UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05542
Name of Fund: BlackRock Income Trust, Inc. (BKT)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Income Trust, Inc., 55 East 52nd Street, New York, NY 10055.
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2010
Date of reporting period: 11/30/2009
Item 1 – Schedule of Investments
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BlackRock Income Trust, Inc. (BKT) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Asset-Backed Securities |
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Par |
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Value |
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Asset-Backed Securities - 2.9% |
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Chase Issuance Trust, Series 2007-A11, Class A11, 0.23%, 7/16/12 (a)(b) |
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$ |
3,500 |
|
$ |
3,491,527 |
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First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FF2, Class M2, 0.68%, 3/25/35 (a) |
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5,890 |
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2,238,200 |
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Freddie Mac Multiclass Certificates, Series T-11, Class A9, 2.30%, 1/25/28 (a) |
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3,088 |
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2,959,361 |
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GSAA Home Equity Trust, Series 2005-1, Class AF2, 4.32%, 11/25/34 (a) |
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2,004 |
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1,897,138 |
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Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.67%, 10/25/35 (a) |
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1,875 |
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629,225 |
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Small Business Administration Participation Certificates, Series 1996-20E, Class 1, 7.60%, 5/01/16 |
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334 |
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365,868 |
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Small Business Administration Participation Certificates, Series 1996-20G, Class 1, 7.70%, 7/01/16 |
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325 |
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357,571 |
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Small Business Administration Participation Certificates, Series 1996-20H, Class 1, 7.25%, 8/01/16 |
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501 |
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549,491 |
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Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16 |
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|
747 |
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805,022 |
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Small Business Administration Participation Certificates, Series 1997-20C, Class 1, 7.15%, 3/01/17 |
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312 |
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343,767 |
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Structured Asset Receivables Trust, Series 2003-1A, Class CTFS, 0.78%, 1/21/10 (a)(c) |
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317 |
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310,910 |
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13,948,080 |
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Interest Only - 0.3% |
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Small Business Administration, Series 1, 1.00%, 4/01/15 |
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2,606 |
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26,057 |
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Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c) |
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6,408 |
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422,542 |
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Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 |
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10,404 |
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1,011,119 |
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1,459,718 |
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Total Asset-Backed Securities - 3.2% |
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15,407,798 |
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Non-Agency Mortgage-Backed Securities |
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Collateralized
Mortgage |
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Collateralized Mortgage
Obligation Trust, |
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210 |
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210 |
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Countrywide Alternative Loan Trust, Series 2005-28CB, Class 1A5, 5.50%, 8/25/35 |
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2,355 |
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2,093,103 |
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Deutsche Alt-A Securities Inc. Mortgage, Series 2006-AR5, Class 22A, 5.50%, 10/25/21 |
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1,573 |
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1,212,462 |
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Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.51%, 10/25/35 (a) |
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3,851 |
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2,571,636 |
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JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2, 5.77%, 1/25/37 (a) |
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919 |
