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: Anne F. Ackerley, 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: 08/31/2010

 

Date of reporting period: 05/31/2010

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments May 31, 2010 (Unaudited)

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


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Chase Issuance Trust, Series
2007-A11, Class A11, 0.23%,
7/16/12 (a)

 

$

3,500

 

$

3,499,362

 

First Franklin Mortgage Loan Asset
Backed Certificates, Series
2005-FF2, Class M2, 0.78%,
3/25/35 (a)

 

 

5,890

 

 

3,886,876

 

Freddie Mac Mortgage-Backed
Securities, Series T-11, Class A9,
2.30%, 1/25/28 (a)

 

 

2,900

 

 

2,810,463

 

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

 

 

1,439

 

 

1,379,810

 

Securitized Asset Backed
Receivables LLC Trust, Series
2005-OP2, Class M1, 0.77%,
10/25/35 (a)

 

 

1,875

 

 

775,294

 

Small Business Administration
Participation Certificates, Class 1:

 

 

 

 

 

 

 

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

 

 

287

 

 

311,509

 

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

 

 

286

 

 

310,889

 

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

 

 

454

 

 

494,026

 

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

 

 

695

 

 

746,145

 

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

 

 

287

 

 

314,861

 

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

 

 

2,358

 

 

23,583

 

 

 

 

 

 

 

 

 

 

 

 

14,552,818

 

Interest Only Asset-Backed Securities— 0.3%

 

 

 

 

 

 

 

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

 

 

5,590

 

 

393,036

 

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

 

 

10,024

 

 

1,018,062

 

 

 

 

 

 

 

 

 

 

 

 

1,411,098

 

Total Asset-Backed Securities – 3.3%

 

 

 

 

 

15,963,916

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 3.3%

 

 

 

 

 

 

 

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

 

 

1,910

 

 

1,854,763

 

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

 

 

1,470

 

 

1,236,030

 

Homebanc Mortgage Trust, Series
2005-4, Class A1, 0.61%,
10/25/35 (a)

 

 

3,572

 

 

2,629,036

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

JPMorgan Mortgage Trust, Series
2006-A7, Class 2A2, 5.76%,
1/25/37 (a)

 

$

728

 

$

558,244

 

Kidder Peabody Acceptance Corp.,
Series 1993-1, Class A6,
15.98%, 8/25/23 (a)

 

 

96

 

 

107,396

 

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

 

 

5,340

 

 

5,468,950

 

Structured Adjustable Rate
Mortgage Loan Trust, Series
2004-11, Class A, 3.27%,
8/25/34 (a)

 

 

1,583

 

 

1,592,867

 

WaMu Mortgage Pass-Through
Certificates, Series 2006-AR1,
Class 2A1C, 1.53%, 1/25/46 (a)

 

 

5,715

 

 

2,350,312

 

 

 

 

 

 

 

 

 

 

 

 

15,797,598

 

Commercial Mortgage-Backed Securities — 4.7%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital
Certificates:

 

 

 

 

 

 

 

Series 2006-C5, Class A2,
5.25%, 12/15/39 (c)

 

 

14,000

 

 

14,310,137

 

Series 2007-C2, Class A3,
5.54%, 1/15/49 (a)

 

 

2,420

 

 

2,209,483

 

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

 

 

3,500

 

 

3,757,536

 

Wachovia Bank Commercial
Mortgage Trust,
Series 2007-C32, Class A2,
5.92%, 6/15/49 (a)

 

 

2,200

 

 

2,257,465

 

 

 

 

 

 

 

 

 

 

 

 

22,534,621

 

Interest Only Collateralized Mortgage
Obligations — 1.5%

 

 

 

 

 

 

 

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

 

 

130,002

 

 

829,815

 

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

 

 

1,218

 

 

138,563

 

Collateralized Mortgage Obligation
Trust, Class R:

 

 

 

 

 

 

 

Series 40, 0.58%, 4/01/18

 

 

189

 

 

189

 

Series 42, 6,000.00%,
10/01/14

 

 

—

(d)

 

1,037

 

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

 

 

43

 

 

7,797

 

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

 

 

5,668

 

 

113,352

 

 

 

Portfolio Abbreviations

 

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

 

 

LIBOR

London InterBank Offered Rate

STRIPS

Separately Traded Registered Interest and Principal Securities

TALF

Term Asset-Backed Securities Loan Facility

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

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)

 

 

 

 

 

 

 

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

 

$

126,563

 

$

554,347

 

