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: Donald C. Burke, Chief Executive Officer, BlackRock Income Trust, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2009
Date of reporting period: 05/31/2009
Item 1 – Schedule of Investments
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BlackRock Income Trust, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Asset-Backed Securities |
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Par |
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Value |
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Chase Issuance Trust Series 2007-A11 Class A11, 0.344%, 7/16/12 (a)(b) |
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$ |
3,500 |
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$ |
3,459,697 |
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First Franklin Mortgage Loan Asset Backed Certificates Series 2005-FF2 Class M2, 0.749%, 3/25/35 (a) |
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5,890 |
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1,884,800 |
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GSAA Home Equity Trust Series 2005-1 Class AF2, 4.316%, 11/25/34 (a) |
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2,839 |
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2,576,033 |
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Securitized Asset Backed Receivables LLC Trust Series 2005-OP2 Class M1, 0.739%, 10/25/35 (a) |
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1,875 |
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649,688 |
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Small Business Administration Participation Certificates Series 1996-20E Class 1, 7.60%, 5/01/16 |
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390 |
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421,675 |
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Small Business Administration Participation Certificates Series 1996-20F Class 1, 7.55%, 6/01/16 |
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481 |
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510,687 |
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Small Business Administration Participation Certificates Series 1996-20G Class 1, 7.70%, 7/01/16 |
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354 |
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385,062 |
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Small Business Administration Participation Certificates Series 1996-20H Class 1, 7.25%, 8/01/16 |
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580 |
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629,550 |
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Small Business Administration Participation Certificates Series 1996-20K Class 1, 6.95%, 11/01/16 |
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821 |
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870,589 |
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Small Business Administration Participation Certificates Series 1997-20C Class 1, 7.15%, 3/01/17 |
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362 |
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393,262 |
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Sterling Bank Trust Series 2004-2 Class Note, 2.081%, 3/30/30 (c) |
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7,007 |
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483,942 |
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Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (c) |
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10,981 |
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1,043,169 |
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Total Asset-Backed Securities - 3.0% |
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13,308,154 |
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Industry |
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Corporate Bonds |
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Diversified Financial Services - 0.2% |
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Structured Asset Repackaged Trust, 1.602%, 1/21/10 |
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881 |
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784,491 |
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Total Corporate Bonds - 0.2% |
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784,491 |
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U.S. Government Agency Mortgage-Backed Securities |
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Fannie Mae Guaranteed Pass-Through Certificates: |
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4.00%, 7/15/39 (d) |
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5,000 |
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4,907,813 |
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5.00%, 6/01/33 - 6/15/39 (b)(d)(e) |
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99,112 |
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101,540,638 |
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5.50%, 6/15/24 - 6/15/39 (d)(e) |
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119,759 |
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123,946,071 |
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5.97%, 8/01/16 |
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3,125 |
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3,450,972 |
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6.50%, 6/15/39 - 7/15/39 (d) |
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162,000 |
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172,251,522 |
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7.50%, 2/01/22 |
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— |
(f) |
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188 |
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9.50%, 1/01/19 - 9/01/19 |
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3 |
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3,875 |
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Freddie Mac Mortgage Participation Certificates: |
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3.983%, 1/01/35 (a)(b) |
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216 |
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217,744 |
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4.51%, 11/01/17 (a) |
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23 |
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23,272 |
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4.991%, 10/01/34 (a) |
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639 |
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652,231 |
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5.00%, 12/01/34 - 6/15/39 (d)(e) |
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4,879 |
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5,013,209 |
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1
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BlackRock Income Trust, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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U.S.
Government Agency Mortgage-Backed |
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Par |
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Value |
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Freddie Mac Mortgage Participation Certificates (concluded): |
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5.50%, 6/15/24 (d) |
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$ |
7,000 |
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$ |
7,295,316 |
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6.00%, 6/15/39 (d) |
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6,700 |
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7,007,785 |
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6.50%, 6/15/39 (d) |
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100 |
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106,406 |
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8.00%, 11/01/15 |
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1 |
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788 |
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9.00%, 9/01/20 (b) |
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93 |
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102,657 |
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Ginnie Mae MBS Certificates: |
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6.50%, 6/15/39 (d) |
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10,800 |
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11,421,000 |
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7.00%, 10/15/17 |
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29 |
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31,512 |
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7.50%, 8/15/21 - 12/15/23 |
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341 |
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373,304 |
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8.00%, 10/15/22 - 2/15/29 |
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147 |
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162,998 |
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9.00%, 6/15/18 - 9/15/21 |
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12 |
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12,801 |
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Total U.S. Government Agency Mortgage-Backed Securities - 99.2% |
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438,522,102 |
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U.S. Government Agency Mortgage-Backed Securities - Collateralized Mortgage Obligations |
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Fannie Mae Trust Series 7 Class 2, 8.50%, 4/01/17 (c) |
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7 |
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1,049 |
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Fannie Mae Trust Series 89 Class 2, 8%, 10/01/18 (c) |
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15 |
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2,021 |
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Fannie Mae Trust Series 94 Class 2, 9.50%, 8/01/21 (c) |
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5 |
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806 |
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Fannie Mae Trust Series 203 Class 1, 0%, 2/01/23 (g) |
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32 |
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28,430 |
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Fannie Mae Trust Series 228 Class 1, 0%, 6/01/23 (g) |
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22 |
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19,388 |
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Fannie Mae Trust Series 328 Class 1, 0%, 12/01/32 (g) |
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3,380 |
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3,016,461 |
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Fannie Mae Trust Series 338 Class 1, 0%, 7/01/33 (g) |
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2,867 |
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2,529,331 |
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Fannie Mae Trust Series 1990-123 Class M, 1.01%, 10/25/20 (c) |
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32 |
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633 |
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Fannie Mae Trust Series 1990-136 Class S, 0.015%, 11/25/20 (c) |
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20,825 |
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28,086 |
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Fannie Mae Trust Series 1991-7 Class J, 0%, 2/25/21 (g) |
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33 |
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30,143 |
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Fannie Mae Trust Series 1991-38 Class F, 8.325%, 4/25/21 (a) |
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28 |
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29,764 |
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Fannie Mae Trust Series 1991-38 Class N, 1.009%, 4/25/21 (c) |
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22 |
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144 |
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Fannie Mae Trust Series 1991-38 Class SA, 10.186%, 4/25/21 (a) |
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29 |
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30,164 |
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Fannie Mae Trust Series 1991-46 Class S, 1.403%, 5/25/21 (a) |
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145 |
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8,790 |
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Fannie Mae Trust Series 1991-87 Class S, 25.772%, 8/25/21 (a) |
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85 |
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112,582 |
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Fannie Mae Trust Series 1991-99 Class L, 0.93%, 8/25/21 (c) |
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185 |
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3,256 |
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Fannie Mae Trust Series 1991-139 Class PT, 0.648%, 10/25/21 (c) |
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339 |
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4,428 |
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Fannie Mae Trust Series 1991-167 Class D, 0%, 10/25/17 (g) |
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17 |
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16,558 |
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2
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BlackRock Income Trust, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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U.S.
