UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21286

 

Name of Fund: BlackRock Credit Allocation Income Trust II, Inc. (PSY)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 10/31/2012

 

Date of reporting period: 01/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Atrium CDO Corp., Series 5A, Class
A4, 0.87%, 7/20/20 (a)(b)

 

USD

2,650

 

$

2,153,125

 

SLM Student Loan Trust, Series
2004-B, Class A2, 0.75%,
6/15/21 (b)

 

 

2,068

 

 

1,980,391

 

Total Asset-Backed Securities – 0.9%

 

 

 

 

 

4,133,516

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

 

 

 

 

Aerospace & Defense — 1.1%

 

 

 

 

 

 

 

BE Aerospace, Inc., 8.50%,
7/01/18

 

 

2,500

 

 

2,756,250

 

Huntington Ingalls Industries, Inc. (a):

 

 

 

 

 

 

 

6.88%, 3/15/18

 

 

610

 

 

631,350

 

7.13%, 3/15/21

 

 

600

 

 

627,000

 

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

 

 

1,014

 

 

1,072,305

 

 

 

 

 

 

 

5,086,905

 

Airlines — 0.9%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust:

 

 

 

 

 

 

 

Series 2011-1, Class A,
5.25%, 7/31/22

 

 

1,369

 

 

1,307,253

 

Series 2011-2, Class A,
8.63%, 4/15/23

 

 

570

 

 

607,050

 

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

 

 

1,362

 

 

1,426,817

 

Delta Air Lines, Inc., Series 02G1,
6.72%, 7/02/24

 

 

1,013

 

 

1,043,674

 

 

 

 

 

 

 

4,384,794

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Delphi Corp., 6.13%, 5/15/21 (a)

 

 

570

 

 

598,500

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

610

 

 

634,400

 

8.00%, 1/15/18 (a)

 

 

270

 

 

280,125

 

8.00%, 1/15/18

 

 

2,000

 

 

2,075,000

 

 

 

 

 

 

 

3,588,025

 

Beverages — 0.5%

 

 

 

 

 

 

 

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

 

 

1,970

 

 

2,206,400

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

375

 

 

405,000

 

6.75%, 5/01/21

 

 

1,160

 

 

1,247,000

 

 

 

 

 

 

 

1,652,000

 

Capital Markets — 5.4%

 

 

 

 

 

 

 

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

 

 

3,250

 

 

3,586,654

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Capital Markets (concluded)

 

 

 

 

 

 

 

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

 

USD

1,865

 

$

2,158,737

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.25%, 7/27/21 (c)

 

 

1,700

 

 

1,698,222

 

5.75%, 1/24/22

 

 

3,490

 

 

3,617,521

 

6.25%, 2/01/41 (c)

 

 

4,450

 

 

4,546,356

 

Morgan Stanley (c):

 

 

 

 

 

 

 

5.75%, 1/25/21

 

 

3,915

 

 

3,911,132

 

5.50%, 7/28/21

 

 

1,285

 

 

1,270,611

 

UBS AG (c):

 

 

 

 

 

 

 

2.25%, 1/28/14

 

 

1,627

 

 

1,617,633

 

5.88%, 7/15/16

 

 

2,800

 

 

2,963,915

 

 

 

 

 

 

 

25,370,781

 

Chemicals — 1.1%

 

 

 

 

 

 

 

Ashland, Inc., 9.13%, 6/01/17

 

 

505

 

 

566,231

 

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

 

 

1,545

 

 

1,660,875

 

Lyondell Chemical Co., 11.00%,
5/01/18

 

 

1,619

 

 

1,772,667

 

LyondellBasell Industries NV,
6.00%, 11/15/21 (a)

 

 

285

 

 

309,938

 

Solutia, Inc., 7.88%, 3/15/20

 

 

860

 

 

1,010,500

 

 

 

 

 

 

 

5,320,211

 

Commercial Banks — 4.2%

 

 

 

 

 

 

 

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

 

 

1,050

 

 

1,044,750

 

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

 

 

900

 

 

928,829

 

Associated Banc-Corp, 5.13%,
3/28/16

 

 

2,200

 

 

2,342,107

 

Branch Banking & Trust Co. (b)(c):

 

 

 

 

 

 

 

0.86%, 9/13/16

 

 

1,100

 

 

1,019,549

 

0.80%, 5/23/17

 

 

675

 

 

616,571

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (a)

 

 

1,570

 

 

1,575,888

 

7.00%, 5/01/17

 

 

1,123

 

 

1,124,404

 

7.00%, 5/02/17 (a)

 

 

490

 

 

491,225

 

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

 

 

2,350

 

 

2,357,287

 

Discover Bank, 8.70%, 11/18/19

 

 

1,200

 

 

1,419,313

 

Regions Financial Corp.:

 

 

 

 

 

 

 

4.88%, 4/26/13

 

 

2,525

 

 

2,531,312

 

5.75%, 6/15/15

 

 

1,800

 

 

1,836,720

 

SVB Financial Group, 5.38%,
9/15/20

 

 

2,300

 

 

2,367,112

 

 

 

 

 

 

 

19,655,067

 

Commercial Services & Supplies — 3.9%

 

 

 

 

 

 

 

Aviation Capital Group Corp. (a):

 

 

 

 

 

 

 

7.13%, 10/15/20 (c)

 

 

9,300

 

 

9,372,071

 

6.75%, 4/06/21

 

 

2,325

 

 

2,246,252

 

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

 

 

721

 

 

721,000

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

Clean Harbors, Inc., 7.63%,
8/15/16

 

USD

1,314

 

$

1,392,840

 

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

 

 

3,375

 

 

3,663,985

 

Iron Mountain, Inc., 7.75%,
10/01/19

 

 

390

 

 

427,050

 

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

 

 

275

 

 

283,594

 

 

 

 

 

 

 

18,106,792

 

Communications Equipment — 1.0%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

900

 

 

861,750

 

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

 

 

2,965

 

 

3,261,500

 

EH Holding Corp., 6.50%, 6/15/19
(a)

 

 

420

 

 

437,325

 

 

 

 

 

 

 

4,560,575

 

Consumer Finance — 5.1%

 

 

 

 

 

 

 

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

 

 

5,850

 

 

6,023,353

 

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

 

 

3,325

 

 

4,021,195

 

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

 

 

3,425

 

 

3,441,868

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

2,580

 

 

2,838,000

 

5.88%, 8/02/21

 

 

320

 

 

349,903

 

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

 

 

1,815

 

 

1,912,556

 

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

 

 

4,870

 

 

4,970,970

 

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

 

 

410

 

 

409,992

 

 

 

 

 

 

 

23,967,837

 

Containers & Packaging — 1.4%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

