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: 08/31/2012

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments May 31, 2012 (Unaudited)

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


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities – 1.9%

 

 

 

 

 

 

 

First Franklin Mortgage Loan
Asset-Backed Certificates,
Series 2005-FF2, Class M2,
0.68%, 3/25/35 (a)

 

$

5,890

 

$

5,541,412

 

Freddie Mac Mortgage-Backed
Securities, Series T-11, Class A9,
2.65%, 1/25/28 (a)

 

 

2,058

 

 

1,942,772

 

Securitized Asset-Backed
Receivables LLC Trust,
Series 2005-OP2, Class M1,
0.67%, 10/25/35 (a)

 

 

1,875

 

 

1,138,905

 

Small Business Administration
Participation Certificates Class 1:

 

 

 

 

 

 

 

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

 

 

112

 

 

119,429

 

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

 

 

173

 

 

185,507

 

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

 

 

211

 

 

225,905

 

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

 

 

307

 

 

330,405

 

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

 

 

133

 

 

144,736

 

 

 

 

 

 

 

9,629,071

 

Interest Only Asset-Backed Securities – 0.2

 

 

 

 

 

 

 

Small Business Administration,
Series 1, 2.00%, 4/01/15

 

 

1,483

 

 

12,976

 

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

 

 

4,379

 

 

333,879

 

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

 

 

7,753

 

 

605,698

 

 

  

 

 

 

 

952,553

 

Total Asset-Backed Securities – 2.1%

 

 

 

 

 

10,581,624

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 1.4%

 

 

 

 

 

 

 

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

 

 

96

 

 

96

 

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

 

 

168

 

 

166,093

 

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

 

 

850

 

 

821,649

 

Homebanc Mortgage Trust, Series
2005-4, Class A1, 0.51%,
10/25/35 (a)

 

 

2,969

 

 

2,111,998

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

JPMorgan Mortgage Trust, Series
2006-A7, Class 2A2, 2.72%,
1/25/37 (a)

 

$

356

 

$

244,932

 

Kidder Peabody Acceptance Corp.,
Series 1993-1, Class A6,
16.20%, 8/25/23 (a)

 

 

51

 

 

57,068

 

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

 

 

2,360

 

 

2,516,703

 

Structured Adjustable Rate
Mortgage Loan Trust, Series
2004-11, Class A, 2.83%,
8/25/34 (a)

 

 

1,388

 

 

1,308,019

 

 

 

 

 

 

 

7,226,558

 

Commercial Mortgage-Backed Securities — 0.5%

 

 

 

 

 

 

 

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

 

 

2,420

 

 

2,593,197

 

Interest Only Collateralized Mortgage Obligations — 1.0%

 

 

 

 

 

 

 

Bank of America Mortgage
Securities Inc., Series 2003-3,
Class 1A, 0.27%, 5/25/33 (a)

 

 

62,999

 

 

396,139

 

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

 

 

924

 

 

148,404

 

Collateralized Mortgage Obligation
Trust, Series 42, Class R, 6.00%,
10/01/14

 

 

—

(c)

 

18

 

First Boston Mortgage Securities
Corp., Series C, 10.97%,
4/25/17

 

 

19

 

 

2,623

 

GSMPS Mortgage Loan Trust, Series
1998-5, 0.11%, 6/19/27 (a)(b)

 

 

4,240

 

 

92,523

 

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

 

 

94,441

 

 

472,204

 

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

 

 

11,591

 

 

128,585

 

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

 

 

493

 

 

63,024

 

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

 

 

544

 

 

50,741

 

Sequoia Mortgage Trust, Series
2005-2, Class XA, 1.08%,
3/20/35 (a)

 

 

37,991

 

 

617,355

 

Structured Adjustable Rate
Mortgage Loan Trust, Series
2006-7, Class 3AS, 5.19%,
8/25/36 (a)

 

 

25,532

 

 

2,760,628

 

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

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)

 

 

 

 

 

 

 

Vendee Mortgage Trust, Series
1999-2, Class 1, 0.04%,
5/15/29 (a)

 

$

51,965

 

$

89,769

 

 

 

