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 811-05542

 

Name of Fund: BlackRock Income Trust, Inc. (BKT)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Trust, 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: 08/31/2011

 

Date of reporting period: 05/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

 

 

Schedule of Investments May 31, 2011 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

First Franklin Mortgage Loan
Asset-Backed Certificates,
Series 2005-FF2, Class M2,
0.70%, 3/25/35 (a)

 

$

5,890

 

$

5,294,013

 

Freddie Mac Mortgage-Backed
Securities, Series T-11, Class A9,
2.49%, 1/25/28 (a)

 

 

2,484

 

 

2,233,700

 

GSAA Home Equity Trust,
Series 2005-1, Class AF2,
4.32%, 11/25/34 (a)

 

 

415

 

 

416,006

 

Securitized Asset-Backed
Receivables LLC Trust,
Series 2005-OP2, Class M1,
0.69%, 10/25/35 (a)

 

 

1,875

 

 

1,237,676

 

Small Business Administration
Participation Certificates, Class 1:

 

 

 

 

 

 

 

Series 1996-20E, 7.60%,
5/01/16

 

 

180

 

 

191,507

 

Series 1996-20G, 7.70%,
7/01/16

 

 

223

 

 

240,539

 

Series 1996-20H, 7.25%,
8/01/16

 

 

316

 

 

337,943

 

Series 1996-20K, 6.95%,
11/01/16

 

 

492

 

 

526,072

 

Series 1997-20C, 7.15%,
3/01/17

 

 

201

 

 

218,837

 

 

 

 

 

 

 

10,696,293

 

Interest Only Asset-Backed
Securities — 0.2%

 

 

 

 

 

 

 

Small Business Administration,
Series 1, 1.00%, 4/01/15

 

 

1,895

 

 

15,405

 

Sterling Bank Trust, Series 2004- 2,
Class Note, 2.08%, 3/30/30 (b)

 

 

4,830

 

 

313,939

 

Sterling Coofs Trust, Series 1,
2.36%, 4/15/29

 

 

8,376

 

 

609,898

 

 

 

 

 

 

 

939,242

 

Total Asset-Backed Securities – 2.3%

 

 

 

 

 

11,635,535

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage
Obligations — 2.6%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation
Trust, Series 40, Class R, 0.58%,
4/01/18

 

 

—

(c)

 

134

 

Countrywide Alternative Loan
Trust, Series 2005-28CB, Class
1A5, 5.50%, 8/25/35

 

 

1,065

 

 

1,059,907

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

 

Par
(000)

 

 

Value

 

Collateralized Mortgage Obligations
(concluded)

 

 

 

 

 

 

 

Deutsche ALT-A Securities, Inc.
Alternate Loan Trust,
Series 2006-AR5, Class 22A,
5.50%, 10/25/21

 

$

1,099

 

$

1,042,523

 

Homebanc Mortgage Trust,
Series 2005-4, Class A1, 0.46%,
10/25/35 (a)

 

 

3,238

 

 

2,398,621

 

JPMorgan Mortgage Trust,
Series 2006-A7, Class 2A2,
5.63%, 1/25/37 (a)

 

 

434

 

 

334,759

 

Kidder Peabody Acceptance Corp.,
Series 1993-1, Class A6,
16.23%, 8/25/23 (a)

 

 

54

 

 

60,258

 

Residential Funding Securities
LLC, Series 2003-RM2,
Class AI5, 8.50%, 5/25/33

 

 

3,664

 

 

3,928,110

 

Structured Adjustable Rate
Mortgage Loan Trust,
Series 2004-11, Class A, 2.65%,
8/25/34 (a)

 

 

1,403

 

 

1,272,112

 

WaMu Mortgage Pass-Through
Certificates, Series 2006-AR1,
Class 2A1C, 1.38%, 1/25/46 (a)

 

 

5,166

 

 

2,745,345

 

 

 

 

 

 

 

12,841,769

 

Commercial Mortgage-Backed
Securities — 1.0%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital
Certificates, Series 2007-C2,
Class A3, 5.54%, 1/15/49 (a)

 

 

2,420

 

 

2,579,331

 

First Union-Lehman Brothers
Commercial Mortgage,
Series 1997-C2, Class D, 7.12%,
11/18/29

 

 

2,283

 

 

2,406,643

 

 

 

 

 

 

 

4,985,974

 

Interest Only Collateralized
Mortgage Obligations — 1.1%

 

 

 

 

 

 

 

Bank of America Mortgage
Securities, Inc., Series 2003-3,
Class 1AIO, 0.29%, 5/25/18 (a)

 

 

89,647

 

 

711,272

 

CitiMortgage Alternative Loan
Trust, Series 2007-A5,
Class 1A7, 6.00%, 5/25/37

 

 

1,016

 

 

96,613

 

Collateralized Mortgage Obligation
Trust, Series 42, Class R,
6,000.00%, 10/01/14

 

 

—

(c)

 

326

 

First Boston Mortgage Securities
Corp., Series C, Class I-O,
10.97%, 4/25/17

 

