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: 10/31/2011

 

Date of reporting period: 07/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

Schedule of Investments July 31, 2011 (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, 0.65%, 7/20/20 (a)(b) USD

 

 

2,650

 

$

2,186,250

 

SLM Student Loan Trust,
Series 2004-B, Class A2, 0.45%,
6/15/21 (b)

 

 

2,284

 

 

2,222,270

 

Total Asset-Backed Securities – 0.9%

 

 

 

 

 

4,408,520

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

 

 

 

 

Aerospace & Defense — 1.9%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,759,375

 

Bombardier, Inc., 7.75%, 3/15/20 (a)

 

 

3,205

 

 

3,605,625

 

Huntington Ingalls Industries, Inc. (a):

 

 

 

 

 

 

 

6.88%, 3/15/18

 

 

610

 

 

628,300

 

7.13%, 3/15/21

 

 

600

 

 

619,500

 

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

 

 

1,254

 

 

1,338,645

 

 

 

 

 

 

 

8,951,445

 

Airlines — 0.9%

 

 

 

 

 

 

 

American Airlines Pass-Through
Trust, Series 2011-1, Class A,
5.25%, 7/31/22

 

 

1,410

 

 

1,385,325

 

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

 

 

1,453

 

 

1,527,943

 

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

 

 

1,146

 

 

1,154,889

 

 

 

 

 

 

 

4,068,157

 

Auto Components — 0.8%

 

 

 

 

 

 

 

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

 

 

570

 

 

575,700

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

880

 

 

913,000

 

8.00%, 1/15/18

 

 

2,000

 

 

2,065,000

 

 

 

 

 

 

 

3,553,700

 

Beverages — 0.5%

 

 

 

 

 

 

 

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

 

 

1,970

 

 

2,157,150

 

Building Products — 0.3%

 

 

 

 

 

 

 

Building Materials Corp. of America (a):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

375

 

 

392,813

 

6.75%, 5/01/21

 

 

1,160

 

 

1,175,950

 

 

 

 

 

 

 

1,568,763

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Capital Markets — 4.3%

 

 

 

 

 

 

 

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

 

USD

3,250

 

$

3,579,381

 

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

 

 

1,480

 

 

1,768,600

 

The Goldman Sachs Group, Inc.,
6.25%, 2/01/41 (c)

 

 

4,450

 

 

4,475,725

 

Macquarie Bank Ltd., 6.63%,
4/07/21 (a)(c)

 

 

1,745

 

 

1,801,629

 

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

 

 

3,915

 

 

4,121,461

 

UBS AG (c):

 

 

 

 

 

 

 

2.25%, 1/28/14

 

 

1,627

 

 

1,647,499

 

5.88%, 7/15/16

 

 

2,800

 

 

3,084,004

 

 

 

 

 

 

 

20,478,299

 

Chemicals — 0.5%

 

 

 

 

 

 

 

CF Industries, Inc., 7.13%,
5/01/20

 

 

945

 

 

1,108,013

 

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

 

 

585

 

 

620,100

 

Omnova Solutions, Inc., 7.88%,
11/01/18 (a)

 

 

680

 

 

661,300

 

 

 

 

 

 

 

2,389,413

 

Commercial Banks — 6.8%

 

 

 

 

 

 

 

Amsouth Bank, 4.85%, 4/01/13

 

 

1,050

 

 

1,041,621

 

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

 

 

900

 

 

939,844

 

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

 

 

2,200

 

 

2,331,780

 

BNP Paribas (c):

 

 

 

 

 

 

 

3.60%, 2/23/16

 

 

4,380

 

 

4,450,282

 

7.20% (a)(b)(e)

 

 

1,500

 

 

1,402,500

 

Branch Banking & Trust Co. (b):

 

 

 

 

 

 

 

0.66%, 9/13/16 (c)

 

 

1,100

 

 

1,018,711

 

0.60%, 5/23/17

 

 

675

 

 

618,014

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/17

 

 

2,550

 

 

2,556,375

 

6.63%, 4/01/18 (a)

 

 

337

 

 

355,535

 

City National Corp., 5.25%,
9/15/20

 

 

2,350

 

 

2,453,149

 

Comerica, Inc., 3.00%, 9/16/15 (c)

 

 

2,300

 

 

2,331,358

 

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

 

 

 

 

 

 

 

6.64%

 

 

1,475

 

 

1,261,125

 

8.38%

 

 

1,475

 

 

1,519,250

 

Discover Bank, 8.70%, 11/18/19

 

 

1,200

 

 

1,485,043

 

HSBC Holdings Plc, 5.10%,
4/05/21 (c)

 

 

1,625

 

 

1,706,794

 

Regions Financial Corp.:

 

 

 

 

 

 

 

4.88%, 4/26/13

 

 

2,525

 

 

2,527,406

 

5.75%, 6/15/15

 

 

1,800

 

 

1,788,750

 

 

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

GO

General Obligation Bonds

LIBOR

London InterBank Offered Rate

RB

Revenue Bonds

USD

US Dollar


 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

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 Banks (concluded)

 

 

 

 

 

 

 

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

 

USD

2,300

 

$

2,370,559

 

 

 

 

 

 

 

32,158,096

 

Commercial Services & Supplies — 3.8%

 

 

 

 

 

 

 

Aviation Capital Group Corp. (a):

 

 

 

 

 

 

 

7.13%, 10/15/20 (c)

 

 

9,300

 

 

9,660,569

 

6.75%, 4/06/21

 

 

2,325

 

 

2,336,160

 

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

 

 

721

 

 

713,790

 

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

 

 

1,314

 

 

1,396,125

 

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

 

 

3,375

 

 

3,666,094

 

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

 

 

275

 

 

286,687

 

 

 

 

 

 

 

18,059,425

 

Communications Equipment — 1.1%

 

 

 

 

 

 

 

Avaya, Inc.:

 

