment — 0.9%

      

Avaya, Inc., 9.75%, 11/01/15 (c)

       200        178,000   

Brocade Communications Systems, Inc.,
6.88%, 1/15/20 (c)

       700        757,750   

Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20

       160        175,200   
      

 

 

 
                       1,110,950   

Computers & Peripherals — 0.0%

      

NCR Corp., 5.00%, 7/15/22 (a)

             30        30,638   

Construction Materials — 0.5%

      

HD Supply, Inc. (a):

      

8.13%, 4/15/19

       210        231,000   

11.50%, 7/15/20

       295        310,488   
      

 

 

 
                       541,488   

Consumer Finance — 5.4%

      

American Express Credit Corp., 2.75%, 9/15/15 (c)

       1,400        1,475,837   

Capital One Bank USA NA, 8.80%, 7/15/19

       775        1,031,515   

Daimler Finance North America LLC,
2.63%, 9/15/16 (a)(c)

       800        834,706   

Experian Finance Plc, 2.38%, 6/15/17 (a)(c)

       200        204,753   

Ford Motor Credit Co. LLC:

      

8.00%, 12/15/16

       245        296,702   

5.88%, 8/02/21

       690        794,468   

Inmarsat Finance Plc, 7.38%, 12/01/17 (a)

       420        452,550   

SLM Corp., 6.25%, 1/25/16

       1,180        1,274,459   

Toll Brothers Finance Corp., 5.88%, 2/15/22

       95        107,396   
      

 

 

 
                       6,472,386   

Containers & Packaging — 1.6%

      

Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (a)

       200        209,000   

Ball Corp.:

      

7.13%, 9/01/16

       400        430,000   

6.75%, 9/15/20

       505        554,237   

Bemis Co., Inc., 6.80%, 8/01/19

       200        244,190   

Crown Americas LLC, 6.25%, 2/01/21

       200        220,750   

Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)

       200        200,000   
      

 

 

 
                       1,858,177   

Diversified Financial Services — 9.7%

      

Ally Financial, Inc.:

      

4.50%, 2/11/14

       225        231,750   

8.30%, 2/12/15

       390        436,897   

8.00%, 11/01/31

       320        380,800   

Bank of America Corp. (c):

      

3.75%, 7/12/16

       350        375,070   

5.30%, 3/15/17

       855        959,887   

5.00%, 5/13/21

       1,325        1,494,705   

Blackstone Holdings Finance Co. LLC,
4.75%, 2/15/23 (a)(c)

       200        214,517   

Citigroup, Inc. (c):

      

6.38%, 8/12/14

       300        326,899   

4.59%, 12/15/15

       225        245,458   

4.45%, 1/10/17

       600        662,849   

DPL, Inc., 7.25%, 10/15/21

       255        287,512   

General Motors Financial Co., Inc., 6.75%, 6/01/18

       120        133,038   

ING Bank NV, 5.00%, 6/09/21 (a)(c)

       550        621,148   

Intesa Sanpaolo SpA, 2.38%, 12/21/12 (c)

       800        800,005   

LeasePlan Corp. NV, 3.00%, 10/23/17 (a)(b)(c)

       475        480,476   

Moody’s Corp., 6.06%, 9/07/17

       2,500        2,740,993   

Reynolds American, Inc., 3.25%, 11/01/22

       450        455,141   
Corporate Bonds          

Par  

(000)

    Value  
      

Diversified Financial Services (concluded)

      

Reynolds Group Issuer, Inc.:

      

7.88%, 8/15/19

    USD         255      $ 276,675   

9.88%, 8/15/19

       100        104,750   

5.75%, 10/15/20 (a)

       220        222,200   

WMG Acquisition Corp., 9.50%, 6/15/16

       50        54,938   
      

 

 

 
                       11,505,708   

Diversified Telecommunication Services — 3.5%

      

AT&T, Inc., 6.30%, 1/15/38 (c)

       1,000        1,338,902   

Level 3 Financing, Inc.:

      

8.13%, 7/01/19

       898        958,615   

8.63%, 7/15/20

       150        163,500   

Telecom Italia Capital SA, 6.18%, 6/18/14

       225        238,645   

Telefonica Emisiones SAU, 5.46%, 2/16/21

       310        315,038   

Verizon Communications, Inc., 7.35%, 4/01/39 (c)

       660        1,016,424   

Windstream Corp., 7.88%, 11/01/17

       160        178,200   
      

 

 

 
                       4,209,324   

Electric Utilities — 2.9%

      

CMS Energy Corp., 5.05%, 3/15/22

       275        307,188   

FirstEnergy Solutions Corp., 6.05%, 8/15/21

       250        288,887   

Great Plains Energy, Inc., 5.29%, 6/15/22

       375        429,893   

Mirant Mid Atlantic Pass Through Trust, Series B, 9.13%, 6/30/17

       122        133,155   

Nisource Finance Corp.:

