UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
Washington,D.C.20549
FORM N-CSRS
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: Anne F. Ackerley, Chief Executive Officer, BlackRock
Floating Rate Income Trust, 55 East 52nd Street, New York, NY 10055.
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 10/31/2010
Date of reporting period: 04/30/2010
Item 1 Report to Stockholders
Semi-Annual Report
APRIL 30, 2010 I (UNAUDITED)
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
MAY LOSE VALUE
NO BANK GUARANTEE
Table of Contents | |
Page | |
Dear Shareholder | 3 |
Semi-Annual Report: | |
Fund Summaries | 4 |
The Benefits and Risks of Leveraging | 9 |
Derivative Financial Instruments | 10 |
Financial Statements: | |
Schedules of Investments | 11 |
Statements of Assets and Liabilities | 38 |
Statements of Operations | 39 |
Statements of Changes in Net Assets | 40 |
Statement of Cash Flows | 42 |
Financial Highlights | 44 |
Notes to Financial Statements | 48 |
Officers and Directors | 58 |
Additional Information | 59 |
2 SEMI-ANNUAL REPORT
APRIL 30, 2010
Dear Shareholder
Although overall global economic and financial conditions have generally improved over the past year, the period ended with high levels of market volatility
and diminishing investor confidence sparked by the sovereign debt crisis in Europe, concerns over the strength of the economic recovery and uncertainty
surrounding the future of interest rate policies. Additionally, as the period drew to a close, the increasing likelihood of more stringent financial market regula-
tions added to the overall sense of investment uncertainty. Despite the uneven nature of recent market conditions, we continue to believe that the Great
Recession likely ended at some point last summer, thanks primarily to massive fiscal and monetary stimulus, and that the global economy remains in
recovery mode.
Global equity markets bottomed in early 2009 and since that time have moved unevenly higher as investors were lured back into the markets by depressed
valuations, desire for higher yields and improvements in corporate earnings prospects. There have been several corrections along the way and volatility levels
have remained elevated reflections of mixed economic data, lingering deflation issues (especially in Europe) and uncertainty surrounding financial regula-
tions. On balance, however, improving corporate revenues and profits and a positive macro backdrop helped push stock prices higher over the last twelve
and six months. From a geographic perspective, US equities have outpaced their international counterparts in recent months, as the domestic economic
recovery has been more pronounced and as credit-related issues have held European markets down.
Within fixed income markets, yields have been moving unevenly as improving economic conditions have been acting to push Treasury yields higher (and
prices correspondingly lower), while concerns over ongoing deflation threats have acted as a counterweight. As the period drew to a close, Treasury yields
were falling as investors flocked to the safe haven asset class in the face of escalating uncertainty. Over the course of the last twelve and six months,
however, Treasuries underperformed other areas of the bond market, particularly the high yield sector, which has been benefiting from increased investor
demand. Meanwhile, municipal bonds slightly outperformed taxable sectors over both the six- and twelve-month periods thanks to continued high demand
levels, but have continued to face the headwinds of ongoing state and local budget problems. As in the taxable arena, high yield municipals have been out-
performing the rest of the market.
Regarding cash investments, yields on money market securities remain near all-time lows (producing returns only marginally above zero percent), with
the Federal Open Market Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an
extended period.
Against this backdrop, the major market averages posted the following returns: | ||
Total Returns as of April 30, 2010 | 6-month | 12-month |
US equities (S&P 500 Index) | 15.66% | 38.84% |
Small cap US equities (Russell 2000 Index) | 28.17 | 48.95 |
International equities (MSCI Europe, Australasia, Far East Index) | 2.48 | 34.43 |
3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index) | 0.04 | 0.15 |
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index) | (0.54) | (1.32) |
Taxable fixed income (Barclays Capital US Aggregate Bond Index) | 2.54 | 8.30 |
Tax-exempt fixed income (Barclays Capital Municipal Bond Index) | 3.68 | 8.85 |
High yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index) | 11.60 | 42.53 |
Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.
Global financial markets continue to show signs of improvement, but questions about the strength and sustainability of the recovery abound. Through
periods of uncertainty, as ever, BlackRocks full resources are dedicated to the management of our clients assets. For additional market perspective and
investment insight, visit www.blackrock.com/shareholdermagazine, where youll find the most recent issue of our award-winning Shareholder® magazine,
as well as its quarterly companion newsletter, Shareholder Perspectives. As always, we thank you for entrusting BlackRock with your investments, and we
look forward to your continued partnership in the months and years ahead.
THIS PAGE NOT PART OF YOUR FUND REPORT
3
Fund Summary as of April 30, 2010
BlackRock Credit Allocation Income Trust I, Inc.
Investment Objective
BlackRock Credit Allocation Income Trust I, Inc. (PSW) (formerly BlackRock Preferred and Corporate Income Strategies Fund, Inc.) (the Fund) seeks to
provide shareholders with high current income and capital appreciation. The Fund seeks to achieve its objectives by investing primarily in credit-related securi-
ties, including, but not limited to, investment grade corporate bonds, high yield bonds, bank loans, preferred securities or convertible bonds or derivatives with
economic characteristics similar to these credit-related securities.
Effective November 13, 2009, BlackRock Preferred and Corporate Income Strategies Fund, Inc. was renamed BlackRock Credit Allocation Income Trust I, Inc.
No assurance can be given that the Funds investment objective will be achieved.
Performance
For the six months ended April 30, 2010, the Fund returned 17.86% based on market price and 16.40% based on net asset value (NAV). For the same
period, the closed-end Lipper Income & Preferred Stock Funds category posted an average return of 22.64% on a market price basis and 15.18% on a
NAV basis. All returns reflect reinvestment of dividends. The Funds discount to NAV, which narrowed during the period, accounts for the difference between
performance based on price and performance based on NAV. In accordance with a change to its investment policies the Fund transitioned its portfolio away
from primarily investing in preferred securities and corporate bonds into a broader spectrum of securities across the capital structure. Performance has been
driven by the strong rebound in preferred securities, along with asset allocation decisions within the preferred sector. In particular, the Fund benefited from
an overweight allocation to institutional corporate securities and hybrid securities as those sectors continued their dramatic outperformance versus $25 par
preferred securities, in which the Fund was underweight. The Funds performance also benefited from participation in several additional issuer-related ten-
ders in preferred equity exchanges, along with an overweight in the European banking sector. On the other hand, markets experienced substantial volatility
over the period, most notably during the first three months of 2010. Markets were robust in early January as improving economic conditions left investors
feeling underinvested and scrambling to purchase assets. The rally met an abrupt end in mid-January due to rising Greek default risk and the unexpected
tightening of monetary policy in China. Markets declined over the ensuing weeks until a European Union-led finance package for Greece was announced.
From that point, markets rallied on stronger economic data, including the first month of job creation (in March) and upward revisions to the previous three
months jobs data. The preferred market was largely immune from this volatility, however, as prices rose whether the broader market was rallying or selling
off. This was due to the previously discussed positive effect of market tenders in the European banking sector.
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.
Fund Information | ||
Symbol on New York Stock Exchange (NYSE) | PSW | |
Initial Offering Date | August 1, 2003 | |
Yield based on Closing Market Price as of April 30, 2010 ($9.32)1 | 7.73% | |
Current Monthly Distribution per Common Share2 | $0.06 | |
Current Annualized Distribution per Common Share2 | $0.72 | |
Leverage as of April 30, 20103 | 29% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 The monthly distribution per Common Share, declared on June 1, 2010, was decreased to $0.057. The yield on the Closing Market Price, Current
Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The
distribution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or
net realized gain.
3 Represents reverse repurchase agreements and Auction Market Preferred Shares (Preferred Shares) as a percentage of total managed assets,
which is the total assets of the Fund (including any assets attributable to any borrowings and Preferred Shares) 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 9.
The table below summarizes the changes in the Funds market price and NAV per share:
4/30/10 | 10/31/09 | Change | High | Low | |
Market Price | $ 9.32 | $8.24 | 13.11% | $ 9.40 | $7.93 |
Net Asset Value | $10.40 | $9.31 | 11.71% | $10.40 | $9.22 |
The following charts show the portfolio composition and credit quality allocations of the Funds long-term investments:
Portfolio Composition | ||
4/30/10 | 10/31/09 | |
Corporate Bonds | 67% | 18% |
Preferred Securities | 32 | 82 |
Taxable Municipal Bonds | 1 | |
Credit Quality Allocations4 | ||
4/30/10 | 10/31/09 | |
AA/Aa | 9% | |
A | 27 | 26% |
BBB/Baa | 48 | 62 |
BB/Ba | 13 | 8 |
B | 1 | 2 |
CCC/Caa | 1 | |
Not Rated | 1 | 2 |
4 Using the higher of Standard & Poors (S&Ps) or Moodys Investor
Service (Moodys) ratings.
4 SEMI-ANNUAL REPORT
APRIL 30, 2010
Fund Summary as of April 30, 2010
BlackRock Credit Allocation Income Trust II, Inc.
Investment Objective
BlackRock Credit Allocation Income Trust II, Inc. (PSY) (formerly BlackRock Preferred Income Strategies Fund, Inc.) (the Fund) seeks to provide share-
holders with current income and capital appreciation. The Fund seeks to achieve its objectives by investing primarily in credit-related securities, including,
but not limited to, investment grade corporate bonds, high yield bonds, bank loans, preferred securities or convertible bonds or derivatives with economic
characteristics similar to these credit-related securities.
Effective November 13, 2009, BlackRock Preferred Income Strategies Fund, Inc. was renamed BlackRock Credit Allocation Income Trust II, Inc.
No assurance can be given that the Funds investment objective will be achieved.
Performance
For the six months ended April 30, 2010, the Fund returned 21.75% based on market price and 18.47% based on net asset value (NAV). For the same
period, the closed-end Lipper Income & Preferred Stock Funds category posted an average return of 22.64% on a market price basis and 15.18% on a
NAV basis. All returns reflect reinvestment of dividends. The Funds discount to NAV, which narrowed during the period, accounts for the difference between
performance based on price and performance based on NAV. In accordance with a change to its investment policies the Fund transitioned its portfolio away
from primarily investing in preferred securities into a broader spectrum of securities across the capital structure. Performance has been driven by the strong
rebound in preferred securities, along with asset allocation decisions within the sector. In particular, the Fund benefited from an overweight allocation to
institutional corporate securities and hybrid securities as those sectors continued their dramatic outperformance versus $25 par preferred securities, in
which the Fund was underweight. The Funds performance also benefited from participation in several additional issuer-related tenders in preferred equity
exchanges, along with an overweight in the European banking sector. On the other hand, markets experienced substantial volatility over the period, most
notably during the first three months of 2010. Markets were robust in early January as improving economic conditions left investors feeling underinvested
and scrambling to purchase assets. The rally met an abrupt end in mid-January due to rising Greek default risk and the unexpected tightening of monetary
policy in China. Markets declined over the ensuing weeks until a European Union-led finance package for Greece was announced. From that point, markets
rallied on stronger economic data, including the first month of job creation (in March) and upward revisions to the previous three months jobs data. The
preferred market was largely immune from this volatility, however, as prices rose whether the broader market was rallying or selling off. This was due to the
previously discussed positive effect of market tenders in the European banking sector.
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.
Fund Information | ||
Symbol on NYSE | PSY | |
Initial Offering Date | March 28, 2003 | |
Yield on Closing Market Price as of April 30, 2010 ($10.35)1 | 8.70% | |
Current Monthly Distribution per Common Share2 | $0.075 | |
Current Annualized Distribution per Common Share2 | $0.900 | |
Leverage as of April 30, 20103 | 28% |
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 monthly distribution per Common Share, declared on June 1, 2010, was decreased to $0.0635. The yield on the Closing Market Price, Current
Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The distribu-
tion rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or net
realized gain.
3 Represents reverse repurchase agreements and Preferred Shares as a percentage of total managed assets, which is the total assets of the Fund
(including any assets attributable to any borrowings and Preferred Shares) 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 9.
The table below summarizes the changes in the Funds market price and NAV per share:
4/30/10 | 10/31/09 | Change | High | Low | |
Market Price | $10.35 | $ 8.90 | 16.29% | $10.49 | $8.53 |
Net Asset Value | $11.35 | $10.03 | 13.16% | $11.35 | $9.91 |
The following charts show the portfolio composition and credit quality allocations of the Funds long-term investments:
Portfolio Composition | ||
4/30/10 | 10/31/09 | |
Corporate Bonds | 56% | 3% |
Preferred Securities | 43 | 97 |
Taxable Municipal Bonds | 1 | |
Credit Quality Allocations4 | ||
4/30/10 | 10/31/09 | |
AA/Aa | 7% | 1% |
A | 26 | 26 |
BBB/Baa | 50 | 56 |
BB/Ba | 13 | 14 |
B | 2 | 3 |
CCC/Caa | 1 | |
Not Rated | 1 | |
4 Using the higher of S&Ps or Moodys ratings. |
SEMI-ANNUAL REPORT
APRIL 30, 2010
5
Fund Summary as of April 30, 2010
BlackRock Credit Allocation Income Trust III
Investment Objective
BlackRock Credit Allocation Income Trust III (BPP) (formerly BlackRock Preferred Opportunity Trust) (the Fund) seeks high current income consistent
with capital preservation. The Fund seeks to achieve its objectives by investing primarily in credit-related securities, including, but not limited to, investment
grade corporate bonds, high yield bonds, bank loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these
credit-related securities.
Effective November 13, 2009, BlackRock Preferred Opportunity Trust was renamed BlackRock Credit Allocation Income Trust III.
No assurance can be given that the Funds investment objective will be achieved.
Performance
For the six months ended April 30, 2010, the Fund returned 13.05% based on market price and 12.74% based on net asset value (NAV). For the same
period, the closed-end Lipper Income & Preferred Stock Funds category posted an average return of 22.64% on a market price basis and 15.18% on a
NAV basis. All returns reflect reinvestment of dividends. The Funds discount to NAV, which narrowed during the period, accounts for the difference between
performance based on price and performance based on NAV. In accordance with a change to its investment policies the Fund transitioned its portfolio away
from primarily investing in preferred securities into a broader spectrum of securities across the capital structure. Performance has been driven by the strong
rebound in preferred securities, along with asset allocation decisions within the preferred sector. In particular, the Fund benefited from an overweight alloca-
tion to institutional corporate securities and hybrid securities as those sectors continued their dramatic outperformance versus $25 par preferred securities,
in which the Fund was underweight. The Funds performance also benefited from participation in several additional issuer-related tenders in preferred equity
exchanges, along with an overweight in the European banking sector. On the other hand, markets experienced substantial volatility over the period, most
notably during the first three months of 2010. Markets were robust in early January as improving economic conditions left investors feeling underinvested
and scrambling to purchase assets. The rally met an abrupt end in mid-January due to rising Greek default risk and the unexpected tightening of monetary
policy in China. Markets declined over the ensuing weeks until a European Union-led finance package for Greece was announced. From that point, markets
rallied on stronger economic data, including the first month of job creation (in March) and upward revisions to the previous three months jobs data. The
preferred market was largely immune from this volatility, however, as prices rose whether the broader market was rallying or selling off. This was due to the
previously discussed positive effect of market tenders in the European banking sector.
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.
Fund Information | ||
Symbol on NYSE | BPP | |
Initial Offering Date | February 28, 2003 | |
Yield on Closing Market Price as of April 30, 2010 ($10.78)1 | 8.07% | |
Current Monthly Distribution per Common Share2 | $0.0725 | |
Current Annualized Distribution per Common Share2 | $0.8700 | |
Leverage as of April 30, 20103 | 24% |
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 monthly distribution per Common Share, declared on June 1, 2010, was decreased to $0.066500. The yield on the Closing Market Price, Current
Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The distribu-
tion rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or net
realized gain.
3 Represents reverse repurchase agreements and Preferred Shares as a percentage of total managed assets, which is the total assets of the Fund
(including any assets attributable to any borrowings and Preferred Shares) 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 9.
The table below summarizes the changes in the Funds market price and NAV per share:
4/30/10 | 10/31/09 | Change | High | Low | |
Market Price | $10.78 | $ 9.94 | 8.45% | $10.85 | $ 9.56 |
Net Asset Value | $11.95 | $11.05 | 8.14% | $11.95 | $10.92 |
The following charts show the portfolio composition and credit quality allocations of the Funds long-term investments:
Portfolio Composition | ||
4/30/10 | 10/31/09 | |
Corporate Bonds | 58% | 10% |
Preferred Securities | 40 | 90 |
Municipal Bonds | 2 | |
Credit Quality Allocations4 | ||
4/30/10 | 10/31/09 | |
AA/Aa | 7% | 4% |
A | 32 | 28 |
BBB/Baa | 40 | 45 |
BB/Ba | 18 | 13 |
B | 2 | 5 |
CCC/Caa | 1 | 5 |
4 Using the higher of S&Ps or Moodys ratings. |
6 SEMI-ANNUAL REPORT
APRIL 30, 2010
Fund Summary as of April 30, 2010
BlackRock Credit Allocation Income Trust IV
Investment Objective
BlackRock Credit Allocation Income Trust IV (BTZ) (formerly BlackRock Preferred and Equity Advantage Trust) (the Fund) seeks to achieve high
current income, current gains and capital appreciation. The Fund seeks to achieve its objectives by investing primarily in credit-related securities, including,
but not limited to, investment grade corporate bonds, high yield bonds, bank loans, preferred securities or convertible bonds or derivatives with economic char-
acteristics similar to these credit-related securities.
Effective November 13, 2009, BlackRock Preferred and Equity Advantage Trust was renamed BlackRock Credit Allocation Income Trust IV.
No assurance can be given that the Funds investment objective will be achieved.
Performance
For the six months ended April 30, 2010, the Fund returned 20.86% based on market price and 16.29% based on net asset value (NAV). For the same
period, the closed-end Lipper Income & Preferred Stock Funds category posted an average return of 22.64% on a market price basis and 15.18% on a
NAV basis. All returns reflect reinvestment of dividends. The Funds discount to NAV, which narrowed during the period, accounts for the difference between
performance based on price and performance based on NAV. In accordance with a change to its investment policies the Fund transitioned its portfolio away
from primarily investing in preferred and equity securities into a broader spectrum of securities across the capital structure. In addition, the Fund no longer
employs an option-writing strategy. Performance has been driven by the strong rebound in preferred securities, along with asset allocation decisions within
the preferred sector. In particular, the Fund benefited from an overweight allocation to institutional corporate securities and hybrid securities as those sec-
tors continued their dramatic outperformance versus $25 par preferred securities, in which the Fund was underweight. The Funds performance also bene-
fited from participation in several additional issuer-related tenders in preferred equity exchanges, along with an overweight in the European banking sector.
On the other hand, markets experienced substantial volatility over the period, most notably during the first three months of 2010. Markets were robust in
early January as improving economic conditions left investors feeling underinvested and scrambling to purchase assets. The rally met an abrupt end in mid-
January due to rising Greek default risk and the unexpected tightening of monetary policy in China. Markets declined over the ensuing weeks until a
European Union-led finance package for Greece was announced. From that point, markets rallied on stronger economic data, including the first month of
job creation (in March) and upward revisions to the previous three months jobs data. The preferred market was largely immune from this volatility, however,
as prices rose whether the broader market was rallying or selling off. This was due to the previously discussed positive effect of market tenders in the
European banking sector.
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.
Fund Information | ||
Symbol on NYSE | BTZ | |
Initial Offering Date | December 27, 2006 | |
Yield on Closing Market Price as of April 30, 2010 ($12.59)1 | 9.53% | |
Current Monthly Distribution per Common Share2 | $0.10 | |
Current Annualized Distribution per Common Share2 | $1.20 | |
Leverage as of April 30, 20103 | 29% |
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price.
Past performance does not guarantee future results.
2 The monthly distribution per Common Share, declared on June 1, 2010, was decreased to $0.079. The yield on the Closing Market Price, Current
Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The distribu-
tion rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or net
realized gain.
