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: 08/31/2013

 

Date of reporting period: 05/31/2013

 

Item 1 – Schedule of Investments

 
 
Schedule of Investments  May 31, 2013 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Asset-Backed Securities  
 
Asset-Backed Securities — 1.2%  
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.63%, 3/25/35 (a) USD 3,780 $ 3,721,077  
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.62%, 10/25/35 (a)   1,875   1,637,147  
Small Business Administration Participation Certificates, Class 1:  
  Series 1996-20E, 7.60%, 5/01/16   79   83,318  
  Series 1996-20G, 7.70%, 7/01/16   101   106,552  
  Series 1996-20H, 7.25%, 8/01/16   118   123,704  
  Series 1996-20K, 6.95%, 11/01/16   218   230,097  
  Series 1997-20C, 7.15%, 3/01/17   87   93,501  
  
  5,995,396  
 
Interest Only Asset-Backed Securities — 0.2%  
Small Business Administration, Series 1, 2.00%, 4/01/15   1,212   10,606  
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)   3,702   288,050  
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a)   6,742   484,561  
  
  783,217  
 
Total Asset-Backed Securities – 1.4%   6,778,613  




 

Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations — 1.3%  
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18   —(c)   64  
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21   627   646,949  
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.46%, 10/25/35 (a)   2,698   2,387,038  
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.26%, 8/25/23 (a)   48   54,690  
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33   1,491   1,602,100  
    Par
(000)		   Value  
Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations (concluded)  
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.67%, 8/25/34 (a)  USD 1,343 $ 1,339,652  
  
  6,030,493  
 
Commercial Mortgage-Backed Securities — 0.6%  
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)   2,420   2,726,024  
 
Interest Only Collateralized Mortgage Obligations — 0.8%  
Bank of America Mortgage Securities Inc., Series 2003-3, Class 1A, 0.29%, 5/25/33 (a)   41,778   250,963  
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37   809   200,595  
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17   13   1,104  

GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)

   3,649   72,606  
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37   81,820   319,835  
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (a)   10,015   111,099  
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19   339   39,193  
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19   306   25,527  
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.10%, 3/20/35 (a)   36,571   588,567  
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 5.09%, 8/25/36 (a)   20,638   2,392,697  
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.03%, 5/15/29 (a)   45,106   76,419  
  
  4,078,605  
 
Interest Only Commercial Mortgage-Backed Securities — 0.0%  
CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.13%, 6/20/29 (a)(b)   2,259   25,891  
 
                                   

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20131
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Non-Agency Mortgage-Backed Securities  
 
Principal Only Collateralized Mortgage Obligations — 0.4%  
Countrywide Home Loan Mortgage Pass-Through Trust:  
  Series 2003-26, 8/25/33 USD 887 $ 765,506  
  Series 2003-J4, 6/25/33   165   138,187  
  Series 2003-J5, 7/25/33   293   249,868  
  Series 2003-J8, 9/25/23   187   168,884  
Drexel Burnham Lambert CMO Trust, Class 1:  
  Series K, 9/23/17   6   5,579  
  Series V, 9/01/18   7   6,597  
MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34   25   24,302  
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36   663   420,652  
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24   6   5,587  
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35   318   227,207  
  
  2,012,369  
 
Total Non-Agency Mortgage-Backed Securities – 3.1%   14,873,382  




 

US Government Sponsored Agency Securities  
 
Agency Obligations — 2.4%  
Federal Housing Administration:  
  General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22   143   140,025  
  Merrill Projects, Series 54, 7.43%, 5/15/23   2   1,722  
  Reilly Projects, Series 41, 8.28%, 3/01/20   172   171,066  
  USGI Projects, Series 87, 7.43%, 12/01/22   59   57,966  
  USGI Projects, Series 99, 7.43%, 6/01/21   3,843   3,766,207  
  USGI Projects, Series 99, 7.43%, 10/01/23   36   35,692  
  USGI Projects, Series 99, 7.43%, 10/01/23   108   105,454  
Resolution Funding Corp., 3.49%, 4/15/30 (d)   13,000   7,251,517  
  