Kidder Peabody Mortgage Assets
Trust, Series B, Class A2, 9.50%,
4/22/18

 

 

33

 

 

6,366

 

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

 

 

14,799

 

 

166,489

 

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

 

 

759

 

 

104,595

 

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

 

 

839

 

 

50,353

 

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

 

 

40,695

 

 

610,428

 

Structured Adjustable Rate Mortgage
Loan Trust:

 

 

 

 

 

 

 

Series 2005-18, Class 7AX,
5.50%, 9/25/35 (a)

 

 

2,074

 

 

236,542

 

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

 

 

2,650

 

 

318,042

 

Series 2006-2, Class 4AX,
5.50%, 3/25/36 (a)

 

 

5,085

 

 

649,974

 

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

 

 

32,365

 

 

3,489,286

 

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

 

 

65,097

 

 

110,952

 

 

 

 

 

 

 

 

 

 

 

 

7,388,127

 

Interest Only Commercial Mortgage-Backed
Securities — 0.1%

 

 

 

 

 

 

 

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

 

 

4,357

 

 

150,674

 

Commercial Mortgage Acceptance
Corp., Series 1997-ML1,
Class IO, 0.70%, 12/15/30 (a)

 

 

11,712

 

 

289,424

 

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

 

 

37

 

 

2

 

 

 

 

 

 

 

 

 

 

 

 

 

440,100

 

Principal Only Collateralized Mortgage
Obligations — 1.1%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Series 2003-26, 0.00%
8/25/33

 

 

2,940

 

 

2,040,526

 

Series 2003-J4, 0.00%,
6/25/33

 

 

563

 

 

510,235

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Principal Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Series 2003-J5, 0.00%,
7/25/33

 

$

926

 

$

690,440

 

Series 2003-J8, 0.00%,
9/25/23

 

 

764

 

 

552,419

 

Drexel Burnham Lambert CMO
Trust, Class 1:

 

 

 

 

 

 

 

Series K, 0.00%, 9/23/17

 

 

13

 

 

13,056

 

Series V, 0.00%, 9/01/18

 

 

87

 

 

82,440

 

MASTR Asset Securitization Trust,
Series 2004-3, Class 4A15,
0.00%, 3/25/34

 

 

247

 

 

169,059

 

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

 

 

983

 

 

614,559

 

Structured Mortgage Asset
Residential Trust, Series 1993-
3C, Class CX, 0.00%,
4/25/24

 

 

8

 

 

5,320

 

Washington Mutual Alternative
Mortgage Pass-Through
Certificates, Series 2005-9,
Class CP, 0.00%, 11/25/35

 

 

700

 

 

484,761

 

 

 

 

 

 

 

 

 

 

 

 

5,162,815

 

Total Non-Agency Mortgage-Backed Securities – 10.7%

 

 

 

 

 

51,323,261

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 3.1%

 

 

 

 

 

 

 

Federal Housing Administration:

 

 

 

 

 

 

 

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

 

 

237

 

 

234,486

 

Merrill Projects, Series 54,
7.43%, 5/15/23

 

 

2

 

 

2,113

 

Reilly Project, Series 41,
8.28%, 3/01/20

 

 

636

 

 

629,800

 

USGI Projects, Series 87,
7.43%, 12/01/22

 

 

71

 

 

70,071

 

USGI Projects, Series 99,
7.43%, 6/01/21

 

 

4,778

 

 

4,730,336

 

USGI Projects, Series 99,
7.43%, 10/01/23

 

 

174

 

 

171,955

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

359

 

 

364,175

 

4.68%, 5/29/12

 

 

434

 

 

438,954

 

4.87%, 5/29/12

 

 

3,302

 

 

3,307,077

 

 

 

 

2

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010


 

 

 

 

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

 

Agency Obligations (concluded)

 

 

 

 

 

 

 

Resolution Funding Corp., 9.88%
4/15/30 (e)

 

$

13,000

 

$

5,117,788

 

 

 

 

 

 

 

 

 

 

 

 

15,066,755

 

Collateralized Mortgage Obligations — 14.8%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 1991-38, Class F,
8.33%, 4/25/21 (a)

 

 

12

 

 

12,175

 

Series 1991-38, Class SA,
10.19%, 4/25/21 (a)

 

 

12

 

 

12,342

 

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

 

 

116

 

 

6,137

 

Series 1991-87, Class S,
25.69%, 8/25/21 (a)

 

 

73

 

 

101,430

 

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

 

 

540

 

 

644,392

 

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

 

 

