UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-05542

 

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

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2014

 

Date of reporting period: 11/30/2013

 

Item 1 – Schedule of Investments

 
 
Schedule of Investments  November 30, 2013 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

   
Asset-Backed Securities Par
(000)		   Value  
 
   
Asset-Backed Securities — 1.0%  
First Franklin Mortgage Loan Trust, Series 2005-FF2, Class M2, 0.83%, 3/25/35 (a) $ 2,747 $ 2,732,986  
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.60%, 10/25/35 (a)   1,875   1,557,452  
Small Business Administration Participation Certificates, Class 1:        
  Series 1996-20E, 7.60%, 5/01/16   54   56,858  
  Series 1996-20G, 7.70%, 7/01/16   75   78,232  
  Series 1996-20H, 7.25%, 8/01/16   82   85,786  
  Series 1996-20K, 6.95%, 11/01/16   172   180,413  
  Series 1997-20C, 7.15%, 3/01/17   67   71,880  
   
    4,763,607  
 
Interest Only Asset-Backed Securities — 0.2%  
Small Business Administration, Series 1, 1.00%, 4/01/15   1,013   8,868  
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)   3,246   234,319  

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b)

   6,471   434,784  
   
    677,971  
 
Total Asset-Backed Securities — 1.2%   5,441,578  
 
 
Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations — 1.1%  
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.49%, 4/01/18   — (c) 49  
Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21   558   534,264  
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.44%, 10/25/35 (a)   2,562   2,227,980  
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.31%, 8/25/23 (a)   46   51,990  
           
Non-Agency Mortgage-Backed Securities Par
(000)		   Value  
 
Collateralized Mortgage Obligations (concluded)  
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33 $ 1,130 $ 1,196,910  
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.55%, 8/25/34 (a)   1,238   1,214,741  
   
    5,225,934  
 
Commercial Mortgage-Backed Securities — 0.6%  
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)   2,420   2,687,536  
 
Interest Only Collateralized Mortgage Obligations — 0.7%  
Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.23%, 5/25/33 (a)   34,116   196,336  
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37   725   178,545  
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17 10   953  

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

   3,463   35  
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37   75,963   256,451  
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (a)   9,208   102,152  
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19   297   33,426  
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19   272   21,329  
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.02%, 3/20/35 (a)   35,763   575,564  
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 10.18, 8/25/36 (a)   18,274   2,061,586  
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.02%, 5/15/29 (a)   42,352   9,059  
   
    3,435,436  
 
                                     
BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 20131
 
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 Commercial Mortgage-Backed Securities — 0.0%  
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.35%, 6/20/29 (a)(b) $ 2,160 $ 12,815  
 
Principal Only Collateralized Mortgage Obligations — 0.4%  
Countrywide Home Loan Mortgage Pass-Through Trust:          
  Series 2003-26, 8/25/33   678   639,772  
  Series 2003-J4, 6/25/33   133   124,610  
  Series 2003-J5, 7/25/33   264   251,058  
  Series 2003-J8, 9/25/23   165   147,342  
Drexel Burnham Lambert CMO Trust, Class 1:          
  Series K, 9/23/17   5   4,443  
  Series V, 9/01/18   5   5,039  
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36   585   357,111  
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24   6   5,894  
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35   250   170,009  
   
    1,705,278  
 
Total Non-Agency Mortgage-Backed Securities — 2.8%   13,066,999  
 
 
US Government Sponsored Agency Securities  
 
Agency Obligations — 2.3%  
Federal Housing Administration:          
  General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22   135   132,479  
  Merrill Projects, Series 54, 7.43%, 5/15/23   2   1,650  
  Reilly Projects, Series 41, 1.00%, 3/01/20   153   151,672  
  USGI Projects, Series 87, 7.43%, 12/01/22   57   55,734  
  USGI Projects, Series 99, 7.43%, 6/01/21   3,666   3,587,906  
  USGI Projects, Series 99, 7.43%, 10/01/23   35   34,255  
  USGI Projects, Series 99, 7.43% 10/01/23   103   101,207  
Resolution Funding Corp., 4.06%, 4/15/30 (d)   13,000   6,732,219  
   