  11,529,649  
 
    Par
(000)		   Value  
US Government Sponsored Agency Securities  
 
Collateralized Mortgage Obligations — 42.0%  
Fannie Mae Mortgage-Backed Securities:  
  Series 1991-46, Class S, 2,468.91%, 5/25/21 (a) USD —(c) $ 3,789  
  Series 1991-87, Class S, 26.10%, 8/25/21 (a)   36   55,388  
  Series 1993-247, Class SN, 10.00%, 12/25/23 (a)   270   299,479  
  Series 2003-135, Class PB, 6.00%, 1/25/34   12,264   14,265,403  
  Series 2004-31, Class ZG, 7.50%, 5/25/34   3,615   4,366,932  
  Series 2005-73, Class DS, 17.05%, 8/25/35 (a)   2,033   2,667,020  
  Series 2011-99, Class CB, 4.50%, 10/25/41   43,000   50,647,206  
  Series 2011-117, Class CP, 4.00%, 11/25/41   14,350   15,731,454  
  Series 2011-142, Class PE, 3.50%, 1/25/42   15,567   16,056,984  
  Series G-7, Class S, 1,119.90%, 3/25/21 (a)   —(c)   2,823  
  Series G-17, Class S, 1,058.38%, 6/25/21 (a)   —(c)   3,067  
  Series G-33, Class PV, 1,078.42%, 10/25/21   —(c)   2,332  
  Series G-49, Class S, 1,012.05%, 12/25/21 (a)   —(c)   1,279  
Freddie Mac Mortgage-Backed Securities:  
  Series 19, Class F, 8.50%, 3/15/20   48   51,931  
  Series 19, Class R, 16,195.71%, 3/15/20 (a)   5   762  
  Series 40, Class K, 6.50%, 8/17/24   247   282,290  
  Series 75, Class R, 9.50%, 1/15/21   —(c)   1  
  Series 75, Class RS, 35.03%, 1/15/21 (a)   —(c)   1  
  Series 173, Class R, 9.00%, 11/15/21   9   9  
  Series 173, Class RS, 9.27%, 11/15/21 (a)   —(c)   9  
  Series 192, Class U, 1,009.03%, 2/15/22 (a)   2   29  
  Series 1057, Class J, 1,008.00%, 3/15/21   56   856  
  Series 1160, Class F, 39.10%, 10/15/21 (a)   14   27,054  
  Series 2218, Class Z, 8.50%, 3/15/30   4,014   4,634,669  
  Series 2542, Class UC, 6.00%, 12/15/22   4,731   5,277,725  
                                   

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20132
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
US Government Sponsored Agency Securities  
 
Collateralized Mortgage Obligations (concluded)  
Freddie Mac Mortgage-Backed Securities (concluded):  
  Series 2758, Class KV, 5.50%, 5/15/23 USD 8,403 $ 9,202,526  
  Series 2861, Class AX, 10.50%, 9/15/34 (a)   107   116,653  
  Series 2927, Class BZ, 5.50%, 2/15/35   3,263   3,878,300  
  Series 3856, Class PB, 5.00%, 5/15/41   10,000   11,555,540  
  Series 4016, Class BX, 4.00%, 9/15/41   15,408   16,710,106  
  Series T-11, Class A9, 0.19%, 1/25/28 (a)   1,728   1,819,476  
Ginnie Mae Mortgage-Backed Securities:  
  Series 1996-5, Class Z, 7.00%, 5/16/26   403   431,245  
  Series 2001-33, Class PB, 6.50%, 7/20/31   701   803,962  
  Series 2004-89, Class PE, 6.00%, 10/20/34   1,860   1,935,886  
  Series 2011-80, Class PB, 4.00%, 10/20/39   11,489   12,669,908  
  Series 2011-88, Class PY, 4.00%, 6/20/41   15,402   16,831,182  
  Series 2012-16, Class HJ, 4.00%, 9/20/40   10,000   10,856,320  
  
  201,189,596  
 
Interest Only Collateralized Mortgage Obligations — 5.4%  
Fannie Mae Mortgage-Backed Securities:  
  Series 7, Class 2, 8.50%, 4/01/17   3   244  
  Series 89, Class 2, 8.00%, 10/01/18   4   378  
  Series 94, Class 2, 9.50%, 8/01/21   2   275  
  Series 1990-123, Class M, 1,009.50%, 10/25/20   17   265  
  Series 1990-136, Class S, 19.86%, 11/25/20 (a)   8,736   12,566  
  Series 1991-99, Class L, 930.00%, 8/25/21   77   1,100  
  Series 1991-139, Class PT, 648.35%, 10/25/21   167   1,715  
  Series 1993-199, Class SB, 7.28%, 10/25/23 (a)   380   41,361  
  Series 1997-50, Class SI, 1.20%, 4/25/23 (a)   241   7,395  
  Series 1997-90, Class M, 6.00%, 1/25/28   3,669   540,782  
  Series 1999-W4, 6.50%, 12/25/28   233   48,664  
    Par
(000)		   Value  
US Government Sponsored Agency Securities  
 