3 Represents reverse repurchase agreements and Preferred Shares as a percentage of total managed assets, which is the total assets of the Fund
(including any assets attributable to any borrowings and Preferred Shares) 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 9.
The table below summarizes the changes in the Funds market price and NAV per share:
4/30/10 | 10/31/09 | Change | High | Low | |
Market Price | $12.59 | $10.96 | 14.87% | $12.65 | $10.66 |
Net Asset Value | $13.97 | $12.64 | 10.52% | $13.97 | $12.55 |
The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the Funds
long-term investments excluding Common Stocks:
Portfolio Composition | ||
4/30/10 | 10/31/09 | |
Corporate Bonds | 51% | 6% |
Preferred Securities | 38 | 84 |
U.S. Treasury Obligations | 8 | |
Taxable Municipal Bonds | 2 | |
Common Stocks | 1 | 10 |
Credit Quality Allocations4 | ||
4/30/10 | 10/31/09 | |
AA/Aa | 7% | 4% |
A | 31 | 33 |
BBB/Baa | 40 | 53 |
BB/Ba | 11 | 6 |
B | 2 | 4 |
CCC/Caa | 1 | |
Not Rated | 8 | |
4 Using the higher of S&Ps or Moodys ratings. |
SEMI-ANNUAL REPORT
APRIL 30, 2010
7
Fund Summary as of April 30, 2010
BlackRock Floating Rate Income Trust
Investment Objective
BlackRock Floating Rate Income Trust (BGT) seeks to provide a high level of current income and to seek the preservation of capital. The Fund seeks to
achieve its objective by investing in a global portfolio of primarily floating and variable rate securities.
No assurance can be given that the Funds investment objective will be achieved.
Performance
For the six months ended April 30, 2010, the Fund returned 22.72% based on market price and 10.90% based on net asset value (NAV). For the same
period, the closed-end Lipper Loan Participation Funds category posted an average return of 29.63% on a market price basis and 11.27% on a NAV basis. All
returns reflect reinvestment of dividends. (The performance of the Lipper category does not necessarily correlate to that of the Fund, as the Lipper group com-
prises both closed-end funds that employ leverage and continuously offered closed-end funds that do not. For this reporting period, those Lipper peers that do
not employ leverage were at a disadvantage given the market rally.) 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 Fund's use of leverage produced positive absolute performance but
accounted for the Funds underperformance versus its Lipper category, as many of the funds in the category employ higher levels of leverage. Conversely, the
Funds allocation to high yield bonds outperformed bank loans during the period and added to performance. Relative to its Lipper peers, the Fund continues to
focus on higher-quality sectors and structures, which underperformed in the market rally that favored riskier 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.
Fund Information | ||
Symbol on NYSE | BGT | |
Initial Offering Date | August 30, 2004 | |
Yield on Closing Market Price as of April 30, 2010 ($15.00)1 | 5.40% | |
Current Monthly Distribution per Common Share2 | $0.0675 | |
Current Annualized Distribution per Common Share2 | $0.8100 | |
Leverage as of April 30, 2010 | 22% |
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 monthly distribution per Common Share, declared on June 1, 2010, was increased to $0.07. The yield on the Closing Market Price, Current
Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The distri-
bution rate is not constant and is subject to further change in the future. A portion of the distribution may be deemed a tax return of capital or net
realized gain.
3 Represents loan outstanding and Preferred Shares as a percentage of total managed assets, which is the total assets of the Fund (including any
assets attributable to any borrowings and Preferred Shares) 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 9.
The table below summarizes the changes in the Funds market price and NAV per share:
4/30/10 | 10/31/09 | Change | High | Low | |
Market Price | $15.00 | $12.58 | 19.24% | $15.93 | $12.55 |
Net Asset Value | $14.32 | $13.29 | 7.75% | $14.32 | $13.20 |
The following charts show the portfolio composition of the Funds long-term investments and credit quality allocations of the
Funds long-term investments excluding Common Stocks and Floating Rate Loan Interests:
Portfolio Composition | ||
4/30/10 | 10/31/09 | |
Floating Rate Loan Interests | 76% | 76% |
Corporate Bonds | 17 | 20 |
Foreign Government Obligations | 6 | 3 |
Other Interests | 1 | 1 |
Credit Quality Allocations4 | ||
4/30/10 | 10/31/09 | |
AAA/Aaa | | 16% |
A | 5% | 4 |
BBB/Baa | 23 | 27 |
BB/Ba | 28 | 17 |
B | 27 | 22 |
CCC/Caa | 2 | 6 |
C | | 5 |
D | | 1 |
Not Rated | 155 | 2 |
4 Using the higher of S&Ps or Moodys ratings.
5 The investment advisor has deemed certain of these non-rated securi-
ties to be of investment grade quality. As of April 30, 2010, the mar-
ket value of these securities was $6,503,550 representing 6% of the
Funds long-term investments.
8 SEMI-ANNUAL REPORT
APRIL 30, 2010
The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance the yield and NAV of their
Common Shares. However, these objectives cannot be achieved in all interest
rate environments.
The Funds may utilize leverage through borrowings, including by entering
into reverse repurchase agreements, or through the issuance of Preferred
Shares. In general, the concept of leveraging is based on the premise that
the cost of assets to be obtained from leverage will be based on short-
term interest rates, which normally will be lower than the income earned
by each Fund on its longer-term portfolio investments. To the extent that
the total assets of each Fund (including the assets obtained from leverage)
are invested in higher-yielding portfolio investments, each Funds Common
Shareholders will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from lever-
age is paid to Common Shareholders in the form of dividends, and the
value of these portfolio holdings is reflected in the per share NAV of each
Funds Common Shares. However, in order to benefit Common 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 Common Shareholders will be lower than if the
Funds had not used leverage.
To illustrate these concepts, assume a Funds Common Shares capitalization
is $100 million and it borrows and/or issues Preferred Shares for an addi-
tional $50 million, creating a total value of $150 million available for invest-
ment 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 interest expense and/or dividends on
the $50 million of Preferred Shares based on the lower short-term interest
rates. At the same time, the securities purchased by the Fund with assets
received from the borrowings and/or issuance of Preferred Shares can earn
income based on long-term interest rates. In this case, the interest expense
and/or dividends paid to Preferred Shareholders are significantly lower
than the income earned on the Funds long-term investments, and there-
fore the Common 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 on
the Common Shares will be reduced or eliminated completely. Furthermore,
if prevailing short-term interest rates rise above long-term interest rates of
6%, the yield curve has a negative slope. In this case, the Fund pays divi-
dends on the higher short-term interest rates whereas the Funds total port-
folio earns income based on lower long-term interest rates.
Furthermore, the value of a 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 and/or Preferred Shares does not fluctuate
in relation to interest rates. As a result, changes in interest rates can influ-
ence the Funds NAV positively or negatively in addition to the impact on
Fund performance from leverage from borrowings.
The use of leverage may enhance opportunities for increased income to the
Funds and Common Shareholders, but as described above, it also creates
risks as short- or long-term interest rates fluctuate. Leverage also will gener-
ally cause greater changes to each Funds NAV, market price and dividend
rates than a comparable portfolio without leverage. If the income derived
from securities purchased with assets received from leverage exceeds the
cost of leverage, each Funds net income will be greater than if leverage had
not been used. Conversely, if the income from the securities purchased is
not sufficient to cover the cost of leverage, each Funds net income will be
less than if leverage had not been used, and therefore the amount available
for distribution to shareholders will be reduced. Each Fund may be required
to sell portfolio securities at inopportune times or at distressed values in
order to comply with regulatory requirements applicable to the use of lever-
age or as required by the terms of leverage instruments which may cause
a Fund to incur losses. The use of leverage may limit each Funds ability to
invest in certain types of securities or use certain types of hedging strate-
gies, such as in the case of certain restrictions imposed by ratings agencies
that rate Preferred Shares issued by each Fund. Each Fund will incur
expenses in connection with the use of leverage, all of which are borne by
the Common Shareholders and may reduce income on the Common Shares.
Under the Investment Company Act of 1940, BGT is permitted to borrow
through a credit facility up to 33 1 / 3 % of its total managed assets and the
Funds are permitted to issue Preferred Shares in an amount of up to 50%
of their total managed assets at the time of issuance. Under normal cir-
cumstances, each Fund anticipates that the total economic leverage from
Preferred Shares, reverse repurchase agreements and credit facility borrow-
ings will not exceed 50% of its total managed assets at the time such lever-
age is incurred. As of April 30, 2010, the Funds had economic leverage from
Preferred Shares, reverse repurchase agreements and/or credit facility bor-
rowings as a percentage of their total managed assets as follows:
Percent of | |
Leverage | |
PSW | 29% |
PSY | 28% |
BPP | 24% |
BTZ | 29% |
BGT | 22% |
SEMI-ANNUAL REPORT
APRIL 30, 2010
9
Derivative Financial Instruments
The Funds may invest in various derivative instruments, including financial
futures contracts, swaps, foreign currency exchange contracts and options,
as specified in Note 2 of the Notes to Financial Statements, which consti-
tute forms of economic leverage. Such instruments are used to obtain
exposure to a market without owning or taking physical custody of securi-
ties or to hedge market, equity, credit, interest rate and/or foreign currency
exchange rate risks. Such derivative instruments involve risks, including the
imperfect correlation between the value of a derivative instrument and the
underlying asset, possible default of the counterparty to the transaction
and illiquidity of the derivative instrument. Each Funds ability to success-
fully use a derivative instrument depends on the investment advisors
ability to accurately predict pertinent market movements, which cannot be
assured. The use of derivative instruments may result in losses greater than
if they had not been used, may require the Funds to sell or purchase port-
folio securities at inopportune times or at distressed values, may limit the
amount of appreciation the Funds can realize on an investment or may
cause the Funds to hold a security that they might otherwise sell. The
Funds investments in these instruments are discussed in detail in the
Notes to Financial Statements.
10 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments April 30, 2010 (Unaudited)
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
(Percentages shown are based on Net Assets)
Par | ||
Corporate Bonds | (000) | Value |
Aerospace & Defense 3.7% | ||
BE Aerospace, Inc., 8.50%, 7/01/18 | $ 560 | $ 599,200 |
Bombardier, Inc., 7.75%, 3/15/20 (a) | 720 | 765,000 |
United Technologies Corp., 5.70%, 4/15/40 | 2,500 | 2,610,327 |
3,974,527 | ||
Airlines 0.4% | ||
Continental Airlines Pass-Through Certificates, | ||
Series 2009-2, Class B, 9.25%, 5/10/17 | 375 | 401,250 |
Auto Components 0.6% | ||
Icahn Enterprises LP (a): | ||
7.75%, 1/15/16 | 200 | 194,500 |
8.00%, 1/15/18 | 500 | 486,250 |
680,750 | ||
Beverages 0.4% | ||
Constellation Brands, Inc., 7.25%, 5/15/17 | 460 | 469,200 |
Capital Markets 1.7% | ||
Ameriprise Financial, Inc., 5.30%, 3/15/20 | 750 | 780,626 |
Morgan Stanley, 7.30%, 5/13/19 | 900 | 988,270 |
1,768,896 | ||
Chemicals 0.2% | ||
CF Industries, Inc., 7.13%, 5/01/20 | 250 | 263,125 |
Commercial Services & Supplies 2.6% | ||
Browning-Ferris Industries, Inc., 7.40%, 9/15/35 | 865 | 987,136 |
Corrections Corp. of America, 7.75%, 6/01/17 | 775 | 821,500 |
Waste Management, Inc., 6.13%, 11/30/39 | 900 | 937,159 |
2,745,795 | ||
Communications Equipment 0.7% | ||
Brocade Communications Systems, Inc., | ||
6.88%, 1/15/20 (a) | 700 | 722,750 |
Consumer Finance 5.2% | ||
American Express Co., 8.13%, 5/20/19 | 925 | 1,132,932 |
Capital One Bank USA NA, 8.80%, 7/15/19 | 775 | 950,341 |
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 520 | 542,100 |
SLM Corp., 4.00%, 7/25/14 (b) | 3,200 | 2,979,168 |
5,604,541 | ||
Containers & Packaging 1.0% | ||
Ball Corp.: | ||
7.13%, 9/01/16 | 400 | 425,000 |
6.75%, 9/15/20 | 405 | 414,113 |
Bemis Co., Inc., 6.80%, 8/01/19 | 200 | 227,786 |
1,066,899 | ||
Diversified Financial Services 2.5% | ||
Bank of America Corp., 7.63%, 6/01/19 | 1,575 | 1,797,891 |
GMAC, Inc., 8.30%, 2/12/15 (a) | 800 | 835,000 |
2,632,891 | ||
Diversified Telecommunication Services 3.7% | ||
AT&T, Inc., 6.30%, 1/15/38 | 1,000 | 1,038,919 |
New Communications Holdings, Inc., | ||
8.50%, 4/15/20 (a) | 700 | 721,000 |
Qwest Corp., 8.38%, 5/01/16 | 390 | 444,600 |
Verizon Communications, Inc., 7.35%, 4/01/39 | 925 | 1,098,394 |
Windstream Corp.: | ||
8.63%, 8/01/16 | 250 | 255,938 |
7.88%, 11/01/17 | 400 | 397,000 |
3,955,851 |
Par | ||
Corporate Bonds | (000) | Value |
Electric Utilities 1.7% | ||
Progress Energy Inc., 7.00%, 10/30/31 | $ 1,000 | $ 1,142,424 |
Southern California Edison Co., 5.50%, 3/15/40 | 650 | 661,578 |
1,804,002 | ||
Food & Staples Retailing 3.9% | ||
CVS Caremark Corp., 6.30%, 6/01/62 (b) | 1,500 | 1,447,500 |
Wal-Mart Stores, Inc., 6.20%, 4/15/38 | 2,500 | 2,752,035 |
4,199,535 | ||
Food Products 0.8% | ||
Kraft Foods, Inc.: | ||
6.50%, 8/11/17 | 385 | 436,215 |
6.13%, 8/23/18 | 390 | 430,336 |
866,551 | ||
Gas Utilities 0.9% | ||
Nisource Finance Corp., 6.13%, 3/01/22 | 900 | 955,581 |
Health Care Equipment & Supplies 1.7% | ||
Medtronic, Inc., 5.55%, 3/15/40 | 1,765 | 1,822,583 |
Health Care Providers & Services 2.4% | ||
Aetna, Inc., 6.75%, 12/15/37 | 800 | 881,674 |
HCA, Inc./DE, 8.50%, 4/15/19 (a) | 400 | 439,500 |
Tenet Healthcare Corp., 10.00%, 5/01/18 (a) | 350 | 398,563 |
UnitedHealth Group, Inc., 6.88%, 2/15/38 | 800 | 878,953 |
2,598,690 | ||
Insurance 4.9% | ||
Lincoln National Corp.: | ||
8.75%, 7/01/19 | 400 | 498,973 |
6.25%, 2/15/20 | 800 | 855,095 |
Northwestern Mutual Life Insurance, | ||
6.06%, 3/30/40 (a) | 900 | 929,587 |
Principal Financial Group, Inc., 8.88%, 5/15/19 | 225 | 277,550 |
Prudential Financial, Inc., 6.63%, 12/01/37 | 800 | 881,974 |
QBE Insurance Group Ltd., 9.75%, 3/14/14 (a) | 1,484 | 1,807,461 |
5,250,640 | ||
Life Sciences Tools & Services 1.8% | ||
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 | 865 | 923,387 |
Life Technologies Corp., 6.00%, 3/01/20 | 1,000 | 1,052,160 |
1,975,547 | ||
Machinery 1.5% | ||
Ingersoll-Rand Global Holding Co., Ltd., | ||
9.50%, 4/15/14 | 800 | 980,878 |
Navistar International Corp., 8.25%, 11/01/21 | 600 | 633,000 |
1,613,878 | ||
Media 19.3% | ||
CSC Holdings, Inc., 8.63%, 2/15/19 (a) | 275 | 300,438 |
CSC Holdings LLC, 8.50%, 6/15/15 (a) | 400 | 426,000 |
Comcast Corp., 6.30%, 11/15/17 | 800 | 886,715 |
Cox Communications, Inc., 8.38%, 3/01/39 (a) | 10,800 | 14,023,940 |
DISH DBS Corp.: | ||
7.00%, 10/01/13 | 450 | 465,750 |
7.88%, 9/01/19 | 250 | 262,500 |
Intelsat Corp., 9.25%, 6/15/16 | 350 | 369,250 |
News America, Inc., 6.15%, 3/01/37 | 950 | 972,633 |
Time Warner Cable, Inc., 6.75%, 6/15/39 | 925 | 999,820 |
Time Warner, Inc., 7.70%, 5/01/32 | 950 | 1,114,834 |
UPC Germany GmbH, 8.13%, 12/01/17 (a) | 240 | 244,800 |
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (a) | 600 | 603,000 |
20,669,680 |
Portfolio Abbreviations | ||||
To simplify the listings of portfolio holdings in the Schedules of | EUR | Euro | GO | General Obligation Bonds |
Investments, the names of many of the securities have been | FKA | Formerly Known As | RB | Revenue Bonds |
abbreviated according to the following list: | GBP | British Pound | USD | US Dollar |
See Notes to Financial Statements. |
SEMI-ANNUAL REPORT
APRIL 30, 2010
11
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
(Percentages shown are based on Net Assets)
Par | ||
Corporate Bonds | (000) | Value |
Metals & Mining 1.2% | ||
Phelps Dodge Corp., 7.13%, 11/01/27 | $ 700 | $ 724,585 |
Teck Resources Ltd., 10.75%, 5/15/19 | 400 | 498,000 |
United States Steel Corp., 7.38%, 4/01/20 | 75 | 77,062 |
1,299,647 | ||
Multi-Utilities 1.5% | ||
CenterPoint Energy, Inc.: | ||
5.95%, 2/01/17 | 750 | 789,789 |
6.50%, 5/01/18 | 775 | 844,879 |
1,634,668 | ||
Multiline Retail 0.8% | ||
Dollar General Corp., 10.63%, 7/15/15 | 750 | 833,438 |
Oil, Gas & Consumable Fuels 3.7% | ||
Enbridge Energy Partners LP, 9.88%, 3/01/19 | 475 | 628,835 |
Enterprise Products Operating LLC, 6.65%, 4/15/18 | 1,000 | 1,139,448 |
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 1,000 | 1,151,640 |
ONEOK Partners LP, 8.63%, 3/01/19 | 800 | 1,004,031 |
3,923,954 | ||
Paper & Forest Products 2.5% | ||
Georgia-Pacific LLC, 8.25%, 5/01/16 (a) | 785 | 859,575 |
International Paper Co.: | ||
7.50%, 8/15/21 | 775 | 910,322 |
7.30%, 11/15/39 | 800 | 886,953 |
2,656,850 | ||
Pharmaceuticals 11.5% | ||
Abbott Laboratories: | ||
6.15%, 11/30/37 | 235 | 262,297 |
6.00%, 4/01/39 | 1,177 | 1,296,250 |
Bristol-Myers Squibb Co.: | ||
5.88%, 11/15/36 | 2,014 | 2,127,447 |
6.13%, 5/01/38 | 588 | 641,962 |
Eli Lilly & Co., 5.95%, 11/15/37 | 588 | 639,820 |
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 | 1,690 | 1,913,246 |
Merck & Co., Inc., 6.50%, 12/01/33 | 475 | 549,138 |
Pfizer, Inc., 7.20%, 3/15/39 | 2,500 | 3,102,572 |
Schering-Plough Corp., 6.55%, 9/15/37 | 1,504 | 1,754,663 |
12,287,395 | ||
Real Estate Investment Trusts (REITs) 3.1% | ||
AvalonBay Communities, Inc.: | ||
5.70%, 3/15/17 | 775 | 830,277 |
6.10%, 3/15/20 | 800 | 866,981 |
ERP Operating LP: | ||
5.38%, 8/01/16 | 775 | 817,385 |
5.75%, 6/15/17 | 800 | 857,885 |
3,372,528 | ||
Semiconductors & Semiconductor Equipment 1.0% | ||
KLA-Tencor Corp., 6.90%, 5/01/18 | 461 | 509,796 |
National Semiconductor Corp., 6.60%, 6/15/17 | 539 | 593,609 |
1,103,405 | ||
Specialty Retail 1.0% | ||
AutoNation, Inc., 6.75%, 4/15/18 | 445 | 446,669 |
AutoZone, Inc., 7.13%, 8/01/18 | 300 | 346,753 |
Ltd. Brands, Inc., 7.00%, 5/01/20 (c) | 230 | 234,600 |
1,028,022 | ||
Tobacco 1.8% | ||
Altria Group, Inc.: | ||
9.70%, 11/10/18 | 800 | 1,006,073 |
9.25%, 8/06/19 | 775 | 957,343 |
1,963,416 |
Par | ||
Corporate Bonds | (000) | Value |
Wireless Telecommunication Services 4.0% | ||
Cricket Communications, Inc., 7.75%, 5/15/16 | $ 155 | $ 160,813 |
Nextel Communications, Inc., Series E, | ||
6.88%, 10/31/13 | 535 | 525,637 |
SBA Tower Trust, 5.10%, 4/15/42 (a) | 3,500 | 3,605,019 |
4,291,469 | ||
Total Corporate Bonds 93.7% | 100,437,954 | |
Preferred Securities | ||
Capital Trusts | ||
Building Products 0.3% | ||
C8 Capital SPV Ltd., 6.64% (a)(b)(d) | 490 | 357,426 |
Capital Markets 4.6% | ||
Ameriprise Financial, Inc., 7.52%, 6/01/66 (b) | 500 | 505,000 |
Lehman Brothers Holdings Capital Trust V, | ||
2.09% (d)(e)(f) | 1,600 | 160 |
State Street Capital Trust III, 8.25% (b)(d) | 725 | 744,423 |
State Street Capital Trust IV, 1.26%, 6/01/67 (b) | 4,740 | 3,653,663 |
4,903,246 | ||
Commercial Banks 3.2% | ||
Bank of Ireland Capital Funding II, LP, | ||
5.57% (a)(b)(d)(e)(f) | 429 | 304,590 |
Bank of Ireland Capital Funding III, LP, | ||
6.11% (a)(b)(d)(e)(f) | 740 | 525,400 |
Barclays Bank Plc, 5.93% (a)(b)(d) | 500 | 452,500 |
First Empire Capital Trust II, 8.28%, 6/01/27 | 910 | 844,943 |
National City Preferred Capital Trust I, 12.00% (b)(d) | 300 | 347,226 |
SunTrust Preferred Capital I, 5.85% (b)(d) | 135 | 105,638 |
USB Capital XIII Trust, 6.63%, 12/15/39 | 825 | 867,578 |
3,447,875 | ||
Diversified Financial Services 3.0% | ||
Farm Credit Bank of Texas, Series 1, 7.56% (b)(d) | 1,000 | 853,270 |
JPMorgan Chase Capital XXIII, 1.25%, 5/15/77 (b)(g) | 3,085 | 2,395,900 |
3,249,170 | ||
Electric Utilities 0.4% | ||
PPL Capital Funding, 6.70%, 3/30/67 (b) | 500 | 457,500 |
Insurance 10.6% | ||
AXA SA, 6.38% (a)(b)(d) | 1,000 | 890,000 |
Ace Capital Trust II, 9.70%, 4/01/30 | 500 | 606,907 |
The Allstate Corp., 6.50%, 5/15/67 (b) | 500 | 480,000 |
Chubb Corp., 6.38%, 3/29/67 (b)(h) | 500 | 500,625 |
Farmers Exchange Capital, 7.05%, 7/15/28 (a) | 500 | 471,639 |
Genworth Financial, Inc., 6.15%, 11/15/66 (b) | 750 | 600,000 |
Great West Life & Annuity Insurance Co., | ||
7.15%, 5/16/46 (a)(b) | 500 | 480,000 |
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b) | 500 | 582,500 |
Lincoln National Corp., 7.00%, 5/17/66 (b) | 500 | 462,500 |
MetLife, Inc., 6.40%, 12/15/66 | 500 | 472,500 |
Nationwide Life Global Funding I, 6.75%, 5/15/67 | 500 | 427,500 |
Progressive Corp., 6.70%, 6/15/67 (b) | 500 | 495,481 |
Reinsurance Group of America, 6.75%, 12/15/65 (b) | 700 | 662,754 |
The Travelers Cos., Inc., 6.25%, 3/15/67 (b) | 500 | 491,739 |
ZFS Finance (USA) (a)(b): | ||
Trust II, 6.45%, 12/15/65 | 1,800 | 1,737,000 |
Trust IV, 5.88%, 5/09/32 | 146 | 139,485 |
Trust V, 6.50%, 5/09/67 | 1,097 | 1,050,377 |
Zenith National Insurance Capital Trust I, | ||
8.55%, 8/01/28 (a) | 1,000 | 865,000 |
11,416,007 |
See Notes to Financial Statements.
