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: 08/31/2011

 

Date of reporting period: 11/30/2010

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments November 30, 2010 (Unaudited)

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

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

First Franklin Mortgage Loan
Asset-Backed Certificates,
Series 2005-FF2, Class M2,
0.69%, 3/25/35 (a)

 

$

5,890

 

$

5,384,974

 

Freddie Mac Mortgage-Backed
Securities, Series T-11, Class A9,
2.34%, 1/25/28 (a)

 

 

2,664

 

 

2,739,947

 

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

 

 

922

 

 

929,477

 

Securitized Asset-Backed
Receivables LLC Trust,
Series 2005-OP2, Class M1,
0.68%, 10/25/35 (a)

 

 

1,875

 

 

935,589

 

Small Business Administration
Participation Certificates, Class 1:

 

 

 

 

 

 

 

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

 

 

236

 

 

253,682

 

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

 

 

259

 

 

283,450

 

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

 

 

394

 

 

425,774

 

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

 

 

586

 

 

628,631

 

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

 

 

242

 

 

264,913

 

 

 

 

 

 

 

 

 

 

 

 

11,846,437

 

Interest Only — 0.2%

 

 

 

 

 

 

 

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

 

 

2,107

 

 

21,069

 

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

 

 

5,180

 

 

343,162

 

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

 

 

9

 

 

597,912

 

 

 

 

 

 

 

 

 

 

 

 

962,143

 

Total Asset-Backed Securities – 2.6%

 

 

 

 

 

12,808,580

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

 

 

 

 

 

 

Collateralized Mortgage
Obligations — 2.8%

 

 

 

 

 

 

 

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

 

 

—

 (c)

 

159

 

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

 

 

1,519

 

 

1,446,891

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations
(concluded):

 

 

 

 

 

 

 

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

 

$

1,359

 

$

1,193,874

 

Homebanc Mortgage Trust,
Series 2005-4, Class A1, 0.52%,
10/25/35 (a)

 

 

3,358

 

 

2,541,064

 

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

 

 

508

 

 

388,808

 

Kidder Peabody Acceptance Corp.,
Series 1993-1, Class A6,
16.15%, 8/25/23 (a)

 

 

94

 

 

105,535

 

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

 

 

4,417

 

 

4,604,679

 

Structured Adjustable Rate
Mortgage Loan Trust,
Series 2004-11, Class A, 2.85%,
8/25/34 (a)

 

 

1,434

 

 

1,332,496

 

WaMu Mortgage Pass-Through
Certificates, Series 2006-AR1,
Class 2A1C, 1.41%, 1/25/46 (a)

 

 

5,446

 

 

2,397,993

 

 

 

 

 

 

 

 

 

 

 

 

14,011,499

 

Commercial Mortgage-Backed
Securities — 4.3%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital
Certificates:

 

 

 

 

 

 

 

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

 

 

13,663

 

 

13,922,449

 

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

 

 

2,420

 

 

2,487,258

 

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

 

 

2,695

 

 

2,895,490

 

Wachovia Bank Commercial
Mortgage Trust, Series
2007-C32, Class A2, 5.93%,
6/15/49 (a)

 

 

2,200

 

 

2,279,683

 

 

 

 

 

 

 

 

 

 

 

 

21,584,880

 

Interest Only Collateralized
Mortgage Obligations — 1.3%

 

 

 

 

 

 

 

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

 

 

112,065

 

 

784,475

 

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

 

 

1,031

 

 

110,660

 

 

 

Portfolio Abbreviation

 

 

LIBOR

London InterBank Offered Rate

 

 

 

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 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):

 

 

 

 

 

 

 

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

 

$

—

 (c)

$

668

 

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

 

 

32

 

 

5,015

 

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

 

 

5,334

 

 

106,674

 

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

 

 

118,833

 

 

501,474

 

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

 

 

13,879

 

 

145,311

 

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

 

 

687

 

 

104,460

 

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

 

 

785

 

 

49,050

 

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

 

 