      

6.40%, 3/15/18

       250        304,300   

5.25%, 2/15/43

       155        173,830   

Oncor Electric Delivery Co. LLC (c):

      

4.10%, 6/01/22

       300        321,439   

5.30%, 6/01/42

       180        204,889   

Progress Energy, Inc., 7.00%, 10/30/31 (c)

       1,000        1,334,774   
      

 

 

 
                       3,498,355   

Electronic Equipment, Instruments & Components — 0.3%

  

 

Jabil Circuit, Inc., 8.25%, 3/15/18

       200        236,000   

NXP BV, 3.09%, 10/15/13 (b)

       95        94,881   
      

 

 

 
                       330,881   

Energy Equipment & Services — 3.8%

      

Atwood Oceanics, Inc., 6.50%, 2/01/20

       25        26,875   

Cie Générale de Géophysique-Veritas,
6.50%, 6/01/21

       200        211,000   

Energy Transfer Partners LP, 5.20%, 2/01/22

       700        803,537   

Ensco Plc, 4.70%, 3/15/21 (c)

       460        529,696   

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)

       182        190,190   

Hornbeck Offshore Services, Inc., 5.88%, 4/01/20

       65        66,138   

Key Energy Services, Inc., 6.75%, 3/01/21

       175        174,125   

MEG Energy Corp. (a):

      

6.50%, 3/15/21

       225        241,312   

6.38%, 1/30/23

       50        53,500   

Oil States International, Inc., 6.50%, 6/01/19

       120        127,500   

Peabody Energy Corp., 6.25%, 11/15/21 (c)

       370        382,025   

Precision Drilling Corp., 6.50%, 12/15/21

       95        100,463   

Seadrill Ltd., 5.63%, 9/15/17 (a)

       570        570,000   

Transocean, Inc.:

      

2.50%, 10/15/17

       100        101,278   

6.50%, 11/15/20

       265        321,955   

6.38%, 12/15/21

       320        389,387   

6.80%, 3/15/38

       225        279,666   
      

 

 

 
                       4,568,647   

Food Products — 1.3%

      

Kraft Foods Group, Inc., 5.00%, 6/04/42 (a)

       300        350,361   

Mondelez International, Inc.:

      

6.50%, 8/11/17

       385        475,524   

6.13%, 8/23/18

       390        485,288   

Post Holdings, Inc., 7.38%, 2/15/22 (a)

       213        226,046   
      

 

 

 
                       1,537,219   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    17


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust I, Inc. (PSW)

(Percentages shown are based on Net Assets)

 

Corporate Bonds          

Par  

(000)

    Value  
      

Gas Utilities — 0.2%

      

El Paso Natural Gas Co. LLC, 8.63%, 1/15/22

    USD         165      $ 225,723   

Health Care Equipment & Supplies — 0.6%

      

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)

       500        573,750   

Teleflex, Inc., 6.88%, 6/01/19

       115        123,625   
      

 

 

 
                       697,375   

Health Care Providers & Services — 3.8%

      

Aviv Healthcare Properties LP, 7.75%, 2/15/19

       105        110,644   

CHS/Community Health Systems, Inc., 5.13%, 8/15/18

       115        119,313   

HCA, Inc.:

      

8.50%, 4/15/19

       55        61,806   

6.50%, 2/15/20

       525        580,125   

7.25%, 9/15/20

       195        215,719   

4.75%, 5/01/23

       640        640,000   

INC Research LLC, 11.50%, 7/15/19 (a)

       165        165,825   

inVentiv Health, Inc., 10.00%, 8/15/18 (a)

       10        9,050   

Tenet Healthcare Corp.:

      

10.00%, 5/01/18

       350        399,000   

8.88%, 7/01/19

       250        279,375   

4.75%, 6/01/20 (a)

       222        220,057   

UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)

       800        1,133,814   

WellPoint, Inc. (c):

      

3.30%, 1/15/23

       250        258,596   

2.75%, 10/15/42 (a)(d)

       300        312,750   
      

 

 

 
                       4,506,074   

Health Care Technology — 1.3%

      

Amgen, Inc.:

      

5.15%, 11/15/41 (c)

       957        1,102,671   

5.65%, 6/15/42

       8        9,823   

5.38%, 5/15/43 (c)

       400        480,242   
      

 

 

 
                       1,592,736   

Household Durables — 0.5%

      

Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)

       165        176,550   

DR Horton, Inc., 4.38%, 9/15/22

       150        150,375   

Standard Pacific Corp., 8.38%, 1/15/21

       210        243,600   
      

 

 

 
                       570,525   

Independent Power Producers & Energy Traders — 1.8%

  

    

The AES Corp.:

      

9.75%, 4/15/16

       235        281,119   

7.38%, 7/01/21

       30        33,525   

Calpine Corp. (a):