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710,567 |
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1
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BlackRock Income Trust, Inc. (BKT) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Non-Agency Mortgage-Backed Securities |
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Par |
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Value |
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Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.18%, 8/25/23 (a) |
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$ |
99 |
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$ |
90,096 |
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Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 |
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6,563 |
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6,369,510 |
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Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 0.34%, 8/25/34 (a) |
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1,702 |
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1,721,499 |
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WaMu Mortgage Pass-Through Certificates, Series 2005-AR4, Class A3, 4.59%, 4/25/35 (a) |
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965 |
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961,234 |
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WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1C, 2.12%, 1/25/46 (a) |
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6,168 |
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2,343,711 |
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18,074,028 |
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Commercial Mortgage-Backed Securities - 7.9% |
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Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A2, 5.25%, 12/15/39 (d) |
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14,000 |
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14,067,670 |
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Credit Suisse Mortgage
Capital Certificates, |
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2,420 |
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1,892,830 |
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First Union-Lehman Brothers Commercial Mortgage, Series 1997-C2, Class D, 7.12%, 11/18/29 |
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3,500 |
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3,783,590 |
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JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD1, Class A2, 5.80%, 6/15/49 (a) |
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|
15,000 |
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15,207,922 |
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Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A2, 5.74%, 6/15/49 (a) |
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2,200 |
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2,201,848 |
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37,153,860 |
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Interest Only Collateralized Mortgage Obligations - 2.0% |
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Bank of America Mortgage Securities Inc., Series 2003-3, Class 1AIO, 0.29%, 5/25/18 (a) |
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|
145,290 |
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|
773,858 |
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CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.67%, 6/20/29 (a)(c) |
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4,569 |
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|
181,214 |
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CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37 |
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|
1,430 |
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|
168,356 |
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Collateralized Mortgage Obligation Trust, Series 42, Class R, 6.00%, 10/01/14 |
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|
23 |
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|
1,465 |
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Commercial Mortgage Acceptance Corp., Series 1997-ML1, Class IO, 0.70%, 12/15/30 (a) |
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|
11,873 |
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|
345,335 |
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First Boston Mortgage Securities Corp., Series C, Class I-O, 10.97%, 4/25/17 |
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|
49 |
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6,361 |
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GSMPS Mortgage Loan Trust, Series 1998-5, Class IO, 0.97%, 6/19/27 (a)(c) |
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5,855 |
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117,107 |
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IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37 |
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133,849 |
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650,508 |
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Kidder Peabody Mortgage Assets Trust, Series B, Class A2, 9.50%, 4/22/18 |
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|
39 |
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1,173 |
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MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.98%, 4/25/34 |
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15,386 |
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|
178,477 |
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MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19 |