 

 

 

 

 

 

9.75%, 11/01/15

 

 

900

 

 

915,750

 

7.00%, 4/01/19 (a)

 

 

500

 

 

483,750

 

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

 

 

2,965

 

 

3,220,731

 

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

 

 

420

 

 

432,075

 

 

 

 

 

 

 

5,052,306

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Inversiones CMPC SA, 4.75%,
1/19/18 (a)

 

 

825

 

 

846,297

 

Consumer Finance — 4.0%

 

 

 

 

 

 

 

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

 

 

5,850

 

 

5,929,636

 

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

 

 

3,325

 

 

4,181,995

 

Ford Motor Credit Co. LLC, 7.00%,
4/15/15

 

 

1,380

 

 

1,511,100

 

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

 

 

2,135

 

 

2,265,769

 

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

 

 

4,870

 

 

5,095,978

 

 

 

 

 

 

 

18,984,478

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

1,750

 

 

1,918,437

 

6.75%, 9/15/20

 

 

2,210

 

 

2,364,700

 

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

 

 

825

 

 

843,563

 

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

 

 

665

 

 

736,488

 

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

 

 

325

 

 

351,406

 

 

 

 

 

 

 

6,214,594

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services — 9.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

4.50%, 2/11/14

 

USD

1,775

 

$

1,766,125

 

8.30%, 2/12/15

 

 

1,230

 

 

1,346,850

 

8.00%, 11/01/31

 

 

1,680

 

 

1,799,700

 

Bank of America Corp.:

 

 

 

 

 

 

 

5.30%, 3/15/17

 

 

3,640

 

 

3,759,578

 

5.00%, 5/13/21 (c)(f)

 

 

2,950

 

 

2,919,901

 

Citigroup, Inc. (c):

 

 

 

 

 

 

 

4.59%, 12/15/15

 

 

975

 

 

1,040,408

 

3.95%, 6/15/16

 

 

1,300

 

 

1,351,011

 

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

 

 

2,240

 

 

2,027,200

 

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

 

 

1,000

 

 

1,040,611

 

General Electric Capital Corp.,
5.30%, 2/11/21 (c)

 

 

4,600

 

 

4,903,329

 

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

 

 

1,230

 

 

1,254,600

 

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

 

 

2,350

 

 

2,408,104

 

Intesa Sanpaolo SpA:

 

 

 

 

 

 

 

2.38%, 12/21/12

 

 

3,500

 

 

3,384,468

 

6.50%, 2/24/21 (a)(c)

 

 

600

 

 

620,981

 

JPMorgan Chase & Co., 3.15%,
7/05/16 (c)

 

 

4,075

 

 

4,117,971

 

Moody’s Corp., 6.06%, 9/07/17

 

 

6,000

 

 

6,312,888

 

Morgan Stanley, 5.50%, 7/28/21

 

 

1,910

 

 

1,968,736

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.88%, 8/15/19 (g)

 

 

170

 

 

171,912

 

6.88%, 2/15/21

 

 

660

 

 

633,600

 

8.25%, 2/15/21

 

 

815

 

 

751,837

 

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

 

 

205

 

 

217,556

 

 

 

 

 

 

 

43,797,366

 

Diversified Telecommunication
Services — 5.2%

 

 

 

 

 

 

 

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

 

 

4,000

 

 

4,427,008

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

8.75%, 2/15/17

 

 

895

 

 

910,662

 

10.00%, 2/01/18

 

 

190

 

 

204,725

 

8.13%, 7/01/19 (a)(g)

 

 

2,589

 

 

2,608,417

 

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

 

 

2,795

 

 

3,312,075

 

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

 

 

975

 

 

1,015,852

 

Telefonica Emisiones SAU, 5.46%,
2/16/21 (c)

 

 

1,360

 

 

1,363,876

 

Verizon Communications, Inc. (c):

 

 

 

 

 

 

 

1.95%, 3/28/14

 

 

3,650

 

 

3,742,469

 

7.35%, 4/01/39

 

 

4,025

 

 

5,105,898

 

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

 

 

1,900

 

 

2,030,625

 

 

 

 

 

 

 

24,721,607

 

Electric Utilities — 1.0%

 

 

 

 

 

 

 

Progress Energy, Inc., 7.00%,
10/30/31

 

 

4,000

 

 

4,856,176

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

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

 

Electronic Equipment, Instruments
& Components — 0.8%

 

 

 

 

 

 

 

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

 

USD

800

 

$

918,000

 

NXP BV, 3.00%, 10/15/13 (b)

 

 

2,950

 

 

2,948,156

 

 

 

 

 

 

 

3,866,156

 

Energy Equipment & Services — 1.2%

 

 

 

 

 

 

 

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

 

 

1,965

 

 

2,063,743

 

Frac Tech Services LLC, 7.13%,
11/15/18 (a)

 

 

1,085

 

 

1,131,112

 

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

 

 

745

 

 

769,213

 

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

 

 

955

 

 

993,200

 

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

 

 

505

 

 

515,100

 

SunCoke Energy, Inc., 7.63%,
8/01/19 (a)

 

 

190

 

 

194,750

 

 

 

 

 

 

 

5,667,118

 

Food & Staples Retailing — 2.1%

 

 

 

 

 

 

 

CVS Caremark Corp., 6.30%,
6/01/62 (b)

 

 

3,650

 

 

3,558,750

 

Wal-Mart Stores, Inc. (c):

 

 

 

 

 

 

 

5.25%, 9/01/35

 

 

2,500

 

 

2,616,635

 

6.20%, 4/15/38

 

 

3,375

 

 

3,980,840

 

 

 

 

 

 

 

10,156,225

 

Food Products — 1.1%

 

 

 

 

 

 

 

Blue Merger Sub, Inc., 7.63%,
2/15/19 (a)

 

 

430

 

 

442,362

 

JBS USA LLC, 7.25%, 6/01/21 (a)

