N-Q 1 c56187_nq.htm c56187_nq.htm -- Converted by SEC Publisher, created by BCL Technologies Inc., for SEC Filing
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: Donald C. Burke, Chief Executive Officer, BlackRock Income Trust, Inc., 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2008
Date of reporting period: 09/01/2008 11/30/2008
Item 1 Schedule of Investments
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
Asset-Backed Securities |
(000) |
Value |
|
Chase Issuance Trust Series 2007-A11 Class A11, 1.423%, |
|
|
|
7/16/12 (a) |
$ 3,500 |
$ 3,180,076 |
|
First Franklin Mortgage Loan Asset Backed Certificates Series |
|
|
|
2005-FF2 Class M2, 1.423%, 3/25/35 (a) |
5,890 |
1,767,000 |
|
GSAA Home Equity Trust Series 2005-1 Class AF2, 4.316%, |
3,474 |
3,120,195 |
|
11/25/34 (a) |
|
|
|
Securitized Asset Backed Receivables LLC Trust Series 2005-OP2 |
|
|
|
Class M1, 1.825%, 10/25/35 (a) |
1,875 |
1,089,277 |
|
Small Business Administration Participation Certificates Series |
|
|
|
1996-20E Class 1, 7.60%, 5/01/16 |
433 |
448,740 |
|
Small Business Administration Participation Certificates Series |
|
|
|
1996-20F Class 1, 7.55%, 6/01/16 |
554 |
573,421 |
|
Small Business Administration Participation Certificates Series |
|
|
|
1996-20G Class 1, 7.70%, 7/01/16 |
401 |
416,680 |
|
Small Business Administration Participation Certificates Series |
|
|
|
1996-20H Class 1, 7.25%, 8/01/16 |
651 |
673,230 |
|
Small Business Administration Participation Certificates Series |
|
|
|
1996-20K Class 1, 6.95%, 11/01/16 |
1,013 |
1,045,118 |
|
Small Business Administration Participation Certificates Series |
|
|
|
1997-20C Class 1, 7.15%, 3/01/17 |
449 |
465,046 |
|
Sterling Bank Trust Series 2004-2 Class Note, |
|
|
|
2.081%, 3/30/30 (b) |
7,644 |
444,309 |
|
Sterling Coofs Trust Series 1, 2.362%, 4/15/29 (b) |
11,679 |
784,699 |
|
Total Asset-Backed Securities - 3.5% |
|
14,007,791 |
| Industry |
Corporate Bonds |
|
|
| Diversified Financial |
Structured Asset Repackaged Trust, 4.919%, 1/21/10 |
1,431 |
972,941 |
| Services - 0.2% |
|
|
|
|
Total Corporate Bonds - 0.2% |
|
972,941 |
|
U.S. Government Agency Mortgage-Backed Securities |
|
|
|
Fannie Mae Guaranteed Pass-Through Certificates: |
|
|
|
5.00%, 6/01/33 - 12/15/38 (c)(d) |
110,176 |
110,959,984 |
|
5.50%, 6/01/21 - 12/15/38 (c)(d) |
148,231 |
150,632,150 |
|
5.97%, 8/01/16 |
3,125 |
3,284,264 |
|
6.00%, 10/01/36 - 12/15/38 (c) |
20,715 |
21,189,085 |
|
6.50%, 7/01/36 - 12/15/38 (d) |
99,910 |
102,711,636 |
|
7.50%, 2/01/22 |
-(e) |
188 |
|
8.00%, 10/01/09 - 5/01/22 |