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|
863 |
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119,301 |
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Morgan Stanley Capital I, Series 1997-HF1, Class X, 3.44%, 7/15/29 (a)(c) |
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46 |
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2 |
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2
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BlackRock Income Trust, Inc. (BKT) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Non-Agency Mortgage-Backed Securities |
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Par |
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Value |
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Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19 |
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$ |
900 |
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$ |
53,977 |
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Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.00%, 3/20/35 (a) |
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41,842 |
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|
678,266 |
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Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 7AX, 5.50%, 9/25/35 (a) |
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3,566 |
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445,749 |
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Structured Adjustable Rate Mortgage Loan Trust, Series 2005-20, Class 3AX, 5.50%, 10/25/35 |
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2,930 |
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388,418 |
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Structured Adjustable Rate Mortgage Loan Trust, Series 2006-2, Class 4AX, 5.50%, 3/25/36 (a) |
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10,014 |
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1,376,989 |
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Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 2.37%, 8/25/36 (a) |
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34,854 |
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3,783,383 |
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Vendee Mortgage Trust, Series 1999-2, Class 1IO, 0.05%, 5/15/29 (a) |
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68,410 |
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|
117,344 |
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9,387,283 |
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Principal Only Collateralized Mortgage Obligations - 1.2% |
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Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-26, Class PO, 0.00%, 8/25/33 |
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3,355 |
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|
2,472,549 |
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Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J4, Class PO, 0.00%, 6/25/33 |
|
|
647 |
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|
470,394 |
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Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J5, Class PO, 0.00%, 7/25/33 |
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|
1,051 |
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|
712,815 |
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Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 0.00%, 9/25/23 |
|
|
817 |
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|
604,150 |
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Drexel Burnham Lambert CMO Trust, Series K, Class 1, 0.00%, 9/23/17 |
|
|
15 |
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|
14,570 |
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Drexel Burnham Lambert CMO Trust, Series V, Class 1, 0.00%, 9/01/18 |
|
|
110 |
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|
105,491 |
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MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 0.00%, 3/25/34 |
|
|
306 |
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|
178,327 |
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Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36 |
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|
983 |
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338,700 |
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Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 0.00%, 4/25/24 |
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|
8 |
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|
5,499 |
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Washington Mutual Alternative Mortgage Pass- Through Certificates, Series 2005-9, Class CP, 0.00%, 11/25/35 |
|
|
844 |
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507,790 |
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5,410,285 |
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Total Non-Agency Mortgage-Backed Securities - 14.9% |
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70,025,456 |
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U.S. Government Sponsored Agency Securities |
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Agency Obligations - 3.5% |
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Federal Housing Administration, General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22 |
|
|
244 |
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|
241,717 |
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Federal Housing Administration, Merrill Projects, Series 54, 7.43%, 5/15/23 |
|
|
2 |
|
|
2,168 |
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Federal Housing Administration, Reilly Project, Series 41, 8.28%, 3/01/20 |
|
|
667 |
|
|
660,419 |
|
3