 

27

 

 

3,994

 

 

 

Portfolio Abbreviation


 

 

LIBOR

London InterBank Offered Rate


 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011

1


 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)
 (Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

GSMPS Mortgage Loan Trust,
Series 1998-5, Class IO, 0.97%,
6/19/27 (a)(b)

 

$

4,957

 

$

126,014

 

IndyMac INDX Mortgage Loan
Trust, Series 2006-AR33, Class
4AX, 0.17%, 1/25/37

 

 

108,815

 

 

544,077

 

MASTR Adjustable Rate Mortgages
Trust, Series 2004-3, Class 3AX,
0.98%, 4/25/34

 

 

12,888

 

 

144,990

 

MASTR Alternative Loans Trust,
Series 2003-9, Class 15X2,
6.00%, 1/25/19

 

 

639

 

 

86,916

 

Morgan Stanley Mortgage Loan
Trust, Series 2004-3, Class 1AX,
5.00%, 5/25/19

 

 

669

 

 

72,642

 

Sequoia Mortgage Trust,
Series 2005-2, Class XA, 1.00%,
3/20/35 (a)

 

 

40,078

 

 

651,265

 

Structured Adjustable Rate Mortgage
Loan Trust:

 

 

 

 

 

 

 

Series 2005-20, Class 3AX,
5.50%, 10/25/35

 

 

1,231

 

 

136,989

 

Series 2006-7, Class 3AS,
2.37%, 8/25/36 (a)

 

 

29,031

 

 

3,048,225

 

Vendee Mortgage Trust,
Series 1999-2, Class 1IO,
0.05%, 5/15/29 (a)

 

 

57,962

 

 

101,973

 

 

 

 

 

 

 

5,725,296

 

 

 

 

 

 

 

 

 

Interest Only Commercial
Mortgage-Backed Securities — 0.0%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities
Corp., Series 1997-C1,
Class AX, 1.67%, 6/20/29 (a)(b)

 

 

2,955

 

 

92,800

 

Morgan Stanley Capital I, Series
1997-HF1, Class X, 3.44%,
7/15/29 (a)(b)

 

 

17

 

 

4

 

 

 

 

 

 

 

92,804

 

Principal Only Collateralized
Mortgage Obligations — 0.8%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage
Pass-Through Trust, Class PO:

 

 

 

 

 

 

 

Series 2003-26, 8/25/33

 

 

2,010

 

 

1,588,884

 

Series 2003-J4, 6/25/33

 

 

364

 

 

283,791

 

Series 2003-J5, 7/25/33

 

 

583

 

 

461,457

 

Series 2003-J8, 9/25/23

 

 

447

 

 

367,621

 

Drexel Burnham Lambert CMO Trust,
Class 1:

 

 

 

 

 

 

 

Series K, 9/23/17

 

 

10

 

 

9,408

 

Series V, 9/01/18

 

 

45

 

 

42,675

 

MASTR Asset Securitization Trust,
Series 2004-3, Class 4A15,
3/25/34

 

 

81

 

 

73,435

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Principal Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Residential Asset Securitization
Trust, Series 2005-A15, Class
1A8, 2/25/36

 

$

930

 

$

610,158

 

Structured Mortgage Asset
Residential Trust,
Series 1993-3C, Class CX,
4/25/24

 

 

8

 

 

5,612

 

Washington Mutual Alternative
Mortgage Pass-Through
Certificates, Series 2005-9,
Class CP, 11/25/35

 

 

617

 

 

444,917

 

 

 

 

 

 

 

3,887,958

 

Total Non-Agency Mortgage-Backed
Securities – 5.5%

 

 

 

 

 

27,533,801

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

 

 

 

 

 

 

Agency Obligations — 2.4%

 

 

 

 

 

 

 

Federal Housing Administration,
General Motors Acceptance
Corp. Projects, Series 56, 7.43%,
11/01/22

 

 

223

 

 

222,735

 

Federal Housing Administration,
Merrill Projects, Series 54,
7.43%, 5/15/23

 

 

2

 

 

2,028

 

Federal Housing Administration,
Reilly Project, Series 41, 8.28%,
3/01/20

 

 

584

 

 

584,248

 

Federal Housing Administration, USGI
Projects:

 

 

 

 

 

 

 

Series 87, 7.43%, 12/01/22

 

 

67

 

 

67,499

 

Series 99, 7.43%, 6/01/21

 

 

4,514

 

 

4,514,316

 

Series 99, 7.43%, 10/01/23

 

 

42

 

 

41,805

 

Series 99, 7.43%, 10/01/23

 

 

124

 

 

123,517

 

Freddie Mac, 3.53%, 9/30/19

 

 

1,115

 

 

1,132,588

 

Resolution Funding Corp., 9.89%,
4/15/30 (d)

 

 

13,000

 

 

5,593,991

 

 

 

 

 

 

 

12,282,727

 

Collateralized Mortgage
Obligations — 12.6%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 1991-46, Class S,
1.40%, 5/25/21 (a)