5,126

 

 

5,362,740

 

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

 

 

12,264

 

 

13,785,798

 

Series 2004-28, Class PB,
6.00%, 8/25/28

 

 

84

 

 

83,581

 

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

 

 

1,243

 

 

1,323,760

 

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

 

 

2,889

 

 

3,412,163

 

Series 2005-68, Class PC,
5.50%, 7/25/35

 

 

1,305

 

 

1,414,659

 

Series 2005-73, Class DS,
16.66%, 8/25/35 (a)

 

 

3,791

 

 

4,137,262

 

Series 2006-2, Class KP,
0.00%, 2/25/35 (a)

 

 

803

 

 

719,415

 

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

 

 

—

(d)

 

4,613

 

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

 

 

333

 

 

6,194

 

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

 

 

395

 

 

9,202

 

Series G-49, Class S, 5.55%,
12/25/21 (a)

 

 

—

(d)

 

2,405

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

116

 

 

126,671

 

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

 

 

11

 

 

1,841

 

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

 

 

452

 

 

498,445

 

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

 

 

—

(d)

 

3

 

Series 75, Class RS, 21.33%,
1/15/21 (a)

 

 

—

(d)

 

3

 

Series 173, Class R, 9.12%,
11/15/21

 

 

17

 

 

17

 

Series 173, Class RS, 9.12%,
11/15/21 (a)

 

 

—

(d)

 

17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

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

 

$

3

 

$

64

 

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

 

 

109

 

 

2,743

 

Series 1160, Class F, 38.57%,
10/15/21 (a)

 

 

24

 

 

43,069

 

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

 

 

36

 

 

36,461

 

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

 

 

6,506

 

 

7,325,737

 

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

 

 

10,200

 

 

11,092,500

 

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

 

 

10,160

 

 

11,224,789

 

Series 2765, Class UA, 4.00%,
3/15/11

 

 

666

 

 

677,238

 

Series 2861, Class AX,
10.29%, 9/15/34 (a)

 

 

360

 

 

393,292

 

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

 

 

2,768

 

 

3,056,612

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

681

 

 

725,476

 

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

 

 

1,112

 

 

1,190,175

 

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

 

 

3,392

 

 

3,754,033

 

 

 

 

 

 

 

 

 

 

 

 

71,187,454

 

Federal Deposit Insurance Corporation
Guaranteed — 0.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc., 1.88%,
10/22/12 (f)

 

 

3,800

 

 

3,849,601

 

Interest Only Collateralized Mortgage
Obligations — 5.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

6

 

 

972

 

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

 

 

11

 

 

1,447

 

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

 

 

4

 

 

888

 

Series 348, Class 25, 4.50%,
1/01/19

 

 

12,957

 

 

1,416,812

 

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

 

 

—

(d)

 

669

 

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

 

 

17,693

 

 

25,591

 

Series 1991-38, Class N,
1,008.50%, 4/25/21

 

 

—

(d)

 

36

 

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

 

 

—

(d)

 

3,466

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

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 (continued)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

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

 

$

—

(d)

$

4,948

 

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

 

 

1,187

 

 

125,779

 

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

 

 

812

 

 

65,267

 

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

 

 

442

 

 

14,040

 

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

 

 

8,073

 

 

1,135,824

 

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

 

 

435

 

 

86,468

 

Series 2003-122, Class IC,
5.00%, 9/25/18

 

 

586

 

 

2,897

 

Series 2003-135, Class SE,
7.52%, 8/25/33 (a)

 

 

25,302

 

 

2,564,627

 

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

 

 

70

 

 

548

 

Series 2006-58, Class SI,
6.31%, 7/25/36 (a)

 

 

11,785

 

 

1,587,026

 

Series 2006-70, Class JI,
6.37%, 6/25/36 (a)

 

 

25,572

 

 

3,871,925

 

Series 2009-3, Class JI,
6.00%, 1/25/49

 

 

16,955

 

 

2,240,423

 

Series 2010-2, Class SG,
6.22%, 10/25/39 (a)

 

 

21,291

 

 

1,899,122

 

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

 

 

1

 

 

15,896

 

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

 

 

1

 

 

10,950

 

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

 

 

—

(d)

 

1,709

 

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

 

 

119

 

 

19,958

 

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

 

 

—

(d)

 

7,835

 

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

 

 

337

 

 

13,745

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

—

(d)

 

848

 

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

 

 

—

(d)

 

17

 

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

 

 

9,626

 

 

17,518

 

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

 

 

0.00

 