12 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
(Percentages shown are based on Net Assets)
Par | ||
Capital Trusts | (000) | Value |
Multi-Utilities 1.4% | ||
Dominion Resources Capital Trust I, | ||
7.83%, 12/01/27 (g) | $ 500 | $ 516,467 |
Dominion Resources, Inc., 7.50%, 6/30/66 (b) | 500 | 507,500 |
Puget Sound Energy, Inc., Series A, | ||
6.97%, 6/01/67 (b) | 475 | 451,473 |
1,475,440 | ||
Oil, Gas & Consumable Fuels 1.3% | ||
Enterprise Products Operating LLC, | ||
8.38%, 8/01/66 (b) | 825 | 858,000 |
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b) | 500 | 480,821 |
1,338,821 | ||
Total Capital Trusts 24.8% | 26,645,485 | |
Preferred Stocks | Shares | |
Commercial Banks 1.8% | ||
First Tennessee Bank NA, 3.75% (a)(b) | 1,176 | 752,640 |
Provident Financial Group, Inc., 7.75% | 42,000 | 1,044,750 |
Royal Bank of Scotland Group Plc, Series M, 6.40% | 5,000 | 66,700 |
1,864,090 | ||
Diversified Financial Services 1.0% | ||
Falcons Funding Trust I, 8.88% (a)(b) | 1,100 | 1,096,906 |
Electric Utilities 3.3% | ||
Alabama Power Co., 6.50% | 25,000 | 649,750 |
Entergy Arkansas, Inc., 6.45% | 28,800 | 683,102 |
Entergy Louisiana LLC, 6.95% | 22,650 | 2,216,047 |
3,548,899 | ||
Insurance 3.6% | ||
Aspen Insurance Holdings Ltd., 7.40% (b) | 55,000 | 1,276,000 |
Axis Capital Holdings Ltd.: | ||
Series A, 7.25% | 35,000 | 853,650 |
Series B, 7.50% (b) | 9,000 | 850,500 |
Endurance Specialty Holdings Ltd., Series A, 7.75% | 35,200 | 854,304 |
3,834,454 | ||
Real Estate Investment Trusts (REITs) 2.7% | ||
BRE Properties, Inc., Series D, 6.75% | 10,000 | 228,200 |
iStar Financial, Inc., Series I, 7.50% | 59,500 | 952,000 |
Public Storage: | ||
Series F, 6.45% | 10,000 | 235,400 |
Series I, 7.25% | 40,000 | 1,016,400 |
Series M, 6.63% | 20,000 | 491,600 |
2,923,600 | ||
Wireless Telecommunication Services 2.8% | ||
Centaur Funding Corp., 9.08% | 2,720 | 2,992,850 |
Total Preferred Stocks 15.2% | 16,260,799 | |
Trust Preferreds | ||
Consumer Finance 1.4% | ||
Capital One Capital II, 7.50%, 6/15/66 | 63,034 | 1,514,729 |
Insurance 2.8% | ||
ABN AMRO North America Capital Funding Trust II, | ||
0.31% (a)(b)(d) | 80,000 | 1,586,536 |
Lincoln National Capital VI, Series F, 6.75%, 9/11/52 | 58,966 | 1,396,139 |
2,982,675 | ||
Total Trust Preferreds 4.2% | 4,497,404 | |
Total Preferred Securities 44.2% | 47,403,688 |
Par | ||
Taxable Municipal Bonds | (000) | Value |
Metropolitan Transportation Authority, RB, | ||
Build America Bonds, 6.55%, 11/15/31 | $ 800 | $ 843,440 |
State of California, GO, Build America Bonds, | ||
7.35%, 11/01/39 | 400 | 432,152 |
State of Illinois, GO, Pension, 5.10%, 6/01/33 | 775 | 668,461 |
Total Taxable Municipal Bonds 1.8% | 1,944,053 | |
Total Long-Term Investments | ||
(Cost $149,969,746) 139.7% | 149,785,695 | |
Short-Term Securities | Shares | |
BlackRock Liquidity Funds, TempFund, | ||
Institutional Class, 0.13% (i)(j) | 124,379 | 124,379 |
Total Short-Term Securities | ||
(Cost $124,379) 0.1% | 124,379 | |
Total Investments (Cost $150,094,125*) 139.8% | 149,910,074 | |
Liabilities in Excess of Other Assets (2.2)% | (2,398,252) | |
Preferred Shares, at Redemption Value (37.6)% | (40,259,152) | |
Net Assets Applicable to Common Shares 100.0% | $107,252,670 |
* The cost and unrealized appreciation (depreciation) of investments as of April 30,
2010, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 150,119,907 |
Gross unrealized appreciation | $ 5,240,140 |
Gross unrealized depreciation | (5,449,973) |
Net unrealized depreciation | $ (209,833) |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) When-issued security. Unsettled when-issued transactions were as follows:
Unrealized | ||
Counterparty | Value | Appreciation |
Bank of America, NA | $ 234,600 | $ 4,600 |
(d) Security is perpetual in nature and has no stated maturity date.
(e) Issuer filed for bankruptcy and/or is in default of interest payments.
(f) Non-income producing security.
(g) All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.
(h) All or a portion of security has been pledged as collateral in connection with swaps.
(i) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Shares | Shares | |||
Held at | Held at | |||
October 31, | Net | April 30, | ||
Affiliate | 2009 | Activity | 2010 | Income |
BlackRock Liquidity | ||||
Funds, TempFund, | ||||
Institutional Class | 33,286,296 | (33,161,917) | 124,379 | $25,184 |
(j) Represents the current yield as of report date.
For Fund compliance purposes, the Funds industry classifications refer to any one
or more of the industry sub-classifications used by one or more widely recognized
market indexes or rating group indexes, and/or as defined by Fund management.
This definition may not apply for purposes of this report, which may combine such
industry sub-classifications for reporting ease.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
13
Schedule of Investments (concluded)
BlackRock Credit Allocation Income Trust I, Inc. (PSW)
| Reverse repurchase agreements outstanding as of April 30, 2010 were as follows: | ||||||
Interest | Trade | Maturity | Net Closing | Face | |||
Counterparty | Rate | Date | Date | Amount | Amount | ||
Credit Suisse | |||||||
Securities | 0.38% | 4/22/10 | 5/24/10 | $2,663,833 | $2,662,946 | ||
| Financial futures contracts purchased as of April 30, 2010 were as follows: | ||||||
Expiration | Notional | Unrealized | |||||
Contracts | Issue | Date | Value | Appreciation | |||
39 | 2-Year U.S. | ||||||
Treasury Bond | June 2010 | $8,458,211 | $ 27,336 | ||||
6 | 30-Year U.S. | ||||||
Treasury Bond | June 2010 | $ 694,935 | 19,440 | ||||
Total | $ 46,776 | ||||||
| Credit default swaps on single-name issues buy protection outstanding as of April | ||||||
30, 2010 were as follows: | |||||||
Pay | Notional | ||||||
Fixed | Counter- | Amount | Unrealized | ||||
Issuer | Rate | party | Expiration | (000) | Depreciation | ||
Nordstrom, Inc. 5.20% | Deutsche | June | |||||
Bank AG | 2014 | $ 1,000 | $ (175,918) |
Fair Value Measurements Various inputs are used in determining the fair value of
investments, which are as follows:
Level 1 price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Funds own assumptions used in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Funds policy regarding valuation of investments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of April 30, 2010 in determining
the fair valuation of the Funds investments:
Investments in Securities | |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets: | |||||
Long-Term | |||||
Investments: | |||||
Capital | |||||
Trusts | | $ 26,645,485 | | $ 26,645,485 | |
Corporate | |||||
Bonds | | 100,437,954 | | 100,437,954 | |
Preferred | |||||
Stocks | $ 6,624,004 | 9,636,795 | | 16,260,799 | |
Taxable | |||||
Municipal | |||||
Bonds | | 1,944,053 | | 1,944,053 | |
Trust | |||||
Preferreds | 2,910,868 | 1,586,536 | | 4,497,404 | |
Short-Term | |||||
Securities | 124,379 | | | 124,379 | |
Total | $ 9,659,251 | 140,250,823 | | $149,910,074 |
Other Financial Instruments1 | |||||
| |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets | $ 46,776 | | | $ 46,776 | |
Liabilities | $ | (175,918) | | (175,918) | |
Total | $ 46,776 $ | (175,918) | | $ (129,142) |
1 Other financial instruments are financial futures contracts and swaps, which are
shown at the unrealized appreciation/depreciation on the instrument.
The following table is a reconciliation of Level 3 investments for which significant
unobservable inputs were used to determine fair value:
Investments in Securities | |
| |
Capital | |
Trusts | |
Balance, as of October 31, 2009 | $ 576,450 |
Accrued discounts/premiums | |
Net realized gain (loss) | (156,053) |
Net change in unrealized appreciation/depreciation2 | 332,190 |
Net purchases (sales) | (752,587) |
Net transfers in/out | |
Balance, as of April 30, 2010 | $ |
2 Included in the related net change in unrealized appreciation/depreciation on
the Statements of Operations. The change in unrealized appreciation/deprecia-
tion on securities still held at April 30, 2010 was $0.
See Notes to Financial Statements.