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BlackRock Income Trust, Inc. (BKT) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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U.S. Government Sponsored Agency Securities |
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Par |
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Value |
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||
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||
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Federal Housing Administration, USGI Projects, Series 87, 7.43%, 12/01/22 |
|
$ |
73 |
|
$ |
72,025 |
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|
|
|
Federal Housing Administration, USGI Projects, Series 99, 7.43%, 6/01/21 - 10/01/23 |
|
|
5,116 |
|
|
5,064,388 |
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|
|
|
Overseas Private Investment Corp., 4.09%, 5/29/12 |
|
|
352 |
|
|
346,341 |
|
|
|
|
Overseas Private Investment Corp., 4.30%, 5/29/12 |
|
|
885 |
|
|
883,451 |
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|
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Overseas Private Investment Corp., 4.64%, 5/29/12 |
|
|
749 |
|
|
747,393 |
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Overseas Private Investment Corp., 4.68%, 5/29/12 |
|
|
424 |
|
|
414,576 |
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|
Overseas Private Investment Corp., 4.87%, 5/29/12 |
|
|
3,224 |
|
|
3,218,939 |
|
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|
|
Resolution Funding Corp., 9.89%, 4/15/30 (e) |
|
|
13,000 |
|
|
4,870,411 |
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|
|
|
|
|
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16,521,828 |
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|
|
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|
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Collateralized Mortgage Obligations - 16.3% |
|
Fannie Mae Trust, Series 1991-38, Class F, 8.33%, 4/25/21 (a) |
|
|
20 |
|
|
21,174 |
|
|
|
|
Fannie Mae Trust, Series 1991-38, Class SA, 10.19%, 4/25/21 (a) |
|
|
21 |
|
|
20,968 |
|
|
|
|
Fannie Mae Trust, Series 1991-46, Class S, 1.40%, 5/25/21 (a) |
|
|
128 |
|
|
8,356 |
|
|
|
|
Fannie Mae Trust, Series 1991-87, Class S, 26.02%, 8/25/21 (a) |
|
|
80 |
|
|
112,582 |
|
|
|
|
Fannie Mae Trust, Series 1993-247, Class SN, 10.00%, 12/25/23 (a) |
|
|
616 |
|
|
625,386 |
|
|
|
|
Fannie Mae Trust, Series 2003-32, Class VT 6.00%, 9/25/15 |
|
|
5,542 |
|
|
5,812,439 |
|
|
|
|
Fannie Mae Trust, Series 2003-135, Class PB, 6.00%, 1/25/34 |
|
|
12,264 |
|
|
13,499,993 |
|
|
|
|
Fannie Mae Trust, Series 2004-28, Class PB, 6.00%, 8/25/28 |
|
|
1,164 |
|
|
1,174,874 |
|
|
|
|
Fannie Mae Trust, Series 2004-29, Class HC, 7.50%, 7/25/30 |
|
|
1,456 |
|
|
1,560,408 |
|
|
|
|
Fannie Mae Trust, Series 2004-31, Class ZG, 7.50%, 5/25/34 |
|
|
2,783 |
|
|
3,152,508 |
|
|
|
|
Fannie Mae Trust, Series 2005-68, Class PC, 5.50%, 7/25/35 |
|
|
1,567 |
|
|
1,693,110 |
|
|
|
|
Fannie Mae Trust, Series 2005-73, Class DS, 16.94%, 8/25/35 (a) |
|
|
4,247 |
|
|
4,887,675 |
|
|
|
|
Fannie Mae Trust, Series 2006-2, Class KP, 0.00%, 2/25/35 (a) |
|
|
935 |
|
|
789,639 |
|
|
|
|
Fannie Mae Trust, Series G-7, Class S, 116.20%, 3/25/21 (a) |
|
|
— |
(f) |
|
5,923 |
|
|
|
|
Fannie Mae Trust, Series G-17, Class S, 0.58%, 6/25/21 (a) |
|
|
364 |
|
|
8,007 |
|
4
|
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
U.S. Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Fannie Mae Trust, Series G-49, Class S, 8.80%, 12/25/21 (a) |
|
|
— |
(f) |
$ |
3,432 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 19, Class F, 8.50%, 3/15/20 |
|
$ |
132 |
|
|
143,757 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 19, Class R, 9.76%, 3/15/20 (a) |
|
|
13 |
|
|
2,092 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 40, Class K, 6.50%, 8/17/24 |
|
|
498 |
|
|
540,764 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 75, Class R, 9.50%, 1/15/21 |
|
|
— |
(f) |
|
4 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 75, Class RS, 20.04%, 1/15/21 (a) |
|
|
— |
(f) |
|
4 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 173, Class R, 0.00%, 11/15/21 |
|
|
18 |
|
|
18 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 173, Class RS, 9.17%, 11/15/21 (a) |
|
|
— |
(f) |
|
18 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1057, Class J, 1.01%, 3/15/21 |
|
|
113 |
|
|
2,666 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1160, Class F, 39.10%, 10/15/21 (a) |
|
|
26 |
|
|
46,543 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1961, Class H, 6.50%, 5/15/12 |
|
|
73 |
|
|
74,615 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2218, Class Z, 8.50%, 3/15/30 |
|
|
6,984 |
|
|
7,812,427 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2542, Class UC, 6.00%, 12/15/22 |
|
|
10,200 |
|
|
11,186,020 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2758, Class KV, 5.50%, 5/15/23 |
|
|
10,426 |
|
|
11,358,632 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2765, Class UA, 4.00%, 3/15/11 |
|
|
994 |
|
|
995,305 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2861, Class AX, 10.45%, 9/15/34 (a) |
|
|
415 |
|
|
447,257 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2927, Class BZ, 5.50%, 2/15/35 |
|
|
2,693 |
|
|
2,855,307 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 3061, Class BD, 7.50%, 11/15/35 |
|
|
1,944 |
|
|
1,974,142 |
|
|
|
|
Ginnie Mae Trust, Series 1996-5, Class Z, 7.00%, 5/16/26 |
|
|
735 |
|
|
811,098 |
|
|
|
|
Ginnie Mae Trust, Series 2001-33, Class PB, 6.50%, 7/20/31 |
|
|
1,199 |
|
|
1,288,266 |
|
|
|
|
Ginnie Mae Trust, Series 2004-89, Class PE, 6.00%, 10/20/34 |
|
|
3,392 |
|
|
3,727,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,642,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Deposit Insurance Corporation Guaranteed - 0.8% |
|
Citigroup Funding, Inc. 1.88%, 10/22/12 (g) |
|
|
3,800 |
|
|
3,852,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only Collateralized Mortgage Obligations - 2.1% |
|
Fannie Mae Trust, Series 7, Class 2, 8.50%, 4/01/17 |