      

7.25%, 10/15/17

       90        95,400   

7.50%, 2/15/21

       45        48,937   

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

       440        480,700   

Exelon Generation Co. LLC, Series C,
4.25%, 6/15/22 (a)

       546        584,411   

GenOn REMA LLC, 9.68%, 7/02/26

       120        128,400   

Laredo Petroleum, Inc.:

      

9.50%, 2/15/19

       70        79,450   

7.38%, 5/01/22

       65        70,850   

NRG Energy, Inc., 6.63%, 3/15/23 (a)

       125        128,750   

QEP Resources, Inc.:

      

5.38%, 10/01/22

       134        140,700   

5.25%, 5/01/23

       70        72,975   
      

 

 

 
                       2,145,217   

Insurance — 7.4%

      

American International Group, Inc. (c):

      

3.80%, 3/22/17

       345        372,195   

8.25%, 8/15/18

       150        194,857   

6.40%, 12/15/20

       610        749,140   
Corporate Bonds          

Par  

(000)

    Value  
      

Insurance (concluded)

      

Aon Corp., 5.00%, 9/30/20 (c)

    USD         1,600      $ 1,843,549   

Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)

       325        332,982   

Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)

       250        317,815   

Genworth Financial, Inc., 7.63%, 9/24/21 (c)

       225        236,653   

ING Verzekeringen NV, 2.09%, 6/21/21 (b)

    EUR         110        138,342   

Manulife Financial Corp., 4.90%, 9/17/20 (c)

    USD         1,000        1,111,048   

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)

       100        91,250   

Nippon Life Insurance Co., 5.00%, 10/18/42 (a)(b)

       750        773,749   

Principal Financial Group, Inc., 8.88%, 5/15/19

       225        298,962   

Prudential Financial, Inc.:

      

6.63%, 12/01/37 (c)

       800        1,027,637   

5.88%, 9/15/42 (b)

       300        315,750   

XL Group Ltd., 5.75%, 10/01/21 (c)

       810        959,551   
      

 

 

 
                       8,763,480   

IT Services — 1.2%

      

Ceridian Corp., 8.88%, 7/15/19 (a)

       415        439,900   

Epicor Software Corp., 8.63%, 5/01/19

       160        168,000   

First Data Corp.:

      

7.38%, 6/15/19 (a)(c)

       215        222,525   

6.75%, 11/01/20 (a)

       190        190,000   

8.25%, 1/15/21 (a)

       20        20,000   

12.63%, 1/15/21

       170        175,525   

SunGard Data Systems, Inc., 7.38%, 11/15/18

       170        182,963   
      

 

 

 
                       1,398,913   

Life Sciences Tools & Services — 1.8%

      

Bio-Rad Laboratories, Inc., 8.00%, 9/15/16

       865        945,012   

Life Technologies Corp., 6.00%, 3/01/20 (c)

       1,000        1,196,869   
      

 

 

 
                       2,141,881   

Machinery — 1.0%

      

Ingersoll-Rand Global Holding Co. Ltd.,
9.50%, 4/15/14 (c)

       800        895,842   

UR Merger Sub Corp. (a):

      

5.75%, 7/15/18

       55        59,125   

7.38%, 5/15/20

       140        151,550   

7.63%, 4/15/22

       129        141,255   
      

 

 

 
                       1,247,772   

Media — 8.6%

      

A&E Television Networks LLC, 3.25%, 8/22/19

       500        508,750   

AMC Networks, Inc., 7.75%, 7/15/21

       90        101,925   

CCH II LLC, 13.50%, 11/30/16

       221        237,527   

Comcast Corp., 6.30%, 11/15/17 (c)

       800        993,405   

Cox Communications, Inc., 8.38%, 3/01/39 (a)

       800        1,269,414   

CSC Holdings LLC, 8.63%, 2/15/19

       275        325,875   

DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)

       600        682,279   

DISH DBS Corp., 7.00%, 10/01/13

       450        470,812   

Intelsat Jackson Holdings SA, 7.25%, 4/01/19

       50        53,625   

Intelsat Luxembourg SA:

      

11.25%, 2/04/17

       210        220,500   

11.50%, 2/04/17 (e)

       100        105,250   

The Interpublic Group of Cos., Inc.,
10.00%, 7/15/17

       275        303,531   

News America, Inc., 6.15%, 3/01/37 (c)

       650        816,061   

Time Warner Cable, Inc., 6.75%, 6/15/39

       925        1,234,658   

Time Warner, Inc., 7.70%, 5/01/32 (c)

       950        1,392,111   

Unitymedia Hessen GmbH & Co. KG (a):

      

8.13%, 12/01/17

       363        392,040   

7.50%, 3/15/19

       230        251,990   

Virgin Media Finance Plc, 4.88%, 2/15/22

       200        202,000   

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

       600        651,000   
      

 

 

 
                       10,212,753   
 

 

See Notes to Financial Statements.