Interest Only Collateralized Mortgage Obligations (continued)  
Fannie Mae Mortgage-Backed Securities (concluded):  
  Series 2010-74, Class DI, 5.00%, 12/25/39 USD 22,687 $ 1,119,137  
  Series 2010-75, Class PI, 4.50%, 12/25/36   1,150   3,379  
  Series 2010-126, Class UI, 5.50%, 10/25/40   15,254   2,128,404  
  Series 2011-124, Class GS, 6.51%, 3/25/37 (a)   21,357   3,552,061  
  Series 2012-96, Class DI, 4.00%, 2/25/27   10,291   1,183,883  
  Series 2013-45, Class EI, 4.00%, 4/25/43   19,808   2,104,652  
  Series G-10, Class S, 1,083.41%, 5/25/21 (a)   —(c)   11,311  
  Series G-12, Class S, 1,150.07%, 5/25/21 (a)   —(c)   6,781  
  Series G92-5, Class H, 9.00%, 1/25/22   49   4,476  
  Series G92-12, Class C, 1,016.90%, 2/25/22   —(c)   2,041  
  Series G92-60, Class SB, 1.60%, 10/25/22 (a)   165   5,878  
Freddie Mac Mortgage-Backed Securities:  
  Series 176, Class M, 1,010.00%, 7/15/21   —(c)   334  
  Series 200, Class R, 195,896.35%, 12/15/22 (a)   —(c)   956  
  Series 1043, Class H, 43.88%, 2/15/21 (a)   6,598   12,523  
  Series 1054, Class I, 859.64%, 3/15/21 (a)   —(c)   1,094  
  Series 1056, Class KD, 1,084.50%, 3/15/21   40   676  
  Series 1148, Class E, 1,167.37%, 10/15/21 (a)   119   2,618  
  Series 2559, 0.50%, 8/15/30 (a)   121   1,429  
  Series 2611, Class QI, 5.50%, 9/15/32   2,231   228,993  
  Series 2949, 5.50%, 3/15/35   110   499  
  Series 3744, Class PI, 4.00%, 6/15/39   17,466   2,749,524  
  Series 3745, Class IN, 4.00%, 1/15/35   36,955   2,233,038  
  Series 4026, 4.50%, 4/15/32   6,050   937,732  
Ginnie Mae Mortgage-Backed Securities:  
  Series 2009-116, Class KS, 6.27%, 12/16/39 (a)   4,853   645,458  
  Series 2010-101, Class YT, 2.00%, 8/16/13   39,669   125,483  
                                   

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20133
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
US Government Sponsored Agency Securities  
 
Interest Only Collateralized Mortgage Obligations (concluded)  
Ginnie Mae Mortgage-Backed Securities (concluded):  
  Series 2011-52, Class MJ, 6.45%, 4/20/41 (a) USD 21,238 $ 3,858,313  
  Series 2011-52, Class NS, 6.47%, 4/16/41 (a)   23,055   4,218,841  
  
  25,794,259  
 
Mortgage-Backed Securities — 108.6%  
Fannie Mae Mortgage-Backed Securities:  
   3.00%, 6/15/43 (e)   12,900   12,956,438  
   3.50%, 10/01/42 - 6/15/43 (e)(f)   38,707   40,106,434  
   4.00%, 1/01/41 - 9/01/42 (f)   39,281   41,438,379  
   4.50%, 8/01/25 - 6/15/43 (e)(f)(g)   130,390   142,275,016  
   5.00%, 1/01/23 - 6/15/43 (e)   116,466   127,201,372  
   5.50%, 6/15/28 - 6/15/43 (e)(g)   52,183   57,155,187  
   5.97%, 8/01/16   2,985   3,370,603  
   6.00%, 6/15/43 (e)   65,400   71,176,996  
   6.50%, 12/01/37 - 10/01/39   21,276   23,724,229  
   7.50%, 2/01/22   —(c)   95  
   9.50%, 1/01/19 - 9/01/19   2   2,292  
Freddie Mac Mortgage-Backed Securities:  
   2.55%, 10/01/34 (a)   289   297,049  
   2.61%, 1/01/35 (a)   192   195,473  
   2.73%, 11/01/17 (a)   11   11,701  
   5.00%, 2/01/22 - 4/01/22   518   555,677  
   9.00%, 9/01/20   31   33,769  
Ginnie Mae Mortgage-Backed Securities:  
   7.50%, 8/15/21 - 12/15/23   157   166,762  
   8.00%, 10/15/22 - 8/15/27   62   67,707  
   9.00%, 4/15/20 - 9/15/21   6   6,669  
  