1,750

 

 

1,907,500

 

6.75%, 9/15/20

 

 

2,210

 

 

2,442,050

 

Crown Americas LLC, 6.25%,
2/01/21 (a)

 

 

825

 

 

897,187

 

Graphic Packaging International,
Inc., 9.50%, 6/15/17

 

 

665

 

 

733,163

 

Rock-Tenn Co., 9.25%, 3/15/16

 

 

325

 

 

340,844

 

Sealed Air Corp., 8.38%, 9/15/21
(a)

 

 

130

 

 

146,250

 

 

 

 

 

 

 

6,466,994

 

Diversified Financial Services — 6.5%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

4.50%, 2/11/14

 

 

1,775

 

 

1,774,787

 

8.30%, 2/12/15

 

 

1,230

 

 

1,356,838

 

8.00%, 11/01/31

 

 

940

 

 

997,575

 

Bank of America Corp.:

 

 

 

 

 

 

 

5.30%, 3/15/17 (c)

 

 

3,640

 

 

3,621,920

 

5.00%, 5/13/21

 

 

50

 

 

48,929

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

Citigroup, Inc. (c):

 

 

 

 

 

 

 

6.38%, 8/12/14

 

USD

1,300

 

$

1,407,267

 

4.59%, 12/15/15

 

 

975

 

 

1,023,856

 

4.45%, 1/10/17

 

 

4,075

 

 

4,248,827

 

DPL, Inc., 7.25%, 10/15/21 (a)

 

 

890

 

 

990,125

 

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

 

 

500

 

 

520,000

 

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

 

 

2,350

 

 

2,401,991

 

Intesa Sanpaolo SpA (c):

 

 

 

 

 

 

 

2.38%, 12/21/12

 

 

3,500

 

 

3,396,547

 

6.50%, 2/24/21 (a)

 

 

600

 

 

553,738

 

Moody’s Corp., 6.06%, 9/07/17

 

 

6,000

 

 

6,273,558

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.13%, 4/15/19

 

 

245

 

 

257,250

 

7.88%, 8/15/19

 

 

870

 

 

937,425

 

6.88%, 2/15/21

 

 

215

 

 

224,137

 

WMG Acquisition Corp., 9.50%,
6/15/16 (a)

 

 

205

 

 

222,938

 

 

 

 

 

 

 

30,257,708

 

Diversified Telecommunication Services — 4.8%

 

 

 

 

 

 

 

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

 

 

4,000

 

 

4,878,012

 

France Telecom SA, 4.13%,
9/14/21

 

 

675

 

 

701,112

 

Level 3 Financing, Inc. (a):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

2,709

 

 

2,729,318

 

8.63%, 7/15/20 (c)

 

 

740

 

 

758,500

 

Qwest Corp., 8.38%, 5/01/16

 

 

2,795

 

 

3,254,565

 

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

 

 

975

 

 

979,875

 

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

 

 

1,360

 

 

1,351,170

 

Verizon Communications, Inc. (c):

 

 

 

 

 

 

 

1.95%, 3/28/14

 

 

3,650

 

 

3,741,845

 

7.35%, 4/01/39

 

 

2,375

 

 

3,330,063

 

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

 

 

730

 

 

806,650

 

 

 

 

 

 

 

22,531,110

 

Electric Utilities — 1.1%

 

 

 

 

 

 

 

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

 

 

4,000

 

 

5,355,872

 

Electronic Equipment, Instruments & Components — 0.3%

 

 

 

 

 

 

 

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

 

 

800

 

 

932,000

 

NXP BV, 3.32%, 10/15/13 (b)

 

 

400

 

 

399,000

 

 

 

 

 

 

 

1,331,000

 

Energy Equipment & Services — 3.0%

 

 

 

 

 

 

 

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

 

 

110

 

 

113,850

 

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

 

 

3,000

 

 

3,168,078

 

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

 

 

1,965

 

 

2,105,751

 

Frac Tech Services LLC, 7.63%,
11/15/18 (a)

 

 

1,085

 

 

1,155,525

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Energy Equipment & Services (concluded)

 

 

 

 

 

 

 

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

 

USD

745

 

$

763,625

 

MEG Energy Corp., 6.50%,
3/15/21 (a)

 

 

955

 

 

997,975

 

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

 

 

505

 

 

536,562

 

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

 

 

2,295

 

 

2,363,850

 

Transocean, Inc.:

 

 

 

 

 

 

 

6.50%, 11/15/20

 

 

1,125

 

 

1,245,860

 

6.38%, 12/15/21

 

 

1,375

 

 

1,559,220

 

 

 

 

 

 

 

14,010,296

 

Food & Staples Retailing — 1.6%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc. (c):

 

 

 

 

 

 

 

5.25%, 9/01/35

 

 

2,500

 

 

2,948,623

 

6.20%, 4/15/38

 

 

3,375

 

 

4,467,035

 

 

 

 

 

 

 

7,415,658

 

Food Products — 1.0%

 

 

 

 

 

 

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.50%, 8/11/17

 

 

1,665

 

 

2,008,333

 

6.13%, 8/23/18

 

 

1,660

 

 

2,001,573

 

Smithfield Foods, Inc., 10.00%,
7/15/14

 

 

374

 

 

439,450

 

 

 

 

 

 

 

4,449,356

 

Gas Utilities — 0.3%

 

 

 

 

 

 

 

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

 

 

695

 

 

880,921

 

Targa Resources Partners LP,
6.88%, 2/01/21 (a)

 

 

495

 

 

516,037

 

 

 

 

 

 

 

1,396,958

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

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

 

 

2,250

 

 

2,536,875

 

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

 

 

490

 

 

524,300

 

 

 

 

 

 

 

3,061,175

 

Health Care Providers & Services — 3.9%

 

 

 

 

 

 

 

Aetna, Inc., 6.75%, 12/15/37 (c)

 

 

1,700

 

 

2,179,007

 

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

 

 

460

 

 

461,150

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

240

 

 

266,400

 

6.50%, 2/15/20

 

 

2,380

 

 

2,522,800

 

7.25%, 9/15/20

 

 

3,435

 

 

3,696,919

 

Health Management Associates,
Inc., 7.38%, 1/15/20 (a)

 

 

475

 

 

489,250

 

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

 

 

695

 

 

639,400

 

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

 

 

220

 

 

199,100

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

1,530

 

 

1,763,325

 

8.88%, 7/01/19

 

 

1,125

 

 

1,272,656

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

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

 

USD

3,400

 

$

4,650,507

 

 

 

 

 

 

 

18,140,514

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

Amgen, Inc.:

 

 

 

 

 

 

 

5.15%, 11/15/41

 

 

4,208

 

 