14 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments April 30, 2010 (Unaudited)
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
(Percentages shown are based on Net Assets)
Par | ||
Corporate Bonds | (000) | Value |
Aerospace & Defense 2.7% | ||
BE Aerospace, Inc., 8.50%, 7/01/18 | $ 2,500 | $ 2,675,000 |
Bombardier, Inc., 7.75%, 3/15/20 (a) | 3,205 | 3,405,312 |
United Technologies Corp., 5.70%, 4/15/40 | 6,250 | 6,525,819 |
12,606,131 | ||
Airlines 0.4% | ||
Continental Airlines Pass-Through Certificates, | ||
Series 2009-2, Class B, 9.25%, 5/10/17 | 1,625 | 1,738,750 |
Auto Components 0.6% | ||
Icahn Enterprises LP (a): | ||
7.75%, 1/15/16 | 880 | 855,800 |
8.00%, 1/15/18 | 2,000 | 1,945,000 |
2,800,800 | ||
Beverages 0.4% | ||
Constellation Brands, Inc., 7.25%, 5/15/17 | 1,970 | 2,009,400 |
Capital Markets 1.7% | ||
Ameriprise Financial, Inc., 5.30%, 3/15/20 | 3,250 | 3,382,714 |
Morgan Stanley, 7.30%, 5/13/19 | 4,000 | 4,392,312 |
7,775,026 | ||
Chemicals 0.3% | ||
CF Industries, Inc., 7.13%, 5/01/20 | 1,125 | 1,184,063 |
Commercial Services & Supplies 2.6% | ||
Browning-Ferris Industries, Inc., 7.40%, 9/15/35 | 3,742 | 4,270,363 |
Corrections Corp.of America, 7.75%, 6/01/17 | 3,375 | 3,577,500 |
Waste Management, Inc., 6.13%, 11/30/39 | 4,000 | 4,165,152 |
12,013,015 | ||
Communications Equipment 0.7% | ||
Brocade Communications Systems, Inc., | ||
6.88%, 1/15/20 (a) | 2,965 | 3,061,363 |
Consumer Finance 5.2% | ||
American Express Co., 8.13%, 5/20/19 | 4,000 | 4,899,164 |
Capital One Bank USA NA, 8.80%, 7/15/19 | 3,325 | 4,077,271 |
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 2,135 | 2,225,738 |
SLM Corp., 4.00%, 7/25/14 (b) | 13,900 | 12,940,761 |
24,142,934 | ||
Containers & Packaging 0.8% | ||
Ball Corp.: | ||
7.13%, 9/01/16 | 1,750 | 1,859,375 |
6.75%, 9/15/20 | 1,835 | 1,876,288 |
3,735,663 | ||
Diversified Financial Services 2.2% | ||
Bank of America Corp., 7.63%, 6/01/19 | 6,750 | 7,705,246 |
GMAC, Inc., 8.30%, 2/12/15 (a) | 2,500 | 2,609,375 |
10,314,621 | ||
Diversified Telecommunication Services 3.9% | ||
AT&T, Inc., 6.30%, 1/15/38 | 4,000 | 4,155,676 |
New Communications Holdings, Inc., | ||
8.50%, 4/15/20 (a) | 3,100 | 3,193,000 |
Qwest Corp., 8.38%, 5/01/16 | 2,795 | 3,186,300 |
Verizon Communications, Inc., 7.35%, 4/01/39 | 4,025 | 4,779,498 |
Windstream Corp.: | ||
8.63%, 8/01/16 | 1,000 | 1,023,750 |
7.88%, 11/01/17 | 1,900 | 1,885,750 |
18,223,974 | ||
Electric Utilities 1.6% | ||
Progress Energy Inc., 7.00%, 10/30/31 | 4,000 | 4,569,696 |
Southern California Edison Co., 5.50%, 3/15/40 | 2,850 | 2,900,764 |
7,470,460 |
Par | ||
Corporate Bonds | (000) | Value |
Food & Staples Retailing 3.4% | ||
CVS Caremark Corp., 6.30%, 6/01/62 (b) | $ 6,600 | $ 6,369,000 |
Wal-Mart Stores, Inc.: | ||
5.25%, 9/01/35 | 2,500 | 2,461,938 |
6.20%, 4/15/38 | 6,250 | 6,880,087 |
15,711,025 | ||
Food Products 0.8% | ||
Kraft Foods, Inc.: | ||
6.50%, 8/11/17 | 1,665 | 1,886,490 |
6.13%, 8/23/18 | 1,660 | 1,831,685 |
3,718,175 | ||
Gas Utilities 0.9% | ||
Nisource Finance Corp., 6.13%, 3/01/22 | 4,000 | 4,247,028 |
Health Care Equipment & Supplies 1.1% | ||
Medtronic, Inc.: | ||
6.50%, 3/15/39 | 650 | 750,740 |
5.55%, 3/15/40 | 4,412 | 4,555,942 |
5,306,682 | ||
Health Care Providers & Services 3.0% | ||
Aetna, Inc., 6.75%, 12/15/37 | 3,400 | 3,747,116 |
HCA, Inc., 7.25%, 9/15/20 (a) | 2,550 | 2,667,938 |
HCA, Inc./DE, 8.50%, 4/15/19 (a) | 1,800 | 1,977,750 |
Tenet Healthcare Corp., 10.00%, 5/01/18 (a) | 1,530 | 1,742,288 |
UnitedHealth Group, Inc., 6.88%, 2/15/38 | 3,400 | 3,735,549 |
13,870,641 | ||
Insurance 4.8% | ||
Lincoln National Corp.: | ||
8.75%, 7/01/19 | 1,750 | 2,183,006 |
6.25%, 2/15/20 | 3,400 | 3,634,155 |
Northwestern Mutual Life Insurance, | ||
6.06%, 3/30/40 (a) | 3,800 | 3,924,921 |
Principal Financial Group, Inc., 8.88%, 5/15/19 | 980 | 1,208,884 |
Prudential Financial, Inc., 6.63%, 12/01/37 | 3,400 | 3,748,391 |
QBE Insurance Group Ltd., 9.75%, 3/14/14 (a) | 5,967 | 7,267,603 |
Structured Asset Repackaged Trust, | ||
Series 2004-1, 0.78%, 4/21/11 (a)(b) | 214 | 207,440 |
22,174,400 | ||
Life Sciences Tools & Services 1.8% | ||
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 | 3,825 | 4,083,187 |
Life Technologies Corp., 6.00%, 3/01/20 | 4,200 | 4,419,072 |
8,502,259 | ||
Machinery 1.5% | ||
Ingersoll-Rand Global Holding Co., Ltd., | ||
9.50%, 4/15/14 | 3,400 | 4,168,730 |
Navistar International Corp., 8.25%, 11/01/21 | 2,550 | 2,690,250 |
6,858,980 | ||
Media 7.2% | ||
CSC Holdings, Inc., 8.63%, 2/15/19 (a) | 1,200 | 1,311,000 |
CSC Holdings LLC, 8.50%, 6/15/15 (a) | 1,500 | 1,597,500 |
Comcast Corp., 6.30%, 11/15/17 | 3,400 | 3,768,540 |
Cox Communications, Inc., 8.38%, 3/01/39 (a) | 3,400 | 4,414,944 |
DISH DBS Corp.: | ||
7.00%, 10/01/13 | 1,750 | 1,811,250 |
7.88%, 9/01/19 | 1,100 | 1,155,000 |
Intelsat Corp., 9.25%, 6/15/16 | 1,800 | 1,899,000 |
News America, Inc., 6.15%, 3/01/37 | 4,200 | 4,300,061 |
Time Warner Cable, Inc., 6.75%, 6/15/39 | 4,050 | 4,377,592 |
Time Warner, Inc., 7.70%, 5/01/32 | 4,150 | 4,870,062 |
UPC Germany GmbH, 8.13%, 12/01/17 (a) | 1,030 | 1,050,600 |
Virgin Media Secured Finance Plc, | ||
6.50%, 1/15/18 (a) | 2,675 | 2,688,375 |
33,243,924 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
15
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
(Percentages shown are based on Net Assets)
Par | |||
Corporate Bonds | (000) | Value | |
Metals & Mining 1.2% | |||
Phelps Dodge Corp., 7.13%, 11/01/27 | $ 2,900 | $ 3,001,851 | |
Teck Resources Ltd., 10.75%, 5/15/19 | 1,750 | 2,178,750 | |
United States Steel Corp., 7.38%, 4/01/20 | 375 | 385,312 | |
5,565,913 | |||
Multi-Utilities 1.5% | |||
CenterPoint Energy, Inc.: | |||
5.95%, 2/01/17 | 3,150 | 3,317,114 | |
6.50%, 5/01/18 | 3,350 | 3,652,056 | |
6,969,170 | |||
Multiline Retail 0.8% | |||
Dollar General Corp., 10.63%, 7/15/15 | 3,275 | 3,639,344 | |
Oil, Gas & Consumable Fuels 3.6% | |||
Enbridge Energy Partners LP, 9.88%, 3/01/19 | 2,100 | 2,780,114 | |
Enterprise Products Operating LLC, 6.65%, 4/15/18 | 4,200 | 4,785,682 | |
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 4,200 | 4,836,888 | |
ONEOK Partners LP, 8.63%, 3/01/19 | 3,400 | 4,267,129 | |
16,669,813 | |||
Paper & Forest Products 2.5% | |||
Georgia-Pacific LLC, 8.25%, 5/01/16 (a) | 3,400 | 3,723,000 | |
International Paper Co.: | |||
7.50%, 8/15/21 | 3,325 | 3,905,575 | |
7.30%, 11/15/39 | 3,400 | 3,769,549 | |
11,398,124 | |||
Pharmaceuticals 8.5% | |||
Abbott Laboratories: | |||
6.15%, 11/30/37 | 588 | 656,301 | |
6.00%, 4/01/39 | 5,891 | 6,487,858 | |
Bristol-Myers Squibb Co.: | |||
5.88%, 11/15/36 | 5,000 | 5,281,645 | |
6.13%, 5/01/38 | 1,471 | 1,605,997 | |
Eli Lilly & Co., 5.95%, 11/15/37 | 1,471 | 1,600,638 | |
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 | 7,250 | 8,207,711 | |
Merck & Co., Inc., 6.50%, 12/01/33 | 2,070 | 2,393,088 | |
Pfizer, Inc., 7.20%, 3/15/39 | 6,250 | 7,756,431 | |
Schering-Plough Corp., 6.55%, 9/15/37 | 4,572 | 5,333,988 | |
39,323,657 | |||
Real Estate Investment Trusts (REITs) 3.1% | |||
AvalonBay Communities, Inc.: | |||
5.70%, 3/15/17 | 3,350 | 3,588,939 | |
6.10%, 3/15/20 | 3,400 | 3,684,668 | |
ERP Operating LP: | |||
5.38%, 8/01/16 | 3,350 | 3,533,215 | |
5.75%, 6/15/17 | 3,405 | 3,651,372 | |
14,458,194 | |||
Semiconductors & Semiconductor Equipment 1.0% | |||
KLA-Tencor Corp., 6.90%, 5/01/18 | 1,928 | 2,132,073 | |
National Semiconductor Corp., 6.60%, 6/15/17 | 2,334 | 2,570,472 | |
4,702,545 | |||
Specialty Retail 1.0% | |||
AutoNation, Inc., 6.75%, 4/15/18 | 1,965 | 1,972,369 | |
AutoZone, Inc., 7.13%, 8/01/18 | 1,350 | 1,560,389 | |
Ltd. Brands, Inc., 7.00%, 5/01/20 (c) | 980 | 999,600 | |
4,532,358 | |||
Tobacco 1.8% | |||
Altria Group, Inc.: | |||
9.70%, 11/10/18 | 3,400 | 4,275,809 | |
9.25%, 8/06/19 | 3,350 | 4,138,195 | |
8,414,004 |
Par | |||
Corporate Bonds | (000) | Value | |
Wireless Telecommunication Services 4.0% | |||
Cricket Communications, Inc., 7.75%, 5/15/16 | $ 670 | $ 695,125 | |
Nextel Communications, Inc., Series E, | |||
6.88%, 10/31/13 | 2,340 | 2,299,050 | |
SBA Tower Trust, 5.10%, 4/15/42 (a) | 15,225 | 15,681,834 | |
18,676,009 | |||
Total Corporate Bonds 76.6% | 355,058,445 | ||
Preferred Securities | |||
Capital Trusts | |||
Building Products 0.3% | |||
C8 Capital SPV Ltd., 6.64% (a)(b)(d) | 1,960 | 1,429,702 | |
Capital Markets 4.2% | |||
Ameriprise Financial, Inc., 7.52%, 6/01/66 (b) | 2,500 | 2,525,000 | |
Lehman Brothers Holdings Capital Trust V, | |||
2.09% (d)(e)(f) | 6,400 | 640 | |
State Street Capital Trust III, 8.25% (b)(d) | 2,920 | 2,998,227 | |
State Street Capital Trust IV, 1.26%, 6/01/67 (b) | 18,235 | 14,055,811 | |
19,579,678 | |||
Commercial Banks 7.7% | |||
Bank of Ireland Capital Funding II, LP, | |||
5.57% (a)(b)(d)(e)(f) | 1,715 | 1,217,650 | |
Bank of Ireland Capital Funding III, LP, | |||
6.11% (a)(b)(d)(e)(f) | 2,951 | 2,095,210 | |
Bank One Capital III, 8.75%, 9/01/30 | 2,000 | 2,393,608 | |
Barclays Bank Plc, 5.93% (a)(b)(d) | 2,500 | 2,262,500 | |
First Empire Capital Trust II, 8.28%, 6/01/27 | 3,630 | 3,370,488 | |
HSBC Capital Funding LP/Jersey Channel Islands, | |||
10.18% (a)(b)(d)(g) | 4,835 | 6,183,965 | |
Lloyds Banking Group Plc, 6.66% (a)(b)(d) | 5,000 | 3,300,000 | |
National City Preferred Capital Trust I, 12.00% (b)(d) | 1,100 | 1,273,162 | |
NationsBank Capital Trust III, 0.83%, 1/15/27 (b) | 13,470 | 9,798,172 | |
SunTrust Preferred Capital I, 5.85% (b)(d) | 307 | 240,227 | |
USB Capital XIII Trust, 6.63%, 12/15/39 | 3,500 | 3,680,635 | |
35,815,617 | |||
Diversified Financial Services 1.7% | |||
Farm Credit Bank of Texas, Series 1, 7.56% (b)(d) | 2,500 | 2,133,175 | |
JPMorgan Chase Capital XXIII, 1.25%, 5/15/77 (b) | 7,500 | 5,824,718 | |
7,957,893 | |||
Electric Utilities 0.6% | |||
PPL Capital Funding, 6.70%, 3/30/67 (b) | 3,000 | 2,745,000 | |
Insurance 13.5% | |||
AXA SA, 6.38% (a)(b)(d) | 3,000 | 2,670,000 | |
Ace Capital Trust II, 9.70%, 4/01/30 | 5,000 | 6,069,070 | |
The Allstate Corp., 6.50%, 5/15/67 (b) | 5,000 | 4,800,000 | |
Aon Corp., 8.21%, 1/01/27 | 2,500 | 2,723,765 | |
Chubb Corp., 6.38%, 3/29/67 (b) | 2,000 | 2,002,500 | |
Farmers Exchange Capital, 7.05%, 7/15/28 (a) | 2,500 | 2,358,193 | |
GE Global Insurance Holding Corp., 7.75%, 6/15/30 | 2,000 | 2,198,502 | |
Genworth Financial, Inc., 6.15%, 11/15/66 (b) | 3,000 | 2,400,000 | |
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b) | 2,925 | 3,407,625 | |
Lincoln National Corp., 7.00%, 5/17/66 (b) | 3,350 | 3,098,750 | |
MetLife, Inc., 6.40%, 12/15/66 | 6,825 | 6,449,625 | |
Nationwide Life Global Funding I, 6.75%, 5/15/67 | 7,000 | 5,985,000 | |
Principal Life Insurance Co., 8.00%, 3/01/44 (a) | 2,500 | 2,611,485 | |
Progressive Corp., 6.70%, 6/15/67 (b)(g) | 2,000 | 1,981,922 | |
Reinsurance Group of America, 6.75%, 12/15/65 (b) | 3,000 | 2,840,376 | |
The Travelers Cos., Inc., 6.25%, 3/15/67 (b) | 3,000 | 2,950,431 |
See Notes to Financial Statements.
16 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
(Percentages shown are based on Net Assets)
Par | ||
Capital Trusts | (000) | Value |
Insurance (concluded) | ||
ZFS Finance (USA) (a)(b): | ||
Trust IV, 5.88%, 5/09/32 | $ 379 | $ 362,089 |
Trust V, 6.50%, 5/09/67 | 4,312 | 4,128,740 |
Zenith National Insurance Capital Trust I, | ||
8.55%, 8/01/28 (a) | 3,750 | 3,243,750 |
62,281,823 | ||
Multi-Utilities 1.4% | ||
Dominion Resources Capital Trust I, | ||
7.83%, 12/01/27 | 2,500 | 2,582,335 |
Dominion Resources, Inc., 7.50%, 6/30/66 (b) | 3,900 | 3,958,500 |
6,540,835 | ||
Oil, Gas & Consumable Fuels 1.3% | ||
Enterprise Products Operating LLC, | ||
8.38%, 8/01/66 (b) | 2,000 | 2,080,000 |
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b) | 4,000 | 3,846,568 |
5,926,568 | ||
Road & Rail 0.8% | ||
BNSF Funding Trust I, 6.61%, 12/15/55 (b) | 3,750 | 3,703,125 |
Total Capital Trusts 31.5% | 145,980,241 | |
Preferred Stocks | Shares | |
Capital Markets 0.0% | ||
Deutsche Bank Contingent Capital Trust II, 6.55% | 530 | 11,750 |
Commercial Banks 7.1% | ||
Barclays Bank Plc, 8.13% (h) | 225,000 | 5,661,000 |
First Tennessee Bank NA, 3.75% (a)(b) | 4,650 | 2,976,000 |
Provident Financial Group, Inc., 7.75% | 166,800 | 4,149,150 |
Royal Bank of Scotland Group Plc, | ||
Series M, 6.40% | 15,000 | 200,100 |
SG Preferred Capital II, 6.30% | 23,000 | 19,887,813 |
32,874,063 | ||
Diversified Financial Services 1.0% | ||
Falcons Funding Trust I, 8.88% (a)(b) | 4,750 | 4,736,641 |
Electric Utilities 3.0% | ||
Alabama Power Co.: | ||
5.83% | 14,000 | 348,320 |
6.50% | 145,000 | 3,768,550 |
Entergy Arkansas, Inc., 6.45% | 114,400 | 2,713,431 |
Entergy Louisiana LLC, 6.95% | 49,850 | 4,877,260 |
Interstate Power & Light Co., Series B, 8.38% | 80,000 | 2,338,400 |
14,045,961 | ||
Insurance 6.8% | ||
Aspen Insurance Holdings Ltd., 7.40% (b) | 194,000 | 4,500,800 |
Axis Capital Holdings Ltd.: | ||
Series A, 7.25% | 129,300 | 3,153,627 |
Series B, 7.50% (b) | 36,000 | 3,402,000 |
Endurance Specialty Holdings Ltd., | ||
Series A, 7.75% | 139,200 | 3,378,384 |
MetLife, Inc., Series B, 6.50% | 237,606 | 5,757,193 |
Prudential Plc, 6.50% | 92,400 | 2,137,212 |
Zurich RegCaPS Funding Trust II, 6.58% (a)(b) | 9,800 | 9,077,250 |
31,406,466 | ||
Real Estate Investment Trusts (REITs) 2.4% | ||
BRE Properties, Inc., Series D, 6.75% | 35,000 | 798,700 |
Kimco Realty Corp., Series F, 6.65% | 50,000 | 1,164,000 |
Preferred Stocks | Shares | Value | |
Real Estate Investment Trusts (REITs) (concluded) | |||
Public Storage: | |||
Series F, 6.45% | 40,000 | $ 941,600 | |
Series I, 7.25% | 160,000 | 4,065,600 | |
Series M, 6.63% | 71,900 | 1,767,302 | |
Regency Centers Corp., Series D, 7.25% | 100,000 | 2,360,000 | |
11,097,202 | |||
Wireless Telecommunication Services 0.6% | |||
Centaur Funding Corp., 9.08% | 2,423 | 2,666,057 | |
Total Preferred Stocks 20.9% | 96,838,140 | ||
Trust Preferreds | |||
Communications Equipment 0.4% | |||
Corporate-Backed Trust Certificates, Motorola | |||
Debenture Backed, Series 2002-14, 8.38%, 11/15/28 | 80,000 | 1,949,802 | |
Consumer Finance 1.3% | |||
Capital One Capital II, 7.50%, 6/15/66 | 253,466 | 6,090,874 | |
Electric Utilities 0.8% | |||
Georgia Power Co., Series O, 1.48%, 4/15/33 | 50,000 | 1,252,353 | |
HECO Capital Trust III, 6.50%, 3/18/34 | 50,000 | 1,264,993 | |
National Rural Utilities Cooperative Finance Corp., | |||
6.75%, 2/15/43 | 50,000 | 1,237,251 | |
3,754,597 | |||
Insurance 4.2% | |||
ABN AMRO North America Capital Funding | |||
Trust II, 0.31% (a)(b)(d) | 440,000 | 8,726,578 | |
Lincoln National Capital VI, Series F, | |||
6.75%, 9/11/52 | 131,034 | 3,102,494 | |
W.R. Berkley Capital Trust II, 6.75%, 7/26/45 | 295,000 | 7,264,742 | |
19,093,814 | |||
Total Trust Preferreds 6.7% | 30,889,087 | ||
Total Preferred Securities 59.1% | 273,707,468 | ||
Par | |||
Taxable Municipal Bonds | (000) | ||
Metropolitan Transportation Authority, RB, | |||
Build America Bonds, 6.55%, 11/15/31 | $ 3,450 | 3,637,335 | |
State of California, GO, Build America Bonds, | |||
7.35%, 11/01/39 | 1,725 | 1,863,655 | |
State of Illinois, GO, Pension, 5.10%, 6/01/33 | 3,475 | 2,997,292 | |
Total Taxable Municipal Bonds 1.8% | 8,498,282 | ||
Total Long-Term Investments | |||
(Cost $650,680,840) 137.5% | 637,264,195 | ||
Short-Term Securities | Shares | ||
BlackRock Liquidity Funds, TempFund, | |||
Institutional Class, 0.13% (i)(j) | 1,817,048 | 1,817,048 | |
Total Short-Term Securities | |||
(Cost $1,817,048) 0.4% | 1,817,048 | ||
Total Investments (Cost $652,497,888*) 137.9% | 639,081,243 | ||
Liabilities in Excess of Other Assets (1.4)% | (6,662,171) | ||
Preferred Shares, at Redemption Value (36.5)% | (169,091,457) | ||
Net Assets Applicable to Common Shares 100.0% | $ 463,327,615 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
17
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
* The cost and unrealized appreciation (depreciation) of investments as of April 30,
2010, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 654,272,212 |
Gross unrealized appreciation | $ 15,173,099 |
Gross unrealized depreciation | (30,364,068) |
Net unrealized depreciation | $ (15,190,969) |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) When-issued security. Unsettled when-issued transactions were as follows:
Unrealized | ||
Counterparty | Value | Appreciation |
Bank of America, NA | $ 999,600 | $ 19,600 |
(d) Security is perpetual in nature and has no stated maturity date.
(e) Issuer filed for bankruptcy and/or is in default of interest payments.
(f) Non-income producing security.
(g) All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.
(h) All or a portion of security has been pledged as collateral in connection with open
financial futures contracts.
(i) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Shares | Shares | ||||||
Held at | Held at | ||||||
October 31, | Net | April 30, | |||||
Affiliate | 2009 | Activity | 2010 | Income | |||
BlackRock Liquidity | |||||||
Funds, TempFund, | |||||||
Institutional Class | 41,019,397 | (39,202,349) 1,817,048 | $87,691 | ||||
(j) Represents the current yield as of report date. | |||||||
| 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. | |||||||
This definition may not apply for purposes of this report, which may combine such | |||||||
industry sub-classifications for reporting ease. | |||||||
| Reverse repurchase agreements outstanding as of April 30, 2010 were as follows: | ||||||
Interest | Trade | Maturity | Net Closing | Face | |||
Counterparty | Rate | Date | Date | Amount | Amount | ||
Credit Suisse | |||||||
Securities | 0.38% | 4/22/10 | 5/24/10 | $ 7,709,771 | $ 7,707,202 | ||
| Financial futures contracts purchased as of April 30, 2010 were as follows: | ||||||
Expiration | Notional | Unrealized | |||||
Contracts | Issue | Date | Amount | Appreciation | |||
22 | 30-Year U.S. | ||||||
Treasury Bond | June 2010 | $2,548,095 | $ 71,280 |
Credit default swaps on single-name issues buy protection outstanding as of
April 30, 2010 were as follows:
Pay | Notional | ||||
Fixed | Counter- | Amount | Unrealized | ||
Issuer | Rate | party | Expiration | (000) | Depreciation |
Nordstrom, Inc. | 5.20% | Deutsche | June | ||
Bank AG | 2014 | $ 2,000 | $ (351,837) |
Fair Value Measurements Various inputs are used in determining the fair value of
investments, which are as follows:
Level 1 price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Fund's own assumptions used in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Fund's policy regarding valuation of investments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of April 30, 2010 in determining
the fair valuation of the Fund's investments:
Investments in Securities | |||||
| |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets: | |||||
Long-Term | |||||
Investments: | |||||
Capital | |||||
Trusts | | $145,980,241 | | $145,980,241 | |
Corporate | |||||
Bonds | | 354,851,005 $ | 207,440 | 355,058,445 | |
Preferred | |||||
Stocks | $42,352,538 | 54,485,602 | | 96,838,140 | |
Taxable | |||||
Municipal | |||||
Bonds | 8,498,282 | | 8,498,282 | ||
Trust | |||||
Preferreds | 22,162,509 | 8,726,578 | | 30,889,087 | |
Short-Term | |||||
Securities | 1,817,048 | | | 1,817,048 | |
Total | $66,332,095 | $572,541,708 $ | 207,440 | $639,081,243 | |
Other Financial Instruments1 | |||||
| |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets | $ 71,280 | | | $ 71,280 | |
Liabilities | | $ (351,837) | | (351,837) | |
Total | $ 71,280 | $ (351,837) | | $ (280,557) |
1 Other financial instruments are financial futures contracts and swaps, which are
shown at the unrealized appreciation/depreciation on the instrument.