  520,741,848  
 
Principal Only Collateralized Mortgage Obligations — 0.3%  
Fannie Mae Mortgage-Backed Securities:  
  Series 203, Class 1, 2/01/23   14   12,778  
  Series 228, Class 1, 6/01/23   11   10,184  
  Series 1991-7, Class J, 2/25/21   13   11,508  
  Series 1993-51, Class E, 2/25/23   45   39,351  
  Series 1993-70, Class A, 5/25/23   7   5,856  
  Series 1999-W4, Class PO, 2/25/29   123   121,479  
  Series 2002-13B, Class PR, 3/25/32   257   239,124  
    Par
(000)		   Value  
US Government Sponsored Agency Securities  
 
Principal Only Collateralized Mortgage Obligations (concluded)  
Fannie Mae Mortgage-Backed Securities (concluded):  
  Series G93-2, Class KB, 1/25/23 USD 124 $ 109,766  
Freddie Mac Mortgage-Backed Securities:  
  Series 1418, Class M, 11/15/22   49   43,075  
  Series 1571, Class G, 8/15/23   322   307,150  
  Series 1691, Class B, 3/15/24   619   589,687  
  Series T-8, Class A10, 11/15/28   96   91,445  
  
  1,581,403  
 
Total US Government Sponsored Agency Securities – 158.7%   760,836,755  




 

US Treasury Obligations  
 
US Treasury Notes:  
  0.63%, 9/30/17   7,945   7,851,892  
  1.00%, 11/30/19   2,965   2,886,475  
  1.63%, 11/15/22   780   748,739  
  1.75%, 5/15/23   1,625   1,565,587  
 
Total US Treasury Obligations – 2.8%   13,052,693  
 
Total Long-Term Investments
(Cost – $795,222,350) – 166.0% 		  795,541,443  




 

Short-Term Securities  
 
Borrowed Bond Agreements — 0.2%  
Credit Suisse Group, AG, 0.02%, Open (Purchased on 2/4/13 to be repurchased at $847,102, collateralized by US Treasury Bonds, 2.75%, par and fair value of USD 917,000 and $820,858, respectively)   847   847,079  
 
   
Shares		      
Money Market Funds — 7.2%  
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (h)(i)   34,493,794   34,493,794  
 
                                   

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20134
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Short-Term Securities                                                                                      Value  
 
Total Short-Term Securities
(Cost – $35,340,873) – 7.4% 		$ 35,340,873  




 

       
 
Total Investments Before Borrowed Bonds and TBA Sale Commitments
(Cost – $830,563,223*) – 173.4% 		  830,882,316  




 

    Par
(000)		   Value  
Borrowed Bonds  
 
US Treasury Bond, 2.75%, 11/15/42  USD 917 $ (820,858)  
 
Total Borrowed Bonds
(Proceeds – $842,347) – (0.2)% 		  (820,858)  




 

    Par
(000)		   Value  
TBA Sale Commitments (e)  
 
Fannie Mae Mortgage-Backed Securities:  
   4.50%, 6/15/28 - 6/15/43 USD 12,400 $ (13,228,461)  
   5.00%, 6/15/28 - 6/15/43   39,300   (42,373,771)  
  6.00%, 6/15/43   43,600   (47,449,060)  
 
Total TBA Sale Commitments
(Proceeds – $103,202,512) – (21.5)% 		  (103,051,292)  




 

       
 
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments– 151.7%   727,010,166  
Liabilities in Excess of Other Assets – (51.7)%   (247,660,741)  
  
Net Assets – 100.0% $ 479,349,425  
  
 
*

As of May 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 
  Tax cost $ 830,615,029  
  
  Gross unrealized appreciation $ 31,038,849  
  Gross unrealized depreciation   (30,771,562)  
  
  Net unrealized appreciation $ 267,287  
  
 
                                   
   
  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) Amount is less than $500.  
(d) Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.  
(e) Represents or includes a TBA transaction. Unsettled TBA transactions as of May 31, 2013 were as follows:  
   
