UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-05542

 

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

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Trust, Inc., 55 East 52nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 08/31/2014

 

Date of reporting period: 05/31/2014

 

Item 1 – Schedule of Investments

 
 
Schedule of Investments May 31, 2014 (Unaudited) BlackRock Income Trust, Inc. (BKT)
  (Percentages shown are based on Net Assets)

 

Asset-Backed Securities Par
(000)		   Value  
 
   
Asset-Backed Securities — 0.9%  
First Franklin Mortgage Loan Trust, Series 2005-FF2, Class M2, 0.81%, 3/25/35 (a) $ 1,981 $ 1,978,554  
Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.58%, 10/25/35 (a)   1,875   1,620,388  
Small Business Administration Participation Certificates, Class 1:          
  Series 1996-20E, 7.60%, 5/01/16   41   42,760  
  Series 1996-20G, 7.70%, 7/01/16   54   56,685  
  Series 1996-20H, 7.25%, 8/01/16   65   67,729  
  Series 1996-20K, 6.95%, 11/01/16   134   140,243  
  Series 1997-20C, 7.15%, 3/01/17   51   53,837  
   
    3,960,196  
 
Interest Only Asset-Backed Securities — 0.1%  
Small Business Administration, Series 2000-1, 1.80%, 4/01/15   832   7,279  
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)   2,999   218,337  
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b)   6,297   427,003  
   
    652,619  
 
Total Asset-Backed Securities — 1.0%   4,612,815  
 
 
 
Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations — 1.0%  
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.49%, 4/01/18   39   39  
Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21   456   437,430  
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.42%, 10/25/35 (a)   2,431   2,177,740  
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.34%, 8/25/23 (a)   44   50,020  
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33   996   1,061,456  
            
Non-Agency Mortgage-Backed Securities Par
(000)		   Value  
 
Collateralized Mortgage Obligations (concluded)  
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.57%, 8/25/34 (a) $ 1,070 $ 1,073,026  
   
    4,799,711  
 
Commercial Mortgage-Backed Securities — 0.6%  
Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)   2,420   2,659,740  
 
Interest Only Collateralized Mortgage Obligations — 0.7%  
Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.04%, 5/25/33 (a)   30,626   177,722  
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37   673   168,445  
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17   7   452  
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)   3,077   31  
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37   66,523   176,286  
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (c)   7,891   87,544  
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19   277   29,239  
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19   244   17,605  
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.04%, 3/20/35 (a)   34,427   554,067  
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 4.96%, 8/25/36 (a)   17,538   2,129,263  
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (a)   39,212   271  
   
    3,340,925  
 
Interest Only Commercial Mortgage-Backed Securities — 0.0%  
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.35%, 6/20/29 (a)(b)   2,025   75  
 
                         

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20141
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)
  (Percentages shown are based on Net Assets)

 

Non-Agency Mortgage-Backed Securities Par
(000)		   Value  
 
Principal Only Collateralized Mortgage Obligations — 0.3%  
Countrywide Home Loan Mortgage Pass-Through Trust:          
  Series 2003-26, 8/25/33 $ 603 $ 527,179  
  Series 2003-J4, 6/25/33   104   86,711  
  Series 2003-J5, 7/25/33   219   187,802  
  Series 2003-J8, 9/25/23   130   117,820  
Drexel Burnham Lambert CMO Trust, Class 1:          
  Series K, 9/23/17   3   3,356  
  Series V, 9/01/18   4   3,734  
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36   548   360,520  
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24   6   5,521  
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35   232   164,021  
   
    1,456,664  
   
Total Non-Agency Mortgage-Backed Securities — 2.6%   12,257,115  
 
 
 