|
|
7 |
|
|
1,001 |
|
5
|
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
||
|
|
|
Fannie Mae Trust, Series 89, Class 2, 8.00%, 10/01/18 |
|
$ |
13 |
|
$ |
1,662 |
|
|
|
|
Fannie Mae Trust, Series 94, Class 2, 9.50%, 8/01/21 |
|
|
4 |
|
|
856 |
|
|
|
|
Fannie Mae Trust, Series 1990-123, Class M, 1.01%, 10/25/20 |
|
|
30 |
|
|
671 |
|
|
|
|
Fannie Mae Trust, Series 1990-136, Class S, 0.02%, 11/25/20 (a) |
|
|
18,671 |
|
|
25,165 |
|
|
|
|
Fannie Mae Trust, Series 1991-38, Class N, 1.01%, 4/25/21 |
|
|
15 |
|
|
84 |
|
|
|
|
Fannie Mae Trust, Series 1991-99, Class L, 0.93%, 8/25/21 |
|
|
168 |
|
|
3,339 |
|
|
|
|
Fannie Mae Trust, Series 1991-139, Class PT, 0.65%, 10/25/21 |
|
|
315 |
|
|
4,519 |
|
|
|
|
Fannie Mae Trust, Series 1993-199,Class SB, 2.63%, 10/25/23 (a) |
|
|
1,377 |
|
|
163,447 |
|
|
|
|
Fannie Mae Trust, Series 1996-68, Class SC, 2.26%, 1/25/24 (a) |
|
|
995 |
|
|
79,040 |
|
|
|
|
Fannie Mae Trust, Series 1997-50, Class SI, 1.20%, 4/25/23 (a) |
|
|
476 |
|
|
15,112 |
|
|
|
|
Fannie Mae Trust Series 1997-90, Class M, 6.00%, 1/25/28 |
|
|
9,015 |
|
|
1,541,556 |
|
|
|
|
Fannie Mae Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 |
|
|
459 |
|
|
76,527 |
|
|
|
|
Fannie Mae Trust, Series 2003-122, Class IC, 5.00%, 9/25/18 |
|
|
1,751 |
|
|
27,654 |
|
|
|
|
Fannie Mae Trust, Series 2004-90, Class JH, 1.83%, 11/25/34 (a) |
|
|
20,469 |
|
|
1,938,197 |
|
|
|
|
Fannie Mae Trust, Series 2005-43, Class IC, 6.00%, 3/25/34 |
|
|
703 |
|
|
16,796 |
|
|
|
|
Fannie Mae Trust, Series 2009-3, Class JI, 6.00%, 1/25/49 |
|
|
20,430 |
|
|
2,730,619 |
|
|
|
|
Fannie Mae Trust, Series G-10, Class S, 0.58%, 5/25/21 (a) |
|
|
720 |
|
|
17,914 |
|
|
|
|
Fannie Mae Trust, Series G-12, Class S, 0.61%, 5/25/21 (a) |
|
|
581 |
|
|
12,824 |
|
|
|
|
Fannie Mae Trust, Series G-33, Class PV, 1.08%, 10/25/21 |
|
|
442 |
|
|
10,297 |
|
|
|
|
Fannie Mae Trust, Series G-50, Class G, 1.16%, 12/25/21 |
|
|
216 |
|
|
2,274 |
|
|
|
|
Fannie Mae Trust, Series G92-5, Class H, 9.00%, 1/25/22 |
|
|
132 |
|
|
21,921 |
|
|
|
|
Fannie Mae Trust, Series G92-12, Class C, 1.02%, 2/25/22 |
|
|
356 |
|
|
8,148 |
|
|
|
|
Fannie Mae Trust, Series G92-60, Class SB, 1.60%, 10/25/22 (a) |
|
|
378 |
|
|
14,476 |
|
6
|
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac Multiclass Certificates, Series 176, Class M, 1.01%, 7/15/21 |
|
$ |
37 |
|
$ |
813 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 192, Class U, 1.01%, 2/15/22 (a) |
|
|
3 |
|
|
70 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 200, Class R, 98.52%, 12/15/22 (a) |
|
|
1 |
|
|
19 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1043, Class H, 0.02%, 2/15/21 (a) |
|
|
10,108 |
|
|
19,125 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1054, Class I, 0.44%, 3/15/21 (a) |
|
|
103 |
|
|
1,947 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1056, Class KD, 1.08%, 3/15/21 |
|
|
88 |
|
|
2,192 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1148, Class E, 0.59%, 10/15/21 (a) |
|
|
277 |
|
|
5,762 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1179, Class O, 1.01%, 11/15/21 |
|
|
18 |
|
|
52 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1914, Class PC, 0.75%, 12/15/11 |
|
|
827 |
|
|
4,030 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2444, Class ST, 2.36%, 9/15/29 (a) |
|
|
17 |
|
|
64 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2545, Class NI, 5.50%, 3/15/22 |
|
|
978 |
|
|
50,840 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2559, Class IO, 5.00%, 8/15/30 (a) |
|
|
308 |
|
|
3,775 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2611, Class QI, 5.50%, 9/15/32 |
|
|
6,976 |
|
|
786,258 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2687, Class IL, 5.00%, 9/15/18 |
|
|
1,598 |
|
|
25,835 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2694, Class LI, 4.50%, 7/15/19 |
|
|
1,042 |
|
|
32,605 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2906, Class SW, 6.25%, 11/15/34 (a) |
|
|
23,775 |
|
|
2,175,970 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 2949, Class IO, 5.50%, 3/15/35 |
|
|
1,288 |
|
|
117,590 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 3299, Class TI, 5.00%, 4/15/37 |
|
|
265 |
|
|
1,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,942,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgaged-Backed Securities - 88.6% |
|
Fannie Mae Mortgage Backed Securities: |
|
|
2,500 |
|
|
2,510,548 |
|
|
|
|
4.00%, 12/15/39 (h) |
|
|
|
|
|
|
|
|
|
|
4.50%, 7/01/39 - 12/15/39 (g)(h) |
|
|
48,295 |
|
|
49,580,095 |
|
|
|
|
5.00%, 1/01/23 - 12/15/39 (g)(h) |
|
|
137,950 |
|
|
144,717,381 |
|
|
|
|
5.50%, 12/15/24 - 1/15/40 (h) |
|
|
118,400 |
|
|
125,741,974 |
|
|
|
|
5.97%, 8/01/16 |
|
|
3,117 |
|
|
3,516,028 |
|
|
|
|
6.50%, 1/15/40 (h) |
|
|
39,000 |
|
|
42,016,416 |
|
|
|
|
7.50%, 2/01/22 |
|
|
— |
(f) |
|
185 |
|
|
|
|
9.50%, 1/01/19 - 9/01/19 |
|
|
3 |
|
|
3,826 |
|
7
|
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
|
|
|||||||||
|
|
|
Freddie Mac Mortgage Backed Securities: |
|
|
|
|
|
|
|
|
|
|
3.98%, 1/01/35 (a) |
|
$ |
214 |
|
$ |
220,569 |
|
|
|
|
4.51%, 11/01/17 (a) |
|
|
22 |
|
|
22,437 |
|
|
|
|
4.99%, 10/01/34 (a)(g) |
|
|
632 |
|
|
657,788 |
|
|
|
|
5.00%, 2/01/22 - 4/01/22 (g) |
|
|
2,397 |
|
|
2,557,491 |
|
|
|
|
5.50%, 12/15/24 (h) |
|
|
7,000 |
|
|
7,492,184 |
|
|
|
|
6.50%, 12/15/39 (h) |
|
|
100 |
|
|
107,938 |
|
|
|
|
8.00%, 11/01/15 |
|
|
— |
(f) |
|
99 |
|
|
|
|
9.00%, 9/01/20 |
|
|
80 |
|
|
88,717 |
|
|
|
|
Ginnie Mae Mortgage Backed Securities: |
|
|
|
|
|
|
|
|
|
|
5.00%, 12/15/39 (h) |
|
|
23,900 |
|
|
25,121,147 |
|
|
|
|
6.50%, 12/15/39 (h) |
|
|
10,800 |
|
|
11,584,685 |
|
|
|
|
7.50%, 8/15/21 - 12/15/23 |
|
|
325 |
|
|
369,101 |
|
|
|
|
8.00%, 10/15/22 - 2/15/29 |
|
|
103 |
|
|
118,179 |
|
|
|
|
9.00%, 6/15/18 - 9/15/21 |
|
|
10 |
|
|
11,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
416,438,738 |
|
|
|
|||||||||
|
Principal Only Collateralized Mortgage Obligations - 2.0% |
|