 

 

155

 

 

153,063

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.50%, 8/11/17

 

 

1,665

 

 

2,000,331

 

6.13%, 8/23/18

 

 

1,660

 

 

1,961,813

 

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

 

 

374

 

 

437,112

 

 

 

 

 

 

 

4,994,681

 

Gas Utilities — 0.1%

 

 

 

 

 

 

 

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

 

 

495

 

 

495,000

 

Health Care Equipment & Supplies — 0.6%

 

 

 

 

 

 

 

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

 

 

2,250

 

 

2,553,750

 

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

 

 

490

 

 

504,700

 

 

 

 

 

 

 

3,058,450

 

Health Care Providers & Services — 4.4%

 

 

 

 

 

 

 

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

 

 

3,400

 

 

4,080,860

 

Aviv Healthcare Properties LP,
7.75%, 2/15/19 (a)

 

 

460

 

 

468,625

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

545

 

 

600,863

 

6.50%, 2/15/20 (g)

 

 

1,950

 

 

1,979,250

 

7.25%, 9/15/20

 

 

3,435

 

 

3,623,925

 

7.50%, 2/15/22 (g)

 

 

2,310

 

 

2,344,650

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

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

 

USD

510

 

$

497,250

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

1,530

 

 

1,740,375

 

8.88%, 7/01/19

 

 

1,125

 

 

1,243,125

 

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

 

 

3,400

 

 

4,115,370

 

 

 

 

 

 

 

20,694,293

 

Household Durables — 0.3%

 

 

 

 

 

 

 

Cemex Espana Luxembourg,
9.25%, 5/12/20 (a)

 

 

1,462

 

 

1,348,695

 

IT Services — 0.7%

 

 

 

 

 

 

 

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

 

 

1,170

 

 

1,123,200

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

725

 

 

730,438

 

12.63%, 1/15/21

 

 

1,390

 

 

1,473,400

 

 

 

 

 

 

 

3,327,038

 

Independent Power Producers &
Energy Traders — 0.8%

 

 

 

 

 

 

 

AES Corp.:

 

 

 

 

 

 

 

9.75%, 4/15/16

 

 

985

 

 

1,127,825

 

7.38%, 7/01/21 (a)

 

 

425

 

 

439,875

 

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

 

 

440

 

 

451,000

 

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

 

 

1,475

 

 

1,556,337

 

 

 

 

 

 

 

3,575,037

 

Insurance — 9.2%

 

 

 

 

 

 

 

Ace Capital Trust II, 9.70%,
4/01/30

 

 

2,500

 

 

3,328,535

 

The Allstate Corp., 7.45%, 5/16/19 (c)

 

 

5,600

 

 

6,863,086

 

American International Group, Inc.:

 

 

 

 

 

 

 

6.40%, 12/15/20 (c)

 

 

1,690

 

 

1,854,114

 

8.18%, 5/15/68

 

 

900

 

 

981,000

 

Aon Corp.:

 

 

 

 

 

 

 

5.00%, 9/30/20 (c)

 

 

4,600

 

 

4,876,060

 

8.21%, 1/01/27

 

 

2,500

 

 

2,910,050

 

The Dai-ichi Life Insurance Co. Ltd,
7.25% (a)(b)(e)

 

 

677

 

 

714,550

 

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

 

 

2,800

 

 

2,768,240

 

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

 

 

970

 

 

926,350

 

Lincoln National Corp., 6.25%,
2/15/20 (c)

 

 

3,400

 

 

3,871,162

 

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

 

 

475

 

 

476,187

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

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

 

Insurance (concluded)

 

 

 

 

 

 

 

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

 

USD

4,700

 

$

4,820,405

 

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

 

 

3,800

 

 

4,172,582

 

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

 

 

980

 

 

1,270,851

 

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

 

 

3,400

 

 

3,817,217

 

 

 

 

 

 

 

43,650,389

 

Life Sciences Tools & Services — 2.0%

 

 

 

 

 

 

 

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

 

 

3,825

 

 

4,279,219

 

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

 

 

695

 

 

695,000

 

Life Technologies Corp., 6.00%,
3/01/20

 

 

4,200

 

 

4,725,806

 

 

 

 

 

 

 

9,700,025

 

Machinery — 1.1%

 

 

 

 

 

 

 

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

 

 

3,400

 

 

4,088,554

 

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

 

 

980

 

 

1,065,750

 

 

 

 

 

 

 

5,154,304

 

Media — 9.2%

 

 

 

 

 

 

 

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

 

 

830

 

 

873,575

 

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

 

 

2,317

 

 

2,734,060

 

CSC Holdings LLC:

 

 

 

 

 

 

 

8.50%, 6/15/15

 

 

1,500

 

 

1,620,000

 

8.63%, 2/15/19

 

 

1,200

 

 

1,374,000

 

Cengage Learning Acquisitions,
Inc., 10.50%, 1/15/15 (a)

 

 

1,585

 

 

1,355,175

 

Comcast Corp., 6.30%, 11/15/17

 

 

3,400

 

 

4,025,597

 

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

 

 

3,400

 

 

4,676,520

 

DIRECTV Holdings LLC, 5.00%,
3/01/21

 

 

2,575

 

 

2,747,932

 

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

 

 

1,750

 

 

1,885,625

 

Gannett Co., Inc., 9.38%,
11/15/17

 

 

1,800

 

 

2,002,500

 

Intelsat Bermuda Ltd.:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

350

 

 

374,500

 

11.50%, 2/04/17 (a)(d)

 

 

260

 

 

279,500

 

11.50%, 2/04/17 (d)

 

 

340

 

 

365,500

 

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

 

 

1,040

 

 

1,071,200

 

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

 

 

4,200

 

 

4,217,552

 

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

 

 

4,050

 

 

4,641,741

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

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

 

USD

4,150

 

$

5,194,787

 