 

1,513

 

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

 

 

83

 

 

2,130

 

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

 

 

—

(d)

 

5,967

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

Series 1179, Class O,
1,009.39%, 11/15/21

 

$

—

(d)

$

4

 

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

 

 

532

 

 

2,085

 

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

 

 

702

 

 

33,720

 

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

 

 

279

 

 

3,256

 

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

 

 

6,121

 

 

735,262

 

Series 2687, Class IL, 5.00%,
9/15/18

 

 

538

 

 

2,601

 

Series 2694, Class LI, 4.50%,
7/15/19

 

 

654

 

 

13,994

 

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

 

 

1,060

 

 

49,263

 

Series 3153, Class SI, 6.36%,
5/15/36 (a)

 

 

13,755

 

 

2,023,106

 

Ginnie Mae Mortgage-Backed Securities (a):

 

 

 

 

 

 

 

Series 2005-31, Class SA,
5.92%, 4/16/35

 

 

24,863

 

 

3,038,797

 

Series 2009-33, Class SN,
6.04%, 5/20/39

 

 

15,330

 

 

1,385,776

 

Series 2009-64, Class SY,
5.84%, 8/20/39

 

 

12,119

 

 

1,169,194

 

Series 2009-88, Class ES,
6.12%, 10/16/39

 

 

12,479

 

 

1,242,191

 

Series 2009-92, Class SC,
5.86%, 10/16/39

 

 

15,766

 

 

1,587,247

 

 

 

 

 

 

 

 

 

 

 

 

26,433,357

 

Interest Only Mortgage-Backed Securities — 0.3%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities, 2.73%, 1/01/35 (a)

 

 

211

 

 

218,964

 

Ginnie Mae Mortgage-Backed Securities (a):

 

 

 

 

 

 

 

Series 2006-49, Class SA,
6.22%, 2/20/36

 

 

6,440

 

 

543,025

 

Series 2007-23, Class ST,
5.96%, 4/20/37

 

 

5,590

 

 

568,847

 

 

 

 

 

 

 

 

 

 

 

 

1,330,836

 

Mortgage-Backed Securities — 139.9%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 7/15/40 (g)

 

 

2,500

 

 

2,471,094

 

4.50%, 7/01/39 - 7/15/40 (f)(g)

 

 

267,270

 

 

272,917,170

 

5.00%, 1/01/23 - 7/15/40 (f)(g)

 

 

144,929

 

 

151,450,303

 

5.50%, 6/15/25 - 7/15/40 (g)

 

 

122,900

 

 

130,686,326

 

5.97%, 8/01/16

 

 

3,099

 

 

3,484,045

 

6.00%, 6/15/40 (g)

 

 

20,800

 

 

22,402,245

 

6.50%, 7/15/40 (g)

 

 

41,300

 

 

44,810,500

 

7.50%, 2/01/22

 

 

—

(d)

 

160

 

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

 

 

3

 

 

3,677

 

 

 

 

4

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010


 

 

 

 

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

 

Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.51%, 11/01/17 (a)

 

$

21

 

$

21,738

 

4.98%, 10/01/34 (a)

 

 

549

 

 

572,827

 

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

 

 

1,928

 

 

2,056,525

 

5.50%, 6/15/25 (g)

 

 

7,000

 

 

7,517,342

 

6.50%, 6/15/40 (g)

 

 

100

 

 

108,922

 

9.00%, 9/01/20

 

 

73

 

 

80,830

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 6/15/40 (g)

 

 

23,900

 

 

25,188,353

 

6.50%, 6/15/40 (g)

 

 

8,500

 

 

9,270,312

 

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

 

 

313

 

 

357,157

 

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

 

 

97

 

 

113,024

 

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

 

 

9

 

 

11,047

 

 

 

 

 

 

 

 

 

 

 

 

673,523,597

 

Principal Only Collateralized Mortgage
Obligations — 0.6%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 0.00%,
2/01/23

 

 

26

 

 

23,918

 

Series 228, Class 1, 0.00%,
6/01/23

 

 

17

 

 

16,024

 

Series 1991-7, Class J, 0.00%,
2/25/21

 

 

30

 

 

26,544

 

Series 1993-51, Class E,
0.00%, 2/25/23

 

 

86

 

 

76,111

 

Series 1993-70, Class A,
0.00%, 5/25/23

 

 

14

 

 

12,590

 

Series 1999-W4, Class PO,
0.00%, 2/25/29

 

 

224

 

 

191,312

 