 

 

 

 

4,822,013

 

Interest Only Commercial Mortgage-Backed Securities — 0.0%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities
Corp., Series 1997-C1, Class AX,
1.31%, 6/20/29 (a)(b)

 

 

2,459

 

 

52,723

 

Principal Only Collateralized Mortgage Obligations — 0.6%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-
Through Trust:

 

 

 

 

 

 

 

Series 2003-26, 8/25/33

 

 

1,349

 

 

1,297,264

 

Series 2003-J4, 6/25/33

 

 

277

 

 

264,652

 

Series 2003-J5, 7/25/33

 

 

408

 

 

390,382

 

Series 2003-J8, 9/25/23

 

 

312

 

 

307,175

 

Drexel Burnham Lambert CMO Trust,
Class 1:

 

 

 

 

 

 

 

Series K, 9/23/17

 

 

8

 

 

7,516

 

Series V, 9/01/18

 

 

22

 

 

21,817

 

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

 

 

53

 

 

48,973

 

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

 

 

796

 

 

590,688

 

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

 

 

7

 

 

5,337

 

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

 

 

507

 

 

319,142

 

 

 

 

 

 

 

3,252,946

 

Total Non-Agency Mortgage-Backed
Securities – 3.5%

 

 

 

 

 

17,947,437

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 2.5%

 

 

 

 

 

 

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance
Corp. Projects, Series 56,
7.43%, 1/01/22

 

 

205

 

 

200,657

 

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

 

 

2

 

 

1,855

 

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

 

 

208

 

 

207,084

 

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

 

 

63

 

 

62,052

 

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

 

 

4,178

 

 

4,094,757

 

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

 

 

1558

 

 

151,569

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Agency Obligations (concluded)

 

 

 

 

 

 

 

Resolution Funding Corp., 2.71%,
4/15/30 (d)

 

$

13,000

 

$

8,034,481

 

 

 

 

 

 

 

12,752,455

 

Collateralized Mortgage Obligations — 13.1%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

4

 

 

555

 

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

 

 

6

 

 

837

 

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

 

 

2

 

 

447

 

Series 1991-46, Class S,
2,461.75%, 5/25/21 (a)

 

 

—

(c)

 

4,879

 

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

 

 

44

 

 

69,203

 

Series 1993-199, Class SB,
7.25%, 10/25/23 (a)

 

 

607

 

 

75,647

 

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

 

 

346

 

 

424,203

 

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

 

 

4,994

 

 

865,804

 

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

 

 

903

 

 

904,266

 

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

 

 

12,264

 

 

14,500,343

 

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

 

 

3,355

 

 

4,383,610

 

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

 

 

10

 

 

60

 

Series 2005-73, Class DS,
16.91%, 8/25/35 (a)

 

 

2,669

 

 

3,558,579

 

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

 

 

14,008

 

 

412,316

 

Series G-7, Class S,
1,116.37%, 3/25/21 (a)

 

 

—

(c)

 

3,883

 

Series G-12, Class S,
1,146.44%, 5/25/21 (a)

 

 

—

(c)

 

10,198

 

Series G-17, Class S,
1,055.17%, 6/25/21 (a)

 

 

—

(c)

 

4,737

 

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

 

 

236

 

 

4,315

 

Series G-49, Class S,
1,008.80%, 12/25/21 (a)

 

 

—

(c)

 

1,570

 

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

 

 

69

 

 

9,920

 

Series G92-12, Class C,
1.02%, 2/25/22

 

 

204

 

 

3,561

 

Freddie Mac Mortgage-Backed
Securities:

 

 

 

 

 

 

 

Series 19, Class R,
16,195.30%, 3/15/20 (a)

 

 

—

(c)

 

1,072

 

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

 

 

311

 

 

360,468

 

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

 

 

—

(c)

 

2

 

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

Series 75, Class RS, 28.10%,
1/15/21 (a)

 

$

—

(c)

$

2

 

Series 119, Class F, 8.50%,
3/15/20

 

 

68

 

 

73,646

 

Series 173, Class R, 9.00%,
11/15/21 (a)(b)

 

 

11

 