 

                
18    ANNUAL REPORT    OCTOBER 31, 2012   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust I, Inc. (PSW)

(Percentages shown are based on Net Assets)

 

Corporate Bonds          

Par  

(000)

    Value  
      

Metals & Mining — 2.5%

      

AngloGold Ashanti Holdings Plc, 5.13%, 8/01/22

    USD         400      $ 407,929   

ArcelorMittal, 4.25%, 3/01/16

       50        49,664   

Barrick Gold Corp., 2.90%, 5/30/16 (c)

       275        290,149   

FMG Resources August 2006 Property Ltd. (a):

      

6.38%, 2/01/16

       385        385,000   

6.88%, 4/01/22 (c)

       20        18,800   

Freeport-McMoRan Copper & Gold, Inc.,

      

3.55%, 3/01/22

       325        330,914   

Freeport-McMoRan Corp., 7.13%, 11/01/27

       700        887,613   

New Gold, Inc., 7.00%, 4/15/20 (a)

       30        31,800   

Novelis, Inc., 8.75%, 12/15/20

       230        253,575   

Steel Dynamics, Inc., 6.38%, 8/15/22 (a)

       100        104,500   

Teck Resources Ltd., 10.75%, 5/15/19

       200        240,829   
      

 

 

 
                       3,000,773   

Multi-Utilities — 1.5%

      

CenterPoint Energy, Inc. (c):

      

5.95%, 2/01/17

       750        875,954   

6.50%, 5/01/18

       775        943,506   
      

 

 

 
                       1,819,460   

Multiline Retail — 0.4%

      

Dufry Finance SCA, 5.50%, 10/15/20 (a)

       200        203,492   

Walgreen Co., 3.10%, 9/15/22

       250        254,557   
      

 

 

 
                       458,049   

Oil, Gas & Consumable Fuels — 13.3%

      

Access Midstream Partners LP:

      

5.88%, 4/15/21

       140        145,600   

6.13%, 7/15/22

       110        116,325   

Berry Petroleum Co., 6.38%, 9/15/22

       100        104,250   

BP Capital Markets Plc, 3.88%, 3/10/15 (c)

       350        375,908   

Carrizo Oil & Gas, Inc., 7.50%, 9/15/20

       100        102,000   

Chesapeake Energy Corp.:

      

7.25%, 12/15/18

       10        10,650   

6.63%, 8/15/20 (c)

       105        110,250   

6.13%, 2/15/21 (c)

       115        116,438   

Concho Resources, Inc., 5.50%, 10/01/22

       100        104,750   

CONSOL Energy, Inc., 6.38%, 3/01/21

       105        104,475   

Continental Resources, Inc., 5.00%, 9/15/22

       110        115,775   

Copano Energy LLC, 7.13%, 4/01/21

       115        121,038   

DCP Midstream LLC, 4.75%, 9/30/21 (a)

       85        90,480   

Denbury Resources, Inc., 8.25%, 2/15/20

       150        169,875   

El Paso Pipeline Partners Operating Co. LLC:

      

6.50%, 4/01/20

       340        416,310   

5.00%, 10/01/21

       125        141,531   

Enbridge Energy Partners LP, 9.88%, 3/01/19

       475        647,437   

Energy Transfer Partners LP, 6.50%, 2/01/42

       215        270,300   

Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19

       240        260,400   

Enterprise Products Operating LLC, 6.65%, 4/15/18 (c)

       1,000        1,252,508   

EP Energy LLC/EP Energy Finance, Inc.,
6.88%, 5/01/19 (a)

       110        118,800   

Forest Oil Corp., 8.50%, 2/15/14

       148        159,840   

Kinder Morgan Energy Partners LP, 6.85%, 2/15/20

       1,000        1,277,352   

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (a)

       45        49,050   

Linn Energy LLC:

      

6.25%, 11/01/19 (a)

       260        260,000   

7.75%, 2/01/21

       110        117,425   

Marathon Petroleum Corp., 3.50%, 3/01/16

       325        348,225   

MarkWest Energy Partners LP:

      

6.25%, 6/15/22

       125        135,312   

5.50%, 2/15/23

       45        47,250   

Newfield Exploration Co.:

      

6.88%, 2/01/20

       145        156,962   

5.63%, 7/01/24

       100        106,750   

Nexen, Inc., 6.40%, 5/15/37

       295        378,568   
Corporate Bonds          

Par  

(000)

    Value  
      

Oil, Gas & Consumable Fuels (concluded)

      

Oasis Petroleum, Inc.:

      

7.25%, 2/01/19

    USD         65      $ 69,550   

6.50%, 11/01/21

       70        74,025   

Offshore Group Investments Ltd., 11.50%, 8/01/15

       82        90,098   

ONEOK Partners LP, 8.63%, 3/01/19

       800        1,063,538   

PDC Energy, Inc., 7.75%, 10/15/22 (a)