Series 2002-13, Class PR,
0.00%, 3/25/32

 

 

518

 

 

446,952

 

Series G93-2, Class KB,
0.00%, 1/25/23

 

 

201

 

 

186,754

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1418, Class M, 0.00%,
11/15/22

 

 

93

 

 

82,587

 

Series 1571, Class G, 0.00%,
8/15/23

 

 

539

 

 

481,748

 

Series 1691, Class B, 0.00%,
3/15/24

 

 

1,265

 

 

1,143,402

 

Series 1739, Class B, 0.00%,
2/15/24

 

 

77

 

 

74,989

 

Series T-8, Class A10, 0.00%,
11/15/28

 

 

160

 

 

142,728

 

 

 

 

 

 

 

 

 

 

 

 

2,905,659

 

Total U.S. Government Sponsored
Agency Securities – 165.0%

 

 

 

 

 

794,297,259

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 

U.S. Treasury Bonds:

 

 

 

 

 

 

 

8.75%, 8/15/20 (h)

 

 

750

 

 

1,095,000

 

8.00%, 11/15/21 (f)

 

 

2,750

 

 

3,889,531

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

Par
(000)

 

Value

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

3.63%, 2/15/20 (f)

 

$

20,900

 

$

21,437,193

 

4.50%, 8/15/39

 

 

330

 

 

345,159

 

4.63%, 2/15/40 (f)(h)

 

 

5,550

 

 

5,926,357

 

U.S. Treasury STRIPS, 0.00%,
11/15/24 (a)(f)(h)

 

 

40,000

 

 

21,915,280

 

Total U.S. Treasury Obligations – 11.3%

 

 

 

 

 

54,608,520

 

Total Long-Term Investments
(Cost – $907,677,973) – 190.3%

 

 

 

 

 

916,192,956

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.16% (i)(j)

 

 

72,771,402

 

 

72,771,402

 

Total Short-Term Securities
(Cost – $72,771,402) – 15.1%

 

 

 

 

 

72,771,402

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (k)

 

 

 

 

Over-the-Counter Call Swaptions Purchased — 0.2%

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and
pay a floating rate based on
3-month LIBOR, expires 5/19/12,
Broker Bank of America NA

 

 

6

 

 

786,234

 

Over-the-Counter Put Swaptions Purchased — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and
pay a floating rate based on 3-
month LIBOR, expires 5/19/12,
Broker Bank of America NA

 

 

6

 

 

120,373

 

Total Options Purchased
(Cost – $492,280) – 0.2%

 

 

 

 

 

906,607

 

Total Investments Before TBA Sale Commitments
and Outstanding Options Written
(Cost – $980,941,655*) – 205.6%

 

 

 

 

 

989,870,965

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (g)

 

Par
(000)

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

4.50%, 7/01/39 – 7/15/40

 

$

128,900

 

 

(131,518,217

)

5.00%, 1/01/23 – 7/15/40

 

 

4,500

 

 

(4,778,437

)

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

TBA Sale Commitments (g)

 

Par
(000)

 

Value

 

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

 

$

1,900

 

$

(2,018,750

)

Total TBA Sale Commitments
(Proceeds – $148,015,402) – (28.7)%

 

 

 

 

 

(138,315,404

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts (k)

 

 

 

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

 

 

 

 

 

 

 

Pay a fixed rate of 3.43% and
receive a floating rate based on
3-month LIBOR, expires
3/19/11, Broker JPMorgan
Chase Bank NA

 

 

7

 

 

(169,281

)

Pay a fixed rate of 5.33% and
receive a floating rate based on
3-month LIBOR, expires
7/20/13, Broker JPMorgan
Chase Bank NA

 

 

11

 

 

(770,618

)

 

 

 

 

 

 

 

 

 

 

 

(939,899

)

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

 

 

 

 

 

 

 

Receive a fixed rate of 3.43% and
pay a floating rate based on 3-
month LIBOR, expires 3/19/11,
Broker JPMorgan Chase
Bank NA

 

 

7

 

 

(350,308

)

Receive a fixed rate of 5.33% and
pay a floating rate based on 3-
month LIBOR, expires 7/20/13,
Broker JPMorgan Chase
Bank NA

 

 

11

 

 

(218,359

)

 

 

 

 

 

 

 

 

 

 

 

(568,667

)

Total Options Written
(Premiums Received – $1,358,915) – (0.3)%

 

 

 

 

 

(1,508,566

)

Total Investments, Net of TBA Sale Commitments
and Outstanding Options Written – 176.6%