    10,797,122  
       
 
US Government Sponsored Agency Securities Par
(000)		   Value  
 
Collateralized Mortgage Obligations — 52.6%  
Fannie Mae Mortgage-Backed Securities:          
  Series 1991-46, Class S, 2,480.99%, 5/25/21 (a) $ — (c) $ 4,069  
  Series 1991-87, Class S, 26.24%, 8/25/21 (a)   30   44,269  
  Series 1993-247, Class SN, 10.00%, 12/25/23 (a)   234   269,459  
  Series 2003-135, Class PB, 6.00%, 1/25/34   12,264   14,101,172  
  Series 2004-31, Class ZG, 7.50%, 5/25/34   3,753   4,379,798  
  Series 2005-73, Class DS, 17.12%, 8/25/35 (a)   1,777   2,308,465  
  Series 2010-47, Class JB, 5.00%, 5/25/30   10,000   11,062,400  
  Series 2011-99, Class CB, 4.50%, 10/25/41   43,000   47,135,224  
  Series 2011-117, Class CP, 4.00%, 11/25/41   14,350   14,920,483  
  Series 2011-142, Class PE, 3.50%, 1/25/42   15,567   15,269,741  
  Series G-7, Class S, 1,125.85%, 3/25/21 (a)   — (c) 2,377  
  Series G-17, Class S, 1,063.79%, 6/25/21 (a)   — (c) 2,383  
  Series G-33, Class PV, 1,078.42%, 10/25/21   — (c) 2,000  
  Series G-49, Class S, 1,017.54%, 12/25/21 (a)   — (c) 982  
Freddie Mac Mortgage-Backed Securities:          
  Series 19, Class F, 8.50%, 3/15/20   37   39,071  
  Series 19, Class R, 16,305.92%, 3/15/20 (a)   — (c) 562  
  Series 40, Class K, 6.50%, 8/17/24   221   248,521  
  Series 75, Class R, 9.50%, 1/15/21   — (c) 1  
  Series 75, Class RS, 41.77%, 1/15/21 (a)   — (c) 1  
  Series 173, Class R, 9.00%, 11/15/21   8   8  
  Series 173, Class RS, 9.32%, 11/15/21 (a)   — (c) 8  
  Series 192, Class U, 1,009.03%, 2/15/22 (a)   — (c) 18  
  Series 1057, Class J, 1,008.00%, 3/15/21   — (c) 859  
  Series 1160, Class F, 39.45%, 10/15/21 (a)   12   25,769  
                                     
BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 20132
 
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 2218, Class Z, 8.50%, 3/15/30 $ 3,667 $ 4,374,615  
  Series 2542, Class UC, 6.00%, 12/15/22   3,953   4,426,122  
  Series 2861, Class AX, 10.55%, 9/15/34 (a)   82   89,915  
  Series 2758, Class KV, 5.50%, 5/15/23   8,081   8,804,000  
  Series 2927, Class BZ, 5.50%, 2/15/35   3,354   3,777,002  
  Series 3856, Class PB, 5.00%, 5/15/41   10,000   11,300,550  
  Series 4016, Class BX, 4.00%, 9/15/41   15,408   15,546,820  
  Series 4242, Class PA, 3.50%, 5/15/41   9,945   10,417,442  
  Series T-11, Class A9, 2.82%, 1/25/28 (a)   1,591   1,666,805  
Ginnie Mae Mortgage-Backed Securities:          
  Series 1996-5, Class Z, 7.00%, 5/16/26   357   406,677  
  Series 2004-89, Class PE, 6.00%, 10/20/34   1,245   1,293,099  
  Series 2010-99, Class JM, 3.75%, 12/20/38   19,300   20,009,700  
  Series 2010-112, Class TL, 4.00%, 1/20/39   15,000   15,892,800  
  Series 2011-80, Class PB, 4.00%, 10/20/39   11,489    12,095,585  
  Series 2011-88, Class PY, 4.00%, 6/20/41   15,402    15,979,637  
  Series 2012-16, Class HJ, 4.00%, 9/20/40   10,000    10,426,730  
   
    246,325,139  
 
Interest Only Collateralized Mortgage Obligations — 5.1%  
Fannie Mae Mortgage-Backed Securities:          
  Series 7, Class 2, 8.50%, 4/01/17   2   271  
  Series 89, Class 2, 8.00%, 10/01/18   4   419  
  Series 94, Class 2, 9.50%, 8/01/21   2   332  
  Series 1990-123, Class M, 1,009.50%, 10/25/20   — (c)   224  
  Series 1990-136, Class S, 19.91%, 11/25/20 (a)   7,948   11,654  
  Series 1991-99, Class L, 930.00%, 8/25/21   — (c) 1,010  
             