U.S. Government Sponsored Agency Securities  
 
Agency Obligations — 2.4%  
Federal Housing Administration:          
General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22   128   124,832  
Merrill Projects, Series 54, 7.43%, 5/15/23   2   1,577  
Reilly Projects, Series 41, 8.28%, 3/01/20   132   131,650  
USGI Projects, Series 87, 7.43%, 12/01/22   55   53,494  
USGI Projects, Series 99, 7.43%, 6/1/21 - 10/1/23   3,615   3,537,547  
Resolution Funding Corp., 0.00%, 4/15/30 (d)   13,000   7,643,857  
   
    11,492,957  
 
Collateralized Mortgage Obligations — 58.0%  
Fannie Mae Mortgage-Backed Securities:          
  Series 1991-46, Class S, 2,484.65%, 5/25/21 (a) $ —(e) $ 3,706  
  Series 1991-87, Class S, 26.29%, 8/25/21 (a)   23   34,236  
  Series 1993-247, Class SN, 10.00%, 12/25/23 (a)   206   257,006  
              
Non-Agency Mortgage-Backed Securities Par
(000)		   Value
Collateralized Mortgage Obligations (continued)   
  Fannie Mae Mortgage-Backed Securities (concluded):          
  Series 2003-135, Class PB, 6.00%, 1/25/34 $ 12,264 $ 13,885,840  
  Series 2004-31, Class ZG, 7.50%, 5/25/34   3,896   4,541,385  
  Series 2005-73, Class DS, 17.16%, 8/25/35 (a)   1,524   1,938,029  
  Series 2011-117, Class CP, 4.00%, 12/25/40 - 11/25/41   17,410   18,739,194  
  Series 2010-47, Class JB, 5.00%, 5/25/30   10,000   11,238,360  
  Series 2011-142, Class PE, 3.50%, 1/25/42   15,567   15,923,390  
  Series 2011-99, Class CB, 4.50%, 10/25/41   43,000   47,969,811  
  Series G-07, Class S, 1,127.65%, 3/25/21 (a)   —(e)   1,985  
  Series G-17, Class S, 1,065.44%, 6/25/21 (a)   —(e)   1,881  
  Series G-33, Class PV, 1,078.42%, 10/25/21   —(e)   1,388  
  Series G-49, Class S, 1,019.20%, 12/25/21 (a)   —(e)   724  
Freddie Mac Mortgage-Backed Securities:          
  Series 19, Class R, 16,325.70%, 3/15/20 (a)   —(e)   481  
  Series 40, Class K, 6.50%, 8/17/24   198   223,802  
  Series 75, Class R, 9.50%, 1/15/21   —(e)   1  
  Series 75, Class RS, 44.89%, 1/15/21 (a)   —(e)   1  
  Series 173, Class R, 9.00%, 11/15/21   7   7  
  Series 173, Class RS, 9.46%, 11/15/21 (a)   —(e)   7  
  Series 192, Class U, 1,009.03%, 2/15/22 (a)   —(e)   29  
  Series 1057, Class J, 1,008.00%, 3/15/21   —(e)   690  
  Series 1160, Class F, 39.52%, 10/15/21 (a)   12   23,644  
  Series 2218, Class Z, 8.50%, 3/15/20 - 3/15/30   3,260   3,848,319  
                         

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20142
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)
  (Percentages shown are based on Net Assets)

 