4,467,491

 

5.65%, 6/15/42

 

 

42

 

 

47,236

 

 

 

 

 

 

 

4,514,727

 

Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

9.75%, 4/15/16

 

 

985

 

 

1,157,375

 

7.38%, 7/01/21 (a)

 

 

325

 

 

359,125

 

Calpine Construction Finance Co.
LP, 8.00%, 6/01/16 (a)

 

 

535

 

 

576,462

 

Calpine Corp., 7.25%, 10/15/17
(a)

 

 

440

 

 

459,800

 

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

 

 

1,745

 

 

1,880,237

 

Laredo Petroleum, Inc., 9.50%,
2/15/19

 

 

295

 

 

322,288

 

 

 

 

 

 

 

4,755,287

 

Insurance — 8.2%

 

 

 

 

 

 

 

Allianz Finance II BV, 5.75%,
7/08/41 (b)

 

EUR

400

 

 

479,584

 

The Allstate Corp.,
7.45%, 5/16/19

 

USD

5,600

 

 

7,013,798

 

American International Group, Inc.,
6.40%, 12/15/20 (c)

 

 

1,690

 

 

1,838,230

 

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

 

 

4,600

 

 

5,168,367

 

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

 

 

2,800

 

 

2,682,697

 

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

 

 

1,000

 

 

1,015,495

 

Genworth Financial, Inc., 7.63%,
9/24/21

 

 

970

 

 

962,116

 

ING Verzekeringen NV, 3.27%,
6/21/21 (b)

 

EUR

430

 

 

511,806

 

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

 

USD

4,700

 

 

4,848,492

 

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

 

 

430

 

 

378,400

 

Northwestern Mutual Life

 

 

 

 

 

 

 

Insurance, 6.06%, 3/30/40 (a)

 

 

3,800

 

 

4,665,530

 

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

 

 

980

 

 

1,246,861

 

Prudential Financial, Inc., 6.63%,
12/01/37 (c)

 

 

3,400

 

 

3,970,897

 

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

 

 

3,430

 

 

3,767,214

 

 

 

 

 

 

 

38,549,487

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

IT Services — 0.6%

 

 

 

 

 

 

 

Eagle Parent, Inc., 8.63%,
5/01/19 (a)

 

USD

720

 

$

720,000

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

725

 

 

723,188

 

8.25%, 1/15/21

 

 

90

 

 

83,250

 

12.63%, 1/15/21

 

 

755

 

 

730,462

 

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

 

 

730

 

 

770,150

 

 

 

 

 

 

 

3,027,050

 

Life Sciences Tools & Services — 1.9%

 

 

 

 

 

 

 

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

 

 

3,825

 

 

4,236,188

 

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

 

 

4,200

 

 

4,742,644

 

 

 

 

 

 

 

8,978,832

 

Machinery — 1.0%

 

 

 

 

 

 

 

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

 

 

3,400

 

 

3,942,130

 

Navistar International Corp.,
8.25%, 11/01/21

 

 

882

 

 

952,560

 

 

 

 

 

 

 

4,894,690

 

Media — 8.7%

 

 

 

 

 

 

 

AMC Networks, Inc., 7.75%,
7/15/21 (a)

 

 

395

 

 

434,006

 

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

 

 

2,317

 

 

2,670,343

 

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

 

 

3,400

 

 

4,091,325

 

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

 

 

3,400

 

 

4,641,085

 

CSC Holdings LLC:

 

 

 

 

 

 

 

8.50%, 4/15/14

 

 

680

 

 

756,500

 

8.63%, 2/15/19

 

 

1,200

 

 

1,401,000

 

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

 

 

2,575

 

 

2,832,297

 

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

 

 

1,750

 

 

1,872,500

 

Intelsat Luxemburg SA (d):

 

 

 

 

 

 

 

11.50%, 2/04/17 (a)

 

 

110

 

 

110,550

 

11.50%, 2/04/17

 

 

400

 

 

402,000

 

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

 

 

1,175

 

 

1,343,906

 

Kabel BW Erste Beteiligungs
GmbH, 7.50%, 3/15/19 (a)

 

 

1,040

 

 

1,110,200

 

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

 

 

4,200

 

 

4,781,011

 

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

 

 

4,050

 

 

4,866,225

 

Time Warner, Inc., 7.70%,
5/01/32

 

 

4,150

 

 

5,508,266

 

Unitymedia Hessen GmbH & Co.
KG, 8.13%, 12/01/17 (a)

 

 

1,030

 

 

1,112,400

 

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

 

 

2,675

 

 

2,875,625

 

 

 

 

 

 

 

40,809,239

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining — 2.2%

 

 

 

 

 

 

 

Alcoa, Inc., 5.40%, 4/15/21 (c)

 

USD

580

 

$

608,939

 

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

 

 

1,150

 

 

1,195,035

 

Barrick North America Finance
LLC, 5.70%, 5/30/41 (c)

 

 

1,325

 

 

1,592,242

 

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

 

 

2,900

 

 

3,475,963

 

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

 

 

975

 

 

1,089,563

 

Teck Resources Ltd., 10.75%,
5/15/19 (c)

 

 

1,750

 

 

2,139,289

 

 

 

 

 

 

 

10,101,031

 

Multi-Utilities — 1.6%

 

 

 

 

 

 

 

CenterPoint Energy, Inc.:

 

 

 

 

 

 

 

5.95%, 2/01/17

 

 

3,150

 

 

3,591,992

 

6.50%, 5/01/18

 

 

3,350

 

 

3,928,833

 

 

 

 

 

 

 

7,520,825

 

Multiline Retail — 1.3%

 

 

 

 

 

 

 

JC Penney Co., Inc., 5.65%,
6/01/20

 

 

6,300

 

 

6,315,750

 

Oil, Gas & Consumable Fuels — 13.2%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.,
6.25%, 6/01/21

 

 

565

 

 

559,350

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

994

 

 

1,141,168

 

6.38%, 9/15/17

 

 

23

 

 

27,204

 

Arch Coal, Inc. (a):

 

 

 

 

 

 

 

7.00%, 6/15/19

 

 

220

 

 

220,550

 

7.25%, 6/15/21

 

 

595

 

 

597,975

 

BP Capital Markets Plc (c):

 

 

 

 

 

 

 

3.88%, 3/10/15

 

 

1,500

 

 

1,620,024

 

3.20%, 3/11/16

 

 

1,875

 

 

1,993,652

 

Buckeye Partners LP, 4.88%,
2/01/21

 

 

1,000

 

 

1,061,362

 

Chesapeake Energy Corp., 6.13%,
2/15/21 (c)

 

 

1,295

 

 

1,275,575

 

Chesapeake Midstream Partners LP (a):