US Government Sponsored Agency Securities Par
(000)		   Value  
 
Interest Only Collateralized Mortgage Obligations (continued)  
Fannie Mae Mortgage-Backed Securities (concluded):          
  Series 1991-139, Class PT, 648.35%, 10/25/21 $ — (c) $ 1,613  
  Series 1993-199, Class SB, 7.33%, 10/25/23 (a)   281   26,642  
  Series 1997-50, Class SI, 1.20%, 4/25/23 (a)   212   5,693  
  Series 1997-90, Class M, 6.00%, 1/25/28   3,079   504,201  
  Series 2010-74, Class DI, 5.00%, 12/25/39   16,483   736,057  
  Series 2011-124, Class GS, 6.53%, 3/25/37 (a)   19,507   3,239,199  
  Series 2013-45, Class EI, 4.00%, 2/25/27 - 4/25/43   27,612   4,434,345  
  Series G-10, Class S, 1,089.16%, 5/25/21 (a)   — (c) 9,173  
  Series G-12, Class S, 1,156.21%, 5/25/21 (a)   — (c) 5,454  
  Series G92-5, Class H, 9.00%, 1/25/22   40   4,024  
  Series G92-12, Class C, 1,016.90%, 2/25/22   — (c) 1,810  
  Series G92-60, Class SB, 1.60%, 10/25/22 (a)   145   3,892  
Freddie Mac Mortgage-Backed Securities:          
  Series 176, Class M, 1,010.00%, 7/15/21   — (c) 356  
  Series 200, Class R, 197,599.43%, 12/15/22 (a) — (c) 825  
  Series 1043, Class H, 44.25%, 2/15/21 (a)   5,968   12,556  
  Series 1054, Class I, 866.80%, 3/15/21 (a)   — (c) 853  
  Series 1056, Class KD, 1,084.50%, 3/15/21   — (c) 642  
  Series 1148, Class E, 1,177.08%, 10/15/21 (a)   — (c) 2,033  
  Series 2559, 0.50%, 8/15/30 (a) 97   1,333  
  Series 2611, Class QI, 5.50%, 9/15/32   1,892   200,714  
  Series 3744, Class PI, 4.00%, 6/15/39    16,176    2,802,986  
  Series 3745, Class IN, 4.00%, 1/15/35   33,260   3,072,343  
  Series 4026, 4.50%, 4/15/32   5,671   924,141  
Ginnie Mae Mortgage-Backed Securities (a):          
  Series 2009-116, Class KS, 6.30%, 12/16/39   3,727   552,554  
                                     
BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 20133
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

                                     
US Government Sponsored Agency Securities Par
(000)		   Value  
 
Interest Only Collateralized Mortgage Obligations (concluded)  
Ginnie Mae Mortgage-Backed Securities (concluded) (a):          
  Series 2011-52, Class MJ, 6.48%, 4/20/41 $ 18,109 $ 3,634,812  
  Series 2011-52, Class NS, 6.50%, 4/16/41   20,173   3,760,484  
   
    23,952,645  
 
Mortgage-Backed Securities — 96.5%  
Fannie Mae Mortgage-Backed Securities:          
  3.00%, 1/01/43   30,491   29,450,396  
  3.50%, 10/01/42 - 12/01/43 (e)   37,057   37,378,053  
  4.00%, 1/01/41 - 9/01/42   36,006   37,573,945  
  4.50%, 8/01/25 - 1/01/44 (e)(f)(g) 112,689   121,077,411  
  5.00%, 1/01/23 - 12/01/43 (e)   89,168   97,338,746  
  5.50%, 12/01/28 - 10/01/39 (e)(f) 43,832   47,850,225  
  5.97%, 8/01/16   2,964   3,310,721  
  6.00%, 12/01/43 - 1/01/44 (e)   54,600   60,189,211  
  6.50%, 12/01/37 - 10/01/39   15,252   16,915,001  
  7.50%, 2/01/22   — (c) 72  
  9.50%, 1/01/19 - 9/01/19   2   2,134  
Freddie Mac Mortgage-Backed Securities:          
  2.55%, 10/01/34 (a)   284   288,262  
  2.61%, 1/01/35 (a)   189   190,884  
  2.73%, 11/01/17 (a)   10   10,502  
  5.00%, 2/01/22 - 4/01/22   415   449,837  
  9.00%, 9/01/20   26   28,495  
Ginnie Mae Mortgage-Backed Securities:          
  7.50%, 8/15/21 - 12/15/23 (c)   126   136,167  
  8.00%, 10/15/22 - 8/15/27   56   60,851  
  9.00%, 4/15/20 - 9/15/21   5   5,344  
   