 

 

100

 

 

5,907

 

Series 1991-87, Class S,
26.02%, 8/25/21 (a)

 

 

57

 

 

88,051

 

Series 1993-247, Class SN,
10.00%, 12/25/23 (a)

 

 

437

 

 

494,801

 

Series 2003-32, Class VT,
6.00%, 9/25/15

 

 

4,256

 

 

4,359,401

 

Series 2003-135, Class PB,
6.00%, 1/25/34

 

 

12,264

 

 

13,832,862

 

Series 2004-29, Class HC,
7.50%, 7/25/30

 

 

589

 

 

621,879

 

 

 

 
     

 

2

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011



 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2004-31, Class ZG,
7.50%, 5/25/34

 

$

3,113

 

$

3,731,649

 

Series 2005-73, Class DS,
17.00%, 8/25/35 (a)

 

 

3,258

 

 

4,035,042

 

Series 2006-2, Class KP,
6.50%, 2/25/35 (a)

 

 

203

 

 

193,595

 

Series G-7, Class S, 116.20%,
3/25/21 (a)

 

 

—

(c)

 

3,770

 

Series G-17, Class S, 0.58%,
6/25/21 (a)

 

 

275

 

 

5,134

 

Series G-33, Class PV, 1.08%,
10/25/21

 

 

316

 

 

6,556

 

Series G-49, Class S, 8.80%,
12/25/21 (a)

 

 

—

(c)

 

1,535

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 19, Class F, 8.50%,
3/15/20

 

 

97

 

 

106,496

 

Series 19, Class R, 9.76%,
3/15/20 (a)

 

 

9

 

 

1,534

 

Series 40, Class K, 6.50%,
8/17/24

 

 

378

 

 

433,857

 

Series 75, Class R, 9.50%,
1/15/21

 

 

—

(c)

 

3

 

Series 75, Class RS, 22.99%,
1/15/21 (a)

 

 

—

(c)

 

3

 

Series 173, Class R, 9.00%,
11/15/21

 

 

14

 

 

14

 

Series 173, Class RS, 9.18%,
11/15/21 (a)

 

 

—

(c)

 

15

 

Series 192, Class U, 1.01%,
2/15/22 (a)

 

 

3

 

 

58

 

Series 1057, Class J, 1.01%,
3/15/21

 

 

99

 

 

2,099

 

Series 1160, Class F, 39.10%,
10/15/21 (a)

 

 

20

 

 

39,239

 

Series 1961, Class H, 6.50%,
5/15/12

 

 

—

(c)

 

161

 

Series 2218, Class Z, 8.50%,
3/15/30

 

 

5,638

 

 

6,543,133

 

Series 2542, Class UC, 6.00%,
12/15/22

 

 

8,780

 

 

9,660,877

 

Series 2758, Class KV, 5.50%,
5/15/23

 

 

9,606

 

 

10,698,816

 

Series 2861, Class AX,
10.50%, 9/15/34 (a)

 

 

254

 

 

279,758

 

Series 2927, Class BZ, 5.50%,
2/15/35

 

 

2,924

 

 

3,302,637

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 1996-5, Class Z,
7.00%, 5/16/26

 

 

581

 

 

637,634

 

Series 2001-33, Class PB,
6.50%, 7/20/31

 

 

957

 

 

998,967

 

Series 2004-89, Class PE,
6.00%, 10/20/34

 

 

3,392

 

 

3,741,263

 

 

 

 

 

 

 

63,826,746

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Federal Deposit Insurance
Corporation Guaranteed — 0.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc., 1.88%,
10/22/12

 

$

3,800

 

$

3,881,164

 

Interest Only Collateralized
Mortgage Obligations — 5.2%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%,
4/01/17

 

 

5

 

 

759

 

Series 89, Class 2, 8.00%,
10/01/18

 

 

8

 

 

1,151

 

Series 94, Class 2, 9.50%,
8/01/21

 

 

3

 

 

602

 

Series 1990-123, Class M,
1,009.50%, 10/25/20

 

 

—

(c)

 

513

 

Series 1990-136, Class S,
0.02%, 11/25/20 (a)

 

 

13,026

 

 

18,078

 

Series 1991-99, Class L,
930.00%, 8/25/21

 

 

—

(c)

 

2,544

 

Series 1991-139, Class PT,
648.35%, 10/25/21

 

 

—

(c)

 

3,785

 

Series 1993-199, Class SB,
2.63%, 10/25/23 (a)

 

 

847

 

 

101,802

 

Series 1996-68, Class SC,
2.26%, 1/25/24 (a)

 

 

536

 

 

35,413

 

Series 1997-50, Class SI,
1.20%, 4/25/23 (a)

 

 

365

 

 

14,079

 

Series 1997-90, Class M,
6.00%, 1/25/28

 

 

6,416

 

 

1,458,836

 

Series 1999-W4, Class IO,
6.50%, 12/25/28

 

 

380

 

 

84,790

 