       85        86,488   

Petrobras International Finance Co.:

      

3.88%, 1/27/16 (c)

       875        929,543   

5.38%, 1/27/21

       525        595,379   

Petrohawk Energy Corp., 10.50%, 8/01/14

       145        156,237   

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)

       150        159,375   

Pioneer Natural Resources Co., 6.88%, 5/01/18

       115        141,417   

Plains Exploration & Production Co., 6.88%, 2/15/23

       270        269,662   

Premier Oil Plc, 5.00%, 6/09/18

       825        845,625   

Range Resources Corp.:

      

6.75%, 8/01/20

       120        132,300   

5.75%, 6/01/21

       80        85,600   

Ruby Pipeline LLC, 6.00%, 4/01/22 (a)

       700        746,557   

Sabine Pass Liquified Natural Gas LP:

      

7.50%, 11/30/16

       420        458,850   

6.50%, 11/01/20 (a)

       135        137,700   

SandRidge Energy, Inc.:

      

7.50%, 3/15/21 (a)

       80        83,200   

7.50%, 3/15/21

       45        46,800   

8.13%, 10/15/22 (a)

       50        53,750   

7.50%, 2/15/23 (a)

       175        181,125   

SESI LLC, 7.13%, 12/15/21

       100        111,500   

SM Energy Co.:

      

6.63%, 2/15/19

       55        57,613   

6.50%, 11/15/21

       80        84,200   

6.50%, 1/01/23

       50        52,250   

Targa Resources Partners LP, 6.88%, 2/01/21

       85        92,225   

Tennessee Gas Pipeline Co. LLC, 8.00%, 2/01/16

       195        234,129   

Tesoro Corp., 5.38%, 10/01/22

       140        145,950   

Western Gas Partners LP, 5.38%, 6/01/21

       350        403,266   

The Williams Cos., Inc., 8.75%, 3/15/32

       170        243,508   
      

 

 

 
                       15,763,294   

Paper & Forest Products — 2.1%

      

Boise Paper Holdings LLC:

      

9.00%, 11/01/17

       30        33,000   

8.00%, 4/01/20

       115        125,925   

International Paper Co.:

      

7.50%, 8/15/21

       775        1,029,201   

7.30%, 11/15/39 (c)

       800        1,111,174   

Longview Fibre Paper & Packaging, Inc.,
8.00%, 6/01/16 (a)

       80        83,400   

PH Glatfelter Co., 5.38%, 10/15/20 (a)

       110        111,512   
      

 

 

 
                       2,494,212   

Pharmaceuticals — 3.8%

      

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)

    EUR         100        146,789   

Merck & Co., Inc., 6.50%, 12/01/33

    USD         475        705,990   

Pfizer, Inc., 7.20%, 3/15/39 (c)

       1,380        2,206,786   

Roche Holdings, Inc., 7.00%, 3/01/39 (a)(c)

       420        650,510   

Valeant Pharmaceuticals International (a):

      

6.50%, 7/15/16

       27        28,418   

6.38%, 10/15/20

       165        173,662   

Watson Pharmaceuticals, Inc., 3.25%, 10/01/22

       540        556,464   
      

 

 

 
                       4,468,619   

Real Estate Investment Trusts (REITs) — 2.8%

      

AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)

       800        989,117   

Developers Diversified Realty Corp.:

      

4.75%, 4/15/18

       155        173,947   

7.88%, 9/01/20

       175        227,596   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    19


Table of Contents

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)

      

ERP Operating LP, 5.75%, 6/15/17 (c)

    USD         800      $ 945,634   

HCP, Inc., 5.38%, 2/01/21

       250        289,368   

UDR, Inc., 4.25%, 6/01/18

       350        388,108   

Ventas Realty LP/Ventas Capital Corp.,
4.75%, 6/01/21

       270        300,661   
      

 

 

 
                       3,314,431   

Real Estate Management & Development — 0.4%

      

Lennar Corp., 4.75%, 11/15/22 (a)

       125        123,750   

Realogy Corp. (a)(c):

      

7.88%, 2/15/19

       120        129,000   

7.63%, 1/15/20

       145        162,763   

Shea Homes LP, 8.63%, 5/15/19

       110        122,375   
      

 

 

 
                       537,888   

Road & Rail — 1.3%

      

The Hertz Corp., 6.75%, 4/15/19

       77        81,716   

Norfolk Southern Corp., 6.00%, 3/15/2105 (c)

       1,200        1,501,060   
      

 

 

 
                       1,582,776   

Semiconductors & Semiconductor Equipment — 0.5%

  

 

KLA-Tencor Corp., 6.90%, 5/01/18

             461        555,635   

Software — 0.4%

      