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

 

 

1,030

 

 

1,107,250

 

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

 

 

2,675

 

 

2,942,500

 

 

 

 

 

 

 

43,489,514

 

Metals & Mining — 2.5%

 

 

 

 

 

 

 

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

 

 

2,455

 

 

2,551,970

 

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

 

 

1,150

 

 

1,184,615

 

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

 

 

1,325

 

 

1,362,136

 

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

 

 

2,900

 

 

3,191,601

 

JMC Steel Group, 8.25%, 3/15/18 (a)

 

 

170

 

 

176,375

 

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

 

 

1,035

 

 

1,151,437

 

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

 

 

1,750

 

 

2,226,875

 

United States Steel Corp., 7.38%,
4/01/20

 

 

200

 

 

207,750

 

 

 

 

 

 

 

12,052,759

 

 

 

 

 

 

 

 

 

Multi-Utilities — 1.6%

 

 

 

 

 

 

 

CenterPoint Energy, Inc.:

 

 

 

 

 

 

 

5.95%, 2/01/17

 

 

3,150

 

 

3,602,393

 

6.50%, 5/01/18

 

 

3,350

 

 

3,939,426

 

 

 

 

 

 

 

7,541,819

 

Multiline Retail — 1.3%

 

 

 

 

 

 

 

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

 

 

6,300

 

 

6,237,000

 

Oil, Gas & Consumable Fuels — 10.9%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc.:

 

 

 

 

 

 

 

6.00%, 6/01/19

 

 

325

 

 

335,156

 

6.25%, 6/01/21

 

 

755

 

 

781,425

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

994

 

 

1,145,948

 

6.38%, 9/15/17

 

 

23

 

 

27,113

 

Arch Coal, Inc. (a):

 

 

 

 

 

 

 

7.00%, 6/15/19

 

 

220

 

 

230,450

 

7.25%, 6/15/21

 

 

720

 

 

756,000

 

BP Capital Markets Plc (c):

 

 

 

 

 

 

 

3.88%, 3/10/15

 

 

1,500

 

 

1,614,180

 

3.20%, 3/11/16

 

 

1,875

 

 

1,966,074

 

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

 

 

1,000

 

 

1,048,170

 

Chesapeake Energy Corp., 6.13%,
2/15/21

 

 

3,445

 

 

3,600,025

 

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

 

 

835

 

 

843,350

 

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

 

 

560

 

 

574,000

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

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 (concluded)

 

 

 

 

 

 

 

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

 

USD

575

 

$

592,250

 

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

 

 

2,100

 

 

2,833,475

 

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

 

 

1,025

 

 

1,033,969

 

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

 

 

4,200

 

 

4,969,272

 

Forest Oil Corp.:

 

 

 

 

 

 

 

8.50%, 2/15/14

 

 

185

 

 

201,188

 

7.25%, 6/15/19

 

 

310

 

 

322,400

 

Hilcorp Energy I LP, 7.75%,
11/01/15 (a)

 

 

710

 

 

733,075

 

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

 

 

4,200

 

 

5,016,837

 

Linn Energy LLC, 7.75%, 2/01/21 (a)

 

 

1,050

 

 

1,118,250

 

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

 

 

1,375

 

 

1,431,734

 

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

 

 

1,200

 

 

1,264,800

 

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

 

 

3,400

 

 

4,418,290

 

Oasis Petroleum, Inc., 7.25%,
2/01/19 (a)

 

 

380

 

 

391,400

 

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

 

 

3,725

 

 

3,862,665

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

615

 

 

699,563

 

6.25%, 6/01/19 (a)

 

 

715

 

 

828,506

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

7.75%, 6/15/15

 

 

785

 

 

814,438

 

10.00%, 3/01/16

 

 

405

 

 

457,650

 

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

 

 

270

 

 

275,400

 

Premier Oil, 5.00%, 5/10/18

 

 

3,400

 

 

3,493,500

 

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

 

 

855

 

 

934,087

 

SM Energy Co., 6.63%, 2/15/19 (a)

 

 

480

 

 

494,400

 

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

 

 

720

 

 

756,000

 

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

 

 

1,525

 

 

1,623,713

 

 

 

 

 

 

 

51,488,753

 

Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

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

 

 

3,400

 

 

3,869,979

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

3,325

 

 

4,062,003

 

7.30%, 11/15/39

 

 

3,400

 

 

3,907,052

 

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

 

 

330

 

 

338,250

 

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

 

 

355

 

 

377,187

 

 

 

 

 

 

 

12,554,471

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

Pharmaceuticals — 6.5%

 

 

 

 

 

 

 

Bristol-Myers Squibb Co., 5.88%,
11/15/36 (c)

 

USD

2,214

 

$

2,551,631

 

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

 

EUR

300

 

 

438,613

 

GlaxoSmithKline Capital, Inc.,
6.38%, 5/15/38 (c)

 

USD

7,250

 

 

8,776,763

 

Merck & Co., Inc.:

 

 

 

 

 

 

 

6.50%, 12/01/33

 

 

2,070

 

 

2,546,433

 

6.55%, 9/15/37 (c)

 

 

4,572

 

 

5,655,281

 

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

 

 

6,250

 

 

8,299,856

 

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

 

 

250

 

 

245,000

 

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

 

 

2,075

 

 

2,413,603

 

 

 

 

 

 

 

30,927,180

 

Real Estate Investment Trusts
(REITs) — 2.8%

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,
6.10%, 3/15/20

 

 

3,400

 

 

3,888,464

 

Developers Diversified Realty Corp.:

 

 

 

 

 

 

 

4.75%, 4/15/18

 

 

645

 

 

654,057

 

7.88%, 9/01/20

 

 

775

 

 

917,103

 

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

 

 

3,405

 

 

3,858,709

 

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

 

 

1,025

 

 

1,097,523

 

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

 

 

1,475

 

 

1,498,072

 