 

11

 

Series 173, Class RS, 9.23%,
11/15/21 (a)

 

 

—

(c)

 

11

 

Series 192, Class U,
1,009.03%, 2/15/22 (a)

 

 

—

(c)

 

54

 

Series 1043, Class H, 43.90%,
2/15/21 (a)

 

 

7,853

 

 

16,807

 

Series 1054, Class I,
859.64%, 3/15/21 (a)

 

 

—

(c)

 

1,353

 

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

 

 

73

 

 

1,679

 

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

 

 

16

 

 

32,023

 

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

 

 

4,910

 

 

5,706,077

 

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

 

 

6,568

 

 

7,356,838

 

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

 

 

9,021

 

 

10,176,116

 

Series 2927, Class BZ, 5.50%,
2/15/35 (a)

 

 

3,089

 

 

3,863,094

 

Series 2861, Class AX,
10.44%, 9/15/34 (a)

 

 

169

 

 

189,526

 

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

 

 

19,980

 

 

3,037,171

 

Series 3745, Class IN, 4.00%,
1/15/35 (a)

 

 

44,190

 

 

4,493,470

 

Ginnie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

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

 

 

478

 

 

514,029

 

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

 

 

815

 

 

940,660

 

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

 

 

3,392

 

 

3,660,031

 

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

 

 

52,722

 

 

1,030,192

 

 

 

 

 

 

 

66,693,265

 

Federal Deposit Insurance Corporation Guaranteed — 0.8%

 

 

 

 

 

 

 

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

 

 

3,800

 

 

3,825,369

 

Interest Only Collateralized Mortgage Obligations — 4.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

4.50%, 4/01/41

 

 

2,735

 

 

2,947,510

 

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

 

 

—

(c)

 

518

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed
Securities (concluded):

 

 

 

 

 

 

 

Series 1990-136, Class S,
19.80%, 11/25/20 (a)

 

$

10,777

 

$

16,543

 

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

 

 

—

(c)

 

2,083

 

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

 

 

—

(c)

 

3,590

 

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

 

 

309

 

 

59,060

 

Series 2003-80, Class DI,
5.50%, 10/25/31

 

 

7,102

 

 

480,985

 

Series 2010-74, Class DI,
5.00%, 12/25/39

 

 

46,584

 

 

3,706,629

 

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

 

 

19,181

 

 

3,053,176

 

Series G-10, Class S,
1,080.00%, 5/25/21 (a)

 

 

—

(c)

 

11,722

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

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

 

 

—

(c)

 

570

 

Series 200, Class R,
196,075.58%, 12/15/22 (a)

 

 

—

(c)

 

12

 

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

 

 

50

 

 

1,274

 

Series 1148, Class E,
1,167.37%, 10/15/21 (a)

 

 

—

(c)

 

3,814

 

Series 2559, 0.50%, 8/15/30 (a)

 

 

167

 

 

1,742

 

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

 

 

3,045

 

 

358,666

 

Series 2949, 5.50%, 3/15/35

 

 

505

 

 

25,197

 

Ginnie Mae Mortgage-Backed Securities (a):

 

 

 

 

 

 

 

Series 2007-41, Class SL,
6.46%, 7/20/37

 

 

9,578

 

 

1,695,180

 

Series 2011-52, Class MJ,
6.41%, 4/20/41

 

 

27,837

 

 

5,202,422

 

Series 2011-52, Class NS,
6.43%, 4/16/41

 

 

29,401

 

 

5,218,065

 

 

 

 

 

 

 

22,788,758

 

Mortgage-Backed Securities — 104.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.50%, 6/13/42 (f)

 

 

7,000

 

 

7,346,718

 

4.00%, 1/01/41 – 6/13/42 (f)

 

 

55,323

 

 

58,952,363

 

4.50%, 8/01/25 – 6/13/42 (e)(f)(g)

 

 

175,212

 

 

190,885,375

 

5.00%, 1/01/23 - 6/13/42 (e)(f)

 

 

109,778

 

 

119,763,152

 

5.50%, 2/01/33 – 6/01/38 (f)(g)

 

 

75,725

 