Government Agency Mortgage-Backed |
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Par |
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Value |
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Fannie Mae Trust Series 1993-51 Class E, 0%, 2/25/23 (g) |
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$ |
105 |
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$ |
89,774 |
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Fannie Mae Trust Series 1993-70 Class A, 0%, 5/25/23 (g) |
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18 |
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16,130 |
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Fannie Mae Trust Series 1993-199 Class SB, 2.625%, 10/25/23 (c) |
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1,628 |
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153,940 |
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Fannie Mae Trust Series 1993-247 Class SN, 10%, 12/25/23 (a) |
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|
688 |
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757,999 |
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Fannie Mae Trust Series 1993-249 Class B, 0%, 11/25/23 (g) |
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1,553 |
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1,415,495 |
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Fannie Mae Trust Series 1996-68 Class SC, 2.257%, 1/25/24 (c) |
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1,209 |
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|
104,127 |
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Fannie Mae Trust Series 1997-50 Class SI, 1.20%, 4/25/23 (c) |
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|
521 |
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12,588 |
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Fannie Mae Trust Series 1997-90 Class M, 6%, 1/25/28 (c) |
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10,212 |
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1,444,637 |
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Fannie Mae Trust Series 1999-W4 Class IO, 6.50%, 12/25/28 (c) |
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|
500 |
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60,775 |
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Fannie Mae Trust Series 1999-W4 Class PO, 0%, 2/25/29 (g) |
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|
246 |
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216,510 |
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Fannie Mae Trust Series 2002-13 Class PR, 0%, 3/25/32 (g) |
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|
678 |
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545,983 |
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Fannie Mae Trust Series 2003-9 Class BI, 5.50%, 10/25/22 (c)(d) |
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2,470 |
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168,575 |
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Fannie Mae Trust Series 2003-32 Class VT, 6%, 9/25/15 |
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5,946 |
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6,196,400 |
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Fannie Mae Trust Series 2003-55 Class GI, 5%, 7/25/19 (c) |
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2,896 |
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112,060 |
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Fannie Mae Trust Series 2003-66 Class CI, 5%, 7/25/33 (c) |
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4,719 |
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606,808 |
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Fannie Mae Trust Series 2003-122 Class IC, 5%, 9/25/18 (c) |
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2,955 |
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80,697 |
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Fannie Mae Trust Series 2003-135 Class PB, 6%, 1/25/34 |
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12,264 |
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12,918,158 |
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Fannie Mae Trust Series 2004-28 Class PB, 6%, 8/25/28 |
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1,894 |
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1,915,547 |
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Fannie Mae Trust Series 2004-29 Class HC, 7.50%, 7/25/30 |
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|
1,675 |
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1,765,655 |
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Fannie Mae Trust Series 2004-31 Class ZG, 7.50%, 5/25/34 |
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2,664 |
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2,830,312 |
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Fannie Mae Trust Series 2004-90 Class JH, 1.828%, 11/25/34 (c) |
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|
22,824 |
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1,951,636 |
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Fannie Mae Trust Series 2005-43 Class IC, 6%, 3/25/34 (c) |
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|
704 |
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7,047 |
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Fannie Mae Trust Series 2005-68 Class PC, 5.50%, 7/25/35 |
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1,922 |
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2,050,380 |
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Fannie Mae Trust Series 2005-73 Class DS, 16.747%, 8/25/35 (a) |
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4,722 |
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5,110,827 |
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Fannie Mae Trust Series 2005-73 Class ST, 1.258%, 8/25/35 (c) |
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10,949 |
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924,787 |
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Fannie Mae Trust Series 2006-2 Class KP, 0%, 2/25/35 (a) |
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1,126 |
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1,025,493 |
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3
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BlackRock Income Trust, Inc. |
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Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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U.S.