40,230

 

 

622,357

 

Structured Adjustable Rate Mortgage
Loan Trust:

 

 

 

 

 

 

 

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

 

 

863

 

 

95,229

 

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

 

 

1,905

 

 

224,443

 

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

 

 

30,844

 

 

3,392,847

 

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

 

 

60,785

 

 

107,772

 

 

 

 

 

 

 

 

 

 

 

 

6,250,435

 

Interest Only Commercial
Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

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

 

 

3,132

 

 

110,795

 

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

 

 

27

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

110,796

 

Principal Only Collateralized
Mortgage Obligations — 0.9%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-
Through Trust:

 

 

 

 

 

 

 

Series 2003-26, Class PO,
8/25/33

 

 

2,420

 

 

1,606,928

 

Series 2003-J4, Class PO,
6/25/33

 

 

403

 

 

322,835

 

Series 2003-J5, Class PO,
7/25/33

 

 

823

 

 

671,694

 

Series 2003-J8, Class PO,
9/25/23

 

 

561

 

 

462,861

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed
Securities

 

Par
(000)

 

Value

 

Principal Only Collateralized Mortgage
Obligations (concluded):

 

 

 

 

 

 

 

Drexel Burnham Lambert CMO Trust,
Class 1:

 

 

 

 

 

 

 

Series K, 9/23/17

 

$

12

 

$

11,929

 

Series V, 9/01/18

 

 

63

 

 

61,255

 

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

 

 

126

 

 

113,653

 

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

 

 

983

 

 

618,261

 

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

 

 

8

 

 

5,472

 

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

 

 

648

 

 

417,860

 

 

 

 

 

 

 

 

 

 

 

 

4,292,748

 

Total Non-Agency Mortgage-Backed
Securities – 9.3%

 

 

 

 

 

46,250,358

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

 

 

 

 

 

 

Agency Obligations — 2.3%

 

 

 

 

 

 

 

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

 

 

229

 

 

229,273

 

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

 

 

2

 

 

2,077

 

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

 

 

608

 

 

608,362

 

Federal Housing Administration, USGI
Projects:

 

 

 

 

 

 

 

Series 87, 7.43%, 12/01/22

 

 

69

 

 

69,019

 

Series 99, 7.43%, 6/01/21

 

 

4,636

 

 

4,636,469

 

Series 99, 7.43%, 10/01/23

 

 

43

 

 

42,786

 

Series 99, 7.43%, 10/01/23

 

 

126

 

 

126,412

 

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

 

 

13,000

 

 

5,615,701

 

 

 

 

 

 

 

 

 

 

 

 

11,330,099

 

Collateralized Mortgage
Obligations — 14.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

5

 

 

5,022

 

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

 

 

5

 

 

5,075

 

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

 

 

—

 (c)

 

5,721

 

Series 1991-87, Class S,
25.94%, 8/25/21 (a)

 

 

68

 

 

106,961

 

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

 

 

488

 

 

537,560

 

 

 

 

2

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 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

 

Collateralized Mortgage Obligations
(continued)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities
(concluded):

 

 

 

 

 

 

 

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

 

$

4,698

 

$

4,846,826

 

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

 

 

12,264

 

 

13,960,526

 

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

 

 

871

 

 

913,001

 

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

 

 

2,999

 

 

3,672,318

 

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

 

 

1,095

 

 

1,215,131

 

Series 2005-73, Class DS,
16.89%, 8/25/35 (a)

 

 

3,528

 

 

4,405,489

 

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

 

 

472

 

 

437,259

 

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

 

 

—

 (c)

 

4,733

 

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

 

 

—

 (c)

 

6,428

 

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

 

 

—

 (c)

 

5,450

 

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

 

 

—

 (c)

 

2,475

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

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

 

 

104

 

 

114,847

 

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

 

 

—

 (c)

 

1,653

 

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

 

 

412

 

 

473,329

 

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

 

 

—

 (c)

 

3

 

Series 75, Class RS, 22.41%,
1/15/21 (a)