9 |
9,285 |
|
9.50%, 1/01/19 - 9/01/19 |
4 |
3,938 |
|
Freddie Mac Mortgage Participation Certificates: |
|
|
|
4.51%, 11/01/17 (a) |
24 |
24,653 |
|
4.991%, 10/01/34 (a) |
644 |
640,561 |
|
5.00%, 12/1/1934 |
5,101 |
5,143,501 |
|
5.50%, 12/01/21 - 3/01/22 (c)(f) |
7,232 |
7,349,432 |
|
5.983%, 1/01/35 (a)(f) |
218 |
216,425 |
|
6.00%, 12/15/38 (d) |
6,700 |
6,844,465 |
|
6.50%, 12/15/38 (d) |
100 |
102,875 |
|
8.00%, 11/01/15 |
2 |
2,189 |
|
9.00%, 9/01/20 (c)(f) |
101 |
109,986 |
1
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
| U.S. Government Agency Mortgage-Backed Securities |
(000) |
Value |
| Ginnie Mae MBS Certificates: |
|
|
| 6.50%, 12/15/38 (d) |
$ 10,800 |
$ 11,066,630 |
| 7.00%, 10/15/17 |
32 |
33,072 |
| 7.50%, 8/15/21 - 12/15/23 |
354 |
375,452 |
| 8.00%, 10/15/22 - 2/15/29 |
156 |
166,991 |
| 9.00%, 6/15/18 - 9/15/21 |
12 |
13,577 |
| Total U.S. Government Agency Mortgage-Backed |
|
|
| Securities - 101.5% |
|
420,880,339 |
| U.S. Government Agency Mortgage-Backed Securities - |
|
|
| Collateralized Mortgage Obligations |
|
|
| Fannie Mae Trust Series 7 Class 2, 8.50%, 4/01/17 (b) |
8 |
1,514 |
| Fannie Mae Trust Series 89 Class 2, 8%, 10/01/18 (b) |
17 |
2,912 |
| Fannie Mae Trust Series 94 Class 2, 9.50%, 8/01/21 (b) |
5 |
1,150 |
| Fannie Mae Trust Series 203 Class 1, 0%, 2/01/23 (g) |
34 |
29,274 |
| Fannie Mae Trust Series 228 Class 1, 0%, 6/01/23 (g) |
24 |
22,246 |
| Fannie Mae Trust Series 273 Class 1, 0%, 8/01/26 (g) |
191 |
166,353 |
| Fannie Mae Trust Series 328 Class 1, 0%, 12/01/32 (g) |
3,814 |
3,264,458 |
| Fannie Mae Trust Series 338 Class 1, 0%, 7/01/33 (g) |
3,194 |
2,735,514 |
| Fannie Mae Trust Series 1990-123 Class M, 1.01%, 10/25/20 (b) |
35 |
886 |
| Fannie Mae Trust Series 1990-136 Class S, 0.015%, 11/25/20 (b) |
22,063 |
28,875 |
| Fannie Mae Trust Series 1991-7 Class J, 0%, 2/25/21 (g) |
35 |
30,043 |
| Fannie Mae Trust Series 1991-38 Class F, 8.325%, 4/25/21 (a) |
34 |
34,278 |
| Fannie Mae Trust Series 1991-38 Class N, 1.009%, 4/25/21 (b) |
26 |
214 |
| Fannie Mae Trust Series 1991-38 Class SA, 10.186%, 4/25/21 (a) |
34 |
34,234 |
| Fannie Mae Trust Series 1991-46 Class S, |
|
|
| 1.403%, 5/25/21 (b) |
161 |
9,145 |
| Fannie Mae Trust Series 1991-87 Class S, 25.44%, 8/25/21 (a) |
92 |
121,527 |
| Fannie Mae Trust Series 1991-99 Class L, 0.93%, 8/25/21 (b) |
196 |
4,484 |
| Fannie Mae Trust Series 1991-139 Class PT, |
|
|
| 0.648%, 10/25/21 (b) |
358 |
6,354 |
| Fannie Mae Trust Series 1991-167 Class D, 0%, 10/25/17 (g) |
23 |
22,999 |
| Fannie Mae Trust Series 1993-51 Class E, 0%, 2/25/23 (g) |