Government Agency Mortgage-Backed |
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Par |
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Value |
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Fannie Mae Trust Series 2006-92 Class LI, 6.143%, 10/25/36 (c) |
|
$ |
14,235 |
|
$ |
1,585,569 |
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Fannie Mae Trust Series 2009-3 Class JI, 6%, 1/25/49 (c) |
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|
23,387 |
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|
2,477,052 |
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Fannie Mae Trust Series G-7 Class S, 116.20%, 3/25/21 (a) |
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|
— |
(f) |
|
5,515 |
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Fannie Mae Trust Series G-10 Class S, 0.575%, 5/25/21 (c) |
|
|
766 |
|
|
17,386 |
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Fannie Mae Trust Series G-12 Class S, 0.608%, 5/25/21 (c) |
|
|
627 |
|
|
11,972 |
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Fannie Mae Trust Series G-17 Class S, 0.58%, 6/25/21 (a) |
|
|
398 |
|
|
7,629 |
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Fannie Mae Trust Series G-33 Class PV, 1.078%, 10/25/21 (c) |
|
|
488 |
|
|
9,707 |
|
|
|
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Fannie Mae Trust Series G-49 Class S, 999.05%, 12/25/21 (a) |
|
|
— |
(f) |
|
3,505 |
|
|
|
|
Fannie Mae Trust Series G-50 Class G, 1.159%, 12/25/21 (c) |
|
|
264 |
|
|
3,025 |
|
|
|
|
Fannie Mae Trust Series G92-5 Class H, 9%, 1/25/22 (c) |
|
|
147 |
|
|
21,954 |
|
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|
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Fannie Mae Trust Series G92-12 Class C, 1.017%, 2/25/22 (c) |
|
|
387 |
|
|
7,525 |
|
|
|
|
Fannie Mae Trust Series G92-60 Class SB, 1.60%, 10/25/22 (c) |
|
|
414 |
|
|
9,557 |
|
|
|
|
Fannie Mae Trust Series G93-2 Class KB, 0%, 1/25/23 (g) |
|
|
230 |
|
|
207,047 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 19 Class F, 8.50%, 3/15/20 |
|
|
142 |
|
|
154,189 |
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Freddie Mac Multiclass Certificates Series 19 Class R, 9.757%, 3/15/20 (a) |
|
|
14 |
|
|
2,254 |
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|
|
|
Freddie Mac Multiclass Certificates Series 40 Class K, 6.50%, 8/17/24 |
|
|
561 |
|
|
600,300 |
|
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|
|
Freddie Mac Multiclass Certificates Series 75 Class R, 9.50%, 1/15/21 |
|
|
— |
(f) |
|
4 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 75 Class RS, 19.548%, 1/15/21 (a) |
|
|
— |
(f) |
|
4 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 173 Class R, 0%, 11/15/21 (g) |
|
|
19 |
|
|
19 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 173 Class RS, 9.171%, 11/15/21 (a) |
|
|
— |
(f) |
|
19 |
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|
|
|
Freddie Mac Multiclass Certificates Series 176 Class M, 1.01%, 7/15/21 (c) |
|
|
41 |
|
|
790 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 192 Class U, 1.009%, 2/15/22 (c) |
|
|
4 |
|
|
68 |
|
|
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Freddie Mac Multiclass Certificates Series 200 Class R, 98.523%, 12/15/22 (c) |
|
|
2 |
|
|
21 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1043 Class H, 0.022%, 2/15/21 (c) |
|
|
10,911 |
|
|
18,495 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1054 Class I, 0.435%, 3/15/21 (c) |
|
|
110 |
|
|
2,094 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1056 Class KD, 1.085%, 3/15/21 |
|
|
97 |
|
|
2,005 |
|
4
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|
|
BlackRock Income Trust, Inc. |
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|
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|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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U.S.
Government Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac Multiclass Certificates Series 1057 Class J, 1.008%, 3/15/21 |
|
$ |
120 |
|
$ |
2,285 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1148 Class E, 0.593%, 10/15/21 (c) |
|
|
296 |
|
|
5,235 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1160 Class F, 38.569%, 10/15/21 (a) |
|
|
27 |
|
|
42,664 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1179 Class O, 1.009%, 11/15/21 (c) |
|
|
30 |
|
|
119 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1418 Class M, 0%, 11/15/22 (g) |
|
|
117 |
|
|
105,693 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1571 Class G, 0%, 8/15/23 (g) |
|
|
577 |
|
|
515,001 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1691 Class B, 0%, 3/15/24 (g) |
|
|
1,570 |
|
|
1,341,385 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1706 Class IA, 7%, 10/15/23 (c) |
|
|
7 |
|
|
2 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1739 Class B, 0%, 2/15/24 (g) |
|
|
119 |
|
|
103,011 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1914 Class PC, 0.75%, 12/15/11 (c) |
|
|
1,172 |
|
|
7,034 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 1961 Class H, 6.50%, 5/15/12 |
|
|
117 |
|
|
120,779 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2218 Class Z, 8.50%, 3/15/30 |
|
|
7,829 |
|
|
8,558,733 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2431 Class Z, 6.50%, 6/15/32 |