See Notes to Financial Statements.
18 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (concluded)
BlackRock Credit Allocation Income Trust II, Inc. (PSY)
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Investments in Securities | ||||
Capital | Corporate | Preferred | ||
Trusts | Bonds | Stocks | Total | |
Balance, as of October 31, 2009 | $ 2,271,150 | $ 266,121 | $ 13,800,000 | $ 16,337,271 |
Accrued discounts/premiums | | | | |
Net realized gain (loss) | (614,833) | 27 | | (614,806) |
Net change in unrealized appreciation/depreciation1 | 1,308,795 | 26,449 | 6,087,813 | 7,423,057 |
Net purchases (sales) | (2,965,112) | (85,157) | | (3,050,269) |
Net transfers in/out | | | (19,887,813) | (19,887,813) |
Balance, as of April 30, 2010 | $ | $ 207,440 | | $ 207,440 |
1 Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities
still held at April 30, 2010 was $26,449.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
19
Schedule of Investments April 30, 2010 (Unaudited)
BlackRock Credit Allocation Income Trust III (BPP)
(Percentages shown are based on Net Assets)
Common Stocks | Shares | Value |
Specialty Retail 0.0% | ||
Lazydays RV Center, Inc. (a) | 8,575 | $ 33,444 |
Total Common Stocks 0.0% | 33,444 | |
Par | ||
Corporate Bonds | (000) | |
Aerospace & Defense 2.5% | ||
BE Aerospace, Inc., 8.50%, 7/01/18 | $ 1,215 | 1,300,050 |
Bombardier, Inc., 7.75%, 3/15/20 (b) | 1,405 | 1,492,813 |
United Technologies Corp., 5.70%, 4/15/40 | 2,500 | 2,610,327 |
5,403,190 | ||
Airlines 0.4% | ||
Continental Airlines Pass-Through Certificates, | ||
Series 2009-2, Class B, 9.25%, 5/10/17 | 775 | 829,250 |
Auto Components 0.6% | ||
Icahn Enterprises LP (b): | ||
7.75%, 1/15/16 | 420 | 408,450 |
8.00%, 1/15/18 | 1,000 | 972,500 |
1,380,950 | ||
Beverages 0.4% | ||
Constellation Brands, Inc., 7.25%, 5/15/17 | 955 | 974,100 |
Capital Markets 1.7% | ||
Ameriprise Financial, Inc., 5.30%, 3/15/20 | 1,500 | 1,561,253 |
Morgan Stanley, 7.30%, 5/13/19 | 1,950 | 2,141,252 |
3,702,505 | ||
Chemicals 0.3% | ||
CF Industries, Inc., 7.13%, 5/01/20 | 525 | 552,562 |
Commercial Banks 0.7% | ||
RESPARCS Funding LP I, 8.00% (a)(c)(d) | 4,000 | 1,620,000 |
Commercial Services & Supplies 2.6% | ||
Browning-Ferris Industries, Inc., 7.40%, 9/15/35 | 1,824 | 2,081,545 |
Corrections Corp.of America, 7.75%, 6/01/17 | 1,600 | 1,696,000 |
Waste Management, Inc., 6.13%, 11/30/39 | 1,950 | 2,030,512 |
5,808,057 | ||
Communications Equipment 0.7% | ||
Brocade Communications Systems, Inc., | ||
6.88%, 1/15/20 (b) | 1,450 | 1,497,125 |
Consumer Finance 5.3% | ||
American Express Co., 8.13%, 5/20/19 | 1,950 | 2,388,343 |
Capital One Bank USA NA, 8.80%, 7/15/19 | 1,625 | 1,992,651 |
Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 1,020 | 1,063,350 |
SLM Corp., 4.00%, 7/25/14 (e) | 6,600 | 6,144,534 |
11,588,878 | ||
Containers & Packaging 0.9% | ||
Ball Corp.: | ||
7.13%, 9/01/16 | 850 | 903,125 |
6.75%, 9/15/20 | 870 | 889,575 |
Impress Holdings BV, 3.43%, 9/15/13 (b)(e) | 240 | 230,400 |
2,023,100 | ||
Diversified Financial Services 2.2% | ||
Bank of America Corp., 7.63%, 6/01/19 | 3,325 | 3,795,547 |
GMAC, Inc., 8.30%, 2/12/15 (b) | 1,000 | 1,043,750 |
4,839,297 | ||
Diversified Telecommunication Services 4.0% | ||
AT&T, Inc., 6.30%, 1/15/38 | 2,000 | 2,077,838 |
New Communications Holdings, Inc., | ||
8.50%, 4/15/20 (b) | 1,500 | 1,545,000 |
Qwest Corp., 8.38%, 5/01/16 | 1,360 | 1,550,400 |
Verizon Communications, Inc., 7.35%, 4/01/39 | 1,950 | 2,315,533 |
Par | |||
Corporate Bonds | (000) | Value | |
Diversified Telecommunication Services (concluded) | |||
Windstream Corp.: | |||
8.63%, 8/01/16 | $ 320 | $ 327,600 | |
7.88%, 11/01/17 | 900 | 893,250 | |
8,709,621 | |||
Electric Utilities 1.7% | |||
Progress Energy Inc., 7.00%, 10/30/31 | 2,000 | 2,284,848 | |
Southern California Edison Co., 5.50%, 3/15/40 | 1,400 | 1,424,937 | |
3,709,785 | |||
Food & Staples Retailing 3.4% | |||
CVS Caremark Corp., 6.30%, 6/01/62 (e) | 3,100 | 2,991,500 | |
Wal-Mart Stores, Inc.: | |||
5.25%, 9/01/35 | 1,850 | 1,821,834 | |
6.20%, 4/15/38 | 2,500 | 2,752,035 | |
7,565,369 | |||
Food Products 0.8% | |||
Kraft Foods, Inc.: | |||
6.50%, 8/11/17 | 800 | 906,422 | |
6.13%, 8/23/18 | 800 | 882,740 | |
1,789,162 | |||
Gas Utilities 0.9% | |||
Nisource Finance Corp., 6.13%, 3/01/22 | 1,950 | 2,070,426 | |
Health Care Equipment & Supplies 1.0% | |||
Medtronic, Inc.: | |||
6.50%, 3/15/39 | 300 | 346,496 | |
5.55%, 3/15/40 | 1,765 | 1,822,583 | |
2,169,079 | |||
Health Care Providers & Services 3.1% | |||
Aetna, Inc., 6.75%, 12/15/37 | 1,725 | 1,901,110 | |
HCA, Inc., 7.25%, 9/15/20 (b) | 1,250 | 1,307,813 | |
HCA, Inc./DE, 8.50%, 4/15/19 (b) | 800 | 879,000 | |
Tenet Healthcare Corp., 10.00%, 5/01/18 (b) | 745 | 848,369 | |
UnitedHealth Group, Inc., 6.88%, 2/15/38 | 1,725 | 1,895,242 | |
6,831,534 | |||
Hotels, Restaurants & Leisure 0.0% | |||
Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(d) | 362 | 23,982 | |
Insurance 4.9% | |||
Lincoln National Corp.: | |||
8.75%, 7/01/19 | 850 | 1,060,317 | |
6.25%, 2/15/20 | 1,725 | 1,843,799 | |
Northwestern Mutual Life Insurance, | |||
6.06%, 3/30/40 (b) | 1,800 | 1,859,173 | |
Principal Financial Group, Inc., 8.88%, 5/15/19 | 475 | 585,939 | |
Prudential Financial, Inc., 6.63%, 12/01/37 | 1,725 | 1,901,757 | |
QBE Insurance Group Ltd., 9.75%, 3/14/14 (b) | 2,975 | 3,623,449 | |
10,874,434 | |||
Life Sciences Tools & Services 1.8% | |||
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 | 1,830 | 1,953,525 | |
Life Technologies Corp., 6.00%, 3/01/20 | 2,000 | 2,104,320 | |
4,057,845 | |||
Machinery 1.7% | |||
AGY Holding Corp., 11.00%, 11/15/14 | 390 | 343,200 | |
Ingersoll-Rand Global Holding Co., Ltd., 9.50%, 4/15/14 | 1,725 | 2,115,017 | |
Navistar International Corp., 8.25%, 11/01/21 | 1,245 | 1,313,475 | |
3,771,692 | |||
Media 7.4% | |||
CMP Susquehanna Corp., 3.20%, 5/15/14 (a)(b)(d) | 9 | 180 | |
CSC Holdings, Inc., 8.63%, 2/15/19 (b) | 580 | 633,650 | |
CSC Holdings LLC, 8.50%, 6/15/15 (b) | 800 | 852,000 | |
Comcast Corp., 6.30%, 11/15/17 | 1,725 | 1,911,980 | |
Cox Communications, Inc., 8.38%, 3/01/39 (b) | 1,725 | 2,239,935 |
See Notes to Financial Statements.
20 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust III (BPP)
(Percentages shown are based on Net Assets)
Par | |||
Corporate Bonds | (000) | Value | |
Media (concluded) | |||
DISH DBS Corp.: | |||
7.00%, 10/01/13 | $ 850 | $ 879,750 | |
7.88%, 9/01/19 | 550 | 577,500 | |
Intelsat Corp., 9.25%, 6/15/16 | 850 | 896,750 | |
News America, Inc., 6.15%, 3/01/37 | 2,000 | 2,047,648 | |
Time Warner Cable, Inc., 6.75%, 6/15/39 | 1,950 | 2,107,729 | |
Time Warner, Inc., 7.70%, 5/01/32 | 2,000 | 2,347,018 | |
UPC Germany GmbH, 8.13%, 12/01/17 (b) | 505 | 515,100 | |
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (b) | 1,300 | 1,306,500 | |
16,315,740 | |||
Metals & Mining 1.2% | |||
Phelps Dodge Corp., 7.13%, 11/01/27 | 1,400 | 1,449,169 | |
Teck Resources Ltd., 10.75%, 5/15/19 | 850 | 1,058,250 | |
United States Steel Corp., 7.38%, 4/01/20 | 175 | 179,813 | |
2,687,232 | |||
Multi-Utilities 1.5% | |||
CenterPoint Energy, Inc.: | |||
5.95%, 2/01/17 | 1,500 | 1,579,578 | |
6.50%, 5/01/18 | 1,600 | 1,744,266 | |
3,323,844 | |||
Multiline Retail 0.8% | |||
Dollar General Corp., 10.63%, 7/15/15 | 1,550 | 1,722,437 | |
Oil, Gas & Consumable Fuels 3.7% | |||
EXCO Resources, Inc., 7.25%, 1/15/11 | 40 | 39,950 | |
Enbridge Energy Partners LP, 9.88%, 3/01/19 | 1,000 | 1,323,864 | |
Enterprise Products Operating LLC, 6.65%, 4/15/18 | 2,000 | 2,278,896 | |
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 2,000 | 2,303,280 | |
ONEOK Partners LP, 8.63%, 3/01/19 | 1,725 | 2,164,941 | |
8,110,931 | |||
Paper & Forest Products 3.1% | |||
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) | 1,635 | 1,790,325 | |
International Paper Co.: | |||
7.50%, 8/15/21 | 1,625 | 1,908,740 | |
8.70%, 6/15/38 | 900 | 1,152,653 | |
7.30%, 11/15/39 | 1,725 | 1,912,492 | |
6,764,210 | |||
Pharmaceuticals 7.8% | |||
Abbott Laboratories: | |||
6.15%, 11/30/37 | 235 | 262,297 | |
6.00%, 4/01/39 | 2,777 | 3,058,357 | |
Bristol-Myers Squibb Co.: | |||
5.88%, 11/15/36 | 1,994 | 2,106,320 | |
6.13%, 5/01/38 | 588 | 641,962 | |
Eli Lilly & Co., 5.95%, 11/15/37 | 588 | 639,820 | |
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 | 3,460 | 3,917,059 | |
Merck & Co., Inc., 6.50%, 12/01/33 | 990 | 1,144,520 | |
Pfizer, Inc., 7.20%, 3/15/39 | 2,500 | 3,102,573 | |
Schering-Plough Corp., 6.55%, 9/15/37 | 1,979 | 2,308,828 | |
17,181,736 | |||
Professional Services 0.0% | |||
FTI Consulting, Inc., 7.75%, 10/01/16 | 100 | 102,875 | |
Real Estate Investment Trusts (REITs) 3.3% | |||
AvalonBay Communities, Inc.: | |||
5.70%, 3/15/17 | 1,625 | 1,740,903 | |
6.10%, 3/15/20 | 1,725 | 1,869,427 | |
ERP Operating LP: | |||
5.38%, 8/01/16 | 1,625 | 1,713,873 | |
5.75%, 6/15/17 | 1,715 | 1,839,091 | |
7,163,294 |
Corporate Bonds | (000) | Value | |
Semiconductors & Semiconductor Equipment 1.0% | |||
KLA-Tencor Corp., 6.90%, 5/01/18 | $ 918 | $ 1,015,167 | |
National Semiconductor Corp., 6.60%, 6/15/17 | 1,123 | 1,236,778 | |
2,251,945 | |||
Specialty Retail 1.0% | |||
AutoNation, Inc., 6.75%, 4/15/18 | 940 | 943,525 | |
AutoZone, Inc., 7.13%, 8/01/18 | 650 | 751,299 | |
Ltd. Brands, Inc., 7.00%, 5/01/20 (g) | 470 | 479,400 | |
2,174,224 | |||
Tobacco 1.9% | |||
Altria Group, Inc.: | |||
9.70%, 11/10/18 | 1,725 | 2,169,345 | |
9.25%, 8/06/19 | 1,600 | 1,976,451 | |
4,145,796 | |||
Wireless Telecommunication Services 0.6% | |||
Cricket Communications, Inc., 7.75%, 5/15/16 | 325 | 337,188 | |
Nextel Communications, Inc., Series E, | |||
6.88%, 10/31/13 | 1,105 | 1,085,662 | |
1,422,850 | |||
Total Corporate Bonds 74.9% | 165,159,057 | ||
Investment Companies | Shares | ||
ProShares UltraShort Real Estate | 12,000 | 310,080 | |
Total Investment Companies 0.1% | 310,080 | ||
Preferred Securities | |||
Par | |||
Capital Trusts | (000) | ||
Building Products 0.3% | |||
C8 Capital SPV Ltd., 6.64% (b)(c)(e) | $ 970 | 707,557 | |
Capital Markets 4.0% | |||
State Street Capital Trust III, 8.25% (c)(e) | 1,385 | 1,422,104 | |
State Street Capital Trust IV, 1.26%, 6/01/67 (e) | 9,675 | 7,457,635 | |
8,879,739 | |||
Commercial Banks 7.8% | |||
Bank of Ireland Capital Funding II, LP, 5.57% (a)(b)(c)(d)(e) | 854 | 606,340 | |
Bank of Ireland Capital Funding III, LP, 6.11% (a)(b)(c)(d)(e) | 1,471 | 1,044,410 | |
Barclays Bank Plc, 5.93% (b)(c)(e) | 890 | 805,450 | |
CBA Capital Trust I, 5.81% (b)(c) | 5,000 | 4,943,700 | |
FCB/NC Capital Trust I, 8.05%, 3/01/28 | 1,100 | 1,039,309 | |
NBP Capital Trust III, 7.38% (c) | 2,000 | 1,590,000 | |
National City Preferred Capital Trust I, 12.00% (c)(e) | 600 | 694,452 | |
SunTrust Preferred Capital I, 5.85% (c)(e) | 303 | 237,097 | |
USB Capital XIII Trust, 6.63%, 12/15/39 | 1,725 | 1,814,027 | |
Wells Fargo Capital XIII, Series GMTN, 7.70% (c)(e) | 1,700 | 1,768,000 | |
Westpac Capital Trust IV, 5.26% (b)(c)(e) | 3,000 | 2,753,040 | |
17,295,825 | |||
Diversified Financial Services 4.7% | |||
JPMorgan Chase Capital XXI, Series U, | |||
1.29%, 1/15/87 (e) | 7,125 | 5,542,708 | |
JPMorgan Chase Capital XXIII, 1.25%, 5/15/77 (e) | 6,190 | 4,807,334 | |
10,350,042 | |||
Electric Utilities 0.4% | |||
PPL Capital Funding, 6.70%, 3/30/67 (e) | 900 | 823,500 | |
Insurance 7.5% | |||
AXA SA, 6.38% (b)(c)(e) | 900 | 801,000 | |
The Allstate Corp., 6.50%, 5/15/67 (e) | 900 | 864,000 | |
Chubb Corp., 6.38%, 3/29/67 (e) | 900 | 901,125 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
21
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust III (BPP)
(Percentages shown are based on Net Assets)
Par | ||
Capital Trusts | (000) | Value |
Insurance (concluded) | ||
Genworth Financial, Inc., 6.15%, 11/15/66 (e) | $ 1,475 | $ 1,180,000 |
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (b)(e) | 900 | 1,048,500 |
Lincoln National Corp., 7.00%, 5/17/66 (e) | 900 | 832,500 |
MetLife, Inc., 6.40%, 12/15/66 | 900 | 850,500 |
Nationwide Life Global Funding I, 6.75%, 5/15/67 | 900 | 769,500 |
Progressive Corp., 6.70%, 6/15/67 (e) | 900 | 891,865 |
Reinsurance Group of America, 6.75%, 12/15/65 (e) | 1,300 | 1,230,830 |
The Travelers Cos., Inc,, 6.25%, 3/15/67 (e) | 900 | 885,129 |
White Mountains Re Group Ltd., 7.51% (b)(c)(e) | 2,600 | 2,388,776 |
ZFS Finance (USA) (b)(e): | ||
Trust IV, 5.88%, 5/09/32 | 190 | 181,522 |
Trust V, 6.50%, 5/09/67 | 2,209 | 2,115,117 |
Zenith National Insurance Capital Trust I, | ||
8.55%, 8/01/28 (b) | 1,800 | 1,557,000 |
16,497,364 | ||
Multi-Utilities 0.4% | ||
Puget Sound Energy, Inc., Series A, 6.97%, 6/01/67 (e) | 925 | 879,185 |
Oil, Gas & Consumable Fuels 0.4% | ||
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (e) | 900 | 865,478 |
Total Capital Trusts 25.5% | 56,298,690 | |
Preferred Stocks | Shares | |
Capital Markets 0.0% | ||
Lehman Brothers Holdings Inc., Series D, 5.67% (c)(d) | 31,100 | 2,519 |
Commercial Banks 2.5% | ||
Banesto Holdings, Ltd., Series A, 10.50% (b) | 30,000 | 754,689 |
First Republic Preferred Capital Corp., 7.25% | 42,512 | 885,100 |
Royal Bank of Scotland Group Plc, Series M, 6.40% | 10,000 | 133,400 |
Union Planter Preferred Funding Corp., 7.75% | 60 | 3,780,000 |
5,553,189 | ||
Diversified Financial Services 1.7% | ||
JPMorgan Chase & Co., Series E, 6.15% | 75,000 | 3,728,250 |
Electric Utilities 0.6% | ||
Alabama Power Co., 6.50% | 50,000 | 1,299,500 |
Insurance 10.2% | ||
Arch Capital Group Ltd., Series A, 8.00% | 67,414 | 1,701,529 |
Aspen Insurance Holdings Ltd., 7.40% (e) | 115,000 | 2,668,000 |
Endurance Specialty Holdings Ltd., Series A, 7.75% | 122,400 | 2,970,648 |
MetLife, Inc., Series B, 6.50% | 61,294 | 1,485,154 |
PartnerRe Ltd., Series C, 6.75% | 209,400 | 5,182,650 |
Prudential Plc: | ||
6.50% | 62,000 | 1,434,060 |
6.50% (c) | 6,000,000 | 5,235,000 |
Zurich RegCaPS Funding Trust II, 6.58% (b)(e) | 2,000 | 1,852,500 |
22,529,541 | ||
Media 1.5% | ||
CMP Susquehanna Radio Holdings Corp. (a)(b)(e) | 2,052 | |
Comcast Holdings Corp., 2.00%, 11/15/29 (f) | 110 | 3,340,068 |
3,340,068 | ||
Real Estate Investment Trusts (REITs) 2.2% | ||
BRE Properties, Inc., Series D, 6.75% | 20,000 | 456,400 |
Public Storage: | ||
Series F, 6.45% | 20,000 | 470,800 |
Series M, 6.63% | 35,000 | 860,300 |
SunTrust Real Estate Investment Trust, 9.00% | 30 | 3,027,187 |
4,814,687 | ||
Specialty Retail 0.1% | ||
Lazydays RV Center, Inc., 8.00% | 182 | 181,809 |
Total Preferred Stocks 18.8% | 41,449,563 |
Trust Preferreds | Shares | Value |
Capital Markets 1.1% | ||
Structured Asset Trust Unit Repackagings (SATURNS): | ||
Credit Suisse First Boston (USA), Inc. Debenture | ||
Backed, 6.25%, 7/15/32 | 11,100 | $ 249,903 |
Goldman Sachs Group, Inc. Debenture Backed, | ||
6.00%, 2/15/33 | 102,900 | 2,097,199 |
2,347,102 | ||
Diversified Financial Services 0.1% | ||
PPLUS Trust Certificates, Series VAL-1, Class A, | ||
7.25%, 4/15/32 (f) | 11,100 | 276,510 |
Food Products 1.1% | ||
Corporate-Backed Trust Certificates, Kraft | ||
Foods, Inc. Debenture Backed, Series 2003-11, | ||
5.88%, 11/01/31 | 100,000 | 2,401,202 |
Insurance 1.1% | ||
Assured Guaranty Municipal Holdings, Inc., | ||
5.60%, 7/15/03 (f) | 15,200 | 279,692 |
Everest Re Capital Trust, 6.20%, 3/29/34 | 30,000 | 642,884 |
The Phoenix Cos., Inc., 7.45%, 1/15/32 | 79,385 | 1,552,604 |
2,475,180 | ||
Media 1.4% | ||
Comcast Corp.: | ||
7.00%, 9/15/55 | 50,000 | 1,251,825 |
6.63%, 5/15/56 | 73,000 | 1,772,135 |
Corporate-Backed Trust Certificates, News | ||
America Debenture Backed, Series 2002-9, | ||
8.13%, 12/01/45 (f) | 7,200 | 180,197 |
3,204,157 | ||
Oil, Gas & Consumable Fuels 1.7% | ||
Nexen, Inc., 7.35%, 11/01/43 | 155,000 | 3,834,702 |
Wireless Telecommunication Services 0.9% | ||
Structured Repackaged Asset-Backed Trust | ||
Securities, Sprint Capital Corp. Debenture Backed, | ||
Series 2004-2, 6.50%, 11/15/28 | 103,439 | 1,892,041 |
Total Trust Preferreds 7.4% | 16,430,894 | |
Total Preferred Securities 51.7% | 114,179,147 | |
Par | ||
Taxable Municipal Bonds | (000) | |
Metropolitan Transportation Authority, RB, Build | ||
America Bonds, 6.55%, 11/15/31 | $ 1,675 | 1,765,952 |
State of California, GO, Build America Bonds, | ||
7.35%, 11/01/39 | 825 | 891,314 |
State of Illinois, GO, Pension, 5.10%, 6/01/33 | 1,675 | 1,444,738 |
Total Taxable Municipal Bonds 1.9% | 4,102,004 | |
Warrants (h) | Shares | |
Media 0.0% | ||
CMP Susquehanna Radio Holdings Corp. | ||
(Expires 3/26/19) (b) | 2,345 | |
Total Warrants 0.0% | | |
Total Long Term Investments | ||
(Cost $295,822,018) 128.6% | 283,783,732 |
See Notes to Financial Statements.