Series 2005-43, Class IC,
6.00%, 3/25/34

 

 

11

 

 

1,183

 

Series G-10, Class S,
575.46%, 5/25/21 (a)

 

 

1

 

 

12,739

 

Series G-12, Class S,
608.14%, 5/25/21 (a)

 

 

—

(c)

 

7,857

 

Series G-50, Class G,
1,158.63%, 12/25/21

 

 

—

(c)

 

412

 

Series G92-5, Class H, 9.00%,
1/25/22

 

 

90

 

 

13,583

 

Series G92-12, Class C,
1,016.90%, 2/25/22

 

 

—

(c)

 

4,820

 

Series G92-60, Class SB,
1.60%, 10/25/22 (a)

 

 

269

 

 

13,256

 

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 2010-75, Class PI,
4.50%, 12/25/36

 

 

29,683

 

 

4,166,450

 

Series 2010-126, Class UI,
5.50%, 10/25/40

 

 

23,112

 

 

4,304,780

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 176, Class M,
1,010.00%, 7/15/21

 

 

—

(c)

 

664

 

Series 200, Class R,
98,522.81%, 12/15/22 (a)

 

 

—

(c)

 

15

 

Series 1043, Class H, 0.02%,
2/15/21 (a)

 

 

8,696

 

 

17,463

 

Series 1054, Class I,
435.32%, 3/15/21 (a)

 

 

—

(c)

 

1,318

 

 

 

 
     

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

Series 1056, Class KD, 1.08%,
3/15/21

 

$

62

 

$

1,280

 

Series 1148, Class E,
592.55%, 10/15/21 (a)

 

 

—

(c)

 

4,292

 

Series 1914, Class PC, 0.75%,
12/15/11

 

 

76

 

 

92

 

Series 2545, Class NI, 5.50%,
3/15/22

 

 

224

 

 

5,327

 

Series 2559, Class IO, 5.00%,
8/15/30 (a)

 

 

213

 

 

2,236

 

Series 2611, Class QI, 5.50%,
9/15/32

 

 

4,119

 

 

557,220

 

Series 2949, Class IO, 5.50%,
3/15/35

 

 

715

 

 

79,958

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 3744, Class PI, 4.00%,
6/15/39

 

 

21,711

 

 

3,908,411

 

Series 3745, Class IN, 4.00%,
1/15/35

 

 

49,430

 

 

7,047,190

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 2010-91, Class LI,
4.50%, 6/20/39

 

 

17,722

 

 

2,046,042

 

Series 2010-101, Class YT,
2.00%, 8/16/13

 

 

62,761

 

 

2,384,149

 

 

 

 

 

 

 

26,303,089

 

Mortgage-Backed
Securities — 125.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

4.00%, 1/01/41 - 6/15/41 (e)

 

 

31,707

 

 

31,966,517

 

4.50%, 8/01/25 - 5/01/40 (f)(g)

 

 

213,093

 

 

222,412,005

 

5.00%, 1/01/23 - 6/15/41 (e)(f)(g)

 

 

124,493

 

 

132,937,748

 

5.50%, 6/15/26 - 6/15/40 (e)(f)(g)

 

 

139,855

 

 

152,101,791

 

5.97%, 8/01/16

 

 

3,063

 

 

3,461,380

 

6.00%, 6/15/41 (e)

 

 

21,800

 

 

23,976,599

 

6.50%, 6/15/41 (e)

 

 

49,900

 

 

56,348,028

 

7.50%, 2/01/22

 

 

—

(c)

 

124

 

9.50%, 1/01/19 - 9/01/19

 

 

3

 

 

2,974

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

2.61%, 1/01/35 (a)

 

 

204

 

 

205,721

 

4.51%, 11/01/17 (a)

 

 

18

 

 

19,290

 

4.98%, 10/01/34 (a)

 

 

537

 

 

563,766

 

5.00%, 2/01/22 - 4/01/22 (g)

 

 

1,248

 

 

1,344,663

 

5.50%, 6/15/26 (e)

 

 

7,000

 

 

7,576,408

 

9.00%, 9/01/20 (g)

 

 

57

 

 

64,613

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

7.50%, 8/15/21 - 12/15/23

 

 

249

 

 

288,556

 

8.00%, 10/15/22 - 2/15/29

 

 

90

 

 

106,265

 

9.00%, 6/15/18 - 9/15/21

 

 

8

 

 

10,069

 

 

 

 

 

 

 

633,386,517

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Principal Only Collateralized
Mortgage Obligations — 0.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

$

22

 

$

19,736

 

Series 228, Class 1, 6/01/23

 

 

14

 

 

13,523

 

Series 1991-7, Class J,
2/25/21

 

 

20

 

 

17,744

 

Series 1993-51, Class E,
2/25/23

 

 

73

 

 

66,158

 

Series 1993-70, Class A,
5/25/23

 

 

11

 

 

9,703

 

Series 1999-W4, Class PO,
2/25/29

 

 

188

 

 

162,150

 