|
|
9,888 |
|
|
10,515,437 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2444 Class ST, 2.359%, 9/15/29 (c) |
|
|
112 |
|
|
2,095 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2542 Class MX, 5.50%, 5/15/22 (c) |
|
|
935 |
|
|
70,157 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2542 Class UC, 6%, 12/15/22 |
|
|
10,200 |
|
|
10,644,652 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2545 Class NI, 5.50%, 3/15/22 (c) |
|
|
1,401 |
|
|
67,749 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2559 Class IO, 5%, 8/15/30 (c) |
|
|
350 |
|
|
4,159 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2561 Class EW, 5%, 9/15/16 (c) |
|
|
2,188 |
|
|
87,038 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2611 Class QI, 5.50%, 9/15/32 (c)(d) |
|
|
8,086 |
|
|
913,202 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2653 Class MI, 5%, 4/15/26 (c) |
|
|
2,150 |
|
|
82,527 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2663 Class EO, 0%, 8/15/33 (g) |
|
|
2,399 |
|
|
1,920,462 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2687 Class IL, 5%, 9/15/18 (c) |
|
|
2,692 |
|
|
77,066 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2691 Class EO, 0%, 10/15/33 (g) |
|
|
4,331 |
|
|
3,439,458 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2694 Class LI, 4.50%, 7/15/19 (c) |
|
|
1,460 |
|
|
54,382 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2758 Class KV, 5.50%, 5/15/23 |
|
|
10,684 |
|
|
11,446,922 |
|
5
|
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Government Agency Mortgage-Backed |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac Multiclass Certificates Series 2765 Class UA, 4%, 3/15/11 |
|
$ |
1,320 |
|
$ |
1,373,431 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2773 Class OX, 5%, 2/15/18 (c) |
|
|
3,051 |
|
|
174,374 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2856 Class CO, 0%, 9/15/34 (g) |
|
|
5,672 |
|
|
4,476,585 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2861 Class AX, 10.321%, 9/15/34 (a) |
|
|
473 |
|
|
478,957 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2891 Class EM, 0%, 11/15/34 (g) |
|
|
7,204 |
|
|
5,780,001 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2906 Class SW, 6.249%, 11/15/34 (c) |
|
|
25,925 |
|
|
2,273,336 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2927 Class BZ, 5.50%, 2/15/35 |
|
|
2,620 |
|
|
2,623,902 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 2949 Class IO, 5.50%, 3/15/35 (c) |
|
|
1,391 |
|
|
136,332 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 3010 Class SC, 15.889%, 3/15/34 (a) |
|
|
59 |
|
|
59,112 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 3061 Class BD, 7.50%, 11/15/35 |
|
|
3,257 |
|
|
3,311,842 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 3167 Class SX, 35.434%, 6/15/36 (a) |
|
|
4 |
|
|
4,595 |
|
|
|
|
Freddie Mac Multiclass Certificates Series 3299 Class TI, 5%, 4/15/37 (c) |
|
|
1,589 |
|
|
8,515 |
|
|
|
|
Freddie Mac Multiclass Certificates Series T-8 Class A10, 0%, 11/15/28 (g) |
|
|
178 |
|
|
166,519 |
|
|
|
|
Freddie Mac Multiclass Certificates Series T-11 Class A9, 2.256%, 1/25/28 (a) |
|
|
3,328 |
|
|
2,899,289 |
|
|
|
|
Ginnie Mae Trust Series 1996-5 Class Z, 7%, 5/16/26 |
|
|
803 |
|
|
873,840 |
|
|
|
|
Ginnie Mae Trust Series 2001-33 Class PB, 6.50%, 7/20/31 |
|
|
1,318 |
|
|
1,406,844 |
|
|
|
|
Ginnie Mae Trust Series 2003-58 Class IT, 5.50%, 7/20/33 (c) |
|
|
1,317 |
|
|
94,538 |
|
|
|
|
Ginnie Mae Trust Series 2004-39 Class ID, 5%, 5/20/33 (c) |
|
|
1,500 |
|
|
273,747 |
|
|
|
|
Ginnie Mae Trust Series 2004-89 Class PE, 6%, 10/20/34 |
|
|
3,392 |
|
|
3,597,721 |
|
|
|
|
Ginnie Mae Trust Series 2007-48 Class SB, 6.198%, 8/16/37 (c) |
|
|
17,930 |
|
|
1,311,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities - Collateralized Mortgage Obligations - 30.5% |
|
|
|
|
|
134,944,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. Government Agency Mortgage- Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations - 11.2% |
|
Bank of America Mortgage Securities Inc. Series 2003- 3 Class 1AIO, 0.286%, 5/25/18 (c) |
|
|
181,853 |
|
|
1,145,602 |
|
|
|
|
CitiMortgage Alternative Loan Trust Series 2007-A5 Class 1A7, 6%, 5/25/37 (c) |
|
|
1,664 |
|
|
205,772 |
|
|
|
|
Collateralized Mortgage Obligation Trust Series 40 Class R, 0.58%, 4/01/18 |
|
|
229 |
|
|
229 |
|
6
|
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S.
Government Agency Mortgage- |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligation Trust Series 42 Class R, 6%, 10/01/14 (c) |
|
$ |
30 |
|
$ |
1,923 |
|
|
|
|
Countrywide Alternative Loan Trust Series 2005-28CB Class 1A5, 5.50%, 8/25/35 |
|
|
2,814 |
|
|
2,100,349 |
|
|
|
|
Countrywide Home Loan Mortgage Pass- Through Trust Series 2003-26 Class PO, 0%, 8/25/33 (g) |
|
|
4,095 |
|
|
2,858,870 |
|
|
|
|
Countrywide Home Loan Mortgage Pass- Through Trust Series 2003-J4 Class PO, 0%, 6/25/33 (g) |
|
|
757 |
|
|
470,453 |
|
|
|
|
Countrywide Home Loan Mortgage Pass- Through Trust Series 2003-J5 Class PO, 0%, 7/25/33 (g) |
|
|
1,157 |
|
|
753,370 |
|
|
|
|
Countrywide Home Loan Mortgage Pass- Through Trust Series 2003-J8 Class PO, 0%, 9/25/23 (g) |
|
|
884 |
|
|
565,376 |
|
|
|
|
Deutsche Alt-A Securities Inc. Mortgage Series 2006-AR5 Class 22A, 5.50%, 10/25/21 |