Ventas Realty LP, 4.75%, 6/01/21

 

 

1,135

 

 

1,152,460

 

 

 

 

 

 

 

13,066,388

 

Real Estate Management &
Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp., 7.88%, 2/15/19 (a)

 

 

595

 

 

586,075

 

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

 

 

250

 

 

249,375

 

 

 

 

 

 

 

835,450

 

Road & Rail — 1.5%

 

 

 

 

 

 

 

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

 

 

650

 

 

670,313

 

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

 

 

200

 

 

210,000

 

The Hertz Corp., 6.75%, 4/15/19 (a)

 

 

933

 

 

933,000

 

Norfolk Southern Corp., 6.00%,
3/15/05 (c)

 

 

5,000

 

 

5,138,600

 

 

 

 

 

 

 

6,951,913

 

Semiconductors & Semiconductor
Equipment — 0.6%

 

 

 

 

 

 

 

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

 

 

775

 

 

815,687

 

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

 

 

1,928

 

 

2,218,249

 

 

 

 

 

 

 

3,033,936

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

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

 

Specialty Retail — 1.2%

 

 

 

 

 

 

 

Academy Ltd., 9.25%,
8/01/19 (a)(g)

 

USD

670

 

$

680,050

 

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

 

 

1,965

 

 

2,112,375

 

Best Buy Co., Inc., 5.50%,
3/15/21

 

 

1,300

 

 

1,309,272

 

Claire’s Escrow Corp., 8.88%,
3/15/19 (a)

 

 

465

 

 

437,100

 

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

 

 

980

 

 

1,041,250

 

 

 

 

 

 

 

5,580,047

 

Tobacco — 1.4%

 

 

 

 

 

 

 

Altria Group, Inc.:

 

 

 

 

 

 

 

9.25%, 8/06/19

 

 

485

 

 

647,253

 

10.20%, 2/06/39

 

 

3,929

 

 

5,872,456

 

 

 

 

 

 

 

6,519,709

 

Wireless Telecommunication
Services — 2.4%

 

 

 

 

 

 

 

American Tower Corp., 4.50%,
1/15/18

 

 

1,925

 

 

2,003,530

 

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

 

 

670

 

 

714,388

 

Crown Castle Towers LLC (a):

 

 

 

 

 

 

 

5.50%, 1/15/37

 

 

1,175

 

 

1,284,371

 

6.11%, 1/15/40

 

 

1,300

 

 

1,451,732

 

Intelsat Jackson Holdings SA (a):

 

 

 

 

 

 

 

7.25%, 4/01/19

 

 

190

 

 

192,375

 

7.50%, 4/01/21

 

 

620

 

 

629,300

 

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

 

 

840

 

 

843,675

 

SBA Tower Trust, 5.10%, 4/15/17 (a)

 

 

4,225

 

 

4,383,438

 

 

 

 

 

 

 

11,502,809

 

Total Corporate Bonds – 111.1%

 

 

 

 

 

525,326,431

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 4.4%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,625,000

 

State Street Capital Trust III,
5.24% (b)(e)

 

 

2,920

 

 

2,919,036

 

State Street Capital Trust IV,
1.25%, 6/01/77 (b)

 

 

18,235

 

 

14,980,253

 

 

 

 

 

 

 

20,524,289

 

Commercial Banks — 5.3%

 

 

 

 

 

 

 

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

 

 

650

 

 

651,625

 

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

 

 

4,835

 

 

6,285,500

 

 

Capital Trusts

 

Par
(000)

 

Value

 

Commercial Banks (concluded)

 

 

 

 

 

 

 

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

 

USD

3,630

 

$

3,729,571

 

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

 

 

1,100

 

 

1,201,475

 

NationsBank Capital Trust III,
0.80%, 1/15/27

 

 

13,470

 

 

9,888,354

 

Nationwide Life Global Funding I,
6.75%, 5/15/37

 

 

3,500

 

 

3,272,500

 

 

 

 

 

 

 

25,029,025

 

Diversified Financial Services — 1.8%

 

 

 

 

 

 

 

ING Capital Funding Trust III,
3.85% (b)(e)

 

 

1,800

 

 

1,683,621

 

JPMorgan Chase Capital XXIII,
1.26%, 5/15/77 (b)(c)

 

 

8,775

 

 

6,854,846

 

 

 

 

 

 

 

8,538,467

 

Electric Utilities — 0.6%

 

 

 

 

 

 

 

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

 

 

3,000

 

 

2,956,500

 

Insurance — 7.2%

 

 

 

 

 

 

 

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

 

 

3,000

 

 

2,520,000

 

The Allstate Corp., 6.50%, 5/15/57 (b)

 

 

5,000

 

 

4,900,000

 

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

 

 

100

 

 

110,000

 

Bank One Capital III, 8.75%,
9/01/30

 

 

2,000

 

 

2,561,274

 

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

 

 

2,000

 

 

2,065,000

 

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

 

 

2,500

 

 

2,640,348

 

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

 

 

2,925

 

 

3,868,312

 

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

 

 

3,350

 

 

3,383,500

 

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

 

 

3,325

 

 

3,295,195

 

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

 

 

2,500

 

 

2,848,482

 

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

 

 

3,000

 

 

2,914,125

 

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

 

 

2,000

 

 

2,410,568

 

ZFS Finance (USA) Trust IV, 5.88%,
5/09/62 (a)(b)

 

 

379

 

 

382,271

 

 

 

 

 

 

 

33,899,075

 

Multi-Utilities — 1.4%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,573,490

 

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

 

 

3,900

 

 

4,126,200

 

 

 

 

 

 

 

6,699,690

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

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

 

Oil, Gas & Consumable Fuels — 1.3%

 

 

 

 

 

 

 

Enterprise Products Operating
LLC, 8.38%, 8/01/66

 

USD

2,000

 

$

2,175,000

 

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

 

 