Series 2002-13, Class PR,
3/25/32

 

 

417

 

 

354,501

 

Series G93-2, Class KB,
1/25/23

 

 

173

 

 

150,091

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 1418, Class M,
11/15/22

 

 

76

 

 

71,053

 

Series 1571, Class G,
8/15/23

 

 

446

 

 

386,639

 

Series 1691, Class B,
3/15/24

 

 

1,052

 

 

922,956

 

Series 1739, Class B,
2/15/24

 

 

48

 

 

47,515

 

Series T-8, Class A10,
11/15/28

 

 

144

 

 

144,219

 

 

 

 

 

 

 

2,365,988

 

Total U.S. Government Sponsored
Agency Securities – 146.9%

 

 

 

 

 

742,046,231

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 

U.S. Treasury Bonds:

 

 

 

 

 

 

 

6.25%, 8/15/23 (f)

 

 

3,320

 

 

4,273,464

 

4.38%, 5/15/40 (f)

 

 

36,985

 

 

37,973,239

 

4.25%, 11/15/40 (g)(h)

 

 

8,985

 

 

9,024,309

 

4.75%, 2/15/41 (f)

 

 

11,235

 

 

12,265,463

 

4.38%, 5/15/41

 

 

5,535

 

 

5,681,179

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

2.13%, 2/29/16 (f)

 

 

2,540

 

 

2,604,493

 

1.75%, 5/31/16 (f)

 

 

10

 

 

10,030

 

2.38%, 5/31/18 (f)

 

 

3,410

 

 

3,409,455

 

2.63%, 8/15/20

 

 

1,455

 

 

1,418,285

 

3.13%, 5/15/21 (f)

 

 

20,135

 

 

20,264,065

 

4.50%, 8/15/39 (g)

 

 

330

 

 

346,500

 

Total U.S. Treasury Obligations – 19.3%

 

 

 

 

 

97,270,482

 

Total Long-Term Investments
(Cost – $868,478,567) – 174.0%

 

 

 

 

 

878,486,049

 

 

 

 

 

 

 

 

 

 

 

 

 
     

 

4

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011



 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

Money Market Fund — 0.5%

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.10% (i)(j)

 

 

2,228,312

 

$

2,228,312

 

 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

 

Borrowed Bond Agreements — 1.5%

 

 

 

 

 

 

 

BNP Paribas SA:

 

 

 

 

 

 

 

0.08%, 2/15/14

 

$

929

 

 

926,900

 

0.04%, 2/29/16

 

 

6,811

 

 

6,810,775

 

 

 

 

 

 

 

7,737,675

 

Total Short-Term Securities
(Cost – $9,965,987) – 2.0%

 

 

 

 

 

9,965,987

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Call Options — 0.0%

 

 

 

 

 

 

 

Ten-Year U.S. Treasury Note, Strike
Price USD 121.50, Expires
8/26/11

 

 

75

 

 

155,859

 

Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Eurodollar 1-Year Mid-Curve Options,
Strike Price USD 98.25, Expires
9/16/11

 

 

247

 

 

9,263

 

Five-Year U.S. Treasury Note, Strike
Price USD 117.00, Expires
8/26/11

 

 

137

 

 

38,531

 

Ten-Year U.S. Treasury Note, Strike
Price USD 121.50, Expires
8/26/11

 

 

75

 

 

72,656

 

 

 

 

 

 

 

120,450

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — 0.2%

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and
pay a floating rate based on
3-month LIBOR, Expires 5/08/12,
Broker Bank of America NA

 

$

6,200

 

 

1,011,010

 

Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Pay a fixed rate of 5.47% and receive
a floating rate based on 3- month
LIBOR, Expires 5/08/12, Broker
Bank of America NA

 

 

6,200

 

 

15,227

 

Total Options Purchased
(Cost – $961,931) – 0.2%

 

 

 

 

 

1,302,546

 

Total Investments Before Borrowed
Bonds, TBA Sale Commitments and
Options Written
(Cost – $879,406,485*) – 176.2%

 

 

 

 

 

889,754,582

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

Par
(000)

 

Value

 

U.S. Treasury Note:

 

 

 

 

 

 

 

1.25% 2/15/14

 

$

920

 

$

(934,015

)

2.13% 2/29/16

 

 

9,385

 

 

(9,623,295

)

Total Borrowed Bonds
(Proceeds – $10,239,321) - (2.1)%

 

 

 

 

 

(10,557,310

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (e)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

4.50%, 8/01/25 - 5/01/40

 

 

17,800

 

 

(18,864,355

)

5.00%, 1/01/23 - 6/15/41

 

 

1,400

 

 

(1,501,063

)

Freddie Mac Mortgage-Backed
Securities, 5.00%,
2/01/22 - 4/01/22

 

 

1,200

 

 

(1,285,500

)

Total TBA Sale Commitments
(Proceeds – $21,534,750) – (4.3)%

 

 

 

 

 

(21,650,918

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

 

 

Exchange-Traded Call Options — (0.1)%

 

 