|
|
1,656 |
|
|
1,230,834 |
|
|
|
|
Drexel Burnham Lambert CMO Trust Series K Class 1, 0%, 9/23/17 (g) |
|
|
16 |
|
|
15,732 |
|
|
|
|
Drexel Burnham Lambert CMO Trust Series V Class 1, 0%, 9/01/18 (g) |
|
|
143 |
|
|
139,941 |
|
|
|
|
First Boston Mortgage Securities Corp. Series C Class I-O, 10.965%, 4/25/17 (c) |
|
|
58 |
|
|
8,116 |
|
|
|
|
First Horizon Alternative Mortgage Securities Series 2005-FA9 Class A2, 0%, 12/25/35 (c) |
|
|
155,355 |
|
|
4,481,979 |
|
|
|
|
GSMPS Mortgage Loan Trust Series 1998-5 Class IO, 0.97%, 6/19/27 (c) |
|
|
6,289 |
|
|
78,616 |
|
|
|
|
Homebanc Mortgage Trust Series 2005-4 Class A1, 0.579%, 10/25/35 (a) |
|
|
4,199 |
|
|
2,053,564 |
|
|
|
|
IndyMac Index Mortgage Loan Trust Series 2006- AR33 Class 4AX, 0.165%, 1/25/37 (c) |
|
|
137,995 |
|
|
659,616 |
|
|
|
|
JPMorgan Mortgage Trust Series 2005-S1 Class 2A1, 8%, 1/25/35 |
|
|
5,279 |
|
|
4,398,029 |
|
|
|
|
JPMorgan Mortgage Trust Series 2006-A7 Class 2A2, 5.791%, 1/25/37 (a) |
|
|
1,137 |
|
|
753,486 |
|
|
|
|
Kidder Peabody Acceptance Corp. Series 1993- 1 Class A6, 16.048%, 8/25/23 (a) |
|
|
101 |
|
|
110,484 |
|
|
|
|
Kidder Peabody Mortgage Assets Trust Series B Class A2, 9.50%, 4/22/18 (c) |
|
|
44 |
|
|
11,019 |
|
|
|
|
MASTR Adjustable Rate Mortgage Trust Series 2004-3 Class 3AX, 0.977%, 4/25/34 (c) |
|
|
16,538 |
|
|
189,858 |
|
|
|
|
MASTR Alternative Loans Trust Series 2003-7 Class 4A3, 8%, 11/25/18 |
|
|
1,207 |
|
|
1,207,157 |
|
|
|
|
MASTR Alternative Loans Trust Series 2003-9 Class 15X2, 6%, 1/25/19 (c) |
|
|
1,086 |
|
|
118,623 |
|
|
|
|
MASTR Asset Securitization Trust Series 2004-3 Class 4A15, 0%, 3/25/34 (g) |
|
|
314 |
|
|
177,429 |
|
|
|
|
Morgan Stanley Mortgage Loan Trust Series 2004-3 Class 1AX, 5%, 5/25/19 (c) |
|
|
1,077 |
|
|
53,857 |
|
|
|
|
Residential Accredit Loans, Inc. Series 2003- QS14 Class A1, 5%, 7/25/18 |
|
|
5,105 |
|
|
4,768,031 |
|
7
|
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S.
Government Agency Mortgage- |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Asset Securitization Trust Series 2005-A15 Class 1A8, 0%, 2/25/36 (g) |
|
$ |
983 |
|
$ |
431,841 |
|
|
|
|
Residential Funding Securities LLC Series 2003- RM2 Class AI5, 8.50%, 5/25/33 |
|
|
7,859 |
|
|
7,255,086 |
|
|
|
|
Sequoia Mortgage Trust Series 2005-2 Class XA, 0.998%, 3/20/35 (c) |
|
|
44,512 |
|
|
697,953 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2004-11 Class A, 4.932%, 8/25/34 (a) |
|
|
1,810 |
|
|
1,785,972 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 Class 7AX, 5.50%, 9/25/35 (c) |
|
|
4,016 |
|
|
496,211 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-20 Class 3AX, 5.50%, 10/25/35 (c) |
|
|
3,121 |
|
|
451,897 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-2 Class 4AX, 5.50%, 3/25/36 (c) |
|
|
10,694 |
|
|
1,510,355 |
|
|
|
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-7 Class 3AS, 2.374%, 8/25/36 (c) |
|
|
37,095 |
|
|
3,952,857 |
|
|
|
|
Structured Mortgage Asset Residential Trust Series 1993-3C Class CX, 0%, 4/25/24 (g) |
|
|
11 |
|
|
11,122 |
|
|
|
|
Vendee Mortgage Trust Series 1999-2 Class 1IO, 0.052%, 5/15/29 (c) |
|
|
72,257 |
|
|
176,409 |
|
|
|
|
WaMu Mortgage Pass-Through Certificates Series 2005- AR4 Class A3, 4.585%, 4/25/35 (a) |
|
|
2,303 |
|
|
2,229,213 |
|
|
|
|
WaMu Mortgage Pass-Through Certificates Series 2006- AR1 Class 2A1C, 2.509%, 1/25/46 (a) |
|
|
6,559 |
|
|
1,377,446 |
|
|
|
|
Washington Mutual Alternative Mortgage Pass- Through Certificates Series 2005-9 Class CP, 0%, 11/25/35 (g) |
|
|
880 |
|
|
547,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,482,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - 1.8% |
|
CS First Boston Mortgage Securities Corp. Series 1997- C1 Class AX, 1.672%, 6/20/29 (c) |
|
|
5,006 |
|
|
183,915 |
|
|
|
|
Commercial Mortgage Acceptance Corp. Series 1997- ML1 Class IO, 0.705%, 12/15/30 (c) |
|
|
12,020 |
|
|
338,573 |
|
|
|
|
Credit Suisse Mortgage Capital Certificates Series 2007-C2 Class A3, 5.542%, 1/15/49 (a) |
|
|
2,420 |
|
|
1,743,977 |
|
|
|
|
First Union-Lehman Brothers Commercial Mortgage Series 1997-C2 Class D, 7.12%, 11/18/29 |
|
|
3,500 |
|
|
3,548,622 |
|
|
|
|
Morgan Stanley Capital I Series 1997-HF1 Class X, 3.438%, 7/15/29 (c) |
|
|
55 |
|
|
6 |
|
|
|
|
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class A2, 5.736%, 6/15/49 (a) |
|
|
2,200 |
|
|
2,003,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,818,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-U.S. Government Agency Mortgage- Backed Securities - 13.0% |
|
|
|
|
|
57,300,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Housing Administration, General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22 |
|
|
329 |
|
|
325,566 |
|
|
|
|
Federal Housing Administration, Merrill Projects, Series 54, 7.43%, 5/15/23 (h) |
|
|
2 |
|
|
2,229 |
|
|
|
|
Federal Housing Administration, Reilly Project, Series 41, 8.28%, 3/01/20 |
|
|
692 |
|
|
685,447 |
|
8
|
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Housing Administration, USGI Projects, Series 87, 7.43%, 12/01/22 |
|
$ |
74 |
|
$ |
73,633 |
|
|
|
|
Federal Housing Administration, USGI Projects, Series 99, 7.43%, 6/01/21 |
|
|
5,067 |
|
|
5,016,770 |
|
|
|
|
Federal Housing Administration, USGI Projects, Series 99, 7.43%, 10/01/23 |