Fannie Mae Trust, Series 203, Class 1, 0.00%, 2/01/23 |
|
|
29 |
|
|
26,144 |
|
|
|
|
Fannie Mae Trust, Series 228, Class 1, 0.00%, 6/01/23 |
|
|
19 |
|
|
17,327 |
|
|
|
|
Fannie Mae Trust, Series 328, Class 1, 0.00%, 12/01/32 |
|
|
2,924 |
|
|
2,598,654 |
|
|
|
|
Fannie Mae Trust, Series 338, Class 1, 0.00%, 7/01/33 |
|
|
2,480 |
|
|
2,202,953 |
|
|
|
|
Fannie Mae Trust, Series 1991-7, Class J, 0.00%, 2/25/21 |
|
|
31 |
|
|
28,166 |
|
|
|
|
Fannie Mae Trust, Series 1991-167, Class D, 0.00%, 10/25/17 |
|
|
5 |
|
|
4,807 |
|
|
|
|
Fannie Mae Trust, Series 1993-51, Class E, 0.00%, 2/25/23 |
|
|
96 |
|
|
84,008 |
|
|
|
|
Fannie Mae Trust, Series 1993-70, Class A, 0.00%, 5/25/23 |
|
|
16 |
|
|
14,074 |
|
|
|
|
Fannie Mae Trust, Series 1993-249, Class B, 0.00%, 11/25/23 |
|
|
1,405 |
|
|
1,252,421 |
|
|
|
|
Fannie Mae Trust, Series 1999-W4, Class PO, 0.00%, 2/25/29 |
|
|
233 |
|
|
211,097 |
|
|
|
|
Fannie Mae Trust, Series 2002-13, Class PR, 0.00%, 3/25/32 |
|
|
591 |
|
|
542,847 |
|
|
|
|
Fannie Mae Trust, Series G93-2, Class KB, 0.00%, 1/25/23 |
|
|
215 |
|
|
198,270 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1418, Class M, 0.00%, 11/15/22 |
|
|
107 |
|
|
97,136 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1571, Class G, 0.00%, 8/15/23 |
|
|
575 |
|
|
509,410 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series 1691, Class B, 0.00%, 3/15/24 |
|
|
1,444 |
|
|
1,286,857 |
|
8
|
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
Par |
|
Value |
|
||
|
|
|||||||||
|
|
|
Freddie Mac Multiclass Certificates, Series 1739, Class B, 0.00%, 2/15/24 |
|
$ |
102 |
|
$ |
96,249 |
|
|
|
|
Freddie Mac Multiclass Certificates, Series T-8, Class A10, 0.00%, 11/15/28 |
|
|
172 |
|
|
153,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,323,454 |
|
|
|
|||||||||
|
|
|
Total U.S. Government Sponsored Agency Securities - 113.3% |
|
|
532,722,140 |
|
|||
|
|
|||||||||
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
|
|
|
|
|||||||||
|
|
|
U.S. Treasury Notes, 1.75%, 8/15/12 (b)(g) |
|
|
7,850 |
|
|
8,013,743 |
|
|
|
|
U.S. Treasury Notes, 3.63%, 8/15/19 (g) |
|
|
16,930 |
|
|
17,517,268 |
|
|
|
|
U.S. Treasury Notes, 4.50%, 8/15/39 |
|
|
330 |
|
|
346,706 |
|
|
|
|
U.S. Treasury Strips, 5.75%, 11/15/24 (e)(g)(i) |
|
|
40,000 |
|
|
21,511,080 |
|
|
|
|||||||||
|
|
|
Total U.S. Treasury Obligations - 10.1% |
|
|
|
|
|
47,388,797 |
|
|
|
|||||||||
|
|
|
Total
Long-Term Investments |
|
|
|
|
|
665,544,191 |
|
|
|
|||||||||
|
|
|||||||||
|
|
|
Short-Term Securities |
|
Shares |
|
|
|
|
|
|
|
|||||||||
|
|
|
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.16% (j)(k) |
|
|
209,078,389 |
|
|
209,078,389 |
|
|
|
|||||||||
|
|
|
Total Short-Term
Securities |
|
|
|
|
|
209,078,389 |
|
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased |
|
Contracts (l) |
|
|
|
|
|
|
|
|||||||||
|
Over-the-Counter Call Swaptions Purchased |
|
Receive a fixed rate of 3.41% and pay a floating rate based on 3-month USD LIBOR, expires 4/06/10, Broker Deutsche Bank AG |
|
|
15 |
|
|
312,440 |
|
|
|
|
Receive a fixed rate of 5.47% and pay a floating rate based on 3-month LIBOR, expires 5/19/12, Broker Bank of America NA |
|
|
6 |
|
|
808,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,120,976 |
|
|
|
|||||||||
|
Over-the-Counter Put Swaptions Purchased |
|
Pay a fixed rate of 3.41% and received a floating rate based April 3-month USD LIBOR, expires 4/06/10, Broker Deutsche Bank AG |
|
|
15 |
|
|
386,301 |
|
|
|
|
Pay a fixed rate of 5.47% and receive a floating rate based 3-month LIBOR, expires 5/19/12, Broker Bank of America NA |
|
|
6 |
|
|
211,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
597,882 |
|
|
|
|||||||||
|
|
|
Total
Options Purchased |
|
|
|
|
|
1,718,858 |
|
|
|
|||||||||
|
|
|
Total
Investments Before TBA Sale Commitments and Options Written |
|
|
|
|
|
876,341,438 |
|
|
|
|||||||||
|
|
|
TBA Sale Commitments (h) |
|
Par |
|
|
|
|
|
|
|
|||||||||
|
|
|
Fannie Mae Mortgage Backed Securities, 5.00%, 1/01/23 - 12/15/39 |
|
$ |
(2,600 |
) |
|
(2,761,689 |
) |
|
|
|
Freddie Mac Mortgage Backed Securities, 5.00%, 2/01/22 - 4/01/22 |
|
|
(2,300 |
) |
|
(2,442,671 |
) |
|
|
|||||||||
|
|
|
Total TBA
Sale Commitments |
|
|
|
|
|
(5,204,360 |
) |
|
|
|||||||||
9
|
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Written |
|
Contracts (l) |
|
Value |
|
||
|
|
|||||||||
|
Over-the-Counter Call Swaptions Written |
|
Pay a fixed rated of 2.38% and receive a floating rate based on 3-month USD LIBOR, expires 12/19/09, Broker Barclays Bank, Plc |
|
|
5 |
|
$ |
(49 |
) |
|
|
|
Pay a fixed rated of 5.67% and receive a floating rate based on 3-month LIBOR, expires 1/16/10, Broker Citibank NA |
|
|
12 |
|
|
(2,508,569 |
) |
|
|
|
Pay a fixed rated of 3.65% and receive a floating rate based on 3-month USD LIBOR, expires 3/20/10, Broker Citibank NA |
|
|
25 |
|
|
(841,600 |
) |
|
|
|
Pay a fixed rate of 3.43% and receive a floating rate based on 3-month USD LIBOR, expires 3/19/11, Broker JPMorgan Chase Bank NA |
|
|
7 |
|
|
(207,977 |
) |
|
|
|
Pay a fixed rate of 5.33% and receive a floating rate based on 3-month LIBOR, expires 7/20/13, Broker JPMorgan Chase Bank NA |
|
|
11 |
|
|
(815,095 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(4,373,290 |
) |
|
|
|||||||||
|
Over-the-Counter Put Swaptions |
|
Receive a fixed rate of 2.38% and pay a floating rate based on 3-month USD LIBOR, expires 12/19/09, Broker Barclays Bank, Plc |
|
|
5 |
|
|
(402,893 |
) |
|
|
|
Receive a fixed rate of 5.67% and pay a floating rate based on 3-month LIBOR, expires 1/16/10, Broker Citibank NA |
|
|
12 |
|
|
(124 |
) |
|
|
|
Receive a fixed rate of 3.65% and pay floating rate based on 3-month LIBOR, expires 3/20/10, Broker Citibank NA |
|
|
25 |
|
|
(417,450 |
) |
|
|
|
Receive a fixed rate of 3.43% and pay a floating rate based on 3-month USD LIBOR, expires 3/19/11, Broker JPMorgan Chase Bank NA |
|
|
7 |
|
|
(480,893 |
) |
|
|
|
Receive a fixed rate of 5.33% and pay a floating rate based on 3-month LIBOR, expires 7/20/13, Broker JPMorgan Chase Bank NA |