U.S. Government Sponsored Agency Securities Par
(000)		   Value  
 
Collateralized Mortgage Obligations (concluded)  
Freddie Mac Mortgage-Backed Securities (concluded):          
  Series 2542, Class UC, 6.00%, 12/15/22 $ 3,505 $ 3,888,290  
  Series 2927, Class BZ, 5.50%, 5/15/23 - 2/15/35   11,197   12,257,248  
  Series 2861, Class AX, 10.57%, 9/15/34 (a)   60   64,891  
  Series 3688, Class PB, 4.50%, 8/15/32   10,000   10,962,390  
  Series 4269, Class PM, 4.00%, 11/15/40 - 9/15/41   26,292   27,328,254  
  Series 3856, Class PB, 5.00%, 5/15/41   10,000   11,533,260  
  Series 4242, Class PA, 3.50%, 5/15/41   9,444   9,937,838  
  Series T-11, Class A9, 2.85%, 1/25/28 (a)   1,460   1,511,286  
Ginnie Mae Mortgage-Backed Securities:          
  Series 1996-5, Class Z, 7.00%, 5/16/26   321   362,579  
  Series 2004-89, Class PE, 6.00%, 10/20/34   831   877,594  
  Series 2010-99, Class JM, 3.75%, 12/20/38   19,300   20,161,803  
  Series 2010-112, Class TL, 4.00%, 1/20/39   15,000   15,850,860  
  Series 2011-80, Class PB, 4.00%, 10/20/39   11,489   12,302,031  
  Series 2011-88, Class PY 4.00%, 6/20/41   15,402   15,891,938  
  Series 2012-16, Class HJ, 4.00%, 9/20/40   10,000   10,422,160  
   
    271,986,338  
 
Interest Only Collateralized Mortgage Obligations — 4.6%  
Fannie Mae Mortgage-Backed Securities:          
  Series 7, Class 2, 8.50%, 4/01/17   2   193  
  Series 89, Class 2, 8.00%, 10/01/18   3   285  
  Series 94, Class 2, 9.50%, 8/01/21   1   274  
  Series 1990-123, Class M, 1,009.50%, 10/25/20   —(e)   179  
  Series 1990-136, Class S, 19.93%, 11/25/20 (a)   7   10,264  
  Series 1991-99, Class L, 930.00%, 8/25/21   —(e)   786  
             
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 $ —(e) $ 1,378  
  Series 1993-199, Class SB, 7.35%, 10/25/23 (a)   227   21,401  
  Series 1997-50, Class SI, 1.20%, 4/25/23 (a)   191   6,408  
  Series 1997-90, Class M, 6.00%, 1/25/28   2,715   416,835  
  Series 1999-W4, 6.50%, 12/25/28   175   32,076  
  Series 2010-74, Class DI, 5.00%, 12/25/39   13,697   1,346,146  
  Series 2011-124, Class GS, 6.55%, 3/25/37 (a)   17,822   2,542,904  
  Series 2013-45, Class EI, 4.00%, 2/25/27 - 4/25/43   25,931   3,710,943  
  Series G-10, Class S, 1,090.91%, 5/25/21 (a)   —(e)   7,844  
  Series G-12, Class S, 1,158.08%, 5/25/21 (a)   —(e)   4,603  
  Series G92-05, Class H, 9.00%, 1/25/22   31   3,010  
  Series G92-12, Class C, 1,016.90%, 2/25/22   —(e)   1,298  
  Series G92-60, Class SB, 1.60%, 10/25/22 (a)   123   4,821  
Freddie Mac Mortgage-Backed Securities:          
  Series 176, Class M, 1,010.00%, 7/15/21   —(e)   340  
  Series 200, Class R, 197,880.39%, 12/15/22 (a)   1   722  
  Series 1043, Class H, 44.32%, 2/15/21 (a)   5   11,080  
  Series 1054, Class I, 868.25%, 3/15/21 (a)   —(e)   771  
  Series 1056, Class KD, 1,084.50%, 3/15/21   —(e)   522  
  Series 1148, Class E, 1,179.04%, 10/15/21 (a)   —(e)   1,709  
  Series 2559, 0.50%, 8/15/30 (a)   83   1,023  
  Series 2611, Class QI, 5.50%, 9/15/32   1,593   162,077  
  Series 3745, Class IN, 4.00%, 1/15/35 - 6/15/39   45,382   4,999,462  
  Series 4026, 4.50%, 4/15/32   5,370   988,231  
Ginnie Mae Mortgage-Backed Securities (a):          
  Series 2009-116, Class KS, 6.32%, 12/16/39   3,048   452,596  
             
                         

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20143
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)
  (Percentages shown are based on Net Assets)

 