|
|
309 |
|
|
306,300 |
|
|
|
|
Overseas Private Investment Corp., 4.09%, 5/29/12 |
|
|
345 |
|
|
382,828 |
|
|
|
|
Overseas Private Investment Corp., 4.30%, 5/29/12 |
|
|
866 |
|
|
992,433 |
|
|
|
|
Overseas Private Investment Corp., 4.64%, 5/29/12 |
|
|
732 |
|
|
849,437 |
|
|
|
|
Overseas Private Investment Corp., 4.68%, 5/29/12 |
|
|
414 |
|
|
465,612 |
|
|
|
|
Overseas Private Investment Corp., 4.87%, 5/29/12 |
|
|
3,147 |
|
|
3,687,368 |
|
|
|
|
Resolution Funding Corp., 9.652%, 4/15/30 (i) |
|
|
13,000 |
|
|
4,543,799 |
|
|
|
|
Small Business Administration Series 1, 1%, 4/01/15 (c) |
|
|
3,516 |
|
|
35,157 |
|
|
|
|
U.S. Treasury STRIPS, 0%, 11/15/24 (e)(j) |
|
|
40,000 |
|
|
19,980,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Obligations - 8.5% |
|
|
|
|
|
37,346,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
682,206,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund, 0.535% (h)(k) |
|
|
130,015,000 |
|
|
130,015,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Short-Term Securities |
|
|
|
|
|
130,015,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts (l) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Swaptions Purchased |
|
Pay a fixed rate of 3.405% and received a floating rate based April 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG |
|
|
14 |
|
|
356,999 |
|
|
|
|
Receive a fixed rate of 5.47% and pay a floating rate based on 3-month LIBOR, expiring May 2012, Broker Bank of America NA |
|
|
6 |
|
|
665,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,022,724 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Put Swaptions Purchased |
|
Pay a fixed rate of 3.55% and receive a floating rate based on 3-month LIBOR, expiring August 2009, Broker Deutsche Bank AG |
|
|
15 |
|
|
571,005 |
|
|
|
|
Receive a fixed rate of 3.405% and pay a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG |
|
|
15 |
|
|
1,116,988 |
|
|
|
|
Pay a fixed rate of 5.47% and receive a floating rate based 3-month LIBOR, expiring May 2012, Broker Bank of America NA |
|
|
6 |
|
|
275,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,963,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Options Purchased |
|
|
|
|
|
2,986,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments before TBA Sale Commitments and Options Written |
|
|
|
|
|
815,207,669 |
|
|
|
|
|
|
|
|
|
|
|
|
9
|
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
TBA Sale Commitments (d) |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Fannie Mae Guaranteed Pass-Through Certificates, 6.50%, 6/15/39 - 7/15/39 |
|
$ |
(81,000 |
) |
$ |
(86,290,272 |
) |
|
|
|
Freddie Mac Mortgage Participation Certificates, 5.00%, 12/01/34 - 6/15/39 |
|
|
(4,800 |
) |
|
(4,909,498 |
) |
|
|
|
Total TBA
Sale Commitments |
|
|
|
|
|
(91,199,770 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts (l) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Call Swaptions Written |
|
Pay a fixed rate of 3.425% and receive a floating rate based on 3-month LIBOR, expiring March 2011, Broker JPMorgan Chase Bank NA |
|
|
7 |
|
|
(188,104 |
) |
|
|
|
Pay a fixed rate of 5.325% and receive a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank NA |
|
|
11 |
|
|
(616,128 |
) |
|
|
|
Pay a fixed rated of 5.485% and receive a floating rate based on expiring 3-month LIBOR, Broker JPMorgan Chase Bank NA |
|
|
5 |
|
|
(778,399 |
) |
|
|
|
Pay a fixed rated of 2.38% and receive a floating rate based on 3-month LIBOR, expiring December 2009,Broker Barclays Bank |
|
|
5 |
|
|
(17,179 |
) |
|
|
|
Pay a fixed rated of 5.67% and receive a floating rate based on 3-month LIBOR, expiring January 2010,Broker Citibank NA |
|
|
12 |
|
|
(1,905,359 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,505,169 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Over-the-Counter Put Swaptions Written |
|
Receive a fixed rate of 2.38% and pay a floating rate based on 3-month LIBOR, expiring December 2009, Broker Barclays Bank |
|
|
5 |
|
|
(643,787 |
) |
|
|
|
Receive a fixed rate of 3.425% and pay a floating rate based on 3-month LIBOR, expiring March 2011, Broker JPMorgan Chase Bank NA |
|
|
7 |
|
|
(725,865 |
) |
|
|
|
Receive a fixed rate of 5.325% and pay a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank NA |
|
|
11 |
|
|
(331,246 |
) |
|
|
|
Receive a fixed rate of 5.485% and pay a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank NA |
|
|
5 |
|
|
(30,407 |
) |
|
|
|
Receive a fixed rate of 5.67% and pay a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank NA |
|
|
12 |
|
|
(95,505 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,826,810) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Options Written |
|
|
|
|
|
(5,331,979 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments, Net of TBA Sale Commitments and Options Written - 162.7% |
|
|
|
|
|
718,675,920 |
|
|
|
|
Liabilities in Excess of Other Assets - (62.7)% |
|
|
|
|
|
(276,746,824 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets - 100.0% |
|
|
|
|
$ |
441,929,096 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of May 31, 2009, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
820,542,836 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
27,257,523 |
|
|
Gross unrealized depreciation |
|
|
(32,592,690 |
) |
|
|