 

82,976,653

 

5.97%, 8/01/16

 

 

3,025

 

 

3,460,867

 

6.00%, 6/13/42 (f)

 

 

21,800

 

 

23,997,030

 

6.50%, 12/01/37 - 10/01/39

 

 

38,614

 

 

43,593,730

 

7.50%, 2/01/22

 

 

—

(c)

 

115

 

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

 

 

2

 

 

2,652

 

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Mortgage-Backed Securities (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

0.20%, 10/01/34 (a)

 

$

299

 

$

310,263

 

2.48%, 1/01/35 (a)

 

 

199

 

 

202,361

 

2.73%, 11/01/17

 

 

13

 

 

14,019

 

5.00%, 2/01/22 - 4/01/22

 

 

816

 

 

879,014

 

9.00%, 9/01/20

 

 

43

 

 

48,898

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

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

 

 

172

 

 

185,177

 

8.00%, 10/15/22 - 8/15/27

 

 

67

 

 

75,314

 

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

 

 

8

 

 

7,999

 

 

 

 

 

 

 

532,701,700

 

Principal Only Collateralized Mortgage Obligations — 0.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

17

 

 

15,517

 

Series 228, Class 1, 6/01/23

 

 

13

 

 

11,480

 

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

 

 

18

 

 

16,007

 

Series 1993-51, Class E, 2/25/13

 

 

57

 

 

51,554

 

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

 

 

9

 

 

8,285

 

Series 1996-68, Class SC, 1/25/24

 

 

225

 

 

6,255

 

Series 1997-50, Class SI, 4/25/23

 

 

302

 

 

11,053

 

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

 

 

158

 

 

151,808

 

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

 

 

327

 

 

315,615

 

Series G92-60, Class SB, 10/25/22

 

 

213

 

 

9,028

 

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

 

 

148

 

 

130,642

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1418, Class M, 11/15/22

 

 

61

 

 

55,555

 

Series 1571, Class G, 8/15/23

 

 

385

 

 

351,441

 

Series 1691, Class B, 3/15/24

 

 

782

 

 

687,835

 

Series 1793, Class B, 2/15/24

 

 

11

 

 

11,192

 

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

 

 

127

 

 

121,563

 

 

 

 

 

 

 

1,954,830

 

Total US Government Sponsored Agency
Securities – 126.0%

 

 

 

 

 

640,716,377

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds (e):

 

 

 

 

 

 

 

3.13%, 2/15/42

 

 

22,410

 

 

24,503,945

 

3.00%, 5/15/42

 

 

46,715

 

 

49,875,550

 

US Treasury Notes:

 

 

 

 

 

 

 

0.88%, 4/30/17 (e)

 

 

2,370

 

 

2,395,181

 

0.63%, 5/31/17 (e)

 

 

18,165

 

 

18,125,255

 

1.13%, 5/31/19

 

 

3,140

 

 

3,160,605

 

2.00%, 2/15/22 (e)

 

 

17,930

 

 

18,654,211

 

1.75%, 5/15/22 (e)

 

 

13,065

 

 

13,269,141

 

Total US Treasury Obligations – 25.6%

 

 

 

 

 

129,983,888

 

Total Long-Term Investments
(Cost – $775,851,145) – 157.2%

 

 

 

 

 

799,229,326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

Borrowed Bond Agreements — 3.7%

 

 

 

 

 

 

 

US Treasury Bills:

 

 

 

 

 

 

 

0.00%, Open1

 

$

438

 

$

437,800

 

0.13%, Open1

 

 

7,264

 

 

7,264,256

 

0.14%, Open1

 

 

938

 

 

938,400

 

0.15%, Open1

 

 

6,508

 

 

6,508,450

 

0.16%, Open1

 

 

101

 

 

100,750

 

0.16%, Open1

 

 

3,760

 

 

3,760,294

 

 

 

 

 

 

 

19,009,950

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Fund — 0.4%

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.15% (h)(i)

 

 

2,214,550

 

 

2,214,550

 

Total Short-Term Securities
(Cost – $21,224,500) – 4.1%

 

 

 

 

 