U.S. Government Sponsored Agency Securities Par
(000)		   Value  
Interest Only Collateralized Mortgage Obligations (concluded)  
Ginnie Mae Mortgage-Backed Securities (a) (concluded):          
  Series 2011-52, Class MJ, 6.50%, 4/20/41 $ 16,341 $ 3,380,501  
  Series 2011-52, Class NS, 6.52%, 4/16/41   18,250   3,469,095  
   
    21,579,777  
 
Mortgage-Backed Securities  — 86.7%  
Fannie Mae Mortgage-Backed Securities:          
  3.00%, 1/01/43 (f)   29,570   29,311,151  
  3.50%, 10/01/42 - 6/01/44 (f)(g)   41,049   42,327,641  
  4.00%, 1/01/41 - 9/01/42 (f)   34,346   36,448,093  
  4.50%, 8/01/25 - 6/01/44 (f)(g)   102,363   111,690,771  
  5.00%, 1/01/23 - 10/01/41 (f)   68,417   76,033,235  
  5.50%, 6/01/29 - 10/01/39 (f)(g)   39,758   43,949,985  
  5.97%, 8/01/16   2,941   3,233,820  
  6.00%, 6/01/44 (g)   43,600   48,944,406  
  6.50%, 12/01/37 - 10/01/39   12,426   14,026,231  
  7.50%, 2/01/22   —(e)   66  
  9.50%, 1/01/19 - 9/01/19   2   1,960  
Freddie Mac Mortgage-Backed Securities:          
  2.48%, 1/01/35 (a)   186   188,203  
  2.55%, 10/01/34 (a)   202   202,111  
  2.73%, 11/01/17 (a)   9   8,892  
  5.00%, 2/01/22 - 4/01/22   359   389,624  
  9.00%, 9/01/20   21   23,025  
Ginnie Mae Mortgage-Backed Securities:          
  7.50%, 8/15/21 - 12/15/23   122   128,914  
  8.00%, 10/15/22 - 8/15/27   54   58,104  
  9.00%, 4/15/20 - 9/15/21   5   4,773  
   
    406,971,005  
 
Principal Only Collateralized Mortgage Obligations — 0.3%  
Fannie Mae Mortgage-Backed Securities:          
Series 203, Class 1, 2/01/23   11   10,427  
Series 228, Class 1, 6/01/23   9   8,257  
Series 1991-7, Class J, 2/25/21   5   4,668  
Series 1993-51, Class E, 2/25/23   35   34,446  
Series 1993-70, Class A, 5/25/23   5   4,952  
Series 1999-W4, 2/25/29   95   89,257  
Series 2002-13, Class PR, 3/25/32   201   187,687  
           
U.S. Government Sponsored Agency Securities Par
(000)		   Value  
Principal Only Collateralized Mortgage Obligations (concluded)  
Fannie Mae Mortgage-Backed Securities (concluded):          
Series G93-2, Class KB, 1/25/23 $ 99 $ 96,442  
Freddie Mac Mortgage-Backed Securities:          
Series 1418, Class M, 11/15/22   37   36,179  
Series 1571, Class G, 8/15/23   261   226,809  
Series 1691, Class B, 3/15/24   502   482,610  
Series T-8, Class A10, 11/15/28   76   74,471  
   
    1,256,205  
 
Total U.S. Government Sponsored Agency Securities — 152.0%   713,286,282  
 
 
 
U.S. Treasury Obligations  
U.S. Treasury Notes:          
  1.00%, 11/30/19 (g)   2,965   2,858,213  
  1.63%, 11/15/22   780   739,964  
  2.50%, 5/15/24   1,440   1,445,400  
 
Total U.S. Treasury Obligations — 1.1%   5,043,577  
 
Total Long-Term Investments
(Cost — $731,450,301) — 156.7%		   735,199,789  
 
 
 
Short-Term Securities
Shares		      
 
   
Money Market Funds – 0.6%          
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (h)(i)   2,237,472   2,237,472  
 