22 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust III (BPP)
(Percentages shown are based on Net Assets)
Short-Term Securities | Shares | Value |
BlackRock Liquidity Funds, TempFund, | ||
Institutional Class, 0.13% (i)(j) | 6,947,057 | $ 6,947,057 |
Total Short-Term Securities | ||
(Cost $6,947,057) 3.2% | 6,947,057 | |
Total Investments (Cost $302,769,075*) 131.8% | 290,730,789 | |
Other Assets Less Liabilities 0.1% | 300,013 | |
Preferred Shares, at Redemption Value (31.9)% | (70,427,782) | |
Net Assets Applicable to Common Shares 100.0% | $ 220,603,020 |
* The cost and unrealized appreciation (depreciation) of investments as of April 30,
2010, as computed for federal income tax purposes, were as follows:
Aggregate cost | $ 304,317,602 |
Gross unrealized appreciation | $ 8,338,212 |
Gross unrealized depreciation | (21,925,025) |
Net unrealized depreciation | $ (13,586,813) |
(a) Non-income producing security.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(c) Security is perpetual in nature and has no stated maturity date.
(d) Issuer filed for bankruptcy and/or is in default of interest payments.
(e) Variable rate security. Rate shown is as of report date.
(f) Convertible security.
(g) When-issued security. Unsettled when-issued transactions were as follows:
Unrealized | ||
Counterparty | Value | Appreciation |
Bank of America, NA | $ 479,400 | $ 9,400 |
(h) Warrants entitle the Fund to purchase a predetermined number of shares of com-
mon stock and are non-income producing. The purchase price and number of
shares are subject to adjustment under certain conditions until the expiration date.
(i) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Shares Held at | Shares Held at | |||||||
October 31, | Net | April 30, | ||||||
Affiliate | 2009 | Activity | 2010 | Income | ||||
BlackRock Liquidity | ||||||||
Funds, TempFund, | ||||||||
Institutional Class | 51,450,797 (44,503,740) | 6,947,057 | $40,567 | |||||
(j) Represents the current yield as of report date. | ||||||||
| For Fund compliance purposes, the Funds industry classifications refer to any one | |||||||
or more of the industry sub-classifications used by one or more widely recognized | ||||||||
market indexes or rating group indexes, and/or as defined by Fund management. | ||||||||
This definition may not apply for purposes of this report, which may combine | ||||||||
industry sub-classifications for reporting ease. | ||||||||
| Financial futures contracts purchased as of April 30, 2010 were as follows: | |||||||
Expiration | Notional | Unrealized | ||||||
Contracts | Issue | Date | Value | Appreciation | ||||
13 | 30-Year U.S. | |||||||
Treasury Bond | June 2010 | $ 1,505,693 | $ 42,120 | |||||
| Credit default swaps on single-name issues buy protection outstanding as of | |||||||
April 30, 2010 were as follows: | ||||||||
Received | Notional | |||||||
Fixed | Counter- | Amount | Unrealized | |||||
Issuer | Rate | party | Expiration | (000) | Depreciation | |||
Nordstrom, Inc | 5.20% | Deutsche | June | |||||
Bank AG | 2014 | $1,000 | $ (175,919) |
Fair Value Measurements Various inputs are used in determining the fair value of
investments, which are as follows:
Level 1 price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 other observable inputs (including, but not limited to: quoted prices
for similar assets or liabilities in markets that are active, quoted prices for
identical or similar assets or liabilities in markets that are not active, inputs
other than quoted prices that are observable for the assets or liabilities (such
as interest rates, yield curves, volatilities, prepayment speeds, loss severities,
credit risks and default rates) or other market-corroborated inputs)
Level 3 unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Funds own assumptions used in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Funds policy regarding valuation of investments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of April 30, 2010 in determin-
ing the fair valuation of the Funds investments:
Investments in Securities | |||||
| |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets: | |||||
Long-Term | |||||
Investments: | |||||
Capital | |||||
Trusts | | $ 56,298,690 | | $ 56,298,690 | |
Common | |||||
Stocks | | | $ 33,444 | 33,444 | |
Corporate | |||||
Bonds | | 165,158,877 | 180 | 165,159,057 | |
Investment | |||||
Companies .$ | 310,080 | | | 310,080 | |
Preferred | |||||
Stocks | 23,278,310 | 14,962,257 | 3,208,996 | 41,449,563 | |
Taxable | |||||
Municipal | |||||
Bonds | | 4,102,004 | | 4,102,004 | |
Trust | |||||
Preferreds | 16,151,202 | 279,692 | | 16,430,894 | |
Short-Term | |||||
Securities | 6,947,057 | | | 6,947,057 | |
Total | $46,686,649 | $240,801,520 | $ 3,242,620 | $290,730,789 | |
Other Financial Instruments1 | |||||
| |||||
Valuation Inputs | Level 1 | Level 21 | Level 3 | Total | |
Assets | $ 42,120 | | | $ 42,120 | |
Liabilities | | $ (175,919) | | (175,919) | |
Total | $ 42,120 | $ (175,919) | | $ (133,799) |
1 Other financial instruments are financial futures contracts and swaps, which are
shown at the unrealized appreciation/depreciation on the instrument.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
23
Schedule of Investments (concluded)
BlackRock Credit Allocation Income Trust III (BPP)
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Investments in Securities | ||||
Common | Corporate | Preferred | ||
Stocks | Bonds | Stocks | Total | |
Balance, as of October 31, 2009 | | $ 12,000 | $ 3,027,189 | $ 3,039,189 |
Accrued discounts/premiums | | | | |
Net realized gain (loss) | | | | |
Net change in unrealized appreciation/depreciation1 | | | (2) | (2) |
Net purchases (sales) | $ 33,444 | (11,820) | 181,809 | 203,433 |
Net transfers in/out | | | | |
Balance, as of April 30, 2010 | $ 33,444 | $ 180 | $ 3,208,996 | $ 3,242,620 |
1 Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations. The change in unrealized appreciation/depreciation on securities
still held at April 30, 2010 was $(2).
See Notes to Financial Statements.
24 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments April 30, 2010 (Unaudited)
BlackRock Credit Allocation Income Trust IV (BTZ)
(Percentages shown are based on Net Assets)
Common Stocks | Shares | Value |
Commercial Banks 1.1% | ||
Citizens Banking Corp. (a) | 6,406,596 | $ 8,008,245 |
Total Common Stocks 1.1% | 8,008,245 | |
Par | ||
Corporate Bonds | (000) | |
Aerospace & Defense 2.6% | ||
BE Aerospace, Inc., 8.50%, 7/01/18 | $ 3,575 | 3,825,250 |
Bombardier, Inc., 7.75%, 3/15/20 (b) | 4,500 | 4,781,250 |
United Technologies Corp., 5.70%, 4/15/40 | 10,000 | 10,441,310 |
19,047,810 | ||
Airlines 0.3% | ||
Continental Airlines Pass-Through Certificates, | ||
Series 2009-2, Class B, 9.25%, 5/10/17 | 2,225 | 2,380,750 |
Auto Components 0.6% | ||
Icahn Enterprises LP (b): | ||
7.75%, 1/15/16 | 1,700 | 1,653,250 |
8.00%, 1/15/18 | 2,500 | 2,431,250 |
4,084,500 | ||
Beverages 0.5% | ||
Constellation Brands, Inc., 7.25%, 5/15/17 | 3,230 | 3,294,600 |
Capital Markets 1.4% | ||
Ameriprise Financial, Inc., 5.30%, 3/15/20 | 4,500 | 4,683,757 |
Lehman Brothers Holdings, Inc. (a)(c): | ||
3.95%, 11/10/09 | 105 | 23,100 |
4.38%, 11/30/10 | 325 | 71,500 |
Morgan Stanley, 7.30%, 5/13/19 | 4,750 | 5,215,870 |
9,994,227 | ||
Chemicals 0.3% | ||
CF Industries, Inc., 7.13%, 5/01/20 | 1,850 | 1,947,125 |
Commercial Banks 0.1% | ||
Kazkommerts Finance 2 BV, 9.20%, (d)(e) | 500 | 430,000 |
Commercial Services & Supplies 2.1% | ||
Browning-Ferris Industries, Inc., 7.40%, 9/15/35 | 4,420 | 5,044,095 |
Corrections Corp.of America, 7.75%, 6/01/17 | 4,835 | 5,125,100 |
Waste Management, Inc., 6.13%, 11/30/39 | 4,750 | 4,946,118 |
15,115,313 | ||
Communications Equipment 0.5% | ||
Brocade Communications Systems, Inc., | ||
6.88%, 1/15/20 (b) | 3,580 | 3,696,350 |
Consumer Finance 4.0% | ||
American Express Co., 8.13%, 5/20/19 | 4,725 | 5,787,137 |
Capital One Bank USA NA, 8.80%, 7/15/19 | 3,950 | 4,843,676 |
Inmarsat Finance Plc, 7.38%, 12/01/17 (b) | 2,975 | 3,101,438 |
SLM Corp., 4.00%, 7/25/14 (e) | 16,300 | 15,175,137 |
28,907,388 | ||
Containers & Packaging 0.7% | ||
Ball Corp.: | ||
7.13%, 9/01/16 | 2,000 | 2,125,000 |
6.75%, 9/15/20 | 2,750 | 2,811,875 |
4,936,875 | ||
Diversified Financial Services 3.0% | ||
Bank of America Corp., 7.63%, 6/01/19 | 8,025 | 9,160,682 |
GMAC, Inc., 8.30%, 2/12/15 (b) | 3,700 | 3,861,875 |
ING Groep NV, 5.78% (d)(e)(f) | 10,000 | 8,629,300 |
Stan IV Ltd., 2.14%, 7/20/11 (e) | 283 | 240,550 |
21,892,407 |
Par | ||
Corporate Bonds | (000) | Value |
Diversified Telecommunication Services 3.2% | ||
AT&T, Inc., 6.30%, 1/15/38 | $ 5,000 | $ 5,194,595 |
New Communications Holdings, Inc., | ||
8.50%, 4/15/20 (b) | 4,500 | 4,635,000 |
Qwest Corp., 8.38%, 5/01/16 | 3,285 | 3,744,900 |
Verizon Communications, Inc., 7.35%, 4/01/39 | 4,700 | 5,581,029 |
Windstream Corp.: | ||
8.63%, 8/01/16 | 1,250 | 1,279,688 |
7.88%, 11/01/17 | 2,700 | 2,679,750 |
23,114,962 | ||
Electric Utilities 1.3% | ||
Progress Energy Inc., 7.00%, 10/30/31 | 5,000 | 5,712,120 |
Southern California Edison Co., 5.50%, 3/15/40 | 3,850 | 3,918,576 |
9,630,696 | ||
Food & Staples Retailing 2.9% | ||
CVS Caremark Corp., 6.30%, 6/01/62 (e) | 7,800 | 7,527,000 |
Wal-Mart Stores, Inc.: | ||
5.25%, 9/01/35 | 2,650 | 2,609,654 |
6.20%, 4/15/38 | 10,000 | 11,008,140 |
21,144,794 | ||
Food Products 0.6% | ||
Kraft Foods, Inc.: | ||
6.50%, 8/11/17 | 1,985 | 2,249,058 |
6.13%, 8/23/18 | 1,990 | 2,195,816 |
4,444,874 | ||
Gas Utilities 0.7% | ||
Nisource Finance Corp., 6.13%, 3/01/22 | 4,750 | 5,043,346 |
Health Care Equipment & Supplies 1.2% | ||
Medtronic, Inc.: | ||
6.50%, 3/15/39 | 1,050 | 1,212,734 |
5.55%, 3/15/40 | 7,058 | 7,288,268 |
8,501,002 | ||
Health Care Providers & Services 2.4% | ||
Aetna, Inc., 6.75%, 12/15/37 | 4,075 | 4,491,029 |
HCA, Inc., 7.25%, 9/15/20 (b) | 3,600 | 3,766,500 |
HCA, Inc./DE, 8.50%, 4/15/19 (b) | 2,000 | 2,197,500 |
Tenet Healthcare Corp., 10.00%, 5/01/18 (b) | 2,175 | 2,476,781 |
UnitedHealth Group, Inc., 6.88%, 2/15/38 | 4,075 | 4,477,166 |
17,408,976 | ||
IT Services 0.6% | ||
International Business Machines Corp., | ||
5.60%, 11/30/39 | 4,400 | 4,575,644 |
Insurance 3.4% | ||
Lincoln National Corp.: | ||
8.75%, 7/01/19 | 2,000 | 2,494,864 |
6.25%, 2/15/20 | 4,075 | 4,355,641 |
Northwestern Mutual Life Insurance, | ||
6.06%, 3/30/40 (b) | 5,500 | 5,680,807 |
Principal Financial Group, Inc., 8.88%, 5/15/19 | 1,145 | 1,412,421 |
Prudential Financial, Inc., 6.63%, 12/01/37 | 4,075 | 4,492,557 |
QBE Insurance Group Ltd., 9.75%, 3/14/14 (b) | 4,973 | 6,056,945 |
24,493,235 | ||
Life Sciences Tools & Services 1.5% | ||
Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 | 5,480 | 5,849,900 |
Life Technologies Corp., 6.00%, 3/01/20 | 4,800 | 5,050,368 |
10,900,268 | ||
Machinery 1.3% | ||
Ingersoll-Rand Global Holding Co LTD, 9.50%, 4/15/14 | 4,075 | 4,996,345 |
Navistar International Corp., 8.25%, 11/01/21 | 3,975 | 4,193,625 |
9,189,970 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
25
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust IV (BTZ)
(Percentages shown are based on Net Assets)
Par | ||
Corporate Bonds | (000) | Value |
Media 5.6% | ||
CSC Holdings LLC, 8.50%, 6/15/15 (b) | $ 2,300 | $ 2,449,500 |
CSC Holdings, Inc., 8.63%, 2/15/19 (b) | 1,950 | 2,130,375 |
Comcast Corp., 6.30%, 11/15/17 | 4,075 | 4,516,706 |
Cox Communications, Inc., 8.38%, 3/01/39 (b) | 4,075 | 5,291,440 |
DISH DBS Corp: | ||
7.00%, 10/01/13 | 1,950 | 2,018,250 |
7.88%, 9/01/19 | 1,850 | 1,942,500 |
Intelsat Corp., 9.25%, 6/15/16 | 2,000 | 2,110,000 |
News America, Inc., 6.15%, 3/01/37 | 4,850 | 4,965,546 |
Time Warner Cable, Inc., 6.75%, 6/15/39 | 4,675 | 5,053,147 |
Time Warner, Inc., 7.70%, 5/01/32 | 4,900 | 5,750,194 |
UPC Germany GmbH, 8.13%, 12/01/17 (b) | 1,225 | 1,249,500 |
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (b) | 3,175 | 3,190,875 |
40,668,033 | ||
Metals & Mining 0.9% | ||
Aleris International, Inc., 10.00%, 12/15/16 (a)(c) | 5,000 | 25,000 |
Phelps Dodge Corp., 7.13%, 11/01/27 | 3,500 | 3,622,924 |
Teck Resources Ltd., 10.75%, 5/15/19 | 2,000 | 2,490,000 |
United States Steel Corp., 7.38%, 4/01/20 | 550 | 565,125 |
6,703,049 | ||
Multi-Utilities 2.5% | ||
CenterPoint Energy, Inc.: | ||
5.95%, 2/01/17 | 3,600 | 3,790,987 |
6.50%, 5/01/18 | 3,950 | 4,306,156 |
Dominion Resources, Inc., 8.88%, 1/15/19 | 8,000 | 10,286,944 |
18,384,087 | ||
Multiline Retail 0.7% | ||
Dollar General Corp., 10.63%, 7/15/15 | 4,225 | 4,695,031 |
Oil, Gas & Consumable Fuels 2.7% | ||
Enbridge Energy Partners LP, 9.88%, 3/01/19 | 2,425 | 3,210,370 |
Enterprise Products Operating LLC, 6.65%, 4/15/18 | 4,800 | 5,469,350 |
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 | 4,800 | 5,527,872 |
ONEOK Partners LP, 8.63%, 3/01/19 | 4,075 | 5,114,280 |
19,321,872 | ||
Paper & Forest Products 2.4% | ||
Georgia-Pacific LLC, 8.25%, 5/01/16 (b) | 3,955 | 4,330,725 |
International Paper Co.: | ||
7.50%, 8/15/21 | 3,950 | 4,639,705 |
8.70%, 6/15/38 | 3,100 | 3,970,251 |
7.30%, 11/15/39 | 4,075 | 4,517,916 |
17,458,597 | ||
Pharmaceuticals 8.3% | ||
Abbott Laboratories: | ||
6.15%, 11/30/37 | 942 | 1,051,422 |
6.00%, 4/01/39 | 9,405 | 10,357,886 |
Bristol-Myers Squibb Co.: | ||
5.88%, 11/15/36 | 8,015 | 8,466,477 |
6.13%, 5/01/38 | 2,353 | 2,568,939 |
Eli Lilly & Co., 5.95%, 11/15/37 | 2,353 | 2,560,368 |
GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 | 10,100 | 11,434,190 |
Merck & Co., Inc., 6.50%, 12/01/33 | 2,885 | 3,335,294 |
Pfizer, Inc., 7.20%, 3/15/39 | 10,000 | 12,410,290 |
