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 811-21280

 

Name of Fund: BlackRock Credit Allocation Income Trust III (BPP)

 

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 III, 55 East 52 nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 10/31/2011

 

Date of reporting period: 01/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

Schedule of Investments January 31, 2011 (Unaudited)

BlackRock Credit Allocation Income Trust III (BPP)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 3.6%

 

 

 

 

 

 

 

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

 

$

1,215

 

$

1,324,350

 

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

 

 

1,405

 

 

1,538,475

 

Goodrich Corp., 3.60%, 2/01/21

 

 

2,750

 

 

2,582,129

 

United Technologies Corp., 5.70%,
4/15/40

 

 

2,500

 

 

2,631,357

 

 

 

 

 

 

 

 

 

 

 

 

 

8,076,311

 

Airlines — 0.9%

 

 

 

 

 

 

 

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

 

 

640

 

 

641,600

 

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

 

 

736

 

 

806,076

 

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

 

 

588

 

 

599,855

 

 

 

 

 

 

 

 

 

 

 

 

 

2,047,531

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Dana Holding Corp.:

 

 

 

 

 

 

 

6.50%, 2/15/19

 

 

220

 

 

223,850

 

6.75%, 2/15/21

 

 

150

 

 

152,250

 

Icahn Enterprises LP:

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

420

 

 

433,125

 

8.00%, 1/15/18

 

 

1,000

 

 

1,027,500

 

 

 

 

 

 

 

 

 

 

 

 

 

1,836,725

 

Beverages — 0.5%

 

 

 

 

 

 

 

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

 

 

955

 

 

1,021,850

 

Building Products — 0.1%

 

 

 

 

 

 

 

Building Materials Corp. of
America, 7.00%, 2/15/20 (a)

 

 

250

 

 

262,500

 

Capital Markets — 2.0%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,580,271

 

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

 

 

2,150

 

 

2,172,947

 

UBS AG, 2.25%, 1/28/14

 

 

775

 

 

777,280

 

 

 

 

 

 

 

 

 

 

 

 

 

4,530,498

 

Chemicals — 0.3%

 

 

 

 

 

 

 

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

 

 

525

 

 

583,406

 

Commercial Banks — 2.4%

 

 

 

 

 

 

 

Discover Bank, 8.70%, 11/18/19

 

 

550

 

 

658,572

 

Fifth Third Bamcorp, 3.63%,
1/25/16

 

 

1,350

 

 

1,360,307

 

Lloyds TSB Bank Plc, 4.88%,
1/21/16

 

 

1,025

 

 

1,025,876

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Banks (concluded)

 

 

 

 

 

 

 

RESPARCS Funding LP I,
8.00% (c)(d)(e)

 

$

4,000

 

$

1,680,000

 

Regions Financial Corp., 4.88%,
4/26/13

 

 

725

 

 

714,125

 

 

 

 

 

 

 

 

 

 

 

 

 

5,438,880

 

Commercial Services & Supplies — 5.2%

 

 

 

 

 

 

 

Aviation Capital Group, 7.13%,
10/15/20 (a)

 

 

4,500

 

 

4,608,249

 

Browning-Ferris Industries, Inc.,
7.40%, 9/15/35

 

 

1,824

 

 

2,170,031

 

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

 

 

296

 

 

302,660

 

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

 

 

630

 

 

667,800

 

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

 

 

1,600

 

 

1,748,000

 

Waste Management, Inc., 6.13%,
11/30/39

 

 

1,950

 

 

2,072,181

 

 

 

 

 

 

 

 

 

 

 

 

 

11,568,921

 

Communications Equipment — 0.9%

 

 

 

 

 

 

 

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

 

 

1,450

 

 

1,544,250

 

CC Holdings GS V LLC, 7.75%,
5/01/17 (a)

 

 

440

 

 

484,000

 

 

 

 

 

 

 

 

 

 

 

 

 

2,028,250

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

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

 

 

400

 

 

394,058

 

Consumer Finance — 5.8%

 

 

 

 

 

 

 

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

 

 

2,900

 

 

2,847,620

 

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

 

 

1,625

 

 

2,017,038

 