21,224,500

 

Total Investments Before Borrowed Bonds
and TBA Sale Commitments
(Cost – $797,075,645*) – 161.3%

 

 

 

 

 

820,453,826

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

 

 

 

US Treasury Notes:

 

 

 

 

 

 

 

1.25%, 2/15/14

 

$

920

 

 

(935,237

)

2.13%, 2/29/16

 

 

6,845

 

 

(7,258,376

)

1.00%, 10/31/16

 

 

3,765

 

 

(3,832,062

)

0.88%, 12/31/16

 

 

6,460

 

 

(6,535,201

)

0.88%, 2/28/17

 

 

440

 

 

(445,053

)

1.00%, 3/31/17

 

 

100

 

 

(101,688

)

Total Borrowed Bonds
(Proceeds – $18,486,329) – (3.7)%

 

 

 

 

 

(19,107,617

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (f)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed
Securities:

 

 

 

 

 

 

 

4.50%, 8/01/25 – 6/13/42

 

 

13,300

 

 

(14,245,548

)

5.00%, 1/01/23 - 6/13/42

 

 

900

 

 

(970,734

)

Total TBA Sale Commitments
(Proceeds – $15,263,860) – (3.0)%

 

 

 

 

 

(15,216,282

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

4


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

Value

 

Total Investments, Net of Borrowed Bonds and TBA
Sale Commitments – 154.6%

 

$

786,129,927

 

Liabilities in Excess of Other Assets – (54.6)%

 

 

(277,594,919

)

Net Assets – 100.0%

 

$

508,535,008

 

 

 

 

 

*

As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

Tax cost

 

$

797,062,694

 

Gross unrealized appreciation

 

$

44,499,527

 

Gross unrealized depreciation

 

 

(21,108,395

)

Net unrealized appreciation

 

$

23,391,132

 

 

 

1

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

 

 

(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)

Amount is less than $500.

 

 

(d)

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

 

 

(e)

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

 

 

(f)

Represents or includes a TBA transaction. Unsettled TBA transactions as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 

BNP Paribas

 

$

524,766

 

$

6,016

 

 

Credit Suisse Securities (USA) LLC

 

$

34,460,936

 

$

(63,533

)

 

Goldman Sachs & Co.

 

$

61,905,421

 

$

(239,079

)

 

JPMorgan Chase Securities, Inc.

 

$

24,537,499

 

$

76,264

 

 

Morgan Stanley & Co., Inc.

 

$

321,328

 

$

(1,172

)

 

UBS AG

 

$

(14,245,548

)

$

43,640

 

 

 

(g)

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

 

 

(h)

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,
2011

 

Net
Activity

 

Shares
Held at
May 31,
2012

 

Income

 

BlackRock
Liquidity
Funds,
TempFund,
Institutional
Class

 

 

3,958,025

 

 

(1,743,475

)

 

2,214,550

 

$

7,604

 

 

 

(i)

Represents the current yield as of report date.


 

 

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

TBA

To Be Announced

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

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

 

 

•

Reverse repurchase agreements outstanding as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

Barclays Capital, Inc.

 

0.32

%

5/11/12

 

6/13/12

 

$

60,897,446

 

$

60,886,081

 

BNP Paribas Securities
Corp.

 

0.23

%

5/31/12

 

6/01/12

 

 

18,096,997

 

 

18,096,881

 

BNP Paribas Securities
Corp.

 

0.25

%

5/31/12

 

6/01/12

 

 

6,547,545

 

 

6,547,500

 

BNP Paribas Securities
Corp.

 

0.18

%

5/31/12

 

6/01/12

 

 

49,342,965

 

 

49,342,719

 

Credit Suisse Securities
(USA) LLC

 

0.17

%

5/31/12

 

6/01/12

 

 

2,393,711

 

 

2,393,700

 

Credit Suisse Securities
(USA) LLC

 

(0.02

)%

5/31/12

 

6/01/12

 

 

5,511,309

 

 

5,511,312

 

Morgan Stanley & Co., Inc.

 

0.20

%

5/31/12

 

6/01/12

 

 

3,207,418

 

 

3,207,400

 

Morgan Stanley & Co., Inc.