 

 

 

 

 

Long-Term U.S. Treasury Bond, Strike
Price USD 124.00, Expires
8/26/11

 

 

45

 

 

(129,375

)

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

Long-Term U.S. Treasury Bond, Strike
Price USD 124.00, Expires
8/26/11

 

 

45

 

 

(91,406

)

Eurodollar 1-Year Mid-Curve Options,
Strike Price USD 97.75, Expires
9/16/11

 

 

247

 

 

(1,544

)

 

 

 

 

 

 

(92,950

)

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — (0.2)%

 

 

 

 

 

 

 

Pay a fixed rate of 5.33% and receive
a floating rate based on 3- month
LIBOR, Expires 7/17/13, Broker
JPMorgan Chase Bank NA

 

$

11,100

 

 

(1,019,342

)

Over-the-Counter Put Swaptions — (0.0)%

 

 

 

 

 

 

 

Receive a fixed rate of 5.33% and
pay a floating rate based on
3-month LIBOR, Expires 7/17/13,
Broker JPMorgan Chase Bank NA

    

 

11,100

 

 

(86,466

)

Total Options Written
(Premiums Received – $1,023,053) – (0.3)%

          

(1,328,133

)

 

 

 
     

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

Total Investments, Net of Borrowed Bonds, TBA Sale
Commitments and Options Written –169.5%

 

$

856,218,221

 

Liabilities in Excess of Other Assets – (69.5)%

 

 

(351,166,066

)

Net Assets – 100.0%

 

$

505,052,155

 

 

 

 

 

 

*

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


 

 

 

 

 

Aggregate cost

 

$

879,683,659

 

Gross unrealized appreciation

 

$

28,109,206

 

Gross unrealized depreciation

 

 

(18,038,283

)

Net unrealized appreciation

 

$

10,070,923

 

 

 

(a)

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

 

 

(b)

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

 

 

(c)

Amount is less than $1,000.

 

 

(d)

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

 

 

(e)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows.

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 

Citigroup Global Market, Inc.

 

$

56,348,028

 

$

467,825

 

 

Credit Suisse International

 

$

34,574,100

 

$

152,444

 

 

Deutsche Bank Securities, Inc.

 

$

52,702,037

 

$

297,990

 

 

Greenwich Financial Services

 

$

4,771,937

 

$

2,061

 

 

JPMorgan Chase Securities, Inc.

 

$

(1,285,500

)

$

(9,000

)

 

Morgan Stanley & Co., Inc.

 

$

60,669,375

 

$

478,711

 

 

Nomura Securities
International, Inc.

 

$

(311,625

)

$

(2,062

)

 

UBS Securities

 

$

(18,552,730

)

$

(98,433

)

 

 

(f)

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

 

 

(g)

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

 

 

(h)

All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

 

 

(i)

Investments in companies considered to be an affiliate of the 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
August 31,
2010

 

Net
Activity

 

Shares
Held at
May 31, 2011

 

Income

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

857,657

 

 

1,370,655

 

 

2,228,312

 

$

9,488

 

 

 

(j)

Represents the current yield as of report date.


 

 

 
     

 

6

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011



 

 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

Interest rate floors outstanding as of May 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Pay to broker the difference between 3-month LIBOR and a floor of 5.50%

 

 

 

 

 

 

 

 

 

 

Broker Citibank NA

 

 

 

 

 

 

 

 

 

 

Expires 9/15/11

 

$

23,000

 

 

(612,789

)

 

(171,956

)

 

Total

 

 

 

$

(612,789

)

$

(171,956

)

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date1

 

Net
Closing
Amount

 

Face
Amount

 

Barclays Capital, Inc.

 

 

0.03

%

 

5/03/11

 

 

Open

 

$

4,228,952

 

$

4,228,850

 

Credit Suisse
Securities (USA) LLC

 

 

0.03

%

 

5/05/11

 

 

Open

 

 

8,270,186

 

 

8,270,000

 

Bank of America, Inc.

 

 

0.05

%

 

5/06/11

 

 

Open

 

 

29,783,163

 

 

29,782,088

 

BNP Paribas

 

 

0.14

%

 

5/12/11

 

 

6/13/11

 

 

97,059,455

 

 

97,047,000

 

Credit Suisse
Securities (USA) LLC

 

 

(0.37

%)

 

5/26/11

 

 

6/15/11

 

 

9,985,344

 

 

9,987,500

 

Credit Suisse
Securities (USA) LLC

 

 

(0.33

%)

 

5/27/11

 

 

6/15/11

 

 

7,033,710

 

 

7,035,000

 

BNP Paribas

 

 

0.21

%

 

5/31/11

 

 

6/01/11

 

 

3,074,036

 

 

3,074,000

 

Credit Suisse
Securities (USA) LLC

 

 

0.12

%

 

5/31/11

 

 

6/01/11

 

 

4,817,045

 

 

4,817,012

 

Credit Suisse
Securities (USA) LLC

 

 

0.15

%

 

5/31/11

 

 