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

 

 

1,020

 

 

1,083,750

 

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

 

 

7,075

 

 

7,088,315

 

 

 

 

 

 

 

 

 

 

 

 

 

13,036,723

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

850

 

 

924,375

 

6.75%, 9/15/20

 

 

1,070

 

 

1,128,850

 

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

 

 

400

 

 

403,000

 

Owens-Brockway Glass Container,
Inc., 6.75%, 12/01/14

 

 

270

 

 

277,425

 

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

 

 

150

 

 

164,625

 

 

 

 

 

 

 

 

 

 

 

 

 

2,898,275

 


 

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:

 

 

GO

General Obligation Bonds

RB

Revenue Bonds


 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011

1



 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust III (BPP)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services — 1.7%

 

 

 

 

 

 

 

Ally Financial, Inc., 8.30%,
2/12/15

 

$

1,000

 

$

1,130,000

 

Citigroup, Inc., 4.59%, 12/15/15

 

 

475

 

 

496,006

 

Moody’s Corp., 6.06%, 9/07/17

 

 

1,500

 

 

1,517,329

 

Reynolds Group Issuer, Inc. (a)(f):

 

 

 

 

 

 

 

6.88%, 2/15/21

 

 

320

 

 

322,800

 

8.25%, 2/15/21

 

 

390

 

 

393,413

 

 

 

 

 

 

 

 

 

 

 

 

 

3,859,548

 

Diversified Telecommunication Services — 4.0%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,061,922

 

Frontier Communications Corp.,
8.50%, 4/15/20

 

 

1,500

 

 

1,691,250

 

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

 

 

1,360

 

 

1,628,600

 

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

 

 

1,950

 

 

2,322,093

 

Windstream Corp.:

 

 

 

 

 

 

 

8.63%, 8/01/16

 

 

320

 

 

339,200

 

7.88%, 11/01/17

 

 

900

 

 

964,125

 

 

 

 

 

 

 

 

 

 

 

 

 

9,007,190

 

Electric Utilities — 1.7%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,293,746

 

Southern California Edison Co.,
5.50%, 3/15/40

 

 

1,400

 

 

1,415,190

 

 

 

 

 

 

 

 

 

 

 

 

 

3,708,936

 

Electronic Equipment, Instruments & Components — 0.2%

 

 

 

 

 

 

 

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

 

 

400

 

 

458,000

 

Energy Equipment & Services — 1.1%

 

 

 

 

 

 

 

Halliburton Co., 7.45%, 9/15/39

 

 

1,945

 

 

2,445,211

 

Food & Staples Retailing — 3.4%

 

 

 

 

 

 

 

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

 

 

3,100

 

 

2,987,625

 

Wal-Mart Stores, Inc. (b):

 

 

 

 

 

 

 

5.25%, 9/01/35

 

 

1,850

 

 

1,821,266

 

6.20%, 4/15/38

 

 

2,500

 

 

2,756,510

 

 

 

 

 

 

 

 

 

 

 

 

 

7,565,401

 

Food Products — 1.0%

 

 

 

 

 

 

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.50%, 8/11/17

 

 

800

 

 

929,235

 

6.13%, 8/23/18

 

 

800

 

 

908,152

 

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

 

 

350

 

 

411,688

 

 

 

 

 

 

 

 

 

 

 

 

 

2,249,075

 

Gas Utilities — 1.1%

 

 

 

 

 

 

 

Nisource Finance Corp., 6.13%,
3/01/22

 

 

1,950

 

 

2,152,252

 

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

 

 

240

 

 

240,000

 

 

 

 

 

 

 

 

 

 

 

 

 

2,392,252

 

Health Care Equipment & Supplies — 2.2 %

 

 

 

 

 

 

 

Boston Scientific Corp., 7.38%,
1/15/40

 

 

1,425

 

 

1,522,359

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies (concluded)

 

 

 

 

 

 

 

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

 

$

1,000

 

$

1,148,750

 

Medtronic, Inc.:

 

 

 

 

 

 

 

6.50%, 3/15/39

 

 

300

 

 

343,604

 

5.55%, 3/15/40

 