 

 

 

 

 

 

 

5.88%, 4/15/21

 

 

595

 

 

599,463

 

6.13%, 7/15/22

 

 

475

 

 

483,313

 

Chesapeake Oilfield Operating LLC,
6.63%, 11/15/19 (a)

 

 

145

 

 

145,725

 

Consol Energy, Inc., 6.38%,
3/01/21 (a)

 

 

450

 

 

444,375

 

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

 

 

560

 

 

576,800

 

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

 

 

1,200

 

 

1,266,128

 

Denbury Resources, Inc., 6.38%,
8/15/21

 

 

575

 

 

622,437

 

El Paso Corp., 7.00%, 6/15/17

 

 

1,430

 

 

1,583,521

 

El Paso Pipeline Partners Operating Co.,
LLC:

 

 

 

 

 

 

 

6.50%, 4/01/20

 

 

1,530

 

 

1,708,837

 

5.00%, 10/01/21

 

 

525

 

 

549,369

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (continued)

 

 

 

 

 

 

 

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

 

USD

2,100

 

$

2,807,171

 

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

 

 

1,025

 

 

1,058,312

 

Enterprise Products Operating LLC,
6.65%, 4/15/18

 

 

4,200

 

 

5,029,399

 

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

 

 

1,240

 

 

1,351,600

 

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

 

 

4,200

 

 

4,982,414

 

Kinder Morgan Finance Co. LLC,
6.00%, 1/15/18 (a)

 

 

430

 

 

445,050

 

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

 

 

230

 

 

243,800

 

Linn Energy LLC, 7.75%, 2/01/21

 

 

955

 

 

1,029,012

 

Marathon Petroleum Corp., 3.50%,
3/01/16 (a)

 

 

1,375

 

 

1,416,594

 

MarkWest Energy Partners LP,
6.25%, 6/15/22

 

 

530

 

 

563,125

 

Newfield Exploration Co., 6.88%,
2/01/20

 

 

595

 

 

636,650

 

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

 

 

1,550

 

 

1,748,330

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

340

 

 

357,000

 

6.50%, 11/01/21

 

 

305

 

 

308,050

 

OGX Petroleo e Gas Participacoes
SA, 8.50%, 6/01/18 (a)

 

 

1,200

 

 

1,239,600

 

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

 

 

3,400

 

 

4,371,975

 

Petrobras International Finance
Co., 3.88%, 1/27/16

 

 

3,725

 

 

3,813,972

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

615

 

 

683,419

 

6.25%, 6/01/19

 

 

715

 

 

799,906

 

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

 

 

445

 

 

462,800

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.65%, 3/15/17

 

 

650

 

 

738,250

 

6.88%, 5/01/18

 

 

490

 

 

564,086

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

10.00%, 3/01/16

 

 

405

 

 

455,625

 

8.63%, 10/15/19

 

 

560

 

 

630,000

 

6.75%, 2/01/22

 

 

655

 

 

712,312

 

Precision Drilling Corp., 6.50%,
12/15/21 (a)

 

 

425

 

 

436,688

 

Premier Oil Plc, 5.11%, 6/09/18

 

 

3,400

 

 

3,502,000

 

Range Resources Corp., 6.75%,
8/01/20

 

 

855

 

 

936,225

 

SandRidge Energy, Inc., 7.50%,
3/15/21 (a)

 

 

720

 

 

730,800

 

SM Energy Co. (a):

 

 

 

 

 

 

 

6.63%, 2/15/19

 

 

220

 

 

231,000

 

6.50%, 11/15/21

 

 

345

 

 

361,388

 

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

 

 

1,525

 

 

1,612,535

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

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

 

USD

711

 

$

939,600

 

 

 

 

 

 

 

61,675,516

 

Paper & Forest Products — 3.0%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

290

 

 

316,100

 

8.00%, 4/01/20

 

 

645

 

 

690,150

 

Georgia-Pacific LLC, 8.25%,
5/01/16 (a)(c)

 

 

3,400

 

 

3,768,788

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

3,325

 

 

4,229,536

 

7.30%, 11/15/39

 

 

3,400

 

 

4,260,159

 

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

 

 

330

 

 

345,263

 

Verso Paper Holdings LLC,
11.50%, 7/01/14

 

 

355

 

 

365,650

 

 

 

 

 

 

 

13,975,646

 

Pharmaceuticals — 3.8%

 

 

 

 

 

 

 

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

 

 

300

 

 

420,865

 

Merck & Co., Inc.:

 

 

 

 

 

 

 

6.50%, 12/01/33 (c)

 

 

2,070

 

 

2,905,487

 

6.55%, 9/15/37

 

 

1,622

 

 

2,271,186

 

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

 

 

6,250

 

 

9,362,100

 

Valeant Pharmaceuticals
International, 6.50%, 7/15/16
(a)

 

 

250

 

 

253,750

 

Watson Pharmaceuticals, Inc.,
6.13%, 8/15/19

 

 

2,075

 

 

2,462,529

 

 

 

 

 

 

 

17,675,917

 

Real Estate Investment Trusts (REITs) — 2.8%

 

 

 

 

 

 

 

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

 

 

3,400

 

 

3,992,460

 

Developers Diversified Realty Corp.:

 

 

 

 

 

 

 

4.75%, 4/15/18

 

 

645

 

 

649,745

 

7.88%, 9/01/20

 

 

775

 

 

916,716

 

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

 

 

3,405

 

 

3,874,860

 

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

 

 

1,025

 

 

1,132,709

 

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

 

 

1,475

 

 

1,541,421

 

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

 

 

1,135

 

 

1,169,615

 

 

 

 

 

 

 

13,277,526

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp. (a):

 

 

 

 

 

 

 

7.88%, 2/15/19 (c)

 

 

570

 

 

527,250

 

7.63%, 1/15/20 (e)

 

 

620

 

 

620,000

 

Shea Homes LP, 8.63%, 5/15/19
(a)

 

 

480

 

 

480,000

 

 

 

 

 

 

 

1,627,250

 

Road & Rail — 1.5%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC,
8.25%, 1/15/19

 

 

110

 

 

115,775

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail (concluded)

 

 

 

 

 

 

 

Florida East Coast Railway Corp.,
8.13%, 2/01/17

 

USD

200

 

$

200,000

 

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

 

 

933

 

 

963,322

 

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

 

 

5,000

 

 

5,977,835

 

 

 

 

 

 

 

7,256,932

 

Semiconductors & Semiconductor Equipment — 0.7%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.,
7.75%, 8/01/20

 

 

775

 

 

837,000

 

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

 

 

1,928

 

 

2,279,532

 

 

 

 

 

 

 

3,116,532

 

Specialty Retail — 1.2%

 