Schering-Plough Corp., 6.55%, 9/15/37 | 6,945 | 8,102,481 |
60,287,347 | ||
Real Estate Investment Trusts (REITs) 2.4% | ||
AvalonBay Communities, Inc.: | ||
5.70%, 3/15/17 | 3,925 | 4,204,951 |
6.10%, 3/15/20 | 4,075 | 4,416,183 |
ERP Operating LP: | ||
5.38%, 8/01/16 | 3,925 | 4,139,662 |
5.75%, 6/15/17 | 4,080 | 4,375,213 |
17,136,009 |
Par | |||
Corporate Bonds | (000) | Value | |
Semiconductors & Semiconductor Equipment 3.1% | |||
KLA-Tencor Corp., 6.90%, 5/01/18 | $ 2,208 | $ 2,441,710 | |
National Semiconductor Corp.: | |||
3.95%, 4/15/15 | 16,750 | 16,756,851 | |
6.60%, 6/15/17 | 2,770 | 3,050,645 | |
22,249,206 | |||
Specialty Retail 0.8% | |||
AutoNation, Inc., 6.75%, 4/15/18 | 2,775 | 2,785,406 | |
AutoZone, Inc., 7.13%, 8/01/18 | 1,550 | 1,791,558 | |
Ltd. Brands, Inc., 7.00%, 5/01/20 (g) | 1,370 | 1,397,400 | |
5,974,364 | |||
Tobacco 1.4% | |||
Altria Group, Inc.: | |||
9.70%, 11/10/18 | 4,075 | 5,124,683 | |
9.25%, 8/06/19 | 3,950 | 4,879,364 | |
10,004,047 | |||
Wireless Telecommunication Services 3.5% | |||
Cricket Communications, Inc., 7.75%, 5/15/16 | 780 | 809,250 | |
Nextel Communications, Inc., Series E, | |||
6.88%, 10/31/13 | 2,890 | 2,839,425 | |
SBA Tower Trust, 5.10%, 4/15/42 (b) | 21,250 | 21,887,617 | |
25,536,292 | |||
Total Corporate Bonds 69.5% | 502,593,046 | ||
Investment Companies | Shares | ||
ProShares UltraShort Real Estate | 30,000 | 775,200 | |
Total Investment Companies 0.1% | 775,200 | ||
Preferred Securities | |||
Par | |||
Capital Trusts | (000) | ||
Building Products 0.6% | |||
C10 Capital SPV Ltd., 6.72% (b)(d)(e) | $ 5,000 | 3,655,700 | |
C8 Capital SPV Ltd., 6.64% (b)(d)(e) | 1,580 | 1,152,515 | |
4,808,215 | |||
Capital Markets 3.1% | |||
Credit Suisse Guernsey Ltd., 5.86% (d)(e) | 1,050 | 990,937 | |
State Street Capital Trust III, 8.25% (d)(e) | 1,740 | 1,786,615 | |
State Street Capital Trust IV, 1.26%, 6/01/67 (e) | 25,245 | 19,459,225 | |
22,236,777 | |||
Commercial Banks 14.2% | |||
BB&T Capital Trust IV, 6.82%, 6/12/77 (e)(f) | 15,300 | 14,688,000 | |
Bank of Ireland Capital Funding II, LP, 5.57% (a)(b)(c)(d)(e) | 1,422 | 1,009,620 | |
Bank of Ireland Capital Funding III, LP, 6.11% (a)(b)(c)(d)(e) | 9,153 | 6,498,630 | |
Barclays Bank Plc (b)(d)(e): | |||
5.93% | 4,000 | 3,620,000 | |
6.86% | 11,500 | 10,522,500 | |
Commonwealth Bank of Australia, 6.02% (b)(d)(e) | 20,000 | 19,073,160 | |
HSBC Capital Funding LP/Jersey Channel Islands, | |||
10.18% (b)(d)(e) | 7,000 | 8,953,000 | |
Lloyds Banking Group Plc, 6.66% (b)(d)(e) | 10,000 | 6,600,000 | |
National City Preferred Capital Trust I, 12.00% (d)(e) | 3,713 | 4,297,500 | |
Shinsei Finance II (Cayman) Ltd., 7.16% (b)(d)(e) | 1,005 | 775,421 | |
Standard Chartered Bank, 7.01% (b)(d)(e) | 5,000 | 4,692,115 | |
USB Capital XIII Trust, 6.63%, 12/15/39 | 4,100 | 4,311,601 | |
Wells Fargo & Co., Series K, 7.98% (d)(e) | 12,985 | 13,699,175 | |
Wells Fargo Capital XIII, Series GMTN, 7.70% (d)(e) | 3,900 | 4,056,000 | |
102,796,722 |
See Notes to Financial Statements.
26 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust IV (BTZ)
(Percentages shown are based on Net Assets)
Par | ||
Capital Trusts | (000) | Value |
Diversified Financial Services 3.6% | ||
JPMorgan Chase Capital XXI, Series U, | ||
1.29%, 1/15/87 (e)(f) | $ 12,875 | $ 10,015,772 |
JPMorgan Chase Capital XXIII, 1.25%, 5/15/77 (e)(f) | 20,695 | 16,072,337 |
26,088,109 | ||
Electric Utilities 0.5% | ||
PPL Capital Funding, 6.70%, 3/30/67 (e) | 3,900 | 3,568,500 |
Insurance 10.6% | ||
AXA SA, 6.46% (b)(d)(e) | 12,000 | 10,680,000 |
Ace Capital Trust II, 9.70%, 4/01/30 (f) | 4,000 | 4,855,256 |
The Allstate Corp. 6.50%, 5/15/67 (e) | 4,000 | 3,840,000 |
Aon Corp., 8.21%, 1/01/27 | 4,000 | 4,358,024 |
Chubb Corp., 6.38%, 3/29/67 (e)(f) | 4,000 | 4,005,000 |
Liberty Mutual Group, Inc., 10.75%, 6/15/88 (b)(e) | 4,000 | 4,660,000 |
Lincoln National Corp., 7.00%, 5/17/66 (e) | 4,255 | 3,935,875 |
MetLife, Inc., 6.40%, 12/15/66 | 4,550 | 4,299,750 |
Nationwide Life Global Funding I, 6.75%, 5/15/67 | 4,000 | 3,420,000 |
Progressive Corp., 6.70%, 6/15/67 (e)(f) | 4,000 | 3,963,844 |
Reinsurance Group of America, 6.75%, 12/15/65 (e)(f) | 15,000 | 14,201,880 |
Swiss Re Capital I LP, 6.85% (b)(d)(e) | 3,000 | 2,784,270 |
The Travelers Cos., Inc., 6.25%, 3/15/67 (e)(f) | 4,000 | 3,933,908 |
White Mountains Re Group Ltd., 7.51% (b)(d)(e) | 4,400 | 4,042,544 |
ZFS Finance (USA) (b)(e): | ||
Trust IV, 5.88%, 5/09/32 | 599 | 572,273 |
Trust V, 6.50%, 5/09/67 | 3,331 | 3,189,432 |
76,742,056 | ||
Multi-Utilities 0.2% | ||
Puget Sound Energy, Inc., Series A, 6.97%, 6/01/67 (e) | 1,575 | 1,496,990 |
Oil, Gas & Consumable Fuels 1.2% | ||
Enterprise Products Operating LLC, 8.38%, 8/01/66 (e) | 4,500 | 4,680,000 |
TransCanada PipeLines Ltd., 6.35%, 5/15/67 (e)(f) | 4,000 | 3,846,568 |
8,526,568 | ||
Real Estate Investment Trusts (REITs) 1.5% | ||
Sovereign Real Estate Investment Corp., 12.00% (d) | 10 | 10,900,000 |
Total Capital Trusts 35.5% | 257,163,937 | |
Preferred Stocks | Shares | |
Commercial Banks 0.0% | ||
Royal Bank of Scotland Group Plc, Series M, 6.40% | 15,000 | 200,100 |
Diversified Financial Services 0.9% | ||
Falcons Funding Trust I, 8.88% (b)(e) | 5,650 | 5,634,110 |
ING Groep NV: | ||
7.05% | 5,800 | 115,420 |
7.38% | 40,000 | 818,353 |
6,567,883 | ||
Diversified Telecommunication Services 0.1% | ||
AT&T, Inc., 6.38% | 750,000 | 790,563 |
Electric Utilities 4.1% | ||
Alabama Power Co., 6.50% | 100,000 | 2,599,000 |
Entergy Louisiana LLC, 6.95% | 40,000 | 3,913,549 |
Interstate Power & Light Co., Series B, 8.38% | 785,000 | 22,945,550 |
29,458,099 | ||
Insurance 7.0% | ||
Arch Capital Group Ltd., Series A, 8.00% | 100,000 | 2,524,000 |
Aspen Insurance Holdings Ltd., 7.40% (e) | 655,000 | 15,196,000 |
Axis Capital Holdings Ltd., Series B, 7.50% (e) | 180,000 | 17,010,000 |
Endurance Specialty Holdings Ltd., Series A, 7.75% | 369,000 | 8,955,630 |
PartnerRe Ltd., Series C, 6.75% | 265,600 | 6,573,600 |
50,259,230 |
Preferred Stocks | Shares | Value | |
Real Estate Investment Trusts (REITs) 0.5% | |||
BRE Properties, Inc., Series D, 6.75% | 30,000 | $ 684,600 | |
iStar Financial, Inc., Series I, 7.50% | 55,000 | 880,000 | |
Public Storage: | |||
Series F, 6.45% | 30,000 | 706,200 | |
Series M, 6.63% | 55,000 | 1,351,900 | |
3,622,700 | |||
Wireless Telecommunication Services 1.5% | |||
Centaur Funding Corp., 9.08% | 10,000 | 11,003,125 | |
Total Preferred Stocks 14.1% | 101,901,700 | ||
Trust Preferreds | |||
Capital Markets 0.0% | |||
Credit Suisse Guernsey Ltd., 7.90%, (d) | 10,000 | 255,424 | |
Insurance 0.6% | |||
W.R. Berkley Capital Trust II, 6.75%, 7/26/45 | 170,731 | 4,204,463 | |
Media 1.5% | |||
Comcast Corp., 6.63%, 5/15/56 | 447,000 | 10,818,022 | |
Oil, Gas & Consumable Fuels 0.4% | |||
Nexen, Inc., 7.35%, 11/01/43 | 120,000 | 2,968,802 | |
Total Trust Preferreds 2.5% | 18,246,711 | ||
Total Preferred Securities 52.1% | 377,312,348 | ||
Par | |||
Taxable Municipal Bonds | (000) | ||
City of Chicago Illinois, RB, Build America Bonds, | |||
6.85%, 1/01/38 | $ 5,000 | 5,187,200 | |
Metropolitan Transportation Authority, RB, | |||
Build America Bonds, 6.55%, 11/15/31 | 4,075 | 4,296,272 | |
State of California, GO, Build America Bonds, | |||
7.35%, 11/01/39 | 2,050 | 2,214,779 | |
State of Illinois, GO, Pension, 5.10%, 6/01/33 | 4,075 | 3,514,810 | |
Total Taxable Municipal Bonds 2.1% | 15,213,061 | ||
U.S. Treasury Obligations | |||
U.S. Treasury Notes, 4.63%, 2/15/40 (h) | 75,000 | 76,183,575 | |
Total U.S. Treasury Obligations 10.5% | 76,183,575 | ||
Total Long-Term Investments | |||
(Cost $1,003,236,130) 135.4% | 980,085,475 | ||
Short-Term Securities | Shares | ||
BlackRock Liquidity Funds, TempFund | |||
Institutional Class, 0.13% (i)(j) | 41,474,360 | 41,474,360 | |
Total Short-Term Securities | |||
(Cost $41,474,360) 5.7% | 41,474,360 | ||
Total Investments (Cost $1,044,710,490*) 141.1% | 1,021,559,835 | ||
Liabilities in Excess of Other Assets (9.2)% | (66,648,040) | ||
Preferred Shares at Redemption Value (31.9)% | (231,045,162) | ||
Net Assets Applicable to Common Shares 100.0% | $ 723,866,633 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
27
Schedule of Investments (continued)
BlackRock Credit Allocation Income Trust IV (BTZ)
* The cost and unrealized appreciation (depreciation) of investments as of April 30,
2010, as computed for federal income tax purposes, were as follows:
Aggregate cost | $1,057,868,824 |
Gross unrealized appreciation | $ 29,341,029 |
Gross unrealized depreciation | (65,650,018) |
Net unrealized depreciation | $ (36,308,989) |
(a) Non-income producing security.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(c) Issuer filed for bankruptcy and/or is in default of interest payments.
(d) Security is perpetual in nature and has no stated maturity date.
(e) Variable rate security. Rate shown is as of report date.
(f) All or a portion of security has been pledged as collateral in connection with open
reverse repurchase agreements.
(g) When-issued security. Unsettled when-issued transactions were as follows:
Unrealized | ||
Counterparty | Value | Appreciation |
Bank of America, NA | $1,397,400 | $ 27,400 |
(h) All or portion of security has been pledged as collateral in connection with open
financial futures contracts.
(i) Investments in companies considered to be an affiliate of the Fund, for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, were as follows:
Shares Held at | Shares Held at | |||||||||
October 31, | Net | April 30, | ||||||||
Affiliate | 2009 | Activity | 2010 | Income | ||||||
BlackRock Liquidity | ||||||||||
Funds, TempFund | ||||||||||
Institutional Class | 267,832,781 (226,358,421) 41,474,360 $ 160,242 | |||||||||
(j) Represents the current yield as of report date. | ||||||||||
| For Fund compliance purposes, the Funds industry classifications refer to any one | |||||||||
or more of the industry sub-classifications used by one or more widely recognized | ||||||||||
market indexes or rating group indexes, and/or as defined by Fund management. | ||||||||||
This definition may not apply for purposes of this report, which may combine indus- | ||||||||||
try sub-classifications for reporting ease. | ||||||||||
| Reverse repurchase agreements outstanding as of April 30, 2010 were as follows: | |||||||||
Interest | Trade | Maturity | Net Closing | Face | ||||||
Counterparty | Rate | Date | Date | Amount | Amount | |||||
Credit Suisse | ||||||||||
International | 0.38% | 4/22/10 | 5/24/10 | $68,676,775 | $68,653,890 | |||||
| Financial futures contracts purchased as of April 30, 2010 were as follows: | |||||||||
Expiration | Notional | Unrealized | ||||||||
Contracts | Issue | Date | Value | Appreciation | ||||||
380 | 10-Year US | |||||||||
Treasury Bond | June 2010 | $44,273,953 | $ 530,422 | |||||||
32 | 30-Year US | |||||||||
Treasury Bond | June 2010 | $ 3,706,320 | 103,680 | |||||||
Total | $ 634,102 | |||||||||
| Credit default swaps on single-name issues buy protection outstanding as of | |||||||||
April 30, 2010 were as follows: | ||||||||||
Pay | Notional | |||||||||
Fixed | Counter- | Amount | Unrealized | |||||||
Issuer | Rate | party | Expiration | (000) | Depreciation | |||||
Nordstrom, Inc. | 5.20% | Deutsche | June | |||||||
Bank AG | 2014 | $4,000 | $ (703,674) |
Fair Value Measurements Various inputs are used in determining the fair value of
investments, which are as follows:
Level 1 price quotations in active markets/exchanges for identical assets
and liabilities
Level 2 other observable inputs (including, but not limited to: quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical
or similar assets or liabilities in markets that are not active, inputs other than
quoted prices that are observable for the assets or liabilities (such as interest
rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and
default rates) or other market-corroborated inputs)
Level 3 unobservable inputs based on the best information available in the
circumstances, to the extent observable inputs are not available (including the
Funds own assumptions used in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. For information
about the Funds policy regarding valuation of investments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of April 30, 2010 in determining
the fair valuation of the Funds investments:
Investments in Securities | |||||
| |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets: | |||||
Long-Term | |||||
Investments: | |||||
Capital | |||||
Trusts | | $257,163,937 | | $ 257,163,937 | |
Common | |||||
Stocks | $ 8,008,245 | | | 8,008,245 | |
Corporate | |||||
Bonds | | 502,352,496 $ | 240,550 | 502,593,046 | |
Investment | |||||
Companies . | 775,200 | | | 775,200 | |
Preferred | |||||
Stocks | 64,340,916 | 37,560,784 | | 101,901,700 | |
Taxable | |||||
Municipal | |||||
Bonds | | 15,213,061 | | 15,213,061 | |
Trust | |||||
Preferreds | 18,246,711 | | | 18,246,711 | |
U.S. Treasury | |||||
Obligations . | | 76,183,575 | | 76,183,575 | |
Short-Term | |||||
Securities | 41,474,360 | | | 41,474,360 | |
Total | $132,845,432 | $888,473,853 $ | 240,550 | $1,021,559,835 | |
Other Financial Instruments1 | |||||
| |||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |
Assets | $ 634,102 | | | $ 634,102 | |
Liabilities | | $ (703,674) | | (703,674) | |
Total | $ 634,102 | $ (703,674) | | $ (69,572) |
1 Other financial instruments are financial futures contracts and swaps, which are
shown at the unrealized appreciation/depreciation on the instrument.
See Notes to Financial Statements.