Infor US, Inc., 9.38%, 4/01/19

       140        154,700   

Nuance Communications, Inc., 5.38%, 8/15/20 (a)

       155        158,100   

Symantec Corp., 2.75%, 6/15/17

       150        155,738   
      

 

 

 
                       468,538   

Specialty Retail — 1.4%

      

AutoNation, Inc., 6.75%, 4/15/18

       445        499,512   

Limited Brands, Inc., 7.00%, 5/01/20

       230        262,488   

QVC, Inc. (a):

      

7.38%, 10/15/20

       25        27,706   

5.13%, 7/02/22

       330        345,045   

Sally Holdings LLC, 6.88%, 11/15/19

       140        155,225   

VF Corp., 5.95%, 11/01/17 (c)

       350        415,971   
      

 

 

 
                       1,705,947   

Tobacco — 2.2%

      

Altria Group, Inc., 10.20%, 2/06/39

       937        1,646,082   

BAT International Finance Plc, 3.25%, 6/07/22 (a)(c)

       325        337,608   

Lorillard Tobacco Co., 3.50%, 8/04/16

       600        637,575   
      

 

 

 
                       2,621,265   

Trading Companies & Distributors — 0.2%

      

Doric Nimrod Air Finance Alpha Ltd. Pass Through Trust, Series 2012-1, Class A, 5.13%, 11/30/24 (a)

             225        234,000   

Transportation Infrastructure — 1.0%

      

Penske Truck Leasing Co. LP/PTL Finance Corp. (a):

      

3.75%, 5/11/17

       725        740,263   

4.88%, 7/11/22

       400        408,933   
      

 

 

 
                       1,149,196   

Wireless Telecommunication Services — 4.9%

      

America Movil SAB de CV (c):

      

2.38%, 9/08/16

       585        611,514   

3.13%, 7/16/22

       250        257,797   

American Tower Corp.:

      

4.50%, 1/15/18

       450        498,314   

5.90%, 11/01/21

       295        353,325   

Cricket Communications, Inc., 7.75%, 5/15/16

       155        163,913   

Crown Castle International Corp.:

      

9.00%, 1/15/15

       210        224,700   

5.25%, 1/15/23 (a)

       130        134,550   

Crown Castle Towers LLC (a):

      

5.50%, 1/15/37

       275        314,054   

6.11%, 1/15/40

       300        365,000   
Corporate Bonds          

Par  

(000)

    Value  
      

Wireless Telecommunication Services (concluded)

      

Digicel Group Ltd. (a):

      

8.25%, 9/01/17

    USD         125      $ 134,375   

8.25%, 9/30/20

       255        274,762   

SBA Tower Trust, 5.10%, 4/15/42 (a)

       1,000        1,110,799   

Sprint Capital Corp., 6.88%, 11/15/28

       110        112,475   

Sprint Nextel Corp. (a):

      

9.00%, 11/15/18

       450        555,750   

7.00%, 3/01/20

       620        719,200   
      

 

 

 
                       5,830,528   
Total Corporate Bonds — 117.1%                      139,185,096   
      
                          
Floating Rate Loan Interests — 0.0% (b)                      

Oil, Gas & Consumable Fuels — 0.0%

      

Chesapeake Energy Corp., Unsecured Term Loan, 8.50%, 12/01/17

             41        41,192   
      
                          
Preferred Securities                      
Capital Trusts                      

Capital Markets — 4.0%

      

Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)

       500        552,500   

RBS Capital Trust II, 6.43% (b)(f)

       625        525,000   

State Street Capital Trust IV, 1.39%, 6/01/67 (b)

       4,740        3,634,964   
      

 

 

 
                       4,712,464   

Commercial Banks — 2.1%

      

Barclays Bank Plc (a)(b)(f):

      

5.93%(c)

       425        416,500   

7.43%

       150        156,000   

BNP Paribas SA, 7.20% (a)(b)(c)(f)

       300        295,500   

Credit Agricole SA, 8.38% (a)(b)(c)(f)

       350        356,125   

M&T Capital Trust II, 8.28%, 6/01/27

       910        930,475   

National City Preferred Capital Trust I, 12.00% (b)(f)

       300        303,441   
      

 

 

 
                       2,458,041   

Diversified Financial Services — 2.5%

      

General Electric Capital Corp., 6.25% (b)(c)

       600        654,018   

JPMorgan Chase Capital XXIII, 1.43%, 12/15/67 (b)

       3,085        2,279,451   
      

 

 

 
                       2,933,469   

Electric Utilities — 0.4%

      

PPL Capital Funding, Inc., 6.70%, 3/30/67 (b)

             500        526,875   

Insurance — 8.4%

      

ACE Capital Trust II, 9.70%, 4/01/30 (c)

       500        730,800   

The Allstate Corp., 6.50%, 5/15/67 (b)

       500        537,500   

American International Group, Inc.,
8.18%, 5/15/68 (b)