 

0.23

%

5/31/12

 

6/01/12

 

 

53,343,578

 

 

53,343,238

 

Total

 

 

 

 

 

 

 

$

199,340,969

 

$

199,328,831

 

 

 

•

Financial futures contracts purchased as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

101

 

90-Day Euro Dollar

 

Chicago Mercantile

 

June 2012

 

$

25,130,062

 

$

2,910

 

115

 

90-Day Euro Dollar

 

Chicago Mercantile

 

September 2012

 

$

28,590,437

 

 

8,091

 

43

 

Ultra Long US Treasury Bond

 

Chicago Board of Trade

 

September 2012

 

$

7,267,000

 

 

196,304

 

44

 

90-Day Euro Dollar

 

Chicago Mercantile

 

December 2012

 

$

10,932,900

 

 

1,566

 

16

 

90-Day Euro Dollar

 

Chicago Mercantile

 

March 2013

 

$

3,974,800

 

 

600

 

57

 

90-Day Euro Dollar

 

Chicago Mercantile

 

June 2013

 

$

14,158,088

 

 

1,759

 

51

 

90-Day Euro Dollar

 

Chicago Mercantile

 

September 2013

 

$

12,666,488

 

 

4,318

 

18

 

90-Day Euro Dollar

 

Chicago Mercantile

 

December 2013

 

$

4,469,400

 

 

1,975

 

Total

 

 

 

 

 

 

 

 

 

 

$

217,523

 

 

 

•

Financial futures contracts sold as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

143

 

2-Year US Treasury Note

 

Chicago Board of Trade

 

September 2012

 

$

31,518,094

 

$

(12,374

)

784

 

5-Year US Treasury Note

 

Chicago Board of Trade

 

September 2012

 

$

97,363,000

 

 

(187,202

)

1,550

 

10-Year US Treasury Note

 

Chicago Board of Trade

 

September 2012

 

$

207,603,125

 

 

(1,972,394

)

39

 

30-Year US Treasury Bond

 

Chicago Board of Trade

 

September 2012

 

$

5,839,031

 

 

(98,436

)

13

 

90-Day Euro Dollar

 

Chicago Mercantile

 

March 2014

 

$

3,227,250

 

 

(2,798

)

30

 

90-Day Euro Dollar

 

Chicago Mercantile

 

June 2014

 

$

7,443,750

 

 

(15,581

)

30

 

90-Day Euro Dollar

 

Chicago Mercantile

 

September 2014

 

$

7,438,875

 

 

(5,831

)

30

 

90-Day Euro Dollar

 

Chicago Mercantile

 

December 2014

 

$

7,431,750

 

 

(8,595

)

30

 

90-Day Euro Dollar

 

Chicago Mercantile

 

March 2015

 

$

7,425,000

 

 

(19,499

)

Total

 

 

 

 

 

 

 

 

 

 

$

(2,322,710

)

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

6


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

 

•

Interest rate swaps outstanding as of May 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

0.83%1

 

3-month LIBOR

 

Deutsche Bank AG

 

7/27/12

 

$

34,800

 

$

(17,773

)

4.88%2

 

3-month LIBOR

 

UBS AG

 

3/21/15

 

$

25,000

 

 

2,922,494

 

4.87%2

 

3-month LIBOR

 

Goldman Sachs & Co.

 

1/25/16

 

$

5,500

 

 

809,706

 

2.81%2

 

3-month LIBOR

 

Citibank NA

 

2/06/16

 

$

20,000

 

 

1,475,232

 

5.72%2

 

3-month LIBOR

 

JPMorgan Chase & Co.

 

7/14/16

 

$

5,400

 

 

1,065,575

 

4.31%1

 

3-month LIBOR

 

Deutsche Bank AG

 

10/01/18

 

$

60,000

 

 

(11,263,637

)

3.43%2

 

3-month LIBOR

 

JPMorgan Chase & Co.

 

3/28/21

 

$

6,000

 

 

1,152,607

 

5.41%2

 

3-month LIBOR

 

JPMorgan Chase & Co.