 

 

 

 

 

850,046,995

 

Liabilities in Excess of Other Assets – (76.6)%

 

 

 

 

 

(368,754,324

)

 

 

 

 

 

Net Assets – 100.0%

 

 

 

 

$

481,292,671

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of May 31, 2010, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

Aggregate cost

 

$

980,979,254

 

 

 

Gross unrealized appreciation

 

$

31,080,790

 

Gross unrealized depreciation

 

 

(22,189,079

)

 

 

Net unrealized appreciation

 

$

8,891,711

 

 

 

 

 

(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)

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

 

 

(d)

Amount is less than $1,000.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America Securities

 

$

(60,119,852

)

$

(1,018,386

)

Citigroup Global Markets, Inc.

 

$

54,393,609

 

$

101,930

 

Credit Suisse Securities LLC

 

$

102,806,213

 

$

1,322,513

 

Deutsche Bank Securities, Inc.

 

$

125,990,608

 

$

(2,888

)

Goldman Sachs & Co.

 

$

7,752,469

 

$

(14,515

)

JPMorgan Chase Securities, Inc.

 

$

136,254,171

 

$

2,172,968

 

 

 

(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,
2009

 

Net
Activity

 

Shares
Held at
May 31,
2010

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

178,238,591

 

 

(105,467,189

)

 

72,771,402

 

$

214,988

 

 

 

(j)

Represents the current yield as of report date.

 

 

(k)

One contract represents a notional amount of $1 million.

 

 

 

6

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

Interest rate floors outstanding as of May 31, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Value

 

Unrealized
Depreciation

 

Pay to broker the difference
between 3-month LIBOR
and a floor of 4.80%

 

 

 

 

 

 

 

 

 

 

Broker Goldman Sachs
Bank USA
expires 3/19/11

 

$

70,000

 

$

(2,571,310

)

$

(1,796,643

)

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

 

 

 

 

 

 

 

 

 

 

Broker Citibank NA
expires 9/17/11

 

 

25,000

 

 

(1,686,475

)

 

(1,207,308

)

Total

 

 

 

 

$

(4,257,785

)

$

(3,003,951

)

 

 

 

 

 

 

 

•

Financial futures contracts purchased as of May 31, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 

67

 

5-Year U.S. Treasury Bond

 

September 2010

 

$

7,866,367

 

$

(49,351

)

83

 

30-Year U.S. Treasury Bond

 

September 2010

 

$

10,866,995

 

 

(175,557

)

Total

 

 

 

 

 

 

 

 

$

(224,908

)

 

 

 

 

 

 

 

 

 

 

 

•

Financial futures contracts sold as of May 31, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation
(Depreciation)

 

84

 

2-Year U.S. Treasury Bond

 

September 2010

 

$

18,304,943

 

$

(18,870

)

626

 

10-Year U.S. Treasury Bond

 

September 2010

 

 

75,016,463

 

 

(25,287

)

100

 

30-Year U.S. Treasury Bond

 

September 2010

 

 

12,400,561

 

 

134,936

 

110

 

EuroDollar Futures

 

June 2010

 

 

27,378,590

 

 

43,590

 

110

 

EuroDollar Futures

 

September 2010

 

 

27,325,865

 

 

58,240

 

110

 

EuroDollar Futures

 

December 2010

 

 

27,250,090

 

 

23,715

 

91

 

EuroDollar Futures

 

March 2011

 

 

22,477,273

 

 

(16,790

)

75

 

EuroDollar Futures

 

June 2011

 

 

18,455,647

 

 

(51,541

)

75

 

EuroDollar Futures

 

September 2011

 

 

18,393,359

 

 

(74,454

)

75

 

EuroDollar Futures

 

December 2011

 

 

18,332,209

 

 

(88,729

)

27

 

EuroDollar Futures

 

March 2012

 

 

6,600,343

 

 

(15,332

)

12

 

EuroDollar Futures

 

June 2012

 

 

2,927,033

 

 

(5,767

)

12

 

EuroDollar Futures

 

September 2012

 

 

2,918,933

 

 

(6,367

)

12

 

EuroDollar Futures

 

December 2012

 

 

2,910,814

 

 

(6,986

)

12

 

EuroDollar Futures

 

March 2013

 

 

2,904,263

 

 

(7,387

)

Total

 

 

 

 

 

 

 

 

$

(57,029

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

Interest rate swaps outstanding as of May 31, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation
(Depreciation)

 

 

 

4.32% (a)

 