28 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (concluded)
BlackRock Credit Allocation Income Trust IV (BTZ)
The following table is a reconciliation of Level 3 investments for which significant
unobservable inputs were used to determine fair value:
Investments in Securities | |
Corporate | |
Bonds | |
Balance, as of October 31, 2009 | $ 240,550 |
Accrued discounts/premiums | |
Net realized gain (loss) | |
Net change in unrealized appreciation/depreciation1 | |
Net purchases (sales) | |
Net transfers in/out | |
Balance, as of April 30, 2010 | $ 240,550 |
1 Included in the related net change in unrealized appreciation/depreciation on
the Statements of Operations. The change in unrealized appreciation/deprecia-
tion on securities still held at April 30, 2010 was $0.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
29
Schedule of Investments April 30, 2010 (Unaudited)
BlackRock Floating Rate Income Trust (BGT)
(Percentages shown are based on Net Assets)
Common Stocks | Shares | Value | |
Chemicals 0.0% | |||
British Vita Holding Co. (a)(b) | 166 | $ 5,526 | |
Commercial Services & Supplies 0.0% | |||
SIRVA (b) | 554 | 5,540 | |
Construction & Engineering 0.0% | |||
USI United Subcontractors Common (b) | 7,644 | 99,379 | |
Metals & Mining 0.1% | |||
Euramax International (b) | 1,135 | 181,632 | |
Paper & Forest Products 0.2% | |||
Ainsworth Lumber Co. Ltd. (a)(b) | 62,685 | 277,695 | |
Ainsworth Lumber Co. Ltd. (b) | 55,855 | 247,438 | |
525,133 | |||
Software 0.3% | |||
HMH Holdings/EduMedia | 154,601 | 1,082,207 | |
Specialty Retail 0.0% | |||
Lazydays RV Center, Inc. (b) | 2,721 | 10,610 | |
Total Common Stocks 0.6% | 1,910,027 | ||
Par | |||
Corporate Bonds | (000) | ||
Auto Components 1.0% | |||
Delphi International Holdings Unsecured, | |||
12.00%, 10/06/14 | USD | 39 | 38,768 |
Icahn Enterprises LP (a): | |||
7.75%, 1/15/16 | 1,125 | 1,094,062 | |
8.00%, 1/15/18 | 2,250 | 2,188,125 | |
3,320,955 | |||
Beverages 0.5% | |||
Central European Distribution Corp., 2.62%, 5/15/14 | EUR | 1,500 | 1,677,629 |
Capital Markets 0.8% | |||
E*Trade Financial Corp., 3.34%, 8/31/19 (a)(c)(d) | USD | 439 | 717,765 |
MU Finance Plc, 8.75%, 2/01/17 (a) | GBP | 544 | 811,626 |
Marsico Parent Co., LLC, 10.63%, 1/15/16 (a) | USD | 1,346 | 890,042 |
Marsico Parent Holdco, LLC, 3.13%, 7/15/16 (a)(e) | 588 | 159,617 | |
Marsico Parent Superholdco, LLC, | |||
3.63%, 1/15/18 (a)(e) | 388 | 83,826 | |
2,662,876 | |||
Chemicals 0.7% | |||
Ames True Temper, Inc., 4.30%, 1/15/12 (f) | 1,100 | 1,050,500 | |
LBI Escrow Corp., 8.00%, 11/01/17 (a) | 1,300 | 1,347,125 | |
2,397,625 | |||
Commercial Banks 1.2% | |||
VTB Capital SA, 6.88%, 5/29/18 | 3,940 | 4,151,775 | |
Containers & Packaging 0.6% | |||
Impress Holdings BV, 3.43%, 9/15/13 (a)(f) | 150 | 144,000 | |
Smurfit Kappa Acquisitions (a): | |||
7.25%, 11/15/17 | EUR | 655 | 902,624 |
7.75%, 11/15/19 | 620 | 858,520 | |
1,905,144 | |||
Diversified Financial Services 0.7% | |||
FCE Bank Plc, 7.13%, 1/16/12 | 1,300 | 1,756,850 | |
GMAC, Inc., 2.45%, 12/01/14 (f) | USD | 550 | 487,600 |
2,244,450 | |||
Diversified Telecommunication Services 2.0% | |||
ITC Deltacom, Inc., 10.50%, 4/01/16 (a) | 1,000 | 995,000 | |
New Communications Holdings, Inc., | |||
7.88%, 4/15/15 (a) | 650 | 671,125 |
Par | |||
Corporate Bonds | (000) | Value | |
Diversified Telecommunication Services (concluded) | |||
Qwest Corp., 8.38%, 5/01/16 | USD | 1,840 | $ 2,097,600 |
Telefonica Emisiones SAU, 5.43%, 2/03/14 | EUR | 2,000 | 2,892,525 |
6,656,250 | |||
Energy Equipment & Services 0.6% | |||
Compagnie Generale de Geophysique-Veritas: | |||
7.50%, 5/15/15 | USD | 70 | 70,875 |
7.75%, 5/15/17 | 50 | 50,500 | |
Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (a) | 1,750 | 1,793,750 | |
1,915,125 | |||
Food Products 0.8% | |||
B&G Foods, Inc., 7.63%, 1/15/18 | 700 | 719,250 | |
Bumble Bee Foods LLC, 7.75%, 12/15/15 (a) | 560 | 572,600 | |
Smithfield Foods, Inc., 10.00%, 7/15/14 (a) | 1,300 | 1,459,250 | |
2,751,100 | |||
Health Care Equipment & Supplies 0.2% | |||
DJO Finance LLC, 10.88%, 11/15/14 | 635 | 695,325 | |
Health Care Providers & Services 0.6% | |||
American Renal Holdings, 8.38%, 5/15/18 (a)(g) | 360 | 362,700 | |
HCA, Inc., 7.25%, 9/15/20 (a) | 1,550 | 1,621,688 | |
Tenet Healthcare Corp. (a): | |||
9.00%, 5/01/15 | 95 | 103,431 | |
10.00%, 5/01/18 | 35 | 39,856 | |
2,127,675 | |||
Hotels, Restaurants & Leisure 0.0% | |||
Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(h) | 97 | 6,426 | |
Household Durables 0.5% | |||
Beazer Homes USA, Inc., 12.00%, 10/15/17 | 1,500 | 1,715,625 | |
Berkline/BenchCraft, LLC, 4.50%, 11/03/12 (b)(h) | 400 | | |
1,715,625 | |||
IT Services 0.2% | |||
SunGard Data Systems, Inc., 4.88%, 1/15/14 | 763 | 725,804 | |
Independent Power Producers & Energy Traders 1.1% | |||
AES Ironwood LLC, 8.86%, 11/30/25 | 81 | 79,377 | |
Calpine Construction Finance Co. LP, | |||
8.00%, 6/01/16 (a) | 1,000 | 1,035,000 | |
Energy Future Holdings Corp., 10.00%, 1/15/20 (a) | 1,000 | 1,050,000 | |
NRG Energy, Inc., 7.25%, 2/01/14 | 1,450 | 1,469,937 | |
3,634,314 | |||
Machinery 0.0% | |||
Synventive Molding Solutions, Sub-Series A, | |||
14.00%, 1/14/11 (e) | 1,041 | 52,050 | |
Media 2.2% | |||
Affinion Group, Inc., 10.13%, 10/15/13 | 50 | 51,875 | |
CCH II LLC, 13.50%, 11/30/16 | 223 | 270,506 | |
Charter Communications Operating, LLC, | |||
10.00%, 4/30/12 (a) | 210 | 222,600 | |
Clear Channel Worldwide Holdings, Inc. (a): | |||
Series A, 9.25%, 12/15/17 | 501 | 534,818 | |
Series B, 9.25%, 12/15/17 | 1,704 | 1,825,410 | |
DISH DBS Corp., 7.00%, 10/01/13 | 58 | 60,030 | |
Nielsen Finance LLC, 10.00%, 8/01/14 | 400 | 420,000 | |
Seat Pagine Gialle SpA, 10.50%, 1/31/17 (a) | EUR | 1,118 | 1,458,792 |
UPC Germany GmbH, 8.13%, 12/01/17 (a) | USD | 2,500 | 2,550,000 |
7,394,031 | |||
Metals & Mining 0.2% | |||
Foundation PA Coal Co., 7.25%, 8/01/14 | 505 | 516,362 | |
New World Resources NV, 7.38%, 5/15/15 | EUR | 285 | 368,080 |
884,442 |
See Notes to Financial Statements.
30 SEMI-ANNUAL REPORT
APRIL 30, 2010
Schedule of Investments (continued)
BlackRock Floating Rate Income Trust (BGT)
(Percentages shown are based on Net Assets)
Par | |||
Corporate Bonds | (000) | Value | |
Oil, Gas & Consumable Fuels 3.5% | |||
Coffeyville Resources LLC, 9.00%, 4/01/15 (a) | USD | 380 | $ 387,600 |
Morgan Stanley Bank AG for OAO Gazprom, | |||
9.63%, 3/01/13 | 5,730 | 6,503,550 | |
Petroleos de Venezuela SA, 5.25%, 4/12/17 | 4,000 | 2,595,000 | |
Repsol International Finance B.V., 6.50%, 3/27/14 | EUR | 1,500 | 2,230,947 |
11,717,097 | |||
Paper & Forest Products 1.8% | |||
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(e) | USD | 494 | 474,195 |
NewPage Corp., 11.38%, 12/31/14 | 4,970 | 5,106,675 | |
Verso Paper Holdings LLC, Series B, 4.09%, 8/01/14 (f) | 520 | 473,200 | |
6,054,070 | |||
Pharmaceuticals 0.3% | |||
Angiotech Pharmaceuticals, Inc., 4.00%, 12/01/13 (f) | 900 | 734,625 | |
Novasep Holding SAS, 9.63%, 12/15/16 (a) | EUR | 159 | 216,993 |
951,618 | |||
Tobacco 0.6% | |||
Imperial Tobacco Finance Plc, 4.38%, 11/22/13 | 1,500 | 2,096,155 | |
Wireless Telecommunication Services 1.3% | |||
Cricket Communications, Inc., 7.75%, 5/15/16 | USD | 1,950 | 2,023,125 |
iPCS, Inc., 2.47%, 5/01/13 (f) | 1,155 | 1,091,475 | |
Nextel Communications, Inc., Series E, | |||
6.88%, 10/31/13 | 975 | 957,938 | |
Sprint Capital Corp., 8.38%, 3/15/12 | 475 | 501,125 | |
4,573,663 | |||
Total Corporate Bonds 21.4% | 72,311,224 | ||
Floating Rate Loan Interests (f) | |||
Aerospace & Defense 1.1% | |||
Hawker Beechcraft Acquisition Co., LLC: | |||
Letter of Credit Facility Deposit, 2.29%, 3/26/14 | 79 | 67,284 | |
Term Loan, 2.27% 2.29%, 3/26/14 | 1,323 | 1,131,260 | |
TASC, Inc.: | |||
Tranche A Term Loan, 5.50%, 12/18/14 | 829 | 828,750 | |
Tranche B Term Loan, 5.75%, 12/18/15 | 1,646 | 1,650,676 | |
3,677,970 | |||
Airlines 0.8% | |||
Delta Air Lines, Inc., Revolving Credit, 2.27%, 4/30/12 | 2,700 | 2,551,500 | |
Auto Components 2.9% | |||
Affinion Group Holdings, Inc.: | |||
Loan, 7.89%, 3/01/12 | 1,063 | 1,004,986 | |
Term Loan B, 5.00%, 4/08/16 | 2,000 | 1,985,000 | |
Allison Transmission, Inc., Term Loan, | |||
3.00% 3.05%, 8/07/14 | 4,297 | 4,102,263 | |
Cooper-Standard Automotive, Inc.: | |||
Revolving Credit, 5.03%, 12/23/10 | 45 | 44,812 | |
Revolving Credit, 5.03%, 12/23/10 | 41 | 41,289 | |
Revolving Credit, 5.03%, 12/23/10 | 83 | 82,745 | |
Term Loan A, 3.03%, 12/23/11 | 35 | 35,288 | |
Term Loan B, 5.03%, 12/03/11 | 107 | 107,599 | |
Term Loan C, 5.03%, 12/23/11 | 268 | 268,778 | |
Term Loan D, 3.03%, 12/23/11 | 298 | 298,775 | |
Term Loan E, 4.03%, 12/23/11 | 148 | 148,277 | |
Dana Holding Corp., Term Advance, | |||
4.50% 4.58%, 1/30/15 | 854 | 845,215 | |
Dayco Products: | |||
Term Loan B, 10.50%, 5/13/14 | 205 | 203,569 | |
Term Loan C, 12.50%, 11/13/14 | 30 | 27,550 | |
Exide Technologies, Term Loan, 3.69%, 5/15/12 | EUR | 399 | 500,006 |
Par | |||
Floating Rate Loan Interests (f) | (000) | Value | |
Auto Components (concluded) | |||
GPX International Tire Corp., Tranche B | |||
Term Loan (b)(h): | |||
12.25%, 3/30/12 | USD | 286 | $ |
14.00%, 4/11/12 | 5 | | |
9,696,152 | |||
Automobiles 0.6% | |||
Ford Motor Co., Tranche B-1 Term Loan, | |||
3.26% 3.31%, 12/15/13 | 2,217 | 2,137,597 | |
Beverages 1.2% | |||
Culligan International Co., Loan (Second Lien), | |||
5.15%, 4/24/13 | EUR | 1,000 | 661,288 |
Le-Natures, Inc., Tranche B Term Loan, | |||
9.50%, 3/01/11 (b)(h) | USD | 1,000 | 393,333 |
SW Acquisitions Co., Inc., Term Loan, 5.75%, 6/01/16 | 2,993 | 3,007,463 | |
4,062,084 | |||
Building Products 1.2% | |||
Building Materials Corp. of America, Term Loan | |||
Advance, 3.06%, 2/22/14 | 517 | 508,220 | |
Goodman Global, Inc., Term Loan, 6.25%, 2/13/14 | 2,840 | 2,845,851 | |
Momentive Performance Materials (Blitz 06-103 | |||
GmbH), Tranche B-1 Term Loan, 2.56%, 12/04/13 | 590 | 557,815 | |
United Subcontractors, First Lien Term Loan, | |||
1.79%, 6/30/15 | 179 | 152,293 | |
4,064,179 | |||
Capital Markets 0.4% | |||
Marsico Parent Co., LLC, Term Loan, 5.31%, 12/15/14 | 380 | 274,586 | |
Nuveen Investments, Inc., Term Loan, | |||
3.32% 3.33%, 11/13/14 | 999 | 910,951 | |
1,185,537 | |||
Chemicals 8.5% | |||
Brenntag Holding Gmbh & Co. KG: | |||
Acquisition Facility 1, 4.07% 4.14%, 1/20/14 | 232 | 231,120 | |
Facility 3B (Second Lien), 6.47%, 7/17/15 | 1,000 | 995,500 | |
Facility B2, 4.01% 4.07%, 1/20/14 | 1,332 | 1,328,223 | |
Facility B6A and B6B, 4.70%, 11/24/37 | EUR | 414 | 547,763 |
Second Lien Term Loan, 4.73%, 1/20/14 | 267 | 348,707 | |
CF Industries Holdings, Inc., Bridge Loan, | |||
5.25%, 3/17/15 | USD | 5,120 | 5,146,675 |
Chemtura Corp., Debtor in Possession Return of | |||
Capital Term Loan, 6.00%, 1/26/11 | 2,000 | 2,010,000 | |
Cognis GmbH, Facility B (French): | |||
2.65%, 11/16/13 | EUR | 197 | 255,777 |
2.65%, 11/17/13 | 803 | 1,043,383 | |
ElectricInvest Holding Co. Ltd. (Viridian Group PLC), | |||
Junior Term Facility, 5.05%, 12/21/12 | GBP | 1,800 | 2,285,907 |
Huish Detergents, Inc., Loan (Second Lien), | |||
4.51%, 10/26/14 | USD | 750 | 728,437 |
Ineos US Finance LLC, Term A4 Facility, | |||
7.00%, 12/14/12 | 1,087 | 1,090,300 | |
Lyondell Chemical Co.: | |||
Debtor in Possession Term Loan, | |||
13.00%, 6/03/10 | 1,165 | 1,199,950 | |
Exit Term Loan, 5.50%, 3/24/16 | 1,200 | 1,203,205 | |
Matrix Acquisition Corp. (MacDermid, Inc.), | |||
Tranche C Term Loan, 2.62%, 12/15/13 | EUR | 1,547 | 1,874,136 |
Nalco Co., Term Loan, 6.50%, 5/13/16 | USD | 1,886 | 1,899,501 |
PQ Corp., Term Loan (First Lien), | |||
3.53% 3.59%, 7/30/14 | 2,702 | 2,487,654 | |
Rockwood Specialties Group, Inc., Term Loan H, | |||
6.00%, 5/15/14 | 1,223 | 1,229,697 | |
Solutia, Inc., Term Loan, 4.75%, 3/01/17 | 2,775 | 2,791,187 | |
28,697,122 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
APRIL 30, 2010
31
Schedule of Investments (continued)
BlackRock Floating Rate Income Trust (BGT)
(Percentages shown are based on Net Assets)
Par | |||
Floating Rate Loan Interests (f) | (000) | Value | |
Commercial Services & Supplies 3.6% | |||
ARAMARK Corp.: | |||
Facility Letter of Credit, 2.16%, 1/26/14 | USD | 38 | $ 36,932 |
Line of Credit, 3.53%, 7/26/16 | 68 | 67,299 | |
Term Loan B, 3.54%, 7/26/16 | 1,031 | 1,023,318 | |
US Term Loan, 2.17%, 1/26/14 | 572 | 561,574 | |
Advanced Disposal Services, Inc., Term B Loan, | |||
6.00%, 1/14/15 | 1,247 | 1,254,668 | |
Casella Waste Systems, Inc., Term B Loan, | |||
7.00%, 4/09/14 | 1,092 | 1,098,573 | |
International Lease Finance Corp.: | |||
Term Loan 1, 6.75%, 2/23/15 | 1,625 | 1,653,437 | |
Term Loan 2, 7.00%, 3/05/16 | 1,200 | 1,212,900 | |
John Maneely Co., Term Loan, 3.55%, 12/09/13 | 1,125 | 1,079,439 | |
Johnson Diversey, Inc., Tranche B Dollar, | |||
5.50%, 11/24/15 | 1,097 | 1,104,108 | |
Quad Graphics, Term Loan B, 4.00%, 4/20/16 | 725 | 721,828 | |
SIRVA Worldwide, Inc., Loan (Second Lien), | |||
12.00%, 5/12/15 | 142 | 35,390 | |
Synagro Technologies, Inc., Term Loan (First Lien), | |||
2.26%-2.28%, 4/02/14 | 1,961 | 1,772,195 | |
West Corp., Incremental Term B-3 Loan, | |||
7.25%, 10/24/13 | 632 | 636,408 | |
12,258,069 | |||
Communications Equipment 0.1% | |||
Safenet, Inc., Loan (Second Lien), 6.26%, 4/12/15 | 500 | 475,000 | |
Construction & Engineering 1.2% | |||
Brand Energy & Infrastructure Services, Inc. | |||
(FR Brand Acquisition Corp.), Synthetic Letter of | |||
Credit, Term Loan (First Lien), 2.69%, 2/07/14 | 500 | 460,000 | |
Safway Services, LLC, First Out Term Loan, | |||
9.00%, 12/14/17 | 2,100 | 2,100,000 | |
Welding Services, Term Loan B, 5.50%, 3/23/16 | 1,450 | 1,457,250 | |
4,017,250 | |||
Consumer Finance 2.5% | |||
American General Finance Corp., Term Loan, | |||
7.25%, 4/16/16 | 3,500 | 3,506,125 | |
Chrysler Financial Corp., Second Lien Term Loan, | |||
6.76%, 8/02/13 | 2,450 | 2,429,584 | |
Chrysler Financial Services Americas LLC, | |||
Term Loan (First Lien), 4.26% |