 

 

—

 (c)

 

3

 

Series 173, Class R, 0.00%,
11/15/21

 

 

—

 (c)

 

15

 

Series 173, Class RS, 9.14%,
11/15/21 (a)

 

 

—

 (c)

 

16

 

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

 

 

—

 (c)

 

68

 

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

 

 

—

 (c)

 

2,581

 

Series 1160, Class F, 38.83%,
10/15/21 (a)

 

 

22

 

 

42,838

 

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

 

 

9

 

 

9,360

 

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

 

 

5,979

 

 

7,300,555

 

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

 

 

10,200

 

 

11,239,125

 

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

 

 

9,887

 

 

11,126,174

 

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

 

 

309

 

 

312,937

 

Series 2861, Class AX,
10.42%, 9/15/34 (a)

 

 

306

 

 

327,367

 

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

 

 

2,845

 

 

3,145,054

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations
(concluded)

 

 

 

 

 

 

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

$

639

 

$

698,014

 

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

 

 

1,039

 

 

1,116,858

 

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

 

 

3,392

 

 

3,810,249

 

 

 

 

 

 

 

 

 

 

 

 

69,851,021

 

Federal Deposit Insurance
Corporation Guaranteed — 0.8%

 

 

 

 

 

 

 

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

 

 

3,800

 

 

3,892,245

 

Interest Only Collateralized
Mortgage Obligations — 5.1%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

5

 

 

966

 

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

 

 

9

 

 

1,196

 

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

 

 

4

 

 

842

 

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

 

 

—

 (c)

 

691

 

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

 

 

14

 

 

19,469

 

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

 

 

—

 (c)

 

8

 

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

 

 

—

 (c)

 

2,983

 

Series 1991-139, Class PT,
648.30%, 10/25/21

 

 

—

 (c)

 

4,069

 

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

 

 

1,004

 

 

108,487

 

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

 

 

670

 

 

50,412

 

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

 

 

399

 

 

14,505

 

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

 

 

7,227

 

 

1,183,621

 

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

 

 

416

 

 

74,602

 

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

 

 

12

 

 

62

 

Series G-10, Class S,
575.40%, 5/25/21 (a)

 

 

—

 (c)

 

13,807

 

Series G-12, Class S,
608.10%, 5/25/21 (a)

 

 

—

 (c)

 

10,425

 

Series G-50, Class G,
1,158.60%, 12/25/21

 

 

—

 (c)

 

875

 

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

 

 

104

 

 

16,574

 

Series G92-12, Class C,
1,016.80%, 2/25/22

 

 

—

 (c)

 

6,203

 

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

 

 

302

 

 

10,642

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

—

 (c)

 

760

 

 

 

 

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 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 (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

Series 200, Class R,
98,522.80%, 12/15/22 (a)

 

$

—

 (c)

$

16

 

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

 

 

9

 

 

18,737

 

Series 1054, Class I,
435.30%, 3/15/21 (a)

 

 

—

 (c)

 

1,652

 

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

 

 

—

 (c)

 

1,009

 

Series 1148, Class E,
592.50%, 10/15/21 (a)

 

 

—

 (c)

 

6,807

 

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

 

 

274

 

 

673

 

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

 

 

458

 

 

14,894

 

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

 

 

251

 

 

3,457

 

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

 

 

4,944

 

 

543,111

 

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

 

 

134

 

 

722

 

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

 

 

899

 

 

84,582

 

Series 3437, Class SD, 6.46%,
4/15/38 (a)

 

 

32,583

 

 

4,812,965

 

Series 3504, Class GS, 5.84%,
1/15/39 (a)

 

 

50,016

 

 

4,679,386

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

5,261

 

 

562,918

 

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

 

 

4,566

 

 

503,903

 

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

 

 

13,378

 

 

1,588,510

 

Series 2010-4, Class SJ,
6.26%, 5/16/34 (a)

 

 

32,625

 

 

5,053,928

 