|
|
11 |
|
|
(293,440 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,594,800 |
) |
|
|
|||||||||
|
|
|
Total
Options Written |
|
|
|
|
|
(5,968,090 |
) |
|
|
|||||||||
|
|
|
Total Investments, Net of TBA Sale Commitments and Options Written - 184.0% |
|
|
|
|
|
865,168,988 |
|
|
|
|
Liabilities in Excess of Other Assets - (84.0)% |
|
|
|
|
|
(394,986,770 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets - 100.0% |
|
|
|
|
$ |
470,182,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
The cost and unrealized appreciation (depreciation) of investments as of November 30, 2009, as computed for federal income tax purposes, were as follows: |
|
|
|
|
|
|
|
Aggregate cost |
|
$ |
873,130,152 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
$ |
28,707,335 |
|
|
Gross unrealized depreciation |
|
|
(25,496,049 |
) |
|
|
|
|
|
|
|
Net unrealized appreciation |
|
$ |
3,211,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
|
|
(b) |
All or a portion of the security has been pledged as collateral in connection with open financial futures contracts. |
10
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
(c) |
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. |
|
|
|
|
|
|
(d) |
Security held as collateral in connection with TALF program. |
|
|
|
|
|
|
(e) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
|
|
|
|
|
|
(f) |
Amount is less than $1,000. |
|
|
|
|
|
|
(g) |
All or a portion of security held as collateral in connection with swaps. |
|
|
|
|
|
|
(h) |
Represents or includes a “to-be-announced” transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time. |
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
|||||||
|
Citigroup Global Markets, Inc. |
|
$ |
11,584,685 |
|
$ |
129,935 |
|
|
Credit Suisse Securities LLC |
|
|
149,388,059 |
|
|
2,688,512 |
|
|
Deutsche Bank Securities Inc. |
|
|
113,644,786 |
|
|
863,598 |
|
|
Goldman Sachs & Company |
|
|
31,065,838 |
|
|
685,338 |
|
|
JPMorgan Securities, Ltd. |
|
|
88,589,448 |
|
|
1,007,026 |
|
|
|
|||||||
|
|
|
|
|
|
(i) |
Separately Traded Registered Interest and Principal Securities. |
|
|
|
|
|
|
(j) |
Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Affiliate |
|
Net Activity |
|
Income |
|
||
|
|
|||||||
|
BlackRock Liquidity Funds, TempFund, Institutional Class |
|
$ |
30,839,798 |
|
$ |
95,118 |
|
|
|
|||||||
|
|
|
|
|
|
|
(k) |
Represents the current yield as of report date. |
|
|
|
|
|
|
|
|
(l) |
One contract represents a notional amount of $1 million. |
|
|
|
|
|
|
|
|
• |
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 ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
|
|
|
|
|
|
|
|
• |
Portfolio Abbreviations: |
|
|
|
|||
|
|
|
LIBOR |
London Interbank Offered Rate |
|
|
|
USD |
US Dollar |
|
|
|
|
|
|
|
• |
Interest rate floors outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
Notional |
|
Value |
|
Unrealized |
|
|||
|
|
||||||||||
|
Pay to broker the difference between 3-month LIBOR and a floor of 4.80% |
|
|
|
|
|
|
|
|
|
|
|
Broker, Goldman Sachs Capital Markets Expiring 3/19/11 |
|
$ |
80,000 |
|
$ |
(4,318,640 |
) |
$ |
(3,433,307 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay to broker the difference between 3-month LIBOR and a floor of 5.50% |
|
|
|
|
|
|
|
|
|
|
|
Broker, Citibank NA Expiring 9/17/11 |
|
$ |
26,000 |
|
|
(2,312,232 |
) |
|
(1,813,899 |
) |
|
|
||||||||||
|
Total |
|
|
|
|
$ |
(6,630,872 |
) |
$ |
(5,247,206 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Financial futures contracts purchased as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Contracts |
|
Issue |
|
Expiration |
|
Face |
|
Unrealized |
|
||
|
|
|||||||||||
|
311 |
|
5-Year U.S. Treasury Bond |
|
March 2010 |
|
$ |
36,273,488 |
|
$ |
196,121 |
|
|
|
|||||||||||
11
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
• |
Financial futures contracts sold as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Contracts |
|
Issue |
|
Expiration |
|
Face |
|
Unrealized |
|
||
|
|
|||||||||||
|
28 |
|
2-Year U.S. Treasury Bond |
|
March 2010 |
|
$ |
6,086,962 |
|
$ |
(13,976 |
) |
|
274 |
|
10-Year U.S. Treasury Bond |
|
March 2010 |
|
$ |
32,480,484 |
|
|
(382,391 |
) |
|
90 |
|
Euro Dollar Futures |
|
March 2010 |
|
$ |
22,267,975 |
|
|
(145,400 |
) |
|
|
|||||||||||
|
Total |
|
|
|
|
|
|
|
|
$ |
(541,767 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
• |
Interest rate swaps outstanding as of November 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Fixed |
|
Floating |
|
Counterparty |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
|
|||||||||||||
|
4.32% (a) |
|
3-month LIBOR |
|
UBS AG |
|
September 2010 |
|
$ |
12,000 |
|
$ |
360,476 |
|
|
1.45% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
July 2011 |
|
$ |
20,000 |
|
|
(210,013 |
) |
|
4.88% (a) |
|
3-month LIBOR |
|
UBS AG |
|
March 2015 |
|
$ |
25,000 |
|
|
3,100,365 |
|
|
4.87% (a) |
|
3-month LIBOR |
|
Goldman Sachs Bank USA |
|
January 2016 |
|
$ |
5,500 |
|
|
699,496 |
|
|
2.81% (a) |
|
3-month LIBOR |
|
Citibank NA |
|
February 2016 |
|
$ |
20,000 |
|
|
164,423 |
|
|
5.72% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
July 2016 |
|
$ |
5,400 |
|
|
980,372 |
|
|
5.51% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
August 2017 |
|
$ |
159,147 |
|
|
28,206,844 |
|
|
5.88% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
June 2018 |
|
$ |
31,930 |
|
|
(6,197,948 |
) |
|
4.55% (b) |
|
3-month LIBOR |
|
Citibank NA |
|
September 2018 |
|
$ |
98,400 |
|
|
(10,887,573 |
) |
|
4.31% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
October 2018 |
|
$ |
66,000 |
|
|
(6,046,631 |
) |
|
3.09% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
March 2019 |
|
$ |
25,700 |
|
|
238,205 |
|
|
3.17% (a) |
|
3-month LIBOR |
|
Bank of America NA |
|
March 2019 |
|
$ |
4,700 |
|
|
(16,682 |
) |
|
2.88% (a) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
April 2019 |
|
$ |
39,700 |
|
|
(1,102,773 |
) |
|