6/01/11

 

 

12,218,164

 

 

12,218,063

 

Deutsche Bank, NA

 

 

0.10

%

 

5/31/11

 

 

6/01/11

 

 

10,000

 

 

10,000

 

Deutsche Bank, NA

 

 

0.15

%

 

5/31/11

 

 

6/01/11

 

 

6,360,053

 

 

6,360,000

 

Total

 

 

 

 

 

 

 

 

 

 

$

182,840,108

 

$

182,829,513

 

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

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

160

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

June 2011

 

$

39,807,490

 

$

87,510

 

9

 

 

5-Year U.S. Treasury Note
30-Year

 

 

Chicago Board of Trade

 

 

September 2011

 

 

1,071,186

 

 

1,080

 

47

 

 

U.S. Treasury Bond

 

 

Chicago Board of Trade

 

 

September 2011

 

 

6,038,042

 

 

27,895

 

157

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

September 2011

 

 

39,009,132

 

 

111,343

 

143

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

March 2012

 

 

35,392,106

 

 

182,719

 

210

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

June 2012

 

 

51,927,778

 

 

236,222

 

169

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

September 2012

 

 

41,654,315

 

 

234,448

 

98

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

December 2012

 

 

24,020,745

 

 

207,306

 

70

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

March 2013

 

 

17,115,955

 

 

147,795

 

41

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

June 2013

 

 

10,064,775

 

 

21,225

 

90

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

September 2013

 

 

21,943,335

 

 

139,290

 

57

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

December 2013

 

 

13,823,094

 

 

124,093

 

26

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

March 2014

 

 

6,289,522

 

 

56,429

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,577,355

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011

7


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

242

 

 

2-Year U.S. Treasury Note

 

 

Chicago Board of Trade

 

 

September 2011

 

$

53,022,481

 

$

(20,894

)

12

 

 

10-Year U.S. Treasury Note

 

 

Chicago Board of Trade

 

 

June 2011

 

 

1,484,321

 

 

(4,054

)

1,701

 

 

10-Year U.S. Treasury Note

 

 

Chicago Board of Trade

 

 

September 2011

 

 

207,485,697

 

 

(1,072,850

)

128

 

 

30-Year U.S. Treasury Bond

 

 

Chicago Board of Trade

 

 

September 2011

 

 

15,947,525

 

 

(32,475

)

151

 

 

90 Day Euro-Dollar

 

 

Chicago Mercantile

 

 

December 2011

 

 

37,380,401

 

 

(218,599

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(1,348,872

)

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating Rate

 

Counterparty

 

Expiration Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

1.45% (a)

 

 

3-month LIBOR

 

 

JPMorgan Chase Bank NA

 

 

7/29/11

 

$

20,000

 

$

(37,866

)

0.83% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

7/27/12

 

 

34,800

 

 

(172,013

)

4.88% (b)

 

 

3-month LIBOR

 

 

UBS AG

 

 

3/21/15

 

 

25,000

 

 

3,212,628

 

4.87% (b)

 

 

3-month LIBOR

 

 

Goldman Sachs & Co.

 

 

1/25/16

 

 

5,500

 

 

764,220

 

2.81% (b)

 

 

3-month LIBOR

 

 

Citibank NA

 

 

2/06/16

 

 

20,000

 

 

916,672

 

5.72% (b)

 

 

3-month LIBOR

 

 

JPMorgan Chase Bank NA

 

 

7/14/16

 

 

5,400

 

 

1,000,529

 

5.51% (b)

 

 

3-month LIBOR

 

 

Bank of America NA

 

 

8/03/17

 

 

95,147

 

 

17,704,858

 

5.88% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank Securities, Inc.

 

 

6/25/18

 

 

31,930

 

 

(6,451,199

)

4.55% (a)

 

 

3-month LIBOR

 

 

Citibank NA

 

 

9/26/18

 

 

41,600

 

 

(5,382,464

)

4.31% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank Securities, Inc.

 

 

10/01/18

 

 

66,000

 

 

(7,488,838

)

3.09% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

3/09/19

 

 

25,700

 

 

(634,153

)

3.17% (b)

 

 

3-month LIBOR

 

 

Bank of America NA

 

 

3/18/19

 

 

4,700

 

 

139,186

 

2.88% (b)

 

 

3-month LIBOR

 

 

Deutsche Bank Securities, Inc.

 

 

4/01/19

 

 

39,700

 

 

332,767

 

3.23% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

5/19/19

 

 

2,800

 

 

(89,725

)

3.90% (a)

 

 

3-month LIBOR

 

 

Barclays Bank Plc

 

 

6/05/19

 

 

20,000

 

 

(1,623,088

)

3.55% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

8/18/19

 

 

15,000

 

 

(933,310

)

5.49% (a)

 

 

3-month LIBOR

 

 

JPMorgan Chase Bank NA

 

 

10/28/19

 

 

1,400

 

 

(235,398

)

3.67% (b)

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

12/21/19

 

 

2,000

 

 

117,982

 

5.67% (a)

 

 

3-month LIBOR

 

 

Citigroup Global Markets, Inc.