 

1,765

 

 

1,821,986

 

 

 

 

 

 

 

 

 

 

 

 

 

4,836,699

 

Health Care Providers & Services — 3.5%

 

 

 

 

 

 

 

Aetna, Inc., 6.75%, 12/15/37

 

 

1,725

 

 

1,937,356

 

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

 

 

220

 

 

226,050

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

 

800

 

 

892,000

 

7.25%, 9/15/20

 

 

1,250

 

 

1,337,500

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

745

 

 

874,444

 

8.88%, 7/01/19

 

 

550

 

 

629,750

 

UnitedHealth Group, Inc., 6.88%,
2/15/38

 

 

1,725

 

 

1,968,748

 

 

 

 

 

 

 

 

 

 

 

 

 

7,865,848

 

Household Durables — 0.3%

 

 

 

 

 

 

 

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

 

 

723

 

 

736,556

 

IT Services — 0.1%

 

 

 

 

 

 

 

First Data Corp., 8.25%,
1/15/21 (a)

 

 

225

 

 

216,563

 

Independent Power Producers & Energy Traders — 0.3%

 

 

 

 

 

 

 

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

 

 

720

 

 

763,636

 

Insurance — 3.2%

 

 

 

 

 

 

 

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

 

 

810

 

 

864,240

 

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

 

 

1,725

 

 

1,896,576

 

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

 

 

1,800

 

 

1,933,864

 

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

 

 

475

 

 

602,973

 

Prudential Financial, Inc., 6.63%,
12/01/37

 

 

1,725

 

 

1,892,237

 

 

 

 

 

 

 

 

 

 

 

 

 

7,189,890

 

Life Sciences Tools & Services — 1.9%

 

 

 

 

 

 

 

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

 

 

1,830

 

 

2,017,575

 

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

 

 

2,000

 

 

2,142,912

 

 

 

 

 

 

 

 

 

 

 

 

 

4,160,487

 

Machinery — 1.7%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%,
11/15/14

 

 

390

 

 

349,050

 

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

 

 

1,725

 

 

2,075,827

 


 

 

 

2

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011



 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust III (BPP)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Machinery (concluded)

 

 

 

 

 

 

 

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

 

$

1,245

 

$

1,372,613

 

 

 

 

 

 

 

 

 

 

 

 

 

3,797,490

 

Media — 8.0%

 

 

 

 

 

 

 

CMP Susquehanna Corp., 3.44%,
5/15/14 (a)(e)

 

 

9

 

 

180

 

CSC Holdings LLC:

 

 

 

 

 

 

 

8.50%, 6/15/15

 

 

800

 

 

876,000

 

8.63%, 2/15/19

 

 

580

 

 

665,550

 

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

 

 

1,725

 

 

1,974,521

 

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

 

 

1,725

 

 

2,212,696

 

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

 

 

850

 

 

909,500

 

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

 

 

900

 

 

1,012,500

 

The New York Times Co., 6.63%,
12/15/16 (a)

 

 

1,725

 

 

1,753,031

 

News America, Inc., 6.15%,
3/01/37

 

 

2,000

 

 

2,044,506

 

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

 

 

1,950

 

 

2,090,815

 

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

 

 

2,000

 

 

2,392,762

 

UPC Germany GmbH, 8.13%,
12/01/17 (a)

 

 

505

 

 

545,400

 

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

 

 

1,300

 

 

1,378,000

 

 

 

 

 

 

 

 

 

 

 

 

 

17,855,461

 

Metals & Mining — 1.2%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,477,267

 

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

 

 

850

 

 

1,105,000

 

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

 

 

95

 

 

98,563

 

 

 

 

 

 

 

 

 

 

 

 

 

2,680,830

 

Multi-Utilities — 1.5%

 

 

 

 

 

 

 

CenterPoint Energy, Inc.:

 

 

 

 

 

 

 

5.95%, 2/01/17

 

 

1,500

 

 

1,637,421

 

6.50%, 5/01/18

 

 

1,600

 

 

1,803,198

 

 

 

 

 

 

 

 

 

 

 

 

 

3,440,619

 