 
  Counterparty   Value   Unrealized Appreciation
(Depreciation)		  
 
  Citigroup Global Market, Inc   $ 2,008,750 $ (64,688)  
  Credit Suisse Securities (USA) LLC   $ (14,549,075) $ 14,523  
  Deutsche Bank Securities, Inc.   $ 1,458,758 $ (492,035)  
  Goldman Sachs & Co.   $ 12,990,992 $ (3,633)  
  JP Morgan Securities, Inc.   $ 25,756,186 $ (15,157)  
  Morgan Stanley Co., Inc   $ 10,562,180 $ (260,578)  
                     
 
(f) All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.  
(g) All or a portion of security has been pledged as collateral in connection with swaps.  
                                   

 

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20135
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

 

(h) Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2013, 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, 2012		   Net
Activity		   Shares
Held at
May 31, 2013		   Income Realized Gain
   
  BlackRock Liquidity Funds, TempFund, Institutional Class   2,187,808   32,305,986   34,493,794 $ 5,450 $       94
                     
   
(i) Represents the current yield as of report date.  
• Reverse repurchase agreements outstanding as of May 31, 2013 were as follows:  
   
  Counterparty   Interest
Rate		   Trade
Date		   Maturity
Date1		   Face Value   Face Value
Including
Accrued
Interest		  
   
  Credit Suisse Securities (USA) LLC   0.23%   10/23/12   Open $ 10,815,215   $ 10,828,486  
  Credit Suisse Securities (USA) LLC   0.15%   1/28/13   Open   19,590,818   19,600,940  
  Credit Suisse Securities (USA) LLC   0.15%   1/28/13   Open   22,922,685   22,934,528  
  BNP Paribas Securities Corp.   0.00%   2/08/13   Open   2,916,819   2,916,819  
  HSBC Securities (USA), Inc.   0.23%   5/09/13   6/13/13   147,733,000   147,750,933  
  Deutsche Bank AG   0.10%   5/31/13   Open   7,885,413   7,885,435  
   
  Total $ 211,863,950 $ 211,917,141      
   
1 Certain agreements have no stated maturity and can be terminated by either party at any time.  
• Financial futures contracts as of May 31, 2013 were as follows:  
   
 

Contracts Purchased/

(Sold)

   Issue   Exchange   Expiration   Notional
Value		 Unrealized Appreciation (Depreciation)  
   
  43   90-Day Euro-Dollar   Chicago Mercantile   June 2013 USD 10,719,900 $ 27,206  
  37   90-Day Euro-Dollar   Chicago Mercantile   September 2013 USD 9,220,863   22,239  
  (85)   2-Year US Treasury Note   Chicago Board of Trade   September 2013 USD 18,711,953   24,155  
  (288)   5-Year US Treasury Note   Chicago Board of Trade   September 2013 USD 35,255,250   186,441  
  (196)   10-Year US Treasury Note   Chicago Board of Trade   September 2013 USD 25,326,875   55,837  
  (2)   90-Day Euro-Dollar   Chicago Mercantile   December 2013 USD 498,175   246  
  (27)   90-Day Euro-Dollar   Chicago Mercantile   March 2014 USD 6,721,650   1,919  
  (41)   90-Day Euro-Dollar   Chicago Mercantile   June 2014 USD 10,200,800   (10,272)  
  (41)   90-Day Euro-Dollar   Chicago Mercantile   September 2014 USD 10,193,113   (9,515)  
  (41)   90-Day Euro-Dollar   Chicago Mercantile   December 2014 USD 10,183,888   (8,221)  
  (41)   90-Day Euro-Dollar   Chicago Mercantile   March 2015 USD 10,172,613   (2,759)  
  (12)   90-Day Euro-Dollar   Chicago Mercantile   June 2015 USD 2,973,450   8,227  
  (12)   90-Day Euro-Dollar   Chicago Mercantile   September 2015 USD 2,968,950   9,777  
  (12)   90-Day Euro-Dollar   Chicago Mercantile   December 2015 USD 2,963,850   11,227  
  (12)   90-Day Euro-Dollar   Chicago Mercantile   March 2016 USD 2,958,450   12,652  
  (621)   Long US Treasury Bond   Chicago Board of Trade   September 2013 USD 86,959,406   1,165,403  
  (152)   Ultra Long US Treasury Bond   Chicago Board of Trade   September 2013 USD 23,123,000   68,638  
   
  Total $ 1,563,200    
                                                                                                                       

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20136
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

 