114 |
96,212 |
| Fannie Mae Trust Series 1993-70 Class A, 0%, 5/25/23 (g) |
20 |
17,193 |
| Fannie Mae Trust Series 1993-199 Class SB, |
|
|
| 2.625%, 10/25/23 (b) |
1,831 |
207,412 |
| Fannie Mae Trust Series 1993-214 Class SH, |
|
|
| 14.638%, 12/25/08 (a) |
2 |
1,713 |
| Fannie Mae Trust Series 1993-247 Class SN, 10%, 12/25/23 (a) |
739 |
793,816 |
| Fannie Mae Trust Series 1993-249 Class B, 0%, 11/25/23 (g) |
1,663 |
1,579,928 |
| Fannie Mae Trust Series 1994-33 Class SG, |
|
|
| 3.225%, 3/25/09 (b) |
80 |
855 |
| Fannie Mae Trust Series 1996-68 Class SC, |
|
|
| 2.257%, 1/25/24 (b) |
1,401 |
103,178 |
| Fannie Mae Trust Series 1997-50 Class SI, 1.20%, 4/25/23 (a)(b) |
562 |
21,116 |
| Fannie Mae Trust Series 1997-90 Class M, 6%, 1/25/28 (b) |
11,184 |
1,989,704 |
| Fannie Mae Trust Series 1999-W4 Class IO, 6.50%, 12/25/28 (b) |
534 |
68,354 |
2
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
| U.S. Government Agency Mortgage-Backed Securities - — Collateralized Mortgage Obligations |
(000) |
Value |
| Fannie Mae Trust Series 1999-W4 Class PO, 0%, 2/25/29 (g) |
$ 285 |
$ 231,605 |
| Fannie Mae Trust Series 2002-13 Class PR, 0%, 3/25/32 (g) |
749 |
666,175 |
| Fannie Mae Trust Series 2003-9 Class BI, 5.50%, 10/25/22 (b) |
3,114 |
228,378 |
| Fannie Mae Trust Series 2003-32 Class VT, 6%, 9/25/15 |
6,338 |
6,483,442 |
| Fannie Mae Trust Series 2003-51 Class IE, 5.50%, 4/25/26 (b) |
142 |
56 |
| Fannie Mae Trust Series 2003-55 Class GI, 5%, 7/25/19 (b) |
3,763 |
198,952 |
| Fannie Mae Trust Series 2003-66 Class CI, 5%, 7/25/33 (b) |
5,084 |
745,162 |
| Fannie Mae Trust Series 2003-88 Class TI, 4.50%, 11/25/13 (b) |
1,222 |
12,259 |
| Fannie Mae Trust Series 2003-122 Class IC, 5%, 9/25/18 (b) |
3,741 |
130,889 |
| Fannie Mae Trust Series 2003-135 Class PB, 6%, 1/25/34 |
12,264 |
12,588,135 |
| Fannie Mae Trust Series 2004-13 Class IG, 5%, 10/25/22 (b) |
1,373 |
15,098 |
| Fannie Mae Trust Series 2004-28 Class PB, 6%, 8/25/28 |
2,493 |
2,509,442 |
| Fannie Mae Trust Series 2004-29 Class HC, 7.50%, 7/25/30 |
1,850 |
1,925,588 |
| Fannie Mae Trust Series 2004-31 Class ZG, 7.50%, 5/25/34 |
2,582 |
2,845,693 |
| Fannie Mae Trust Series 2004-90 Class JH, |
|
|
| 1.828%, 11/25/34 (b) |
24,745 |
1,395,692 |
| Fannie Mae Trust Series 2005-43 Class IC, 6%, 3/25/34 (b) |
704 |
163,733 |
| Fannie Mae Trust Series 2005-55 Class SB, 1.278%, 7/25/35 (b) |
10,721 |
565,690 |
| Fannie Mae Trust Series 2005-68 Class PC, 5.50%, 7/25/35 |
2,166 |
2,234,502 |
| Fannie Mae Trust Series 2005-73 Class DS, 16.325%, 8/25/35 (a) |