Series 2010-47, Class BX,
6.21%, 8/16/34 (a)

 

 

22,995

 

 

3,744,084

 

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

 

 

66,057

 

 

2,344,607

 

 

 

 

 

 

 

 

 

 

 

 

25,487,160

 

Mortgage-Backed Securities — 153.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

4.00%, 12/15/40 (g)

 

 

46,700

 

 

47,422,402

 

4.50%, 8/01/25 - 1/15/41 (g)(h)(i)

 

 

276,327

 

 

288,709,192

 

5.00%, 1/01/23 - 1/15/41 (g)(i)

 

 

174,059

 

 

185,013,586

 

5.50%, 12/15/25 - 12/15/40 (g)(i)

 

 

140,121

 

 

151,272,275

 

5.97%, 8/01/16

 

 

3,082

 

 

3,520,070

 

6.00%, 12/15/40 (g)

 

 

21,800

 

 

23,721,125

 

6.50%, 12/15/40 (g)

 

 

49,900

 

 

55,357,812

 

7.50%, 2/01/22

 

 

—

 (d)

 

157

 

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

 

 

3

 

 

3,575

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

2.73%, 1/01/35 (a)

 

 

207

 

 

208,225

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency
Securities

 

Par
(000)

 

Value

 

Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

4.51%, 11/01/17 (a)

 

$

20

 

$

20,498

 

4.98%, 10/01/34 (a)

 

 

543

 

 

569,641

 

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

 

 

1,564

 

 

1,668,695

 

5.50%, 12/15/25 (g)

 

 

7,000

 

 

7,586,250

 

9.00%, 9/01/20 (i)

 

 

63

 

 

70,989

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

272

 

 

311,507

 

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

 

 

92

 

 

110,106

 

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

 

 

9

 

 

10,421

 

 

 

 

 

 

 

 

 

 

 

 

765,576,526

 

Principal Only Collateralized
Mortgage Obligations — 0.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

24

 

 

21,265

 

Series 228, Class 1, 6/01/23

 

 

17

 

 

15,047

 

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

 

 

21

 

 

18,824

 

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

 

 

79

 

 

70,920

 

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

 

 

12

 

 

10,715

 

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

 

 

216

 

 

191,711

 

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

 

 

468

 

 

403,515

 

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

 

 

189

 

 

176,006

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 1418, Class M,
11/15/22

 

 

86

 

 

76,691

 

Series 1571, Class G,
8/15/23

 

 

487

 

 

401,619

 

Series 1691, Class B,
3/15/24

 

 

1,154

 

 

1,035,021

 

Series 1739, Class B,
2/15/24

 

 

62

 

 

51,905

 

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

 

 

150

 

 

138,048

 

 

 

 

 

 

 

 

 

 

 

 

2,611,287

 

Total U.S. Government Sponsored
Agency Securities – 176.4%

 

 

 

 

 

878,748,338

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 

U.S. Treasury Bonds:

 

 

 

 

 

 

 

7.25%, 8/15/22

 

 

2,010

 

 

2,837,240

 

6.25%, 8/15/23 (h)

 

 

3,320

 

 

4,362,686

 

U.S. Treasury Inflation Indexed
Bonds, 0.50%, 4/15/15

 

 

4,853

 

 

4,996,601

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

1.25%, 10/31/15

 

 

5,785

 

 

5,734,381

 

2.25%, 11/30/17

 

 

3,615

 

 

3,638,440

 

 

 

 

4

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

Par
(000)

 

Value

 

U.S. Treasury Notes (concluded):

 

 

 

 

 

 

 

3.50%, 2/15/18

 

$

1,740

 

$

1,894,289

 

2.63%, 8/15/20 (h)

 

 

22,790

 

 

22,533,612

 

2.63%, 11/15/20 (h)

 

 

6,210

 

 

6,118,788

 

4.50%, 8/15/39 (i)

 

 

330

 

 

353,049

 

4.38%, 5/15/40 (h)

 

 

36,985

 

 

38,741,787

 