• Interest rate swaps outstanding as of May 31, 2013 were as follows:  
   
  Fixed
Rate		   Floating
Rate		   Counterparty   Expiration
Date		   Notional
Amount
(000)		   Unrealized Appreciation (Depreciation)  
   
  4.88% 1   3-month LIBOR   UBS AG   3/21/15   USD   25,000 $ 1,981,917  
  4.87% 1   3-month LIBOR   Goldman Sachs Group, Inc.   1/25/16   USD   5,500   615,703  
  2.81% 1   3-month LIBOR   Citigroup, Inc.   2/06/16   USD   20,000   1,169,834  
  5.72% 1   3-month LIBOR   JPMorgan Chase & Co.   7/14/16   USD   5,400   834,151  
  4.31% 2   3-month LIBOR   Deutsche Bank AG   10/01/18   USD   60,000   (9,265,584)  
  3.43% 1   3-month LIBOR   JPMorgan Chase & Co.   3/28/21   USD   6,000   875,385  
  5.41% 1   3-month LIBOR   JPMorgan Chase & Co.   8/15/22   USD   9,565   2,618,085  
   
  Total $ (1,170,509)      
   
1 Trust pays the floating rate and receives the fixed rate.  
2 Trust pays the fixed rate and receives the floating rate.  
                                                                                                                       

 

 

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
USD US Dollar
• 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.
 
• 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, 20137
 
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, 2013:
  Level 1   Level 2   Level 3   Total
Assets:
Investments:
Long-Term Investments:
  Asset-Backed Securities   — $ 5,995,396 $ 783,217 $ 6,778,613
  Non-Agency Mortgage-Backed Securities   —   11,780,955 3,092,427   14,873,382
  US Government Sponsored Agency Securities   —   754,452,233 6,384,522   760,836,755
  US Treasury Obligations   —   13,052,693 —   13,052,693
Short-Term Securities              
  Borrowed Bond Agreements   —   847,079 —   847,079
  Money Market Funds $ 34,493,794   — —   34,493,794
Liabilities:
Investments:
  Borrowed Bonds   —   (820,858)   —   (820,858)
  TBA Sale Commitments   —   (103,051,292)   —   (103,051,292)
Total $ 34,493,794 $ 682,256,206 $ 10,260,166 $ 727,010,166

 

 

                
                 

 

  Level 1   Level 2   Level 3 Total
Derivative Financial Instruments1
Assets:
  Interest rate contracts $ 1,593,967 $ 8,095,075   — $ 9,689,042
Liabilities:
  Interest rate contracts (30,767)   (9,265,584)   —   (9,296,351)
Total $ 1,563,200 $ (1,170,509)     — $   392,691
                     

 

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

 

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial reporting purposes. As of May 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
  Level 1   Level 2   Level 3   Total
Assets:
  Cash pledged for financial futures contracts $ 3,087,000   —   — $ 3,087,000
  Cash pledged as collateral for swaps   3,900,000   —   —   3,900,000
Liabilities:
  Cash received as collateral for swaps — $ (6,130,000)   —   (6,130,000)
  Reverse repurchase agreements —   (211,863,950)   —   (211,863,950)
Total $ 6,987,000    $ (217,993,950)   —     $ (211,006,950)
 
There were no transfers between Level 1 and Level 2 during the period ended May 31, 2013.
 

Certain of 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 inputs could result in a significantly lower or higher value of such Level 3 investments.

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20138
 
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 US Government Sponsored Agency Securities Total
Assets:                
Opening Balance, as of August 31, 2012 $ 917,196 $ 4,067,898 $ 4,622,964 $ 9,608,058
Transfers into Level 31 — — — —
Transfers out of Level 31 — (452,944) — (452,944)
Accrued discounts/premiums (407,478) — (54,077) (461,555)
Net realized gain (loss) — — (12,007) (12,007)
Net change in unrealized appreciation/depreciation2 273,499 (522,527) (11,687) (260,715)
Purchases — — 2,189,702 2,189,702
Sales — — (350,373) (350,373)
Closing Balance, as of May 31, 2013 $ 783,217 $ 3,092,427 $ 6,384,522 $ 10,260,166

 

1 Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period.
2 The change in unrealized appreciation/depreciation on investments still held as of May 31, 2013 was $(260,713).

 

 

BLACKROCK INCOME TRUST, INC.MAY 31, 20139
 

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, 2013

 

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, 2013

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Income Trust, Inc.

 

Date: July 25, 2013