       225        280,688   

AXA SA, 6.38% (a)(b)(f)

       1,000        935,000   

The Chubb Corp., 6.38%, 3/29/67 (b)(c)

       500        542,500   

Great-West Life & Annuity Insurance Co. Capital LP II, 7.15%, 5/16/46 (a)(b)(c)

       500        514,781   

Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)

       500        745,000   

Lincoln National Corp., 7.00%, 5/17/66 (b)

       500        512,500   

MetLife, Inc., 6.40%, 12/15/66

       500        543,514   

Mitsui Sumitomo Insurance Co. Ltd.,
7.00%, 3/15/72 (a)(b)

       320        365,149   

Northwestern Mutual Life Insurance Co.,
6.06%, 3/30/40 (a)(c)

       900        1,183,065   

Reinsurance Group of America, Inc.,
6.75%, 12/15/65 (b)

       700        708,224   

Swiss Re Capital I LP, 6.85% (a)(b)(f)

       450        469,452   

ZFS Finance USA Trust II, 6.45%, 12/15/65 (a)(b)

       1,800        1,935,000   
      

 

 

 
                       10,003,173   
 

 

See Notes to Financial Statements.

 

                
20    ANNUAL REPORT    OCTOBER 31, 2012   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Credit Allocation Income Trust I, Inc. (PSW)

(Percentages shown are based on Net Assets)

 

Capital Trusts          

Par   

(000)

    Value  
      

Multi-Utilities — 0.9%

      

Dominion Resources Capital Trust I,
7.83%, 12/01/27

    USD         500      $ 507,217   

Dominion Resources, Inc., 7.50%, 6/30/66 (b)

       500        550,000   
      

 

 

 
                       1,057,217   

Oil, Gas & Consumable Fuels — 1.2%

      

Enterprise Products Operating LLC, Series A,
8.38%, 8/01/66 (b)

       825        940,500   

TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)

       500        537,315   
      

 

 

 
                       1,477,815   
Total Capital Trusts — 19.5%                      23,169,054   
      
                          
Preferred Stocks           Shares         

Auto Components — 0.1%

      

Dana Holding Corp., 4.00% (a)(d)

             1,000        112,125   

Capital Markets — 0.2%

      

RBS Capital Funding Trust V, 5.90%

             10,000        183,900   

Diversified Financial Services — 0.4%

      

Ally Financial, Inc., 7.00% (a)

             510        491,449   

Thrifts & Mortgage Finance — 0.0%

      

Fannie Mae, Series S, 8.25% (b)(g)

       3,000        5,100   

Freddie Mac, Series Z, 8.38% (b)(g)

       3,000        5,220   
      

 

 

 
                       10,320   

Wireless Telecommunication Services — 2.9%

      

Centaur Funding Corp., 9.08% (a)

             2,720        3,450,150   
Total Preferred Stocks — 3.6%                      4,247,944   
      
                          
Trust Preferreds                      

Diversified Financial Services — 0.4%

      

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40

             17,860        459,201   

Machinery — 0.3%

      

Stanley Black & Decker, Inc., 5.75%, 7/25/52

             15,000        387,750   
Total Trust Preferreds — 0.7%                      846,951   
Total Preferred Securities — 23.8%                      28,263,949   
      
                          
Taxable Municipal Bonds — 0.9%          

Par  

(000)

        

Metropolitan Transportation Authority, RB,
Build America Bonds,
6.55%, 11/15/31

    USD         800        1,007,312   
      
                          
US Government Sponsored Agency Securities — 0.3%         

Agency Obligations — 0.3%

      

Fannie Mae, 1.93%, 10/09/19 (c)(h)

             390        341,349   
      
                          
US Treasury Obligations         

US Treasury Bonds (c):

      

3.75%, 8/15/41

       236        281,098   

3.13%, 11/15/41

       415        440,419   

3.00%, 5/15/42

       1,180        1,218,903   

US Treasury Notes (c):

      

0.88%, 12/31/16

       901        911,910   

0.63%, 5/31/17

       225        224,807   

1.63%, 8/15/22

             340        338,141   
Total US Treasury Obligations — 2.9%                      3,415,278   
Total Long-Term Investments
(Cost — $157,863,895) — 146.1%
                     173,508,164   
Short-Term Securities         
Shares
    Value  
     

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.17% (i)(j)

            883,178      $ 883,178   
Total Short-Term Securities
(Cost — $883,178) — 0.7%
                    883,178   
     
                         
Options Purchased          Contracts         
     

Exchange-Traded Put Options — 0.1%

     

Euro-Dollar 3-Year Mid-Curve Options, Strike Price USD 98.88, Expires 3/15/13

            220        90,750   
            Notional
Amount
(000)
        

Over-the-Counter Interest Rate Put Swaptions — 0.0%

  

 