 

 

1/06/20

 

 

12,400

 

 

(2,117,070

)

3.88% (b)

 

 

3-month LIBOR

 

 

Morgan Stanley Capital Services, Inc.

 

 

1/07/20

 

 

7,600

 

 

572,510

 

3.71% (a)

 

 

3-month LIBOR

 

 

Deutsche Bank AG

 

 

2/11/20

 

 

6,200

 

 

(376,373

)

3.73% (b)

 

 

3-month LIBOR

 

 

Morgan Stanley Capital Services, Inc.

 

 

5/05/20

 

 

28,000

 

 

1,689,111

 

3.43% (b)

 

 

3-month LIBOR

 

 

JPMorgan Chase Bank NA

 

 

3/28/21

 

 

7,000

 

 

504,344

 

5.41% (b)

 

 

3-month LIBOR

 

 

JPMorgan Chase Bank NA

 

 

8/15/22

 

 

9,565

 

 

1,948,147

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,361,457

 

 

 

(a)

Pays a fixed interest rate and receives floating rate.

 

 

(b)

Pays floating interest rate and receives fixed rate.

 

 

•

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. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.


 

 

 
     

 

 

 

8

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011


 

 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are summarized 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 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 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.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

10,696,293

 

$

939,242

 

$

11,635,535

 

Non-Agency Mortgage-Backed Securities

 

 

—

 

 

22,667,424

 

 

4,866,377

 

 

27,533,801

 

U.S. Government Sponsored Agency Securities

 

 

—

 

 

736,488,499

 

 

5,557,732

 

 

742,046,231

 

U.S. Treasury Obligations

 

 

—

 

 

97,270,482

 

 

—

 

 

97,270,482

 

Short-Term Securities

 

$

2,228,312

 

 

—

 

 

—

 

 

2,228,312

 

Borrowed Bond Agreements

 

 

—

 

 

7,737,675

 

 

—

 

 

7,737,675

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

—

 

 

(10,557,310

)

 

—

 

 

(10,557,310

)

TBA Sale Commitments

 

 

—

 

 

(21,650,918

)

 

—

 

 

(21,650,918

)

Total

 

$

2,228,312

 

$

842,652,145

 

$

11,363,351

 

$

856,243,808

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivatives Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

1,853,664

 

$

29,929,191

 

 

—

 

$

31,782,855

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(1,571,197

)

 

(27,260,094

)

 

—

 

 

(28,831,291

)

Total

 

$

282,467

 

$

2,669,097

 

 

—

 

$

2,951,564

 

 

 

1

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

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2011

9


 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asst-Backed
Securities

 

Non-Agency
Mortgage-
Backed
Securities

 

U.S. Government
Sponsored Agency
Securities

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2010

 

$

1,261,564

 

$

8,085,631

 

$

5,750,715

 

$

15,097,910

 

Accrued discounts/premiums

 

 

(232,132

)

 

(208,654

)

 

(11,208

)

 

(451,994

)

Net realized gain (loss)

 

 

(143,475

)

 

1,583

 

 

(10,157

)

 

(152,049

)

Net change in unrealized appreciation/depreciation2

 

 

58,907

 

 

1,371,542

 

 

79,332

 

 

1,509,781

 

Purchases

 

 

—

 

 

—

 

 

—

 

 

—

 

Sales

 

 

(5,622

)

 

(2,214,977

)

 

(250,950

)

 

(2,471,549

)

Transfers in3

 

 

—

 

 

—

 

 

—

 

 

 

 

Transfers out3

 

 

—

 

 

(2,168,748

)

 

—

 

 

(2,168,748

)

Balance, as of May 31, 2011

 

$

939,242

 

$

4,866,377

 

$

5,557,732

 

$

11,363,351

 

 

 

2

The net change in unrealized appreciation/depreciation on the securities still held at May 31, 2011 was $173,854.

 

 

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

 

 

 

 

 

 

 

 

 

Total

 

Balance, as of August 31, 2010

 

$

(3,446,023

)

Accrued discounts/ premium

 

 

572,500

 

Net realized gain (loss)

 

 

166,000

 

Net change in unrealized appreciation/depreciation4

 

 

2,707,523

 

Purchases

 

 

—

 

Issuances

 

 

—

 

Sales

 

 

—

 

Settlements

 

 

—

 

Transfers in5

 

 

—

 

Transfers out5

 

 

—

 

Balance, as of May 31, 2011

 

$

—

 

 

 

4

The change in unrealized appreciation/depreciation on derivative financial instruments still held at May 31, 2011 was $(3,280,023).

 

 

5

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.

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

 

 

 
     

 

 

 

10

BLACKROCK INCOME TRUST, INC.

MAY 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 Income Trust, Inc.

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Income Trust, Inc.
   
  Date: July 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 Income Trust, Inc.
   
  Date: July 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Income Trust, Inc.
     
  Date: July 26, 2011