3.23% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
May 2019 |
|
$ |
2,800 |
|
|
636 |
|
|
3.90% (b) |
|
3-month LIBOR |
|
Barclays Bank Plc |
|
June 2019 |
|
$ |
20,000 |
|
|
(1,113,274 |
) |
|
3.55% (b) |
|
3-month LIBOR |
|
Deutsche Bank AG |
|
August 2019 |
|
$ |
15,000 |
|
|
(523,082 |
) |
|
5.49% (b) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
October 2019 |
|
$ |
5,400 |
|
|
(827,207 |
) |
|
5.41% (a) |
|
3-month LIBOR |
|
JPMorgan Chase Bank NA |
|
August 2022 |
|
$ |
9,565 |
|
|
1,838,368 |
|
|
|
|||||||||||||
|
Total |
|
|
|
|
|
|
|
|
|
|
$ |
8,664,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Pays floating interest rate and receives fixed rate. |
|
|
|
|
|
|
|
|
|
|
(b) |
Pays fixed interest rate and receives floating rate. |
|
|
|
|
|
|
|
|
• |
Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows: |
||
|
|
|
|
|
|
|
|
|
|
• |
Level 1 - price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
|
|
|
|
• |
Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
|
|
|
|
• |
Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments) |
12
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
The inputs or methodology 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. |
|
|
|
|
|
|
|
The following table summarizes the inputs used as of November 30, 2009 in determining the fair valuation of the Trust’s investments: |
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Valuation Inputs |
|
Investments in Securities |
|
||||
|
|
|||||||
|
|
|
Assets |
|
Liabilities |
|
||
|
|
|
|
|||||
|
Level 1 - Short-Term Securities |
|
$ |
209,078,389 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Level 2 |
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
11,398,970 |
|
|
— |
|
|
Non-Agency Mortgage-Backed Securities |
|
|
48,559,216 |
|
|
— |
|
|
U.S. Government Sponsored Agency Securities |
|
|
519,129,173 |
|
|
— |
|
|
U.S. Treasury Obligations |
|
|
47,388,797 |
|
|
— |
|
|
TBA Sale Commitments |
|
|
— |
|
$ |
(5,204,360 |
) |
|
|
|
|
|
|
|
|
|
|
Total Level 2 |
|
|
626,476,156 |
|
|
(5,204,360 |
) |
|
|
|
|
|
|
|
|
|
|
Level 3 |
|
|
|
|
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
4,008,828 |
|
|
— |
|
|
Non-Agency Mortgage-Backed Securities |
|
|
21,466,240 |
|
|
— |
|
|
U.S. Government Sponsored Agency Securities |
|
|
13,592,967 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total Level 3 |
|
|
39,068,035 |
|
|
— |
|
|
|
|||||||
|
Total |
|
$ |
874,622,580 |
|
$ |
(5,204,360 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Valuation Inputs |
|
Other Financial Instruments1 |
|
||||
|
|
|||||||
|
|
|
Assets |
|
Liabilities |
|
||
|
|
|
|
|||||
|
Level 1 |
|
$ |
196,121 |
|
$ |
(541,767 |
) |
|
Level 2 |
|
|
37,308,043 |
|
|
(32,893,273 |
) |
|
Level 3 |
|
|
— |
|
|
(18,445,779 |
) |
|
|
|||||||
|
Total |
|
$ |
37,504,164 |
|
$ |
(51,880,819 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
Other financial instruments are swaps, financial futures contracts, interest rate floors, TALF loans, options purchased and options written. Financial futures contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and interest rate floors, TALF loans, options purchased and options written are shown at market value. |
13
|
|
|
BlackRock Income Trust, Inc. (BKT) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Valuation Inputs |
|
Asset-Backed |
|
Corporate |
|
Non-Agency |
|
U.S. Government |
|
Total |
|
|||||
|
|
||||||||||||||||
|
Balance, as of August 31, 2009 |
|
$ |
3,536,160 |
|
$ |
582,709 |
|
$ |
21,006,613 |
|
$ |
14,122,541 |
|
$ |
39,248,023 |
|
|
Accrued discounts/premiums |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Realized gain (loss) |
|
|
— |
|
|
— |
|
|
48,905 |
|
|
(12,317 |
) |
|
36,588 |
|
|
Change in unrealized appreciation/depreciation2 |
|
|
225,290 |
|
|
17,928 |
|
|
1,522,624 |
|
|
261,619 |
|
|
2,027,461 |
|
|
Net purchases (sales) |
|
|
(63,532 |
) |
|
(600,637 |
) |
|
(1,117,401 |
) |
|
(778,876 |
) |
|
(2,560,446 |
) |
|
Net transfers in/out of Level 3 |
|
|
310,910 |
|
|
— |
|
|
5,499 |
|
|
— |
|
|
316,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
4,008,828 |
|
|
— |
|
$ |
21,466,240 |
|
$ |
13,592,967 |
|
$ |
39,068,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
The change in unrealized appreciation/depreciation on securities still held at November 30, 2009 was $2,009,534. |
|
|
|
|
|
|
The following is a reconciliation of other financial instruments for unobservable inputs (Level 3) used in determining fair value: |
|
|
|
|
|
|
|
|
|
||||
|
Valuation Inputs |
|
Other Financial |
|
|
|
|
||||
|
|
|
Liabilities |
|
|
|
|
|
|
||
|
Balance, as of August 31, 2009 |
|
$ |
(7,202,331 |
) |
|
Accrued discounts/premiums |
|
|
— |
|
|
Realized gain (loss) |
|
|
74,500 |
|
|
Change in unrealized appreciation/depreciation |
|
|
496,959 |
|
|
Net purchases (sales) |
|
|
— |
|
|
Net transfers in/out of Level 3 |
|
|
(11,814,907 |
) |
|
|
|
|
|
|
|
Balance, as of November 30, 2009 |
|
$ |
(18,445,779 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
3 |
Other financial instruments are interest rate floors and TALF loans. |
14
|
Item 2 – |
Controls and Procedures | ||
|
2(a) – |
The registrant's principal executive and principal financial officers or persons performing similar functions have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended. | ||
|
2(b) – |
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. | ||
|
Item 3 – |
Exhibits | ||
|
|
Certifications – Attached hereto | ||
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | ||
|
|
BlackRock Income Trust, Inc. | ||
| By: | /s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer of | |||
| BlackRock Income Trust, Inc. | |||
| Date: January 22, 2010 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
| By: | /s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Income Trust, Inc. | |||
| Date: January 22, 2010 | |||
| By: | /s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Income Trust, Inc. | |||
| Date: January 22, 2010 | |||