    452,256,257  
 
Principal Only Collateralized Mortgage Obligations — 0.3%  
Fannie Mae Mortgage-Backed Securities:        
  Series 1991-7, Class J, 2/25/21   8   7,797
  Series 1993-51, Class E, 2/25/23   40   39,309
  Series 1993-70, Class A, 5/25/23   6   5,599
  Series 1999-W4, 12/25/28   203   42,040
  Series 1999-W4, 2/25/29   109   101,592
  Series 2002-13, Class PR, 3/25/32   223   207,178
  Series 203, Class 1, 2/01/23   12   11,900
  Series 228, Class 1, 6/01/23   9   9,115
  Series G93-2, Class KB, 1/25/23   109   106,004
        
US Government Sponsored Agency Securities Par
(000)		   Value  
 
Principal Only Collateralized Mortgage Obligations (concluded)  
Freddie Mac Mortgage-Backed Securities:          
  Series 1418, Class M, 1/15/22 $ 42     $ 41,068  
  Series 1571, Class G, 8/15/23   282       258,968  
  Series 1691, Class B, 3/15/24   547       530,256  
  Series T-8, Class A10, 4.00%, 11/15/28   82       77,352  
    1,438,178  
 
Total US Government Sponsored Agency Securities — 156.8%   734,769,341  
 
 
US Treasury Obligations  
 
US Treasury Notes:          
  1.00%, 11/30/19 (g)   2,965   2,834,356  
  1.63%, 11/15/22   780   719,671  
  2.75%, 11/15/23 (g)   1,480   1,481,156  
 
Total US Treasury Obligations — 1.1%   5,035,183  
 
Total Long-Term Investments
(Cost — $763,211,895) — 161.9%		   758,313,101  
 
 
Short-Term Securities
Shares		      
 
Money Market Funds — 3.6%  
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.07% (h)(i) 16,746,848   16,746,848  
 
  Par
(000)		      
 
Borrowed Bond Agreement — 0.1%  
Credit Suisse Securities (USA) LLC, 0.07%, 9/18/13,
(Purchased on 9/18/13 to be repurchased at $741,729, collateralized by US Treasury Bonds, 2.75%, 11/15/42, par and fair value of $917,000 and $742,770, respectively) 		 $ 742   741,624  
 
Total Short-Term Securities (Cost — $17,488,472) — 3.7%   17,488,472  
 
Total Investments Before Borrowed Bonds and TBA Sale Commitments (Cost — $780,700,367*) — 165.6%   775,801,573  
 
                                     
BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 20134
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

 

 

Borrowed Bonds — (0.2)%

 Par
(000)		   Value  
 
US Treasury Bonds, 2.75%, 11/15/42 $ 917 $ (742,770)  
 
   
TBA Sale Commitments (e)  
 
Fannie Mae Mortgage-Backed Securities:          
  4.50%, 12/15/28 - 12/15/43   8,900   (9,476,540)  
  5.00%, 12/15/28 - 12/15/43   26,200   (28,435,109)  
               

 

 

TBA Sale Commitments (e)

 Par
(000)		   Value  
 
Fannie Mae Mortgage-Backed Securities (concluded):          
  6.00%, 12/15/43 $ 32,800 $ (36,145,344)  
 
Total TBA Sale Commitments
(Proceeds — $73,941,738) — (15.8)%		   (74,056,993)  
 
Total Investments, Net of Borrowed Bonds and TBA Sale Commitments (Cost — $706,758,629) — 149.6%   701,001,810  
Liabilities in Excess of Other Assets — (49.6)%   (232,408,833)  
   
Net Assets — 100.0% $ 468,592,977  
 
 
  * As of November 30, 2013, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
Tax cost $ 780,831,804  
Gross unrealized appreciation $ 27,372,303  
Gross unrealized depreciation   (32,402,534)  
Net unrealized depreciation $ (5,030,231)  

 

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 November 30, 2013 were as follows:
     
 
  Counterparty   Value    

Unrealized
Appreciation/

(Depreciation)

  
  Credit Suisse Securities (USA) LLC   $ 19,814,289   $ (426)  
  Deutsche Bank Securities, Inc.   $ 29,497,203   $ 280,235  
  Goldman Sachs & Co.   $ (11,067,418)   $ (59,793)  
  JPMorgan Chase Bank N.A.   $ (12,101,477)   $ (42,016)  
  Morgan Stanley Co., Inc.   $ 3,023,789   $ (23,437)  