3-month

 

UBS AG

 

September

 

$

12,000

 

$

118,567

 

 

 

 

LIBOR

 

 

 

2010

 

 

 

 

 

 

 

 

1.45% (b)

 

3-month

 

JPMorgan

 

July

 

$

20,000

 

 

(126,632

)

 

 

 

LIBOR

 

Chase Bank NA

 

2011

 

 

 

 

 

 

 

 

4.88% (a)

 

3-month

 

UBS AG

 

March

 

$

25,000

 

 

2,888,659

 

 

 

 

LIBOR

 

 

 

2015

 

 

 

 

 

 

 

 

4.87% (a)

 

3-month

 

Goldman Sachs

 

January

 

$

5,500

 

 

657,510

 

 

 

 

LIBOR

 

Bank USA

 

2016

 

 

 

 

 

 

 

 

2.81% (a)

 

3-month

 

Citibank NA

 

February

 

$

20,000

 

 

192,742

 

 

 

 

LIBOR

 

 

 

2016

 

 

 

 

 

 

 

 

5.72% (a)

 

3-month

 

JPMorgan

 

July

 

$

5,400

 

 

917,727

 

 

 

 

LIBOR

 

Chase Bank NA

 

2016

 

 

 

 

 

 

 

 

5.51% (a)

 

3-month

 

Bank of

 

August

 

$

159,147

 

 

26,458,806

 

 

 

 

LIBOR

 

America NA

 

2017

 

 

 

 

 

 

 

 

5.88% (b)

 

3-month

 

Deutsche

 

June

 

$

31,930

 

 

(5,814,052

)

 

 

 

LIBOR

 

Bank AG

 

2018

 

 

 

 

 

 

 

 

4.55% (b)

 

3-month

 

Citibank NA

 

September

 

$

98,400

 

 

(10,091,797

)

 

 

 

LIBOR

 

 

 

2018

 

 

 

 

 

 

 

 

4.31% (b)

 

3-month

 

Deutsche

 

October

 

$

66,000

 

 

(5,618,848

)

 

 

 

LIBOR

 

Bank AG

 

2018

 

 

 

 

 

 

 

 

3.17% (a)

 

3-month

 

Bank of

 

March

 

$

4,700

 

 

(26,118

)

 

 

 

LIBOR

 

America NA

 

2019

 

 

 

 

 

 

 

 

3.09% (b)

 

3-month

 

Deutsche

 

March

 

$

25,700

 

 

283,299

 

 

 

 

LIBOR

 

Bank AG

 

2019

 

 

 

 

 

 

 

 

2.88% (a)

 

3-month

 

Deutsche

 

April

 

$

39,700

 

 

(1,130,017

)

 

 

 

LIBOR

 

Bank AG

 

2019

 

 

 

 

 

 

 

 

3.23% (b)

 

3-month

 

Deutsche

 

May

 

$

2,800

 

 

6,900

 

 

 

 

LIBOR

 

Bank AG

 

2019

 

 

 

 

 

 

 

 

3.90% (b)

 

3-month

 

Barclays

 

June

 

$

20,000

 

 

(1,015,225

)

 

 

 

LIBOR

 

Bank Plc

 

2019

 

 

 

 

 

 

 

 

3.55% (b)

 

3-month

 

Deutsche

 

August

 

$

15,000

 

 

(466,544

)

 

 

 

LIBOR

 

Bank AG

 

2019

 

 

 

 

 

 

 

 

5.49% (b)

 

3-month

 

JPMorgan

 

October

 

$

5,400

 

 

(777,519

)

 

 

 

LIBOR

 

Chase Bank NA

 

2019

 

 

 

 

 

 

 

 

3.67% (a)

 

3-month

 

Deutsche

 

December

 

$

4,600

 

 

128,148

 

 

 

 

LIBOR

 

Bank AG

 

2019

 

 

 

 

 

 

 

 

5.67% (b)

 

3-month

 

Citigroup Global

 

January

 

$

12,400

 

 

(1,812,449

)

 

 

 

LIBOR

 

Markets, Inc.

 

2020

 

 

 

 

 

 

 

 

3.88% (a)

 

3-month

 

Morgan

 

January

 

$

7,600

 

 

346,260

 

 

 

 

LIBOR

 

Stanley Capital

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

Services, Inc.