4,000

 

 

4,097,212

 

 

 

 

 

 

 

6,272,212

 

Road & Rail — 0.8%

 

 

 

 

 

 

 

BNSF Funding Trust I, 6.61%,
12/15/55

 

 

3,750

 

 

3,871,875

 

Total Capital Trusts – 22.8%

 

 

 

 

 

107,791,133

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.1%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (a)

 

 

4,000

 

 

576,000

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

SG Preferred Capital I, 6.30% (a)

 

 

1,000

 

 

984,063

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (a)

 

 

1,880

 

 

1,707,980

 

Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series S, 8.25% (h)

 

 

14,000

 

 

33,320

 

Freddie Mac, Series Z, 8.38% (h)

 

 

14,000

 

 

40,600

 

 

 

 

 

 

 

73,920

 

Wireless Telecommunication
Services — 0.6%

 

 

 

 

 

 

 

Centaur Funding Corp., 9.08%

 

 

2,423

 

 

2,827,338

 

Total Preferred Stocks – 1.3%

 

 

 

 

 

6,169,301

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

Par
(000)

 

 

 

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

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

 

USD

1,818

 

 

1,862,830

 

Total Trust Preferreds – 0.4%

 

 

 

 

 

1,862,830

 

Total Preferred Securities – 24.5%

 

 

 

 

 

115,823,264

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 

California — 1.0%

 

 

 

 

 

 

 

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

 

USD

3,450

 

$

3,879,353

 

State of California, GO, Build
America Bonds, 7.35%,
11/01/39

 

 

870

 

 

1,051,995

 

Total Taxable Municipal Bonds – 1.0%

 

 

 

 

 

4,931,348

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored
Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 0.3%

 

 

 

 

 

 

 

Fannie Mae, 4.32%, 10/09/19 (i)

 

 

1,670

 

 

1,207,148

 

Total U.S. Government Sponsored
Agency Securities – 0.3%

 

 

 

 

 

1,207,148

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 

U.S. Treasury Note, 4.75%,
2/15/41 (c)

 

 

2,670

 

 

2,957,441

 

Total U.S. Treasury Obligations – 0.6%

 

 

 

 

 

2,957,441

 

Total Long-Term Investments
(Cost – $630,108,292) – 138.4%

 

 

 

 

 

654,654,152

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.06% (j)(k)

 

 

2,107

 

 

2,107

 

Total Short-Term Securities
(Cost – $2,107) – 0.0%

 

 

 

 

 

2,107

 

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

7


 

 

 

 

Schedule of Investments (continued)

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

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 

Over–the-Counter Put Options — 0.1%

 

 

 

 

 

 

 

S&P 500 Index, Strike Price USD
1,250, Expires 9/17/11, Broker
Credit Suisse International

 

 

118

 

$

307,980

 

Total Options Purchased
(Cost – $569,940) – 0.1%

 

 

 

 

 

307,980

 

Total Investments Before Outstanding Options Written
(Cost – $630,680,339*) – 138.5%

 

 

 

 

 

654,964,239

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — (0.1)%

 

 

 

 

 

 

 

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

 

 

(611,578

)

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

 

 

 

 

 

 

 

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

 

 

(80,242

)

Sold credit default protection on Dow
Jones CDX North America
Investment Grade Series 16, Strike
Price USD 120, Expires 9/21/11,
Broker Credit Suisse International

 

 

148,000

 

 

(224,495

)

 

 

 

 

 

 

(304,737

)

Total Options Written
(Premiums Received – $1,087,200) – (0.2)%

 

 

 

 

 

(916,315

)

Total Investments, Net of Options Written – 138.3%

 

 

 

 

 

654,047,924

 

Liabilities in Excess of Other Assets – (38.3)%

 

 

 

 

 

(181,034,768

)

Net Assets – 100.0%

 

 

 

 

$

473,013,156

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

629,199,459

 

Gross unrealized appreciation

 

 

 

 

$

32,558,002

 

Gross unrealized depreciation

 

 

 

 

 

(7,709,537

)

Net unrealized appreciation

 

 

 

 

$

24,848,465

 

 

 

(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)

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

 

 

(d)

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

 

 

(e)

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

 

 

(f)

All or portion of security has been pledged as collateral in connection with swaps.

 

 

(g)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Credit Suisse Securities (USA) LLC

 

$

171,912

 

$

3,157

 

JPMorgan Securities

 

$

5,003,950

 

$

69,213

 

Pershing LLC

 

$

2,608,417

 

$

24,718

 

 

 

(h)

Non-income producing security.

 

 

(i)

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

 

 

(j)

Investments in companies considered to be an affiliate of the 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,
2010

 

Net
Activity

 

Shares
Held at
July 31, 2011

 

Income

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

1,483,567

 

 

(1,481,460

)

 

2,107

 

$

7,104

 

 

 

(k)

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 rating 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.

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

8


 

 

 

 

Schedule of Investments (continued)

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

 

 

•

Reverse repurchase agreements outstanding as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

 

Interest
Rate

 

 

Trade
Date

 

 

Maturity
Date1

 

Net Closing
Amount

 

Face
Amount

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

4/11/2011

 

 

Open

 

$

3,852,190

 

$

3,848,000

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

4/12/2011

 

 

Open

 

 

3,536,093

 

 

3,532,282

 

UBS Securities LLC

 

 

0.40%

 

 

4/13/2011

 

 

Open

 

 

9,469,660

 

 

9,458,100

 

Barclays Capital, Inc.

 

 

0.35%

 

 

4/14/2011

 

 

Open

 

 

2,831,309

 

 

2,828,312

 

UBS Securities LLC

 

 

0.38%

 

 

4/18/2011

 

 

Open

 

 

3,547,678

 

 

3,543,750

 

Deutsche Bank Securities,
Inc.

 

 

0.35%

 

 

4/20/2011

 

 

Open

 

 

1,366,367

 

 

1,365,000

 

Deutsche Bank Securities,
Inc.