3.88%, 8/15/40 (h)

 

 

20,390

 

 

19,590,325

 

Total U.S. Treasury Obligations – 22.2%

 

 

 

 

 

110,801,198

 

Total Long-Term Investments
(Cost – $1,044,039,225) – 210.5%

 

 

 

 

 

1,048,608,474

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

6,098,699

 

 

6,098,699

 

Total Short-Term Securities
(Cost – $6,098,699) – 1.2%

 

 

 

 

 

6,098,699

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — 0.2%

 

 

 

 

 

 

 

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

 

$

6,200

 

 

1,056,809

 

Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

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

 

 

6,200

 

 

49,662

 

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

 

 

 

 

 

1,106,471

 

Total Investments Before TBA Sale
Commitments and Options Written
(Cost – $1,050,630,204*) – 211.9%

 

 

 

 

 

1,055,813,644

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (g)

 

Par
(000)

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 12/15/40

 

 

60,000

 

 

(60,928,140

)

4.50%, 8/01/25 - 1/15/41

 

 

136,200

 

 

(141,899,365

)

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

 

 

41,700

 

 

(44,172,756

)

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

 

 

1,500

 

 

(1,592,109

)

Total TBA Sale Commitments
(Proceeds – $250,413,559) – (49.9)%

 

 

 

 

 

(248,592,370

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange Traded Call Options — (0.0)%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Bond Future,
Strike Price $119.50, Expires
2/18/11

 

 

16

 

$

(19,875

)

Ten-Year U.S. Treasury Bond Future,
Strike Price $124, Expires 2/18/11

 

 

62

 

 

(112,375

)

 

 

 

 

 

 

 

 

 

 

 

(132,250

)

Exchange Traded Put Options — (0.0)%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Bond Future,
Strike Price $119.50, Expires
2/18/11

 

 

16

 

 

(14,250

)

Ten-Year U.S. Treasury Bond Future,
Strike Price $124, Expires 2/18/11

 

 

62

 

 

(105,594

)

 

 

 

 

 

 

 

 

 

 

 

(119,844

)

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Call Swaptions — (0.3)%

 

 

 

 

 

 

 

Pay a fixed rate of 3.43% and receive
a floating rate based on 3-month
LIBOR, Expires 3/24/11, Broker
JPMorgan Chase Bank NA

 

$

7,000

 

 

(283,094

)

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

 

 

11,100

 

 

(1,060,505

)

 

 

 

 

 

 

 

 

 

 

 

(1,343,599

)

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

 

 

 

 

 

 

 

Receive a fixed rate of 3.43% and
pay a floating rate based on
3-month LIBOR, Expires 3/24/11,
Broker JPMorgan Chase Bank NA

 

 

7,000

 

 

(77,511

)

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

 

 

11,100

 

 

(121,245

)

 

 

 

 

 

 

 

 

 

 

 

(198,756

)

Total Options Written
(Premiums Received – $1,615,694) – (0.3)%

 

 

 

 

 

(1,794,449

)

Total Investments, Net of TBA Sale Commitments
and Options Written – 161.7%

 

 

 

 

 

805,426,825

 

Liabilities in Excess of Other Assets – (61.7)%

 

 

 

 

 

(307,209,344

)

 

 

 

 

 

Net Assets – 100.0%

 

 

 

 

$

498,217,481

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2010, as computed for federal income tax purposes were as follows:

 

 

 

 

 

Aggregate cost

 

$

1,050,907,378

 

 

 

Gross unrealized appreciation

 

$

28,075,596

 

Gross unrealized depreciation

 

 

(23,169,330

)

 

 

Net unrealized appreciation

 

$

4,906,266

 

 

 

 

 

(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.

 

 

 

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 2010

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

(c)

Amount is less than $1,000.

 

 

(d)

All or a portion of security has been pledged as collateral in connection with Term Asset-Backed Securities Loan Facility (“TALF”) Program.

 

 

(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 open financial futures contracts.