Multiline Retail — 2.5%

 

 

 

 

 

 

 

Dollar General Corp., 10.63%,
7/15/15

 

 

1,550

 

 

1,675,937

 

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

 

 

4,100

 

 

3,956,500

 

 

 

 

 

 

 

 

 

 

 

 

 

5,632,437

 

Oil, Gas & Consumable Fuels — 5.1%

 

 

 

 

 

 

 

BP Capital Markets Plc, 3.88%,
3/10/15

 

 

700

 

 

733,254

 

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

 

 

475

 

 

474,041

 

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

 

 

1,000

 

 

1,322,222

 

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

 

 

2,000

 

 

2,307,756

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

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

 

$

2,000

 

$

2,303,964

 

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

 

 

650

 

 

655,985

 

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

 

 

1,725

 

 

2,158,467

 

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

 

 

185

 

 

188,700

 

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

 

 

700

 

 

706,636

 

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

 

 

415

 

 

435,750

 

SM Energy Co., 0.63%,
2/15/19 (a)

 

 

235

 

 

235,000

 

 

 

 

 

 

 

 

 

 

 

 

 

11,521,775

 

Paper & Forest Products — 3.0%

 

 

 

 

 

 

 

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

 

 

1,635

 

 

1,839,375

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

1,625

 

 

1,920,805

 

8.70%, 6/15/38

 

 

900

 

 

1,120,270

 

7.30%, 11/15/39

 

 

1,725

 

 

1,945,127

 

 

 

 

 

 

 

 

 

 

 

 

 

6,825,577

 

Pharmaceuticals — 5.6%

 

 

 

 

 

 

 

Abbott Laboratories, 6.15%,
11/30/37

 

 

235

 

 

261,233

 

Bristol-Myers Squibb Co.:

 

 

 

 

 

 

 

5.88%, 11/15/36

 

 

883

 

 

952,544

 

6.13%, 5/01/38

 

 

29

 

 

32,471

 

Eli Lilly & Co., 5.95%, 11/15/37

 

 

588

 

 

635,395

 

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

 

 

3,460

 

 

3,932,968

 

Merck & Co., Inc.:

 

 

 

 

 

 

 

6.50%, 12/01/33

 

 

990

 

 

1,176,340

 

6.55%, 9/15/37

 

 

1,979

 

 

2,350,330

 

Pfizer, Inc., 7.20%, 3/15/39

 

 

2,500

 

 

3,112,847

 

 

 

 

 

 

 

 

 

 

 

 

 

12,454,128

 

Professional Services — 0.1%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%,
10/01/16

 

 

100

 

 

105,000

 

Real Estate Investment Trusts (REITs) — 1.9%

 

 

 

 

 

 

 

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

 

 

1,725

 

 

1,940,811

 

ERP Operating LP, 5.75%,
6/15/17

 

 

1,715

 

 

1,895,645

 

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

 

 

500

 

 

503,631

 

 

 

 

 

 

 

 

 

 

 

 

 

4,340,087

 

Road & Rail — 1.0%

 

 

 

 

 

 

 

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

 

 

80

 

 

83,000

 

Norfolk Southern Corp., 6.00%,
3/15/2105

 

 

2,500

 

 

2,245,813

 

 

 

 

 

 

 

 

 

 

 

 

 

2,328,813

 

Semiconductors & Semiconductor Equipment — 1.2%

 

 

 

 

 

 

 

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

 

 

400

 

 

410,000

 


 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011

3



 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust III (BPP)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Semiconductors & Semiconductor Equipment (concluded)

 

 

 

 

 

 

 

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

 

$

918

 

$

1,013,978

 

National Semiconductor Corp.,
6.60%, 6/15/17

 

 

1,123

 

 

1,237,145

 

 

 

 

 

 

 

 

 

 

 

 

 

2,661,123

 

Specialty Retail — 1.0%

 

 

 

 

 

 

 

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

 

 

940

 

 

970,550

 

AutoZone, Inc., 7.13%, 8/01/18

 

 

650

 

 

754,194

 

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

 

 

470

 

 

495,850

 

 

 

 

 

 

 

 

 

 

 

 