 

 

0.35%

 

 

4/28/2011

 

 

Open

 

 

4,489,142

 

 

4,485,000

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

5/10/2011

 

 

Open

 

 

1,737,676

 

 

1,736,275

 

BNP Paribas Securities

 

 

0.39%

 

 

5/10/2011

 

 

Open

 

 

1,551,644

 

 

1,550,250

 

UBS Securities LLC

 

 

0.38%

 

 

5/16/2011

 

 

Open

 

 

15,570,520

 

 

15,557,875

 

Credit Suisse Securities
(USA) LLC

 

 

0.40%

 

 

5/16/2011

 

 

Open

 

 

6,387,660

 

 

6,382,200

 

UBS Securities LLC

 

 

0.38%

 

 

5/18/2011

 

 

Open

 

 

33,259,269

 

 

33,232,960

 

UBS Securities LLC

 

 

0.38%

 

 

5/19/2011

 

 

Open

 

 

2,181,703

 

 

2,180,000

 

Credit Suisse Securities
(USA) LLC

 

 

0.40%

 

 

5/19/2011

 

 

Open

 

 

4,641,313

 

 

4,637,500

 

Credit Suisse Securities
(USA) LLC

 

 

0.40%

 

 

5/20/2011

 

 

Open

 

 

3,394,939

 

 

3,392,187

 

UBS Securities LLC

 

 

0.38%

 

 

5/31/2011

 

 

Open

 

 

2,433,842

 

 

2,432,250

 

Barclays Capital, Inc.

 

 

0.40%

 

 

5/31/2011

 

 

Open

 

 

5,652,441

 

 

5,648,550

 

UBS Securities LLC

 

 

0.40%

 

 

5/31/2011

 

 

Open

 

 

1,792,634

 

 

1,791,400

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

6/01/2011

 

 

Open

 

 

6,947,337

 

 

6,943,219

 

UBS Securities LLC

 

 

0.35%

 

 

6/08/2011

 

 

Open

 

 

4,832,536

 

 

4,830,000

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

6/10/2011

 

 

Open

 

 

1,100,244

 

 

1,099,688

 

UBS Securities LLC

 

 

0.38%

 

 

6/10/2011

 

 

Open

 

 

11,102,966

 

 

11,096,875

 

UBS Securities LLC

 

 

0.38%

 

 

6/14/2011

 

 

Open

 

 

10,736,637

 

 

10,731,200

 

UBS Securities LLC

 

 

0.38%

 

 

6/15/2011

 

 

Open

 

 

5,578,890

 

 

5,576,124

 

Credit Suisse Securities
(USA) LLC

 

 

0.45%

 

 

6/15/2011

 

 

Open

 

 

1,577,082

 

 

1,576,156

 

BNP Paribas Securities

 

 

0.35%

 

 

6/17/2011

 

 

Open

 

 

2,178,558

 

 

2,177,605

 

BNP Paribas Securities

 

 

0.35%

 

 

6/20/2011

 

 

Open

 

 

1,918,623

 

 

1,917,840

 

UBS Securities LLC

 

 

0.37%

 

 

6/22/2011

 

 

Open

 

 

3,532,827

 

 

3,531,375

 

UBS Securities LLC

 

 

0.37%

 

 

6/27/2011

 

 

Open

 

 

1,847,539

 

 

1,846,875

 

Deutsche Bank Securities,
Inc.

 

 

0.35%

 

 

6/29/2011

 

 

Open

 

 

3,933,637

 

 

3,932,375

 

Deutsche Bank Securities,
Inc.

 

 

0.35%

 

 

6/30/2011

 

 

Open

 

 

3,712,605

 

 

3,711,450

 

Credit Suisse Securities
(USA) LLC

 

 

0.35%

 

 

7/05/2011

 

 

Open

 

 

1,611,204

 

 

1,610,781

 

UBS Securities LLC

 

 

0.31%

 

 

7/07/2011

 

 

Open

 

 

1,277,525

 

 

1,277,250

 

UBS Securities LLC

 

 

0.35%

 

 

7/11/2011

 

 

Open

 

 

2,406,391

 

 

2,405,900

 

UBS Securities LLC

 

 

0.32%

 

 

7/12/2011

 

 

Open

 

 

2,245,824

 

 

2,245,425

 

UBS Securities LLC

 

 

0.28%

 

 

7/13/2011

 

 

Open

 

 

588,087

 

 

588,000

 

Deutsche Bank Securities,
Inc.

 

 

0.35%

 

 

7/20/2011

 

 

Open

 

 

9,130,940

 

 

9,129,875

 

Deutsche Bank Securities,
Inc.

 

 

0.17%

 

 

7/29/2011

 

 

Open

 

 

2,970,417

 

 

2,970,375

 

Total

 

 

 

 

 

 

 

 

 

 

$

186,925,949

 

$

186,800,279

 

 

 

1

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

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

9


 

 

 

 

Schedule of Investments (continued)

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

 

 

•

Foreign currency exchange contracts as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency Purchased

 

Currency Sold

 

 

Counterparty

 

 

Settlement Date

 

Unrealized
Appreciation
(Depreciation)

 

EUR

 

285,000

 

USD

 

 

409,651

 

 

Deutsche Bank AG

 

 

8/01/11

 

$

(135

)

EUR

 

1,000

 

USD

 

 

1,438

 

 

Citibank NA

 

 

8/03/11

 

 

(1

)

USD

 

1,435

 

EUR

 

 

1,000

 

 

Citibank NA

 

 

10/26/11

 

 

1

 

USD

 

408,705

 

EUR

 

 

285,000

 

 

Deutsche Bank AG

 

 

10/26/11

 

 

37

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(98

)

 

 

•

Financial futures contracts purchased as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

298

 

2-Year U.S. Treasury Note

 

Chicago Board of Trade

 

September 2011

 

$

65,459,367

 

$

77,353

 

 

 

•

Financial futures contracts sold as of July 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

226

 

5-Year U.S. Treasury Note

 

Chicago Board of Trade

 

September 2011

 

$

26,739,579

 

$

(707,062

)

845

 

10-Year U.S. Treasury Note

 

Chicago Board of Trade

 

September 2011

 

 

103,576,514

 

 

(2,629,424

)

145

 

30-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

September 2011

 

 

18,048,444

 

 

(529,681

)

35

 

Ultra U.S. Treasury Bond

 

Chicago Board of Trade

 

September 2011

 

 

4,486,559

 

 

(131,254

)

Total

 

 

 

 

 

 

 

 

$

(3,997,421

)

 

 

•

Credit default swaps on single-name issuers - buy protection outstanding as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

Computer Sciences Corp.