 

 

 

 

 

 

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

 

 

1,965

 

 

2,102,550

 

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

 

 

980

 

 

1,087,800

 

QVC, Inc., 7.38%, 10/15/20 (a)

 

 

105

 

 

114,713

 

Sally Holdings LLC, 6.88%,
11/15/19 (a)(c)

 

 

595

 

 

636,650

 

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

 

 

1,475

 

 

1,749,046

 

 

 

 

 

 

 

5,690,759

 

Tobacco — 1.9%

 

 

 

 

 

 

 

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

 

 

3,929

 

 

6,227,323

 

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

 

 

2,450

 

 

2,510,486

 

 

 

 

 

 

 

8,737,809

 

Wireless Telecommunication Services — 4.2%

 

 

 

 

 

 

 

America Movil SAB de CV, 2.38%,
9/08/16 (c)

 

 

2,675

 

 

2,709,283

 

American Tower Corp.:

 

 

 

 

 

 

 

4.50%, 1/15/18

 

 

1,925

 

 

1,966,170

 

5.90%, 11/01/21

 

 

1,295

 

 

1,393,797

 

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

 

 

670

 

 

710,200

 

Crown Castle International Corp.,
9.00%, 1/15/15

 

 

890

 

 

970,100

 

Crown Castle Towers LLC (a):

 

 

 

 

 

 

 

5.50%, 1/15/37

 

 

1,175

 

 

1,287,282

 

6.11%, 1/15/40

 

 

1,300

 

 

1,458,090

 

Intelsat Jackson Holdings SA,
7.25%, 4/01/19 (a)

 

 

190

 

 

198,550

 

Nextel Communications, Inc.,
Series E, 6.88%, 10/31/13

 

 

840

 

 

840,000

 

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

 

 

4,225

 

 

4,528,355

 

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

 

 

440

 

 

326,150

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Sprint Nextel Corp., 9.00%,
11/15/18 (a)

 

USD

2,820

 

$

3,038,550

 

 

 

 

 

 

 

19,426,527

 

Total Corporate Bonds – 109.1%

 

 

 

 

 

510,243,360

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 3.8%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,568,750

 

State Street Capital Trust III, 5.54%
(b)(f)

 

 

2,920

 

 

2,927,563

 

State Street Capital Trust IV,
1.55%, 6/01/37 (b)

 

 

18,235

 

 

12,313,858

 

 

 

 

 

 

 

17,810,171

 

Commercial Banks — 5.5%

 

 

 

 

 

 

 

Barclays Bank Plc, 7.43%
(a)(b)(c)(f)

 

 

650

 

 

637,000

 

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

 

 

1,500

 

 

1,185,000

 

Credit Agricole SA (a)(b)(c)(f):

 

 

 

 

 

 

 

6.64%,

 

 

1,475

 

 

1,047,250

 

8.38%,

 

 

1,475

 

 

1,209,500

 

Dresdner Funding Trust I, 8.15%,
6/30/31 (a)

 

 

2,240

 

 

1,668,800

 

HSBC Capital Funding LP/Jersey
Channel Islands, 10.18%
(a)(b)(c)(f)

 

 

4,835

 

 

6,092,100

 

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

 

 

3,630

 

 

3,753,017

 

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

 

 

1,100

 

 

1,173,139

 

NationsBank Capital Trust III,
1.12%, 1/15/27 (b)

 

 

13,470

 

 

9,057,915

 

 

 

 

 

 

 

25,823,721

 

Diversified Financial Services — 1.3%

 

 

 

 

 

 

 

JPMorgan Chase Capital XXIII,
1.46%, 5/15/77 (b)(c)

 

 

8,775

 

 

6,150,810

 

Electric Utilities — 0.7%

 

 

 

 

 

 

 

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

 

 

3,000

 

 

2,962,500

 

Insurance — 8.6%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

3,315,955

 

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

 

 

5,000

 

 

4,725,000

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

6


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

Value

 

Insurance (concluded)

 

 

 

 

 

 

 

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

 

USD

900

 

$

868,500

 

American General Capital II,
8.50%, 7/01/30

 

 

100

 

 

98,078

 

Aon Corp., 8.21%, 1/01/27

 

 

2,500

 

 

2,946,822

 

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

 

 

3,000

 

 

2,242,500

 

Bank One Capital III, 8.75%,
9/01/30 (c)

 

 

2,000

 

 

2,713,084

 

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

 

 

2,000

 

 

2,040,000

 

Farmers Exchange Capital, 7.05%,
7/15/28 (a)

 

 

2,500

 

 

2,741,495

 

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

 

 

2,925

 

 

3,729,375

 

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

 

 

3,350

 

 

3,165,750

 

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

 

 

3,325

 

 

3,239,993

 

Principal Life Insurance Co.,
8.00%, 3/01/44 (a)(c)

 

 

2,500

 

 

2,941,288

 

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

 

 

3,000

 

 

2,702,115

 

Swiss Re Solutions Holding Corp.,
7.75%, 6/15/30 (c)

 

 

2,000

 

 

2,486,556

 

ZFS Finance (USA), Trust IV,
5.88%, 5/09/32 (a)(b)

 

 

379

 

 

369,525

 

 

 

 

 

 

 

40,326,036

 

Multi-Utilities — 1.4%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,559,237

 

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

 

 

3,900

 

 

4,095,000

 

 

 

 

 

 

 

6,654,237

 

Oil, Gas & Consumable Fuels — 1.4%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,160,000

 

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

 

 

4,000

 

 

4,043,572

 

 

 

 

 

 

 

6,203,572

 

Road & Rail — 0.8%

 

 

 

 

 

 

 

BNSF Funding Trust I, 6.61%,
12/15/55 (b)

 

 

3,750

 

 

3,862,500

 

Total Capital Trusts – 23.5%

 

 

 

 

 

109,793,547

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.1%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (a)

 

 

4,000

 

 

508,500

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Diversified Financial Services — 0.3%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (a)

 

 

1,880

 

$

1,513,812

 

Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

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

 

 

14,000

 

 

20,300

 

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

 

 

14,000

 

 

19,880

 

 

 

 

 

 

 

40,180

 

Wireless Telecommunication Services — 0.6%

 

 

 

 

 

 

 

Centaur Funding Corp., 9.08% (a)

 

 

2,423

 

 

2,767,520

 

Total Preferred Stocks - 1.0%

 

 

 

 

 

4,830,012

 

 

 

 

 

 

 

 

 

 

Trust Preferred

 

 

 

 

 

 

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

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

 

 

42,250

 

 

937,528

 

Total Preferred Securities – 24.7%

 

 

 

 

 

115,561,087

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

 

 

 

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

 

USD

3,450

 