 

2,220,594

 

Tobacco — 1.3%

 

 

 

 

 

 

 

Altria Group, Inc., 10.20%,
2/06/39 (b)

 

 

2,150

 

 

2,918,947

 

Wireless Telecommunication Services — 1.9%

 

 

 

 

 

 

 

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

 

 

925

 

 

918,701

 

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

 

 

325

 

 

342,062

 

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

 

 

395

 

 

397,469

 

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

 

 

2,500

 

 

2,625,602

 

 

 

 

 

 

 

 

 

 

 

 

 

4,283,834

 

Total Corporate Bonds – 86.7%

 

 

 

 

 

194,245,935

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 3.9%

 

 

 

 

 

 

 

State Street Capital Trust III,
8.25% (c)(g)

 

 

1,385

 

 

1,398,005

 

State Street Capital Trust IV,
1.29%, 6/01/67 (g)

 

 

9,675

 

 

7,453,136

 

 

 

 

 

 

 

 

 

 

 

 

 

8,851,141

 

Commercial Banks — 5.3%

 

 

 

 

 

 

 

ABN AMRO North America Holding
Preferred Capital Repackaging
Trust I, 6.52% (a)(c)(g)

 

 

1,650

 

 

1,460,250

 

CBA Capital Trust I, 5.81% (a)(c)

 

 

2,000

 

 

2,019,708

 

FCB/NC Capital Trust I, 8.05%,
3/01/28

 

 

1,100

 

 

1,092,837

 

NBP Capital Trust III, 7.38% (c)

 

 

2,000

 

 

1,700,000

 

National City Preferred Capital
Trust I, 12.00% (c)(g)

 

 

600

 

 

675,276

 

SunTrust Preferred Capital I,
5.85% (c)(g)

 

 

303

 

 

228,007

 

USB Capital XIII Trust, 6.63%,
12/15/39

 

 

1,725

 

 

1,794,259

 

Westpac Capital Trust IV,
5.26% (a)(c)(g)

 

 

3,000

 

 

2,876,340

 

 

 

 

 

 

 

 

 

 

 

 

 

11,846,677

 


 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

Value

 

Consumer Finance — 0.8%

 

 

 

 

 

 

 

Capital One Capital V, 10.25%,
8/15/39

 

$

1,570

 

$

1,697,563

 

Diversified Financial Services — 4.6%

 

 

 

 

 

 

 

JPMorgan Chase Capital XXI,
Series U, 1.24%, 1/15/87 (g)

 

 

7,125

 

 

5,606,157

 

JPMorgan Chase Capital XXIII,
1.29%, 5/15/77 (g)

 

 

6,190

 

 

4,759,398

 

 

 

 

 

 

 

 

 

 

 

 

 

10,365,555

 

Electric Utilities — 0.4%

 

 

 

 

 

 

 

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

 

 

900

 

 

884,250

 

Insurance — 3.3%

 

 

 

 

 

 

 

AXA SA, 6.38% (a)(c)(g)

 

 

900

 

 

803,250

 

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

 

 

900

 

 

925,875

 

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

 

 

100

 

 

109,000

 

American General Institutional
Capital A, 7.57%, 12/01/45 (a)

 

 

200

 

 

206,000

 

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

 

 

900

 

 

954,000

 

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

 

 

900

 

 

1,156,500

 

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

 

 

900

 

 

891,000

 

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

 

 

900

 

 

849,420

 

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

 

 

1,300

 

 

1,257,366

 

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

 

 

190

 

 

185,731

 

 

 

 

 

 

 

 

 

 

 

 

 

7,338,142

 

Multi-Utilities — 0.4%

 

 

 

 

 

 

 

Puget Sound Energy, Inc., Series A,
6.97%, 6/01/67 (g)

 

 

925

 

 

908,433

 

Oil, Gas & Consumable Fuels — 0.4%

 

 

 

 

 

 

 

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

 

 

900

 

 

902,890

 

Total Capital Trusts – 19.1%

 

 

 

 

 

42,794,651

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Commercial Banks — 0.4%

 

 

 

 

 

 

 

SG Preferred Capital II, 6.30% (c)