 

1.00%

 

JPMorgan Chase & Co.

 

6/20/16

 

USD

1,330

 

$

7,563

 

Republic of Finland

 

0.25%

 

Deutsche Bank AG

 

6/20/16

 

USD

7,400

 

 

56,899

 

Republic of Finland

 

0.25%

 

Royal Bank of Scotland

 

6/20/16

 

USD

5,900

 

 

45,382

 

Arrow Electronics Inc.

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

9/20/16

 

USD

1,430

 

 

1,985

 

Goldman Sachs Group, Inc.

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

9/20/16

 

USD

8,875

 

 

13,959

 

Total

 

 

 

 

 

 

 

 

 

 

$

125,788

 

 

 

•

Credit default swaps on single-name issuers - sold protection outstanding as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating2

 

Notional
Amount
(000)3

 

Unrealized
Appreciation
(Depreciation)

 

Aviva USA Corp.

 

1.00%

 

Deutsche Bank AG

 

5/25/12

 

A-

 

USD

2,775

 

$

(325

)

Citigroup, Inc.

 

1.00%

 

Credit Suisse Securities (USA) LLC

 

9/20/16

 

A

 

USD

8,875

 

 

(27,255

)

MetLife, Inc.

 

1.00%

 

Deutsche Bank AG

 

3/20/18

 

A-

 

USD

900

 

 

7,494

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(20,086

)

 

 

2

Using S&P’s rating of the underlying securities.

 

 

3

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


 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

10


 

 

 

 

Schedule of Investments (continued)

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

 

 

•

Interest rate swaps outstanding as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

0.98% (a)

 

3-month LIBOR

 

Citibank NA

 

3/30/13

 

USD

59,200

 

$

(423,507

)

0.65% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

7/21/13

 

USD

29,500

 

 

(38,198

)

0.65% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

7/22/13

 

USD

27,100

 

 

(30,674

)

4.38% (a)

 

3-month LIBOR

 

Citibank NA

 

4/14/41

 

USD

1,700

 

 

(166,829

)

4.34% (a)

 

3-month LIBOR

 

Goldman Sachs International

 

4/14/41

 

USD

2,400

 

 

(251,288

)

4.35% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

4/15/41

 

USD

3,000

 

 

(301,348

)

3.96% (a)

 

3-month LIBOR

 

Citibank NA

 

5/19/41

 

USD

1,200

 

 

(34,584

)

3.93% (a)

 

3-month LIBOR

 

Citibank NA

 

7/21/41

 

USD

8,400

 

 

(195,440

)

3.97% (b)

 

3-month LIBOR

 

Citibank NA

 

7/25/41

 

USD

3,300

 

 

98,096

 

Total

 

 

 

 

 

 

 

 

 

 

$

(1,343,772

)

 

 

 

 

(a)

Pays fixed interest rate and receives floating rate.

 

 

 

 

(b)

Pays floating interest rate and receives fixed rate.


 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial reporting purposes 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 Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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 semi-annual report.

 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

11


 

 

 

 

Schedule of Investments (concluded)

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

The following tables summarize the inputs used as of July 31, 2011 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

 

 

—

 

$

2,222,270

 

$

2,186,250

 

$

4,408,520

 

Corporate Bonds

 

 

—

 

 

525,326,431

 

 

—

 

 

525,326,431

 

Preferred Securities

 

$

1,936,750

 

 

113,886,514

 

 

—

 

 

115,823,264

 

Taxable Municipal Bonds

 

 

—

 

 

4,931,348

 

 

—

 

 

4,931,348

 

U.S. Government Sponsored Agency Securities

 

 

—

 

 

1,207,148

 

 

—

 

 

1,207,148

 

U.S. Treasury Obligations

 

 

—

 

 

2,957,441

 

 

—

 

 

2,957,441

 

Short-Term Securities

 

 

2,107

 

 

—

 

 

—

 

 

2,107

 

Total

 

$

1,938,857

 

$

650,531,152

 

$

2,186,250

 

$

654,656,259

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

$ 

307,980

 

 

—

 

 

—

 

$

307,980

 

Credit contracts

 

 

—

 

 

133,282

 

 

—

 

 

133,282

 

Foreign currency exchange contracts

 

 

—

 

 

38

 

 

—

 

 

38

 

Interest rate contracts

 

$

77,353

 

 

98,096

 

 

—

 

 

175,449

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(251,750

)

$ 

(325

) 

 

(252,075

)

Foreign currency exchange contracts

 

 

—

 

 

(136

)

 

—

 

 

(136

)

Interest rate contracts

 

 

(3,997,421

)

 

(2,133,688

)

 

—

 

 

(6,355,604

)

Total

 

$

(3,612,088

)

$

(2,154,158

)

$ 

(325

) 

$

(5,766,571

)

 

 

1

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


 

 

 

 

 

 

 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST II, INC.

JULY 31, 2011

12

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: September 26, 2011
   
  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: September 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Credit Allocation Income Trust II, Inc.
     
  Date: September 26, 2011