4,955 |
5,199,317 |
| Fannie Mae Trust Series 2005-73 Class ST, |
|
|
| 1.258%, 8/25/35 (b) |
11,358 |
608,458 |
| Fannie Mae Trust Series 2006-2 Class KP, 0%, 2/25/35 (a) |
1,221 |
1,065,046 |
| Fannie Mae Trust Series 2006-8 Class WL, 3.874%, 3/25/36 (a)(b) |
5,552 |
189,151 |
| Fannie Mae Trust Series 2006-36 Class SP, 1.828%, 5/25/36 (b) |
41,693 |
2,756,128 |
| Fannie Mae Trust Series 2006-38 Class Z, 5%, 5/25/36 |
905 |
879,968 |
| Fannie Mae Trust Series 2006-101 Class SA, |
|
|
| 3.204%, 10/25/36 (b) |
31,325 |
2,405,266 |
| Fannie Mae Trust Series 3006-8 Class HN, 4.858%, 3/25/36 (a)(b) |
3,792 |
357,616 |
| Fannie Mae Trust Series G-7 Class S, 116.20%, 3/25/21 (a) |
- (e) |
6,477 |
| Fannie Mae Trust Series G-10 Class S, 0.575%, 5/25/21 (b) |
833 |
19,251 |
| Fannie Mae Trust Series G-12 Class S, 0.608%, 5/25/21 (b) |
663 |
13,473 |
| Fannie Mae Trust Series G-17 Class S, 0.58%, 6/25/21 (b) |
429 |
9,126 |
| Fannie Mae Trust Series G-33 Class PV, 1.078%, 10/25/21 (b) |
557 |
13,361 |
| Fannie Mae Trust Series G-49 Class S, 885.30%, 12/25/21 (a) |
- (e) |
3,449 |
| Fannie Mae Trust Series G-50 Class G, 1.159%, 12/25/21 (b) |
317 |
4,150 |
| Fannie Mae Trust Series G92-5 Class H, 9%, 1/25/22 (b) |
161 |
31,742 |
| Fannie Mae Trust Series G92-12 Class C, 1.017%, 2/25/22 (b) |
426 |
10,157 |
| Fannie Mae Trust Series G92-59 Class S, 5.023%, 10/25/22 (a)(b) |
3,085 |
681,336 |
| Fannie Mae Trust Series G92-60 Class SB, 1.60%, 10/25/22 (a)(b) |
463 |
14,631 |
| Fannie Mae Trust Series G93-2 Class KB, 0%, 1/25/23 (g) |
253 |
205,624 |
| Freddie Mac Multiclass Certificates Series 19 Class F, 8.50%, |
|
|
| 3/15/20 |
150 |
158,499 |
| Freddie Mac Multiclass Certificates Series 19 Class R, 9.757%, |
|
|
| 3/15/20 (b)(h) |
14 |
2,379 |
3
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
| U.S. Government Agency Mortgage-Backed Securities
- — Collateralized Mortgage Obligations | (000) | Value |
| --- | --- | --- |
| Freddie Mac Multiclass Certificates Series 40 Class K, 6.50%, | | |
| 8/17/24 | $ 613 | $ 635,295 |
| Freddie Mac Multiclass Certificates Series 60 Class HS, 1.125%, | | |
| 4/25/24
(a)(b) | 33 | 108 |
| Freddie Mac Multiclass Certificates Series 75 Class R, 9.50%, | | |
| 1/15/21 (h) | - (e) | 4 |
| Freddie Mac Multiclass Certificates Series 75 Class RS, 19.015%, | | |
| 1/15/21 (a)(h) | - (e) | 4 |
| Freddie Mac Multiclass Certificates Series 173 Class R, 0%, | | |
| 11/15/21 (h) | 20 | 20 |
| Freddie Mac Multiclass
Certificates Series 173 Class RS, 9.168%, | | |
| 11/15/21 (b)(h) | - (e) | 20 |
| Freddie Mac