 

 

1,000

 

 

910,000

 

Insurance — 2.5%

 

 

 

 

 

 

 

Prudential Plc, 6.50% (c)

 

 

6,000,000

 

 

5,535,000

 

Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings
Corp., 6.30% (a)(e)

 

 

2,052

 

 

—

 

Total Preferred Stocks – 2.9%

 

 

 

 

 

6,445,000

 

Total Preferred Securities – 22.0%

 

 

 

 

 

49,239,651

 

 


 

 

 

4

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011



 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust III (BPP)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 

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

 

$

1,675

 

$

1,661,935

 

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

 

 

825

 

 

832,780

 

Total Taxable Municipal Bonds – 1.1%

 

 

 

 

 

2,494,715

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 

U.S. Treasury Notes, 1.75%,
7/31/15 (b)

 

 

8,235

 

 

8,247,188

 

Total U.S. Treasury Obligations – 3.7%

 

 

 

 

 

8,247,188

 

 


 

 

 

 

 

 

 

 

Warrants (h)

 

Shares

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings
Corp. (Expires 3/26/19) (a)

 

 

2,345

 

 

—

 

Total Warrants – 0.0%

 

 

 

 

 

—

 

Total Long-Term Investments
(Cost – $251,734,553) – 113.5%

 

 

 

 

 

254,227,489

 


 

 

 

 

 

 

 

 


Short-Term Securities

 

 

 

 

 

 

 

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

 

 

1,100,420

 

 

1,100,420

 

Total Short-Term Securities
(Cost – $1,100,420) – 0.5%

 

 

 

 

 

1,100,420

 

Total Investments
(Cost – $252,834,973*) – 114.0%

 

 

 

 

 

255,327,909

 

Liabilities in Excess of Other Assets – (14.0)%

 

 

 

 

 

(31,305,117

)

 

 

 

 

 

Net Assets – 100.0%

 

 

 

 

$

224,022,792

 

 

 

 

 

 


 

 

*

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


 

 

 

 

 

Aggregate cost

 

$

252,372,356

 

 

 

Gross unrealized appreciation

 

$

9,191,751

 

Gross unrealized depreciation

 

 

(6,236,198

)

 

 

Net unrealized appreciation

 

$

2,955,553

 

 

 


 

 

(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)

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

 

 

(c)

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

 

 

(d)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(e)

Non-income producing security.

 

 

(f)

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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America NA

 

$

461,923

 

$

6,155

 

Credit Suisse Securities (USA) LLC

 

$

716,213

 

$

6,213

 

Deutsche Bank Securities, Inc.

 

$

240,000

 

$

—

 

JPMorgan Securities, Inc.

 

$

188,700

 

$

3,700

 

Morgan Stanley Capital Services, Inc.

 

$

655,985

 

$

6,037

 

Pershing LLC

 

$

66,787

 

$

1,260

 


 

 

(g)

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

 

 

(h)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(i)

Investments in companies considered to be an affiliate of the Fund 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
January 31,
2011

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

34,466,527

 

 

(33,366,107

)

 

1,100,420

 

$

6,551

 


 

 

(j)

Represents the current yield as of report date.

 

 

•

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


 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011

5



 

 

 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust III (BPP)


 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counter-party

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

Credit Suisse Securities (USA) LLC

 

0.40

%

 

12/09/10

 

Open

 

$

2,855,568

 

$

2,853,856

 

Deutsche Bank Securities, Inc.

 

0.40

%

 

12/09/10

 

Open

 

 

9,167,844

 

 

9,162,347

 

UBS Securities

 

0.40

%

 

12/29/10

 

Open

 

 

1,502,145

 

 

1,501,594

 

UBS Securities

 

0.38

%

 

1/10/11

 

Open

 

 

1,785,790

 

 

1,785,375

 

Credit Suisse Securities (USA) LLC

 

0.40

%

 

1/26/11

 

Open

 

 

2,069,513

 

 

2,069,375

 

Deutsche Bank Securities, Inc.