 

8/15/22

 

$

9,565

 

 

3,309,824

 

Total

 

 

 

 

 

 

 

 

 

 

$

(545,972

)

 

 

1

Trust pays a fixed interest rate and receives floating rate.

 

 

2

Trust pays a floating rate and receives fixed rate.


 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

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 instruments 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 and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

7


 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

—

 

$

9,629,071

 

$

952,553

 

$

10,581,624

 

Non-Agency Mortgage-Backed Securities

 

 

—

 

 

13,968,551

 

 

3,978,886

 

 

17,947,437

 

US Government Sponsored Agency Securities

 

 

—

 

 

635,997,293

 

 

4,719,084

 

 

640,716,377

 

US Treasury Obligations

 

 

—

 

 

129,983,888

 

 

—

 

 

129,983,888

 

Short-Term Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bond Agreements

 

 

—

 

 

19,009,950

 

 

—

 

 

19,009,950

 

Money Market Fund

 

$

2,214,550

 

 

—

 

 

—

 

 

2,214,550

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

—

 

 

(19,107,617

)

 

—

 

 

(19,107,617

)

TBA Sale Commitments

 

 

—

 

 

(15,216,282

)

 

—

 

 

(15,216,282

)

Total

 

$

2,214,550

 

$

774,264,854

 

$

9,650,523

 

$

786,129,927

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

217,523

 

$

10,735,438

 

 

—

 

$

10,952,961

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(2,322,710

)

 

(11,281,410

)

 

—

 

 

(13,604,120

)

Total

 

$

(2,105,187

)

$

(545,972

)

 

—

 

$

(2,651,159

)

 

 

1

Derivative financial instruments are swaps and financial futures contracts which are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Trust’s assets and liabilities are held at carrying or face amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged
as collateral
for financial
futures
contracts

 

$

2,000,000

 

 

—

 

 

—

 

$

2,000,000

 

Cash pledged
as collateral
for swaps

 

 

2,464,000

 

 

—

 

 

—

 

 

2,464,000

 

Cash pledged
as collateral
for reverse
repurchase
agreements

 

 

841,000

 

 

—

 

 

—

 

 

841,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash held
as collateral
for swaps

 

 

(4,300,000

)

 

—

 

 

—

 

 

(4,300,000

)

Reverse
repurchase
agreements

 

 

—

 

$

(199,328,831

)

 

—

 

 

(199,328,831

)

Total

 

$

1,005,000

 

$

(199,328,831

)

 

—

 

$

(198,323,831

)

There were no transfers between Level 1 and Level 2 during the period ended May 31, 2012.

 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

8


 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)

Certain of the Trust’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

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

 

US
Government
Sponsored
Agency
Securities

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Opening balance, as of
August 31, 2011

 

$

1,038,628

 

$

4,432,527

 

$

5,096,285

 

$

10,567,440

 

Transfers into Level 31

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfers out of Level 31

 

 

—

 

 

—

 

 

—

 

 

—

 

Accrued discounts/premiums

 

 

(298,457

)

 

44,888

 

 

(10,407

)

 

(263,976

)

Realized gain (loss)

 

 

—

 

 

(385

)

 

(10,541

)

 

(10,926

)

Change in unrealized
appreciation/depreciation2

 

 

212,382

 

 

(371,266

)

 

(72,473

)

 

(231,357

)

Purchases

 

 

—

 

 

—

 

 

—

 

 

—

 

Sales

 

 

—

 

 

(126,878

)

 

(283,780

)

 

(410,658

)

Closing balance, as of May 31, 2012

 

$

952,553

 

$

3,978,886

 

$

4,719,084

 

$

9,650,523

 

 

 

 

 

1

Transfers into and transfers out of Level 3 represent the beginning of the reporting period value.

 

 

 

 

2

The change in unrealized appreciation/depreciation on investments still held as of May 31, 2012 was $(231,357).


 

 

 

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.


 

 

 

 

 

 

 

 

 

BLACKROCK INCOME TRUST, INC.

MAY 31, 2012

9

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 25, 2012
   
  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 25, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Income Trust, Inc.
     
  Date: July 25, 2012