Pay a fixed rate of 0.71% and receive a floating rate based on 3-month LIBOR, Expires 6/28/13, Broker Deutsche Bank AG

    USD        8,700        7,290   

Pay a fixed rate of 4.50% and receive a floating rate based on 6-month EURIBOR, Expires 9/16/13, Broker Credit Suisse Group AG

    EUR        1,300        1,762   

Pay a fixed rate of 4.50% and receive a floating rate based on 6-month EURIBOR, Expires 10/21/13, Broker Deutsche Bank AG

      1,300        2,430   

Pay a fixed rate of 4.50% and receive a floating rate based on 6-month EURIBOR, Expires 12/12/13, Broker Credit Suisse Group AG

      900        2,572   

Pay a fixed rate of 4.50% and receive a floating rate based on 3-month LIBOR, Expires 2/02/17, Broker Deutsche Bank AG

    USD        1,200        27,634   
     

 

 

 
                      41,688   
Total Options Purchased
(Cost — $260,438) — 0.1%
                    132,438   
Total Investments Before Options Written
(Cost — $159,007,511) — 146.9%
                    174,523,780   
     
                         
Options Written                     

Over-the-Counter Interest Rate Call Swaptions — (0.0)%

  

 

Pay a fixed rate of 2.34% and receive a floating rate based on 3-month LIBOR, Expires 5/07/13, Broker Morgan Stanley

      200        (10,241

Pay a fixed rate of 2.33% and receive a floating rate based on 3-month LIBOR, Expires 10/02/14, Broker Credit Suisse Group AG

      900        (38,685
     

 

 

 
                      (48,926

Over-the-Counter Interest Rate Put Swaptions — (0.1)%

  

 

Receive a fixed rate of 2.34% and pay a floating rate based on 3-month LIBOR, Expires 5/07/13, Broker Morgan Stanley

      200        (1,593

Receive a fixed rate of 2.33% and pay a floating rate based on 3-month LIBOR, Expires 10/02/14, Broker Credit Suisse Group AG

      900        (36,359

Receive a fixed rate of 6.00% and pay a floating rate based on 3-month LIBOR, Expires 2/02/17, Broker Deutsche Bank AG

      2,400        (24,790
     

 

 

 
                      (62,742
     
Total Options Written
(Premiums Received — $137,175) — (0.1)%
                    (111,668

Total Investments, Net of Options Written — 146.8%

  

      174,412,112   
Liabilities in Excess of Other Assets — (46.8)%         (55,574,999
     

 

 

 
Net Assets — 100.0%.        $ 118,837,113   
     

 

 

 
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    OCTOBER 31, 2012    21


Table of Contents
Schedule of Investments (continued)    BlackRock Credit Allocation Income Trust I, Inc. (PSW)

 

 

(a)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(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)   Convertible security.

 

(e)   Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

(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 issuers considered to be an affiliate of the Fund during the year ended October 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate    Shares
Held at
October 31,
2011
     Net
Activity
    Shares
Held at
October 31,
2012
     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     1,362,932         (479,754     883,178       $ 1,279   

 

(j)   Represents the current yield as of report date.

 

Ÿ  

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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.

 
Ÿ  

Reverse repurchase agreements outstanding as of October 31, 2012 were as follows:

 

Counterparty    Interest
Rate
       Trade
Date
       Maturity
Date
       Face
Value
       Face Value
Including
Accrued
Interest
 

UBS Securities LLC

     0.32        3/13/12           Open         $ 544,500         $ 546,146   

Barclays Capital, Inc.

     0.35        4/18/12           Open             3,328,875             3,335,250   

Credit Suisse Securities (USA) LLC

     0.35        4/23/12           Open           602,250           603,368   

UBS Securities LLC

     0.34        4/23/12           Open           923,475           925,149   

UBS Securities LLC

     0.35        4/23/12           Open           374,413           375,111   

Deutsche Bank Securities, Inc.

     0.12        4/24/12           Open           907,758           908,335   

UBS Securities LLC

     0.34        4/24/12           Open           332,500           333,100   

Barclays Capital, Inc.

     0.35        4/25/12           Open           1,351,500           1,353,996   

BNP Paribas Securities Corp.

     0.19        4/25/12           Open           265,795           266,062   

BNP Paribas Securities Corp.

     0.23        4/25/12           Open           311,025           311,403   

BNP Paribas Securities Corp.

     0.37        4/25/12           Open           1,016,000           1,017,984   

UBS Securities LLC

     0.25        4/26/12           Open           246,000           246,323   

UBS Securities LLC

     0.35        4/26/12           Open           1,263,875           1,266,198   

UBS Securities LLC

     0.38        4/26/12           Open           6,808,600           6,822,183   

UBS Securities LLC

     0.00        5/07/12           Open           93,437           93,437   

UBS Securities LLC

     0.25        5/10/12           Open