 

4,177,087

 

Total Taxable Municipal Bonds – 0.9%

 

 

 

 

 

4,177,087

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 0.3%

 

 

 

 

 

 

 

Fannie Mae, 4.23%, 10/09/19 (c)(h)

 

 

1,670

 

 

1,290,214

 

Total US Government Sponsored Agency Securities – 0.3%

 

 

 

 

 

1,290,214

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds, 3.75%, 8/15/41 (c)

 

 

1,470

 

 

1,713,698

 

US Treasury Notes:

 

 

 

 

 

 

 

0.88%, 12/31/16 (c)

 

 

3,847

 

 

3,880,961

 

2.00%, 11/15/21

 

 

3,905

 

 

3,973,338

 

Total US Treasury Obligations – 2.0%

 

 

 

 

 

9,567,997

 

Total Long-Term Investments
(Cost – $618,342,008) – 137.9%

 

 

 

 

 

644,973,261

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.15% (i)(j)

 

 

7,214,987

 

$

7,214,987

 

Total Short-Term Securities
(Cost – $7,214,987) – 1.5%

 

 

 

 

 

7,214,987

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.2%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD
1,200.00, Expires 6/16/12

 

 

285

 

 

903,450

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 1.90% and
pay a floating rate based on 3-
month LIBOR, expires 2/08/12,
Broker Deutsche Bank AG

 

USD

8,100

 

 

31,104

 

Receive a fixed rate of 2.40% and
pay a floating rate based on 3-
month LIBOR, expires 5/11/12,
Broker Citibank NA

 

 

5,500

 

 

113,133

 

 

 

 

 

 

 

144,237

 

Over-the-Counter Put Swaptions — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 2.50% and receive
a floating rate based on 3-month
LIBOR, Expires 2/08/12, Broker
Deutsche Bank AG

 

 

8,100

 

 

1

 

Pay a fixed rate of 2.70% and receive
a floating rate based on 3-month
LIBOR, Expires 2/28/12, Broker
Deutsche Bank AG

 

 

4,800

 

 

52

 

Pay a fixed rate of 2.70% and receive
a floating rate based on 3-month
LIBOR, Expires 2/28/12, Broker
Citigroup NA

 

 

5,900

 

 

64

 

Pay a fixed rate of 2.70% and receive
a floating rate based on 3-month
LIBOR, Expires 2/28/12, Broker
UBS Securities LLC

 

 

7,100

 

 

78

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 4.50% and receive
a floating rate based on 3-month
LIBOR, Expires 9/16/13, Broker
Credit Suisse International

 

USD

5,300

 

$

57,140

 

Pay a fixed rate of 4.50% and receive
a floating rate based on 3-month
LIBOR, Expires 10/21/13, Broker
Citibank NA

 

 

5,000

 

 

61,085

 

Pay a fixed rate of 4.50% and receive
a floating rate based on 3-month
LIBOR, Expires 12/12/13, Broker
Credit Suisse International

 

 

4,000

 

 

57,846

 

 

 

 

 

 

 

176,266

 

Total Options Purchased
(Cost – $1,594,566) – 0.3%

 

 

 

 

 

1,223,953

 

Total Investments Before Outstanding Options
Written (Cost – $627,151,561*) – 139.7%

 

 

 

 

 

653,412,201

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

 

 

Exchange-Traded Put Options — (0.1)%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD
1,100.00, Expires 6/16/12

 

 

285

 

 

(468,825

)

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — (0.3)%

 

 

 

 

 

 

 

Pay a fixed rate of 4.03% and receive
a floating rate based on 3-month
LIBOR, Expires 4/16/12, Broker
UBS AG

 

USD

7,700

 

 

(1,470,874

)

Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 4.03% and
pay a floating rate based on 3-
month LIBOR, Expires 4/16/12,
Broker UBS AG

 

 

7,700

 

 

(8

)

Receive a fixed rate of 2.00% and
pay a floating rate based on 3-
month LIBOR, Expires 11/01/12,
Broker Citibank NA

 

 

34,000

 

 

(88,121

)

 

 

 

 

 

 

(88,129

)

Total Options Written
(Premiums Received – $1,406,488) – (0.4)%

 

 

 

 

 

(2,027,828

)

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

8


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

Value

 

 

Total Investments, Net of Outstanding Options
Written (Cost - $625,745,073) – 139.3%

 

$

651,384,373

 

 

Liabilities in Excess of Other Assets – (39.3)%

 

 

(183,862,044

)

Net Assets – 100.0%

 

$

467,522,329

 

 

 

 

 

*

As of January 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


 

 

 

 

 

Tax cost

 

$

627,010,748

 

Gross unrealized appreciation

 

$

40,108,278

 

Gross unrealized depreciation

 

 

(13,706,826

)

Net unrealized appreciation

 

$

26,401,452

 

 

 

(a)

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

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(d)

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

 

 

(e)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Depreciation

 

JP Morgan Chase Bank NA

 

$

620,000

 

$

(2,975

)

Citigroup NA

 

$

409,992

 

 

—

 

 

 

(f)

Security is perpetual in nature and has no stated maturity date.

 

 

(g)

Non-income producing security.

 

 

(h)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(i)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
October 31,
2011

 

Net
Activity

 

Shares
Held at
January 31,
2012

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

405,708

 

 

6,809,279

 

 

7,214,987

 

$

1,274

 

 

 

(j)

Represents the current yield as of report date.

 

 

•

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

Portfolio Abbreviations

 

 

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


 

 

EUR

Euro

LIBOR

London Interbank Offered Rate

RB

Revenue Bonds

USD

US Dollar

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

 

Interest
Rate

 

 

Trade
Date

 

 

Maturity
Date1

 

Net Closing
Amount

 

Face
Amount

 

Barclays Capital, Inc.

 

 

0.40%

 

 

11/16/11

 

 

Open

 

$

1,891,617

 

$

1,890,000

 

BNP Paribas Securities Corp.

 

 

0.35%

 

 

11/16/11

 

 

Open

 

 

1,971,387

 

 

1,969,913

 

Credit Suisse Securities (USA) LLC

 

 

0.40%

 

 

11/29/11

 

 

Open

 

 

8,845,661

 

 

8,839,375

 

Credit Suisse Securities (USA) LLC

 

 

0.35%

 

 

11/29/11

 

 

Open

 

 

5,871,933

 

 

5,868,281

 

Barclays Capital, Inc.

 

 

0.40%

 

 

12/01/11

 

 

Open

 

 

10,536,222

 

 

10,528,969

 

Credit Suisse Securities (USA) LLC

 

 

0.40%

 

 

12/02/11

 

 

Open

 

 

14,675,153

 

 

14,665,214

 

UBS Securities LLC

 

 

0.38%

 

 

12/01/11

 

 

Open

 

 

5,428,158

 

 

5,424,607

 

Barclays Capital, Inc.