 

(f) All or a portion of security has been pledged as collateral in connection with swaps.
(g) All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.
(h) Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 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, 2013		   Net
Activity		   Shares
Held at
November 30, 2013		   Income  
  BlackRock Liquidity Funds, TempFund, Institutional Class   14,996,794   1,750,054   16,746,848 $ 1,629  

 

(i) Represents the current yield as of report date.
BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 20135
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

   

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:
   
CMO Collateralized Mortgage Obligation
Fannie Mae Federal National Mortgage Association
Freddie Mac Federal Home Loan Mortgage Corp.
Ginnie Mae Government National Mortgage Association
LIBOR London Interbank Offered Rate
TBA To Be Announced
USD US Dollar
     
• Reverse repurchase agreements outstanding as of November 30, 2013 were as follows:  
 
Counterparty Interest
Rate		 Trade
Date		 Maturity
Date1		     Face Value   Face Value
Including
Accrued
Interest		  
Credit Suisse Securities (USA) LLC 0.15% 1/28/13 Open   $ 22,922,685 $ 22,946,563  
BNP Paribas Securities Corp. — 2/8/13 Open     2,916,819   2,916,819  
Bank of Montreal 0.17% 11/12/13 12/11/13     180,701,949   180,717,308  
Credit Suisse Securities (USA) LLC 0.22% 11/29/13 12/02/13     1,480,000   1,480,018  
Total         $ 208,021,453 $ 208,060,708  
   
                     

 

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

 


•
Financial futures contracts as of November 30, 2013 were as follows:

 

 
Contracts
Sold		 Issue Exchange Expiration Notional
Value		     Unrealized
Appreciation
(Depreciation)		  
(2) 90-Day Euro-Dollar Chicago Mercantile December 2013 USD 498,812   $ (391)  
(27) 90-Day Euro-Dollar Chicago Mercantile March 2014 USD 6,732,787     (9,219)  
(433) 10-Year US Treasury Note Chicago Board of Trade March 2014 USD 54,287,375     9,339  
(517) Long US Treasury Bond Chicago Board of Trade March 2014 USD 67,597,750     (68,412)  
(152) Ultra Long US Treasury Bond Chicago Board of Trade March 2014 USD 21,147,000     (30,736)  
(65) 2-Year US Treasury Bond Chicago Board of Trade March 2014 USD 14,319,297     (5,761)  
(32) 5-Year US Treasury Note Chicago Board of Trade March 2014 USD 3,869,500     (1,793)  
(41) 90-Day Euro-Dollar Chicago Mercantile June 2014 USD 10,221,300     (30,772)  
(41) 90-Day Euro-Dollar Chicago Mercantile September 2014 USD 10,218,738     (35,140)  
(41) 90-Day Euro-Dollar Chicago Mercantile December 2014 USD 10,214,125     (38,458)  
(41) 90-Day Euro-Dollar Chicago Mercantile March 2015 USD 10,206,438     (36,584)  
(12) 90-Day Euro-Dollar Chicago Mercantile June 2015 USD 2,984,100     (2,423)  
(12) 90-Day Euro-Dollar Chicago Mercantile December 2015 USD 2,973,750     1,327  
(12) 90-Day Euro-Dollar Chicago Mercantile March 2016 USD 2,966,700     4,402  
Total    

      $ (244,621)  
                             

 

BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 20136
 
Schedule of Investments  (continued)

BlackRock Income Trust, Inc. (BKT)

• Centrally cleared interest rate swaps outstanding as of November 30, 2013 were as follows:

 

 
Fixed
Rate		   Floating
Rate		  
Clearinghouse		   Expiration
Date		   Notional
Amount
(000)		     Unrealized
Appreciation		  
  0.46%   3-month LIBOR   Chicago Mercantile   6/11/15 USD 100     $ 211  
                                           

 

   
• Over-the-counter interest rate swaps outstanding as of November 30, 2013 were as follows:

 