  Par
(000)		      
 
   
Borrowed Bond Agreement – 0.1%          
Credit Suisse Securities (USA) LLC, 0.05%, Open (Purchased on 3/03/2014 to be repurchased at $784,098, collateralized by U.S. Treasury Bond, 2.75%, 11/15/42, par and fair value of $917,000 and $822,291, respectively) $ 784 $ 784,000  
 
Total Short-Term Securities
(Cost — $3,021,472) — 0.7%		   3,021,472  
 
                         

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20144
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)
  (Percentages shown are based on Net Assets)

 

 

 

   Value  
Total Investments before Borrowed Bonds and TBA Sale Commitments
(Cost — $734,471,773*) — 157.4%		 $ 738,221,261  
 
 
Borrowed Bonds Par
(000)		      
 
   
U.S. Treasury Bond, 2.75%, 11/15/42 $ 917   (822,291)  
 

Total Borrowed Bonds

(Proceeds — $842,347) — (0.1%)

   (822,291)  
 
 
 

 

TBA Sale Commitments (g)

      
 
   
Fannie Mae Mortgage-Backed Securities:          
3.50%, 6/01/44   5,100   (5,256,984)  
4.50%, 6/01/29   5,200   (5,532,312)  
5.00%, 6/01/29 - 6/01/44   13,300   (14,680,000)  
6.00%, 6/01/44   21,800   (24,497,750)  

 

 

   Value  

Total TBA Sale Commitments

(Proceeds — $49,740,281) — (10.6%)

 $ (49,967,046)  
 
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 146.7% $ 687,431,924  
Liabilities in Excess of Other Assets — (46.7)%   (218,331,541)  
   
Net Assets — 100.0% $ 469,100,383  
 
* As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:  
      
Tax cost $ 734,603,210  
Gross unrealized appreciation $ 31,320,473  
Gross unrealized depreciation   (27,702,422)  
Net unrealized appreciation $ 3,618,051  
                         

 

Notes to Schedule of Investments

 
(a) Variable rate security. Rate shown is as of report date.  
(b) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.  
(c) Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.  
(d) Zero-coupon bond.  
(e) Amount is less than $500.  
(f) All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.  
(g) Represents or includes a TBA transaction. Unsettled TBA transactions as of May 31, 2014 were as follows:  
   
       

 

  Counterparty   Value  

Unrealized
Appreciation

(Depreciation)

  
 
  Bank of America N.A.   $ (2,210,000) $ (20,625)  
  Credit Suisse Securities (USA) LLC   $ (4,443,624) $ (249)  
  Deutsche Bank Securities, Inc.   $ 12,057,844 $ (13,992)  
  Goldman Sachs & Co.   $ (1,603,875) $ 9,203  
  J.P. Morgan Securities LLC   $ 27,205,670 $ 263,358  
 
                                 

 

(h) Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, 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, 2013		   Net
Activity		   Shares
Held at
May 31, 2014		   Income  
 
  BlackRock Liquidity Funds, TempFund, Institutional Class   14,996,794   (12,759,322)   2,237,472 $ 2,952  
 
                                           

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20145
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)

 

(i) Represents the current yield as of report date.  
         

 

Portfolio Abbreviations

   
CMO Collateralized Mortgage Obligation
LIBOR London Interbank Offered Rate
OTC Over-the-Counter
TBA To Be Announced
     

 

• Reverse repurchase agreements outstanding as of May 31, 2014 were as follows:  
 
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		   Face Value   Face Value
Including
Accrued
Interest		  
 
BNP Paribas Securities Corp. 0.08% 2/08/13 Open $ 2,916,819 $ 2,917,843  
Credit Suisse Securities (USA) LLC 0.12% 12/10/13 Open   17,914,714   17,923,084  
Credit Suisse Securities (USA) LLC 0.12% 5/09/14 6/12/14   164,902,000   164,912,993  
BNP Paribas Securities Corp. 0.12% 5/20/14 6/12/14   6,326,000   6,326,253  
Total       $ 192,059,532 $ 192,080,173  
   