 

 

(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)

 

Banc of America NA

 

$

6,702,095

 

$

1,033

 

Citigroup Global Markets, Inc.

 

$

62,429,461

 

$

109,301

 

Credit Suisse Securities (USA) LLC

 

$

54,370,254

 

$

(169,012

)

Deutsche Bank Securities, Inc.

 

$

(1,942,317

)

$

(17,645

)

Goldman Sachs & Co.

 

$

95,943,644

 

$

41,289

 

Greenwich Financial Services

 

$

6,702,096

 

$

2

 

JPMorgan Securities, Inc.

 

$

4,476,033

 

$

12,768

 

Morgan Stanley Capital Services, Inc.

 

$

(18,450,973

)

$

114,011

 

Nomura Securities
International, Inc.

 

$

23,694,964

 

$

(3,204

)

UBS Securities

 

$

(21,400,646

)

$

60,260

 

 

 

(h)

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

 

 

(i)

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

 

 

(j)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2010

 

Net
Activity

 

Shares
Held at
November 30,
2010

 

Income

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

857,657

 

 

5,241,042

 

 

6,098,699

 

$

1,038

 

 

 

(k)

Represents the current yield as of report date.

 

 

•

Interest rate floors outstanding as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

Value

 

Depreciation
Unrealized

 

Pay a fixed rate of 4.80% and
receive a floating rate based
on 3-month LIBOR, Expires
3/25/11, Broker Goldman
Sachs Bank USA

 

$

60,000

 

$

(1,223,100

)

$

(559,100

)

Pay a fixed rate of 5.50% and
receive a floating rate based
on 3-month LIBOR, Expires
9/15/11, Broker Citibank NA

 

$

24,000

 

 

(1,196,592

)

 

(736,592

)

Total

 

 

 

 

$

(2,419,692

)

$

(1,295,692

)

 

 

 

 

 

 

 

 

6

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

Reverse repurchase agreements outstanding as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

Bank of America NA

 

 

0.23%

 

10/13/10

 

Open

 

$

9,954,003

 

$

9,950,888

 

Bank of America NA

 

 

0.24%

 

10/14/10

 

Open

 

 

8,922,855

 

 

8,920,000

 

Barclays Capital, Inc.

 

 

0.30%

 

10/15/10

 

Open

 

 

37,334,652

 

 

37,320,035

 

Barclays Capital, Inc.

 

 

0.25%

 

11/01/10

 

Open

 

 

13,142,738

 

 

13,140,000

 

Credit Suisse Securities
(USA), Inc.

 

 

0.24%

 

11/03/10

 

Open

 

 

8,831,648

 

 

8,830,000

 

Merrill Lynch & Co., Inc.

 

 

0.23%

 

11/18/10

 

Open

 

 

5,588,815

 

 

5,588,351

 

Credit Suisse Securities
(USA), Inc.

 

 

0.23%

 

11/19/10

 

12/13/10

 

 

4,572,351

 

 

4,572,000

 

Barclays Capital, Inc.

 

 

(0.30)%

 

11/30/10

 

Open

 

 

6,132,324

 

 

6,132,375

 

Total

 

 

 

 

 

 

 

 

$

94,479,386

 

$

94,453,649

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Financial futures contracts purchased as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

40

 

2-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

December 2010

 

$

8,782,184

 

$

316

 

80

 

Euro Dollars

 

Chicago Mercantile

 

December 2010

 

$

19,937,095

 

 

(12,595

)

26

 

5-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

March 2011

 

$

3,116,190

 

 

(49

)

37

 

30-Year Ultra Long Term U.S.
Treasury Bond

 

Chicago Board of Trade

 

March 2011

 

$

4,783,386

 

 

105,239

 

8

 

Euro Dollars

 

Chicago Mercantile

 

March 2011

 

$

1,990,142

 

 

(1,642

)

9

 

Euro Dollars

 

Chicago Mercantile

 

March 2012

 

$

2,230,563

 

 

(475

)

34

 

Euro Dollars

 

Chicago Mercantile

 