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(5,335,167 |
) |
|
|
|
|
|
|
10
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
(a) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
|
|
(b) |
All or a portion of security has been pledged as collateral in connection with open financial futures contracts. |
|
|
|
|
|
|
(c) |
Represents a interest only portion of a mortgage-backed security and has either a nominal or notional amount of principal. |
|
|
|
|
|
|
(d) |
Represents or includes a to-be-announced transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Counterparty |
|
Market |
|
Unrealized |
|
||
|
|
|
|
|
|
|
||
|
Barclays Capital Plc |
|
$ |
65,628,886 |
|
$ |
596,814 |
|
|
Citigroup NA |
|
$ |
16,328,813 |
|
$ |
101,438 |
|
|
Credit Suisse International |
|
$ |
9,362,816 |
|
$ |
7,191 |
|
|
Deutsche Bank AG |
|
$ |
75,863,812 |
|
$ |
(193,268 |
) |
|
Greenwich Capital |
|
$ |
81,666,250 |
|
$ |
24,688 |
|
|
JPMorgan Chase Bank |
|
$ |
13,993,480 |
|
$ |
47,667 |
|
|
Morgan Stanley Capital Services, Inc. |
|
$ |
4,095,000 |
|
$ |
(10,495 |
) |
|
UBS AG |
|
$ |
22,584,614 |
|
$ |
211,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(e) |
All or a portion of security has been pledged as collateral in connection with swaps. |
|
|
|
|
|
|
(f) |
Amount is less than $1,000. |
|
|
|
|
|
|
(g) |
Represents the principal only portion of a mortgage-backed obligation. Stripped securities are traded on a discount basis and amortized to maturity. |
|
|
|
|
|
|
(h) |
Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Affiliate |
|
Purchase |
|
Sale |
|
Realized |
|
Income |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
BlackRock Liquidity Funds, TempFund |
|
|
130,015,000 |
* |
|
— |
|
|
— |
|
$ |
192,555 |
|
|
Federal Housing Administration, Merrill Projects, Series 54, 7.43%, 5/15/23 |
|
|
— |
|
$ |
43 |
|
$ |
2 |
|
$ |
89 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
* Represents net purchase cost. |
|||||||||||||
|
|
|
|
|
|
(i) |
Represents a zero-coupon bond. Rate shown is current yield as of report date. |
|
|
|
|
|
|
(j) |
Separately Traded Registered Interest and Principal Securities (STRIPS). |
|
|
|
|
|
|
(k) |
Represents the current yield as of report date. |
|
|
|
|
|
|
(l) |
One contract represents a notional amount of $1,000,000. |
|
|
|
|
|
|
• |
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These industry classifications are unaudited. |
|
|
|
|
|
|
• |
Interest rate floors outstanding as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
Notional |
|
Value |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|||
|
Pay a fixed rated of 5.50% and receive a floating rate based on 3-month LIBOR, expiring March 2010, Broker UBS AG |
|
$ |
49,000 |
|
$ |
(2,107,539 |
) |
$ |
(1,372,539 |
) |
|
Pay a fixed rated of 5.50% and receive a floating rate based on 3-month LIBOR, expiring September 2011, Broker Citibank NA |
|
$ |
28,000 |
|
|
(2,528,484 |
) |
|
(1,991,817 |
) |
|
Pay a fixed rated of 4.80% and receive a floating rate based on 3-month LIBOR, expiring March 2011, Broker Goldman Sachs Capital Markets |
|
$ |
90,000 |
|
|
(5,300,730 |
) |
|
(4,304,730 |
) |
|
Pay a fixed rated of 4.95% and receive a floating rate based on 3-month LIBOR, expiring March 2011, Broker JPMorgan Chase Bank NA |
|
$ |
45,000 |
|
|
(2,065,230 |
) |
|
(1,583,730 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
$ |
(12,001,983 |
) |
$ |
(9,252,816 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
11
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
• |
Financial futures contracts purchased as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Contracts |
|
Issue |
|
Expiration |
|
Face |
|
Unrealized |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
20 |
|
|
|
EuroDollar Futures |
|
|
December 2009 |
|
$ |
4,940,241 |
|
$ |
12,759 |
|
|
20 |
|
|
|
EuroDollar Futures |
|
|
March 2010 |
|
$ |
4,933,491 |
|
|
12,259 |
|
|
12 |
|
|
|
EuroDollar Futures |
|
|
June 2010 |
|
$ |
2,952,637 |
|
|
6,713 |
|
|
12 |
|
|
|
EuroDollar Futures |
|
|
September 2010 |
|
$ |
2,944,837 |
|
|
5,663 |
|
|
14 |
|
|
|
EuroDollar Futures |
|
|
December 2010 |
|
$ |
3,424,846 |
|
|
4,804 |
|
|
56 |
|
|
|
EuroDollar Futures |
|
|
December 2011 |
|
$ |
13,593,096 |
|
|
(57,196 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
(14,998 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Financial futures contracts sold as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Contracts |
|
Issue |
|
Expiration |
|
Face |
|
Unrealized |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
225 |
|
|
|
2-Year U.S. Treasury Bond |
|
|
September 2009 |
|
$ |
48,742,449 |
|
$ |
(40,364 |
) |
|
76 |
|
|
|
5-Year U.S. Treasury Bond |
|
|
September 2009 |
|
$ |
8,787,837 |
|
|
12,212 |
|
|
630 |
|
|
|
10-Year U.S. Treasury Bond |
|
|
September 2009 |
|
$ |
74,717,480 |
|
|
1,007,480 |
|
|
7 |
|
|
|
EuroDollar Futures |
|
|
June 2009 |
|
$ |
1,700,979 |
|
|
(37,471 |
) |
|
67 |
|
|
|
EuroDollar Futures |
|
|
September 2009 |
|
$ |
16,258,184 |
|
|
(368,704 |
) |
|
15 |
|
|
|
EuroDollar Futures |
|
|
March 2011 |
|
$ |
3,591,329 |
|
|
(71,484 |
) |
|
42 |
|
|
|
EuroDollar Futures |
|
|
June 2011 |
|
$ |
10,047,322 |
|
|
(172,328 |
) |
|
64 |
|
|
|
EuroDollar Futures |
|
|
September 2011 |
|
$ |
15,306,205 |