 

0.18

%

 

1/26/11

 

Open

 

 

8,276,423

 

 

8,276,175

 

UBS Securities

 

0.38

%

 

1/26/11

 

Open

 

 

1,776,112

 

 

1,776,000

 

UBS Securities

 

0.38

%

 

1/27/11

 

Open

 

 

4,224,473

 

 

4,224,250

 

Total

 

 

 

 

 

 

 

 

$

31,657,868

 

$

31,648,972

 

 

 

 

 

 

 

 

 

 


 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

11

 

30-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

March 2011

 

$

1,383,890

 

$

(57,015

)


 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

50

 

10-Year U.S. Treasury Note

 

Chicago Board of Trade

 

March 2011

 

$

6,038,980

 

$

(864

)


 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

The New York Times Co.

 

1.00%

 

Barclays Bank Plc

 

12/20/16

 

$

1,725

 

$

(33,468

)


 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration Date

 

Issuer
Credit
Rating 1

 

Notional
Amount
(000) 2

 

Unrealized
Appreciation
(Depreciation)

 

MBIA Insurance Corp.

 

5.00%

 

Citibank NA

 

3/20/12

 

CCC

 

$

750

 

$

22,187

 

Assured Guaranty Ltd.

 

5.00%

 

Deutsche Bank AG

 

3/20/16

 

A-

 

$

750

 

 

(12,218

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

9,969

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

Using Standard and Poor’s ratings.

 

 

 

 

2

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


 

 

 

6

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011




 

 

Schedule of Investments (continued)

BlackRock Credit Allocation Income Trust III (BPP)


 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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


The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of January 31, 2011 in determining the fair valuation of the Fund’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation
Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

—

 

$

194,245,935

 

 

—

 

$

194,245,935

 

Preferred Securities

 

 

—

 

 

49,239,651

 

 

—

 

 

49,239,651

 

Taxable Municipal Bonds

 

 

—

 

 

2,494,715

 

 

—

 

 

2,494,715

 

U.S. Treasury Obligations

 

 

—

 

 

8,247,188

 

 

—

 

 

8,247,188

 

Short-Term Securities

 

$

1,100,420

 

 

—

 

 

—

 

 

1,100,420

 

Total

 

$

1,100,420

 

$

254,227,489

 

 

—

 

$

255,327,909

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments 1

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

$

22,187

 

 

—

 

$

22,187

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

—

 

 

(45,686

)

 

—

 

 

(45,686

)

Interest rate contracts

 

$

(57,879

)

 

—

 

 

—

 

 

(57,879

)

Total

 

$

(57,879

)

$

(23,499

)

 

—

 

$

(81,378

)

 

 


 

 

 

 

1

Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are shown at the unrealized appreciation/depreciation on the instrument.


 

 

 

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011

7



 

 

 

 

Schedule of Investments (concluded)

BlackRock Credit Allocation Income Trust III (BPP)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Preferred
Securities

 

Total

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of October 31, 2010

 

$

54,708

 

$

180

 

$

270,532

 

$

325,420

 

Accrued discounts/premiums

 

 

—

 

 

—

 

 

—

 

 

—

 

Net realized gain (loss)

 

 

(1,062,064

)

 

—

 

 

431,796

 

 

(630,268

)

Net change in unrealized appreciation/depreciation 2

 

 

1,129,550

 

 

—

 

 

(97,813

)

 

1,031,737

 

Purchases

 

 

—

 

 

—

 

 

—

 

 

—

 

Sales

 

 

(122,194

)

 

—

 

 

(604,515

)

 

(726,709

)

Transfers in 3

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfers out 3

 

 

—

 

 

(180

)

 

—

 

 

(180

)

 

 

Balance, as of January 31, 2011

 

 

—

 

 

—

 

 

—

 

 

—

 

 

 


 

 

2

The net change in unrealized appreciation/depreciation on securities still held at January 31, 2011 was $0.

3

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


 

 

 

8

BLACKROCK CREDIT ALLOCATION INCOME TRUST III

JANUARY 31, 2011

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 III

   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Credit Allocation Income Trust III
   
  Date: March 25, 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 III
   
  Date: March 25, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Credit Allocation Income Trust III
     
  Date: March 25, 2011
       
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