 
Fixed
Rate		   Floating
Rate		   Counterparty   Expiration
Date		   Notional
Amount
(000)		 Market
Value		 Premiums
Received		   Unrealized
Appreciation
(Depreciation)		  
  4.88%1   3-month LIBOR   UBS AG   3/21/15 USD   25,000   $ 1,488,678   — $ 1,488,678  
  4.87%1   3-month LIBOR   Goldman Sachs & Co.   1/25/16 USD   5,500     522,625   —   522,625  
  2.81%1   3-month LIBOR   Citibank N.A.   2/06/16 USD   20,000     1,031,922   —   1,031,922  
  5.72%1   3-month LIBOR   JPMorgan Chase Bank N.A.   7/14/16 USD   5,400     727,494   —   727,494  
  4.31%2   3-month LIBOR   Deutsche Bank Securities, Inc.   10/01/18 USD   60,000     (8,283,674)   —   (8,283,674)  
  3.43%1   3-month LIBOR   JPMorgan Chase Bank N.A.   3/28/21 USD   6,000     488,220 $ (204,888)   693,108  
  5.41%1   3-month LIBOR   JPMorgan Chase Bank N.A.   8/15/22 USD   9,565     2,176,387   —   2,176,387  
  Total   $ (1,848,348) $ (204,888) $ (1,643,460)  
                                                             

 

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

 

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

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

 

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

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

BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 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 November 30, 2013:

 


  Level 1   Level 2   Level 3   Total  
Assets:    
Investments:  
Long-Term Investments:  
  Asset-Backed Securities   — $ 4,763,607 $ 677,971 $ 5,441,578  
  Non-Agency Mortgage-Backed Securities   —   10,327,648   2,739,351   13,066,999  
  US Government Sponsored Agency Securities   —   730,703,033   4,066,308   734,769,341  
  US Treasury Obligations   —   5,035,183   —   5,035,183  
Short-Term Securities:  
  Borrowed Bond Agreement   —   741,624   —   741,624  
  Money Market Funds $ 16,746,848   —   —   16,746,848  
Liabilities:    
Investments:  
  Borrowed Bonds   —   (742,770)   —   (742,770)  
  TBA Sale Commitments   —   (74,056,993)   —   (74,056,993)  
Total $ 16,746,848 $ 676,771,332 $ 7,483,630 $ 701,001,810  
                                   

 

  Level 1   Level 2   Level 3   Total  
Derivative Financial Instruments 2  
Assets:  
   Interest rate contracts $ 15,068 $ 6,640,425   — $ 6,655,493  
Liabilities:  
   Interest rate contracts   (259,689)   (8,283,674)   —   (8,543,363)  
Total $ (244,621) $ (1,643,249)   — $ (1,887,870)  
                               

 

2 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/or liabilities are held at carrying amount or face value, which approximates fair value for financial reporting purposes. As of November 30, 2013, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

  Level 1   Level 2   Level 3   Total
Assets:
  Cash pledged for financial futures contracts $ 2,897,000   —   — $ 2,897,000
  Cash pledged as collateral for centrally cleared swaps   10,000   —   —   10,000
  Cash pledged as collateral for over-the-counter swaps   3,500,000   —   —   3,500,000
  Cash pledged as collateral for reverse repurchase agreements   2,065,000   —   —   2,065,000
Liabilities:
  Bank overdraft — $ (366,516)   —   (366,516)
  Cash received as collateral for over-the-counter swaps —   (4,520,000)   —   (4,520,000)
  Reverse repurchase agreements including accrued interest —   (208,060,708)   —   (208,060,708)
Total $ 8,472,000 $ (212,947,224)   — $ (204,475,224)

 

There were no transfers between Level 1 and Level 2 during the period ended November 30, 2013.
   

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.NOVEMBER 30, 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, 2013 $ 695,051 $  2,808,305 $ 7,314,558   $ 10,817,914
Transfers into Level 3   —   —     —     —
Transfers out of Level 3   —   —     (3,143,245)     (3,143,245)
Accrued discounts/premiums   (117,869)   —     (3,339)     (121,208)
Net realized gain (loss)   —   —     (3,433)     (3,433)
Net change in unrealized appreciation/depreciation1   100,789   (68,954)     8,767     40,602
Purchases   —   —     —     —
Sales   —   —     (107,000)     (107,000)
Closing Balance, as of November 30, 2013 $ 677,971 $ 2,739,351 $ 4,066,308   $ 7,483,630
                         

 

 

1

 The change in unrealized appreciation/depreciation on investments still held as of November, 30, 2013 was $40,602.

 

BLACKROCK INCOME TRUST, INC.NOVEMBER 30, 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: January 24, 2014

 

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

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Income Trust, Inc.

 

Date: January 24, 2014

 

By: /s/Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Income Trust, Inc.

 

Date: January 24, 2014