 

 

 

 

 

 

 

 

 

 

3.71% (b)

 

3-month

 

Deutsche

 

February

 

$

9,200

 

 

(275,914

)

 

 

 

LIBOR

 

Bank AG

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

Morgan

 

 

 

 

 

 

 

 

 

 

3.73% (a)

 

3-month

 

Stanley Capital

 

May

 

$

28,000

 

 

843,032

 

 

 

 

LIBOR

 

Services, Inc.

 

2020

 

 

 

 

 

 

 

 

5.41% (a)

 

3-month

 

JPMorgan

 

August

 

$

9,565

 

 

1,761,863

 

 

 

 

LIBOR

 

Chase Bank NA

 

2022

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

7,448,398

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a) Pays floating interest rate and receives fixed rate.

 

(b) Pays fixed interest rate and receives floating rate.

 

 

 

8

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

 

•

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector 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 sector sub-classifications for reporting ease.

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

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 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, 2010 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

14,529,236

 

$

1,434,680

 

$

15,963,916

 

Non-Agency Mortgage-Backed Securities

 

 

—

 

 

32,978,440

 

 

18,344,821

 

 

51,323,261

 

U.S. Government Sponsored Agency Securities

 

 

—

 

 

784,346,394

 

 

9,950,865

 

 

794,297,259

 

U.S. Treasury Obligations

 

 

—

 

 

54,608,520

 

 

—

 

 

54,608,520

 

Short-Term Securities

 

$

72,771,402

 

 

—

 

 

—

 

 

72,771,402

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitment

 

 

—

 

 

(138,315,404

)

 

—

 

 

(138,315,404

)

Total

 

$

72,771,402

 

$

748,147,186

 

$

29,730,366

 

$

850,648,954

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

9


 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Financial Instruments1

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets

 

$

260,481

 

$

35,510,120

 

 

—

 

$

35,770,601

 

Liabilities

 

 

(542,418

)

 

(40,403,215

)

$

(4,257,785

)

 

(45,203,418

)

Total

 

$

(281,937

)

$

(4,893,095

)

$

(4,257,785

)

$

(9,432,817

)

 

 

 

 

1

Other financial instruments are swaps, financial futures contracts, interest rate floors, TALF loan and options. Financial futures contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and interest rate floors, TALF loan and options are shown at value.

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities

 

 

Asset-Backed
Securities

 

Corporate
Bonds

 

Non-Agency
Mortgage-
Backed
Securities

 

U.S. Government
Sponsored
Agency
Securities

 

Total

 

Balance, as of August 31, 2009

 

$

3,536,160

 

$

582,709

 

$

21,006,613

 

$

14,122,541

 

$

39,248,023

 

Accrued discounts/premiums

 

 

(78,245

)

 

—

 

 

(1,458,669

)

 

(181,915

)

 

(1,718,829

)

Realized gain (loss)

 

 

(128,163

)

 

(288

)

 

220,283

 

 

749,440

 

 

841,272

 

Change in unrealized appreciation/depreciation2

 

 

1,991,804

 

 

17,928

 

 

1,156,081

 

 

(536,569

)

 

2,629,244

 

Net purchases (sales)

 

 

—

 

 

(600,349

)

 

(2,584,806

)

 

(4,202,632

)

 

(7,387,787

)

Net transfers in/out of Level 3

 

 

(3,886,876

)

 

—

 

 

5,319

 

 

—

 

 

(3,881,557

)

Balance, as of May 31, 2010

 

$

1,434,680

 

 

—

 

$

18,344,821

 

$

9,950,865

 

$

29,730,366

 

 

 

 

 

2

The change in unrealized appreciation/depreciation on securities still held at May 31, 2010 was $1,501,623.

 

 

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

 

 

 

 

 

 

 

Other Financial
Instruments3

 

Balance, as of August 31, 2009

 

$

(7,202,331

)

 

 

Accrued discounts/premiums

 

 

—

 

Realized gain (loss)

 

 

204,333

 

Change in unrealized appreciation/depreciation

 

 

2,740,213

 

 

 

Net purchases (sales)

 

 

—

 

Net transfers in/out of Level 3

 

 

—

 

 

 

Balance, as of May 31, 2010

 

$

(4,257,785

)

 

 

 

 

3

Other financial instruments are interest rate floors.

 

 

 

10

BLACKROCK INCOME TRUST, INC.

MAY 31, 2010

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/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer of
    BlackRock Income Trust, Inc.
   
  Date: July 23, 2010
   
  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/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer (principal executive officer) of
    BlackRock Income Trust, Inc.
   
  Date: July 23, 2010
   
 

By:

 /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Income Trust, Inc.
   
  Date: July 23, 2010