|
|
(215,395 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
113,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Interest rate swaps outstanding as of May 31, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Fixed Rate |
|
Floating |
|
Counterparty |
|
Expiration |
|
|
|
Notional |
|
Unrealized |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
5.383%(a) |
|
|
3-month |
|
Credit
Suisse |
|
July 2009 |
|
USD |
|
|
200,000 |
|
$ |
1,031,487 |
|
|
4.319%(a) |
|
|
3-month |
|
UBS AG |
|
September 2010 |
|
USD |
|
|
12,000 |
|
|
505,062 |
|
|
4.883%(a) |
|
|
3-month |
|
UBS AG |
|
March 2015 |
|
USD |
|
|
25,000 |
|
|
2,522,614 |
|
|
4.87%(a) |
|
|
3-month |
|
Goldman
Sachs |
|
January 2016 |
|
USD |
|
|
5,500 |
|
|
553,698 |
|
|
2.81%(a) |
|
|
3-month |
|
Citibank NA |
|
February 2016 |
|
USD |
|
|
20,000 |
|
|
(504,112 |
) |
|
5.723%(a) |
|
|
3-month |
|
JPMorgan
Chase |
|
July 2016 |
|
USD |
|
|
5,400 |
|
|
843,930 |
|
|
5.505%(a) |
|
|
3-month |
|
Bank of America NA |
|
August 2017 |
|
USD |
|
|
159,147 |
|
|
23,601,065 |
|
|
5.88%(b) |
|
|
3-month |
|
Deutsche Bank AG |
|
June 2018 |
|
USD |
|
|
31,930 |
|
|
(5,211,169 |
) |
12
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate |
|
|
Floating |
|
Counterparty |
|
Expiration |
|
|
|
Notional |
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.545%(b) |
|
|
3-month |
|
Citibank NA |
|
September 2018 |
|
USD |
|
|
98,400 |
|
$ |
(7,539,163 |
) |
|
4.31%(b) |
|
|
3-month |
|
Deutsche Bank AG |
|
October 2018 |
|
USD |
|
|
66,000 |
|
|
(3,803,797 |
) |
|
3.165%(a) |
|
|
3-month |
|
Bank of America NA |
|
March 2019 |
|
USD |
|
|
4,700 |
|
|
(188,715 |
) |
|
3.092%(b) |
|
|
3-month |
|
Deutsche Bank AG |
|
March 2019 |
|
USD |
|
|
45,700 |
|
|
2,095,702 |
|
|
2.878%(a) |
|
|
3-month |
|
Deutsche Bank AG |
|
April 2019 |
|
USD |
|
|
39,700 |
|
|
(2,579,334 |
) |
|
3.227%(b) |
|
|
3-month |
|
Deutsche Bank AG |
|
May 2019 |
|
USD |
|
|
2,800 |
|
|
103,120 |
|
|
5.411%(a) |
|
|
3-month |
|
JPMorgan
Chase |
|
August 2022 |
|
USD |
|
|
9,565 |
|
|
1,538,995 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
12,969,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Trust pays floating interest rate and receives fixed rate. |
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|
||||||||||||||||
|
(b) Trust pays fixed interest rate and receives floating rate. |
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|
|
|
|
|
• |
Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of 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 securities |
|
|
|
|
|
|
|
|
|
|
• |
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) |
|
|
|
|
|
|
|
|
|
The inputs or methodology 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 other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report. |
||
|
|
|
|
||
|
|
|
The following table summarizes the inputs used as of May 31, 2009 in determining the fair valuation of the Trust’s investments: |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Valuation |
|
Investments in |
|
Other Financial |
|
||||||||
|
|
|
|
|
|
|
||||||||
|
|
|
Assets |
|
Liabilities |
|
Assets |
|
Liabilities |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Level 1 |
|
$ |
130,015,000 |
|
|
— |
|
$ |
1,061,890 |
|
$ |
(962,942 |
) |
|
Level 2 |
|
|
638,364,528 |
|
$ |
(91,199,770 |
) |
|
35,781,813 |
|
|
(25,158,269 |
) |
|
Level 3 |
|
|
43,842,001 |
|
|
— |
|
|
— |
|
|
(12,001,983 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
812,221,529 |
|
$ |
(91,199,770 |
) |
$ |
36,843,703 |
|
$ |
(38,123,194 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Other financial instruments are swaps, futures, interest rate floors and option contracts. Futures, interest rate floors and swaps are valued at the unrealized appreciation/depreciation on the instrument and options are shown at the market value. |
13
|
|
|
BlackRock Income Trust, Inc. |
|
|
|
Schedule of Investments May 31, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
The following is a reconciliation of investments for unobservable inputs (Level 3) were used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
Investments in |
|
Other Financial |
|
||
|
|
|
|
|
|
|
||
|
|
|
Assets |
|
Liabilities |
|
||
|
|
|
|
|
|
|
||
|
Balance, as of August 31, 2008 |
|
$ |
5,934,496 |
|
$ |
(9,216,687 |
) |
|
Realized gain (loss) |
|
|
44 |
|
|
753,599 |
|
|
Change in unrealized appreciation (depreciation) |
|
|
235,622 |
|
|
(3,538,895 |
) |
|
Net purchases (sales) |
|
|
(150,559 |
) |
|
— |
|
|
Net transfers in/out of Level 3 |
|
|
37,822,398 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Balance, as of May 31, 2009 |
|
$ |
43,842,001 |
|
$ |
(12,001,983 |
) |
|
|
|
|
|
|
|
|
|
14
| 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 13(a)-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/ Donald C. Burke | ||
| Donald C. Burke | |||
| Chief Executive Officer of | |||
| BlackRock Income Trust, Inc. | |||
| Date: July 15, 2009 | |||
| 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/ Donald C. Burke | ||
| Donald C. Burke | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Income Trust, Inc. | |||
| Date: July 15, 2009 | |||
|
By: |
/s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Income Trust, Inc. | |||
| Date: July 15, 2009 | |||