 

 

0.40%

 

 

12/02/11

 

 

Open

 

 

4,135,306

 

 

4,132,505

 

UBS Securities LLC

 

 

0.38%

 

 

12/02/11

 

 

Open

 

 

4,815,849

 

 

4,812,750

 

Credit Suisse Securities (USA) LLC

 

 

0.35%

 

 

12/06/11

 

 

Open

 

 

2,896,185

 

 

2,894,581

 

Deutsche Bank AG

 

 

0.05%

 

 

12/07/11

 

 

Open

 

 

637,925

 

 

637,875

 

UBS Securities LLC

 

 

0.28%

 

 

12/07/11

 

 

Open

 

 

564,246

 

 

564,000

 

UBS Securities LLC

 

 

0.38%

 

 

12/07/11

 

 

Open

 

 

15,311,858

 

 

15,302,813

 

UBS Securities LLC

 

 

0.37%

 

 

12/07/11

 

 

Open

 

 

5,404,547

 

 

5,401,438

 

UBS Securities LLC

 

 

0.35%

 

 

12/07/11

 

 

Open

 

 

7,068,134

 

 

7,064,288

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

9


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

 

 

•

Reverse repurchase agreements outstanding as of January 31, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date1

 

Net Closing
Amount

 

Face
Amount

 

UBS Securities LLC

 

 

0.32

%

 

12/07/11

 

 

Open

 

$

2,251,245

 

$

2,250,125

 

Barclays Capital, Inc.

 

 

0.40

%

 

12/08/11

 

 

Open

 

 

2,612,001

 

 

2,610,406

 

Deutsche Bank AG

 

 

(1.00

%)

 

1/10/12

 

 

Open

 

 

545,666

 

 

546,000

 

Deutsche Bank AG

 

 

0.05

%

 

1/10/12

 

 

Open

 

 

3,847,117

 

 

3,847,000

 

BNP Paribas Securities
Corp.

 

 

0.11

%

 

1/11/12

 

 

Open

 

 

1,267,194

 

 

1,267,112

 

UBS Securities LLC

 

 

0.10

%

 

1/11/12

 

 

Open

 

 

475,703

 

 

475,675

 

UBS Securities LLC

 

 

0.35

%

 

1/11/12

 

 

Open

 

 

3,800,276

 

 

3,799,500

 

BNP Paribas Securities
Corp.

 

 

0.10

%

 

1/12/12

 

 

Open

 

 

1,723,671

 

 

1,723,575

 

UBS Securities LLC

 

 

0.38

%

 

1/12/12

 

 

Open

 

 

4,697,454

 

 

4,696,463

 

Credit Suisse Securities
(USA) LLC

 

 

0.35

%

 

1/17/12

 

 

Open

 

 

3,938,043

 

 

3,937,469

 

Deutsche Bank AG

 

 

(0.05

%)

 

1/17/12

 

 

Open

 

 

453,140

 

 

453,150

 

BNP Paribas Securities
Corp.

 

 

0.39

%

 

1/18/12

 

 

Open

 

 

2,577,991

 

 

2,577,600

 

BNP Paribas Securities
Corp.

 

 

0.35

%

 

1/18/12

 

 

Open

 

 

22,976,485

 

 

22,973,359

 

Deutsche Bank AG

 

 

0.05

%

 

1/20/12

 

 

Open

 

 

1,628,727

 

 

1,628,700

 

UBS Securities LLC

 

 

0.10

%

 

1/19/12

 

 

Open

 

 

3,109,487

 

 

3,109,375

 

Barclays Capital, Inc.

 

 

0.35

%

 

1/24/12

 

 

Open

 

 

32,303,074

 

 

32,300,561

 

Barclays Capital, Inc.

 

 

0.40

%

 

1/24/12

 

 

Open

 

 

3,262,174

 

 

3,261,884

 

BNP Paribas Securities
Corp.

 

 

0.35

%

 

1/24/12

 

 

Open

 

 

1,222,130

 

 

1,222,035

 

UBS Securities LLC

 

 

0.25

%

 

1/25/12

 

 

Open

 

 

1,061,302

 

 

1,061,250

 

UBS Securities LLC

 

 

0.38

%

 

1/25/12

 

 

Open

 

 

8,871,155

 

 

8,870,500

 

BNP Paribas Securities
Corp.

 

 

0.39

%

 

1/30/12

 

 

Open

 

 

1,599,635

 

 

1,599,600

 

UBS Securities LLC

 

 

0.38

%

 

1/30/12

 

 

Open

 

 

1,610,784

 

 

1,610,750

 

Barclays Capital, Inc.

 

 

0.35

%

 

1/31/12

 

 

Open

 

 

2,158,021

 

 

2,158,000

 

Barclays Capital, Inc.

 

 

0.40

%

 

1/31/12

 

 

Open

 

 

3,485,039

 

 

3,485,000

 

Total

 

 

 

 

 

 

 

 

 

 

$

201,531,695

 

$

201,461,698

 

 

 

 

 

1

Certain agreements have no stated maturity and can be terminated by either party at any time.

 

 

•

Financial futures contracts sold as of January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

1

 

Euro-Bund Future

 

Eurex

 

March 2012

 

EUR

182,761

 

$

(6,568

)

331

 

10-Year US Treasury Note

 

Chicago Board of Trade

 

March 2012

 

USD

43,774,750

 

 

(758,305

)

45

 

30-Year US Treasury Bond

 

Chicago Board of Trade

 

March 2012

 

USD

6,544,688

 

 

(175,856

)

47

 

Ultra Long Term US Treasury Bond

 

Chicago Board of Trade

 

March 2012

 

USD

7,518,531

 

 

(39,011

)

317

 

5-Year US Treasury Note

 

Chicago Board of Trade

 

March 2012

 

USD

39,322,859

 

 

(344,696

)

Total

 

 

 

 

 

 

 

 

 

 

$

(1,324,436

)

 

 

•

Foreign currency exchange contracts as of January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

Currency Sold

 

Counterparty

 

Settlement Date

 

Unrealized
Depreciation

 

USD

1,332,674

 

EUR

1,036,500

 

 

Citibank NA

 

 

4/18/12

 

$

(23,464

)

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

10


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

 

 

•

Credit default swaps on single-name issues - buy protection outstanding as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

STMicroelectronics NV

 

1.00%

 

Deutsche Bank AG

 

12/20/16

 

USD

1,215

 

$

(27,392

)

Southwest Airlines Co.