June 2012

 

$

8,421,318

 

 

(6,318

)

51

 

Euro Dollars

 

Chicago Mercantile

 

September 2012

 

$

12,623,616

 

 

(18,328

)

25

 

Euro Dollars

 

Chicago Mercantile

 

June 2013

 

$

6,142,632

 

 

2,056

 

19

 

Euro Dollars

 

Chicago Mercantile

 

September 2013

 

$

4,656,715

 

 

3,035

 

Total

 

 

 

 

 

 

 

 

 

 

$

71,239

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

Financial futures contracts sold as of November 30, 2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

308

 

5-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

December 2010

 

$

37,126,620

 

$

(25,881

)

607

 

10-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

December 2010

 

$

76,046,164

 

 

142,711

 

59

 

2-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

March 2011

 

$

12,923,310

 

 

(19,815

)

1,242

 

10-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

March 2011

 

$

153,896,913

 

 

(246,931

)

80

 

30-Year U.S. Treasury Bond

 

Chicago Board of Trade

 

March 2011

 

$

10,111,015

 

 

(71,485

)

4

 

Euro Dollars

 

Chicago Mercantile

 

June 2011

 

$

995,889

 

 

2,339

 

3

 

Euro Dollars

 

Chicago Mercantile

 

September 2011

 

$

746,392

 

 

1,679

 

300

 

Euro Dollars

 

Chicago Mercantile

 

December 2011

 

$

74,223,603

 

 

(187,647

)

11

 

Euro Dollars

 

Chicago Mercantile

 

December 2012

 

$

2,719,858

 

 

5,745

 

9

 

Euro Dollars

 

Chicago Mercantile

 

March 2013

 

$

2,221,850

 

 

5,150

 

Total

 

 

 

 

 

 

 

 

 

 

$

(394,135

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 2010

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

Interest rate swaps outstanding as of November 30, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

1.45% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

July 2011

 

$

20,000

 

$

(123,671

)

0.83% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

July 2012

 

$

34,800

 

 

(79,537

)

4.88% (b)

 

3-month LIBOR

 

UBS AG

 

March 2015

 

$

25,000

 

 

3,579,675

 

4.87% (b)

 

3-month LIBOR

 

Goldman Sachs Bank USA

 

January 2016

 

$

5,500

 

 

838,955

 

2.81% (b)

 

3-month LIBOR

 

Citibank NA

 

February 2016

 

$

20,000

 

 

1,000,413

 

5.72% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

July 2016

 

$

5,400

 

 

1,094,369

 

5.51% (b)

 

3-month LIBOR

 

Bank of America NA

 

August 2017

 

$

95,147

 

 

19,345,391

 

5.88% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

June 2018

 

$

31,930

 

 

(7,066,490

)

4.55% (a)

 

3-month LIBOR

 

Citibank NA

 

September 2018

 

$

41,600

 

 

(5,992,399

)

4.31% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

October 2018

 

$

66,000

 

 

(8,380,802

)

3.17% (b)

 

3-month LIBOR

 

Bank of America NA

 

March 2019

 

$

4,700

 

 

182,643

 

3.09% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

March 2019

 

$

25,700

 

 

(863,690

)

2.88% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

April 2019

 

$

39,700

 

 

647,491

 

3.23% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

May 2019

 

$

2,800

 

 

(117,277

)

3.90% (a)

 

3-month LIBOR

 

Barclays Bank Plc

 

June 2019

 

$

20,000

 

 

(1,876,393

)

3.55% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

August 2019

 

$

15,000

 

 

(1,110,613

)

5.49% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

October 2019

 

$

5,400

 

 

(1,006,651

)

3.67% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

December 2019

 

$

4,600

 

 

327,676

 

5.67% (a)

 

3-month LIBOR

 

Citigroup Global Markets Inc.