                   

 

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

 

• Financial futures contracts outstanding as of May 31, 2014 were as follows:  
 

 

Contracts
Purchased/
Sold		 Issue Exchange Expiration Notional
Value		   Unrealized
Appreciation
(Depreciation)		  
 
(41) 90-Day Euro-Dollar Chicago Mercantile June
2014		 $ 10,226,681 $ (36,153)  
(264) 10-Year U.S. Treasury Note Chicago Board of Trade September
2014		 $ 33,136,125   (28,947)  
(187) 2-Year U.S. Treasury Note Chicago Board of Trade September
2014		 $ 41,096,172   (15,222)  
366 5-Year U.S. Treasury Note Chicago Board of Trade September
2014		 $ 43,831,360   51,352  
(41) 90-Day Euro-Dollar Chicago Mercantile September
2014		 $ 10,225,400   (41,803)  
(501) Long U.S. Treasury Bond Chicago Board of Trade September
2014		 $ 68,871,844   (584,635)  
(77) Ultra Long U.S. Treasury Bond Chicago Board of Trade September
2014		 $ 11,571,656   (71,411)  
(41) 90-Day Euro-Dollar Chicago Mercantile December
2014		 $ 10,222,838   (47,171)  
(41) 90-Day Euro-Dollar Chicago Mercantile March
2015		 $ 10,215,663   (45,809)  
(12) 90-Day Euro-Dollar Chicago Mercantile June
2015		 $ 2,985,750   (4,073)  
(12) 90-Day Euro-Dollar Chicago Mercantile December
2015		 $ 2,973,750   1,327  
(12) 90-Day Euro-Dollar Chicago Mercantile March
2016		 $ 2,966,400   4,702  
 
Total           $ (817,843)  
                           

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20146
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)

 

• Centrally cleared interest rate swaps outstanding as of May 31, 2014 were as follows:  

 

Fixed
Rate		   Floating
Rate		  
Clearinghouse		   Expiration
Date		   Notional
Amount
(000)		   Unrealized
Appreciation
0.46%   3-month LIBOR   Chicago Mercantile   6/11/15   $100 $202

 

• OTC interest rate swaps outstanding as of May 31, 2014 were as follows:  

 

Fixed
Rate		   Floating
Rate		   Counterparty   Expiration
Date		   Notional
Amount
(000)		 Market
Value		 Premiums
Received		 Unrealized
Appreciation
(Depreciation)
4.88%1   3-month LIBOR   UBS AG   3/21/15   $ 25,000 $ 922,126   — $ 922,126 
4.87%1   3-month LIBOR   Goldman Sachs Bank USA   1/25/16   $ 5,500   402,692   —   402,692 
2.81%1   3-month LIBOR   Citibank N.A.   2/06/16   $ 20,000   804,788   —   804,788 
5.72%1   3-month LIBOR   JPMorgan Chase Bank N.A.   7/14/16   $ 5,400   587,225   —   587,225 
4.31%2   3-month LIBOR   Deutsche Bank AG   10/01/18   $ 60,000   (7,443,270 )   —   (7,443,270)
3.43%1   3-month LIBOR   JPMorgan Chase Bank N.A.   3/28/21   $ 6,000   528,940 $ (190,966)   719,904 
5.41%1   3-month LIBOR   JPMorgan Chase Bank N.A.   8/15/22   $ 9,565   2,258,562   —   2,258,562 
Total                   $ (1,938,937 ) $ (190,966) $ (1,747,973)

 

1 Trust pays a floating rate and receives fixed rate.
2 Trust pays a fixed rate and receives floating rate.
     

 

• Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

  • Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access
 
  • Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
 
  • Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining the fair value of investments and derivative financial instruments)
 

 

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust's policy regarding valuation of investments and derivative financial instruments, please refer to the Trust's most recent financial statements as contained in its semi-annual report.