 

1.00%

 

Goldman Sachs Bank USA

 

12/20/16

 

USD

1,185

 

 

(35,452

)

Southwest Airlines Co.

 

1.00%

 

Royal Bank of Scotland Plc

 

12/20/16

 

USD

1,185

 

 

(40,304

)

Time Warner Inc.

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

3/20/17

 

USD

7,500

 

 

(13,100

)

Emerson Electric

 

1.00%

 

Morgan Stanley & Co., Inc.

 

3/20/17

 

USD

2,330

 

 

(19,314

)

Total

 

 

 

 

 

 

 

 

 

 

$

(135,562

)

 

 

•

Credit default swaps on single-name issues - sold protection outstanding as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Aviva USA Corp.

 

1.00%

 

Deutsche Bank AG

 

5/25/12

 

AA-

 

USD

2,775

 

$

(1,342

)

Assured Guaranty Corp.

 

5.00%

 

Citibank NA

 

12/20/14

 

AA+

 

USD

117

 

 

6,929

 

Assured Guaranty Corp.

 

5.00%

 

Citibank NA

 

3/20/15

 

AA+

 

USD

494

 

 

33,947

 

DIRECTV Holdings LLC

 

1.00%

 

Credit Suisse Securities (USA)
LLC

 

3/20/17

 

BBB

 

USD

7,500

 

 

41,544

 

MetLife, Inc.

 

1.00%

 

Deutsche Bank AG

 

3/20/18

 

A+

 

USD

900

 

 

(42,253

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

38,825

 

 

 

1

Using Standard & Poor’s rating.

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under terms of agreement.

 

 

•

Credit default swaps on traded indexes - buy protection outstanding as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation

 

Dow Jones CDX North
America Investment
Grade Index 17

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

12/20/16

 

USD

43,000

 

$

9,851

 

 

 

•

Interest rate swaps outstanding as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
 (000)

 

Unrealized
Appreciation
(Depreciation)

 

1.35% 1

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

11/25/16

 

USD

11,600

 

$

(218,319

)

2.03% 2

 

3-month LIBOR

 

Deutsche Bank AG

 

12/21/21

 

USD

1,900

 

 

23,398

 

4.35% 1

 

3-month LIBOR

 

Deutsche Bank AG

 

4/15/41

 

USD

700

 

 

(253,307

)

3.93% 1

 

3-month LIBOR

 

Citibank NA

 

7/21/41

 

USD

6,400

 

 

(1,761,538

)

2.81% 1

 

3-month LIBOR

 

Credit Suisse Securities (USA) LLC

 

10/11/41

 

USD

1,900

 

 

(71,238

)

3.00% 1

 

3-month LIBOR

 

Credit Suisse Securities (USA) LLC

 

10/18/41

 

USD

1,200

 

 

(94,164

)

Total

 

 

 

 

 

 

 

 

 

 

$

(2,375,168

)

 

 

1

Pays a fixed interest rate and receives floating rate.

 

 

2

Pays a floating interest rate and receives fixed rate.


 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

11


 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust II, Inc. (PSY)

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust's perceived risk of investing in those securities. For information about the Trust's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust's most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust's investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

1,980,391

 

$

2,153,125

 

$

4,133,516

 

Corporate Bonds

 

 

—

 

 

506,741,360

 

 

3,502,000

 

 

510,243,360

 

Preferred Securities

 

$

977,708

 

 

114,583,379

 

 

—

 

 

115,561,087

 

Taxable Municipal Bonds

 

 

—

 

 

4,177,087

 

 

—

 

 

4,177,087

 

US Government Sponsored Agency Securities

 

 

—

 

 

1,290,214

 

 

—

 

 

1,290,214

 

US Treasury Obligations

 

 

—

 

 

9,567,997

 

 

—

 

 

9,567,997

 

Short-Term Securities

 

 

7,214,987

 

 

—

 

 

—

 

 

7,214,987

 

Total

 

$

8,192,695

 

$

638,340,428

 

$

5,655,125

 

$

652,188,248

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

—

 

$

343,901

 

 

—

 

$

343,901

 

Credit contracts

 

 

—

 

 

92,271

 

 

—

 

 

92,271

 

Equity contracts

 

$

903,450

 

 

—

 

 

—

 

 

903,450

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(1,324,436

)

 

(3,957,569

)

 

—

 

 

(5,282,005

)

Foreign currency exchange contracts

 

 

—

 

 

(23,464

)

 

—

 

 

(23,464

)

Credit contracts

 

 

—

 

 

(177,815

)

$

(1,342

)

 

(179,157

)

Equity contracts

 

 

(468,825

)

 

—

 

 

—

 

 

(468,825

)

Total

 

$

(889,811

)

$

(3,722,676

)

$

(1,342

)

$

(4,613,829

)

 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.


 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

12


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Corporate
Bonds

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

Balance, as of October 31, 2011

 

$

2,053,750

 

$

3,536,000

 

$

5,589,750

 

Accrued discounts/premiums

 

 

9,373

 

 

—

 

 

9,373

 

Net realized gain (loss)

 

 

—

 

 

—

 

 

—

 

Net change in unrealized appreciation/depreciation2

 

 

90,002

 

 

(34,000

)

 

56,002

 

Purchases

 

 

—

 

 

—

 

 

—

 

Sales

 

 

—

 

 

—

 

 

—

 

Transfers in3

 

 

—

 

 

—

 

 

—

 

Transfers out3

 

 

—

 

 

—

 

 

—

 

Balance, as of January 31, 2012

 

$

2,153,125

 

$

3,502,000

 

$

5,655,125

 

 

 

2

The net change in unrealized appreciation/depreciation on investments still held at January 31, 2012 was $3,592,002.

 

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

Credit
Contracts

 

Assets/Liabilities:

 

 

 

 

Balance, as of October 31, 2011

 

$

5,018

 

Accrued discounts/premiums

 

 

4,536

 

Net realized gain (loss)

 

 

—

 

Net change in unrealized appreciation/depreciation

 

 

(6,360

)

Purchases

 

 

—

 

Issuances4

 

 

—

 

Sales

 

 

—

 

Settlements5

 

 

(4,536

)

Transfers in3

 

 

—

 

Transfers out3

 

 

—

 

Balance, as of January 31, 2012

 

$

(1,342

)

 

 

4

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

5

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets.

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JANUARY 31, 2012

13

Item 2 –

Controls and Procedures

 

 

2(a) –

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

 

2(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

BlackRock Credit Allocation Income Trust II, Inc.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Credit Allocation Income Trust II, Inc.
   
  Date: March 23, 2012
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Credit Allocation Income Trust II, Inc.
   
  Date: March 23, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Credit Allocation Income Trust II, Inc.
     
  Date: March 23, 2012