 

January 2020

 

$

12,400

 

 

(2,343,707

)

3.88% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

January 2020

 

$

7,600

 

 

672,035

 

3.71% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

February 2020

 

$

9,200

 

 

(673,318

)

3.73% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

May 2020

 

$

28,000

 

 

2,056,154

 

5.41% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2022

 

$

9,565

 

 

2,166,443

 

Total

 

 

 

 

 

 

 

 

 

 

$

2,276,697

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a)

Pays fixed interest rate and receives floating rate.

 

 

(b)

Pays floating interest rate and receives fixed rate.

 

 

 

•

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

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivatives, 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 annual report.

 

 

 

8

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 2010


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

The following tables summarize the inputs used as of November 30, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

11,846,438

 

$

962,142

 

$

12,808,580

 

Non-Agency Mortgage-Backed Securities

 

 

—

 

 

39,110,938

 

 

7,139,420

 

 

46,250,358

 

U.S. Government Sponsored Agency Securities

 

 

—

 

 

873,032,235

 

 

5,716,103

 

 

878,748,338

 

U.S. Treasury Obligations

 

 

—

 

 

110,801,198

 

 

—

 

 

110,801,198

 

Short-Term Securities

 

$

6,098,699

 

 

—

 

 

—

 

 

6,098,699

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments

 

 

—

 

 

(248,592,370

)

 

—

 

 

(248,592,370

)

TALF Loans

 

 

—

 

 

(11,739,534

)

 

—

 

 

(11,739,534

)

Total

 

$

6,098,699

 

$

774,458,905

 

$

13,817,665

 

$

794,375,269

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments1

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

268,270

 

$

33,017,716

 

 

—

 

$

33,285,986

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(843,260

)

 

(32,373,495

)

$

(1,223,100

)

 

(34,439,855

)

Total

 

$

(574,990

)

$

644,221

 

$

(1,223,100

)

$

(1,153,869

)

 

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Non-Agency
Mortgage-Backed
Securities

 

U.S. Government
Sponsored Agency
Securities

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2010

 

$

1,261,564

 

$

8,085,631

 

$

5,750,715

 

$

15,097,910

 

Accrued discounts/premiums

 

 

(50,722

)

 

(380,091

)

 

(3,724

)

 

(434,537

)

Net realized gain (loss)

 

 

—

 

 

(560,519

)

 

(3,798

)

 

(564,317

)

Net change in unrealized appreciation/depreciation2.

 

 

(248,700

)

 

226,072

 

 

65,459

 

 

42,831

 

Purchases

 

 

—

 

 

—

 

 

—

 

 

—

 

Sales

 

 

—

 

 

(121,013

)

 

(92,549

)

 

(213,562

)

Transfer in3

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfer out3

 

 

—

 

 

(110,660

)

 

—

 

 

(110,660

)

Balance, as of November 30, 2010

 

$

962,142

 

$

7,139,420

 

$

5,716,103

 

$

13,817,665

 

 

 

 

 

2

The change in unrealized appreciation/depreciation on securities still held at November 30, 2010 was $(451,771).

 

 

3

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

 

 

 

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 2010

9


 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)

 

 

 

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

 

 

 

 

 

 

 

Interest Rate
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2010

 

$

(3,446,023

)

Accrued discounts/premiums

 

 

—

 

Net realized gain (loss)

 

 

55,333

 

Net change in unrealized appreciation/depreciation4

 

 

970,998

 

Purchases

 

 

—

 

Sales

 

 

—

 

Transfer in3

 

 

—

 

Transfer out3

 

 

1,196,592

 

 

 

Balance, as of November 30, 2010

 

$

(1,223,100

)

 

 

 

 

4

The change in unrealized appreciation/depreciation on securities still held at November 30, 2010 was $659,022.

 

 

 

10

BLACKROCK INCOME TRUST, INC.

NOVEMBER 30, 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 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/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer (principal executive officer) of
    BlackRock Income Trust, Inc.
   
  Date: January 26, 2011
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer (principal executive officer) of
    BlackRock Income Trust, Inc.
   
  Date: January 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Income Trust, Inc.
     
  Date: January 26, 2011