 

  

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20147
 
Schedule of Investments (continued) BlackRock Income Trust, Inc. (BKT)

 

The following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:

 

 
  Level 1   Level 2   Level 3   Total  
 
Assets:    
Investments:  
Long-Term Investments:  
  Asset-Backed Securities   — $ 3,960,196 $ 652,619 $ 4,612,815  
  Non-Agency Mortgage-Backed Securities   —   9,486,202   2,770,913   12,257,115  
  U.S. Government Sponsored Agency Securities   —   709,435,963   3,850,319   713,286,282  
  U.S. Treasury Obligations   —   5,043,577   —   5,043,577  
Short-Term Securities:  
  Money Market Funds $ 2,237,472   —   —   2,237,472  
  Borrowed Bonds   —   784,000   —   784,000  
Liabilities:    
Investments:  
  Borrowed Bonds   —   (822,291)   —   (822,291)  
  TBA Sale Commitments   —   (49,967,046)   —   (49,967,046)  
Total $ 2,237,472 $ 677,920,601 $ 7,273,851 $ 687,431,924  
                                 

 

 
  Level 1   Level 2   Level 3   Total  
 
Derivative Financial Instruments 1  
Assets:  
Interest rate contracts $ 57,381 $ 5,695,499   — $ 5,752,880  
Liabilities:  
Interest rate contracts   (875,224)   (7,443,270)   —   (8,318,494)  
Total $ (817,843) $ (1,747,771)   — $ (2,565,614)  
                               

 

1 Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument.
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest for financial reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
  

 

 
  Level 1   Level 2   Level 3   Total  
 
Assets:    
  Cash pledged as collateral for OTC derivatives $ 7,700,000   —   — $ 7,700,000  
  Cash pledged for financial futures contracts   1,781,000   —   —   1,781,000  
  Cash pledged for centrally cleared swaps   10,000   —   —   10,000  
Liabilities:    
  Bank overdraft   — $ (14,672)   —   (14,672)  
  Cash received as collateral for OTC derivatives   —   (4,520,000)   —   (4,520,000)  
  Cash held as collateral for reverse repurchase agreements   —   (963,000)   —   (4,520,000)  
  Reverse repurchase agreements   —   (192,080,173)   —   (192,080,173)  
Total $ 9,491,000 $ (197,577,845)   — $ (188,086,845)  
                                   

 

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2014.
 

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20148
 
Schedule of Investments (concluded) BlackRock Income Trust, Inc. (BKT)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
 

 

 

 

 

 Asset-Backed Securities Non-Agency  Mortgage-Backed Securities U.S. Government Sponsored Agency Securities Total
Assets:                
Opening Balance, as of August 31, 2013 $ 695,051 $ 2,808,305 $ 7,314,558 $ 10,817,914
Transfers into Level 3 — — — —
Transfers out of Level 3 — — (3,143,245) (3,143,245)
Accrued discounts/premiums (262,483) — (9,858) (272,341)
Net realized gain (loss) — 10 (10,202) (10,192)
Net change in unrealized appreciation/depreciation1 220,051 (37,393) 26,245 208,903
Purchases — — — —
Sales — (9) (327,179) (327,188)
Closing Balance, as of May 31, 2014 $ 652,619 $ 2,770,913 $ 3,850,319 $ 7,273,851
 

Net change in unrealized appreciation/depreciation on

investments still held at May 31, 20141

$ 220,051 $ (37,393) $ 26,245 $ 208,903

 

1 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held as of May 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The Trust's investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

 

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20149
 

Item 2 – Controls and Procedures

2(a) –     The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the ″1940 Act″)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –     There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Income Trust, Inc.

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Income Trust, Inc.

 

Date: July 23, 2014

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Income Trust, Inc.

 

Date: July 23, 2014

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Income Trust, Inc.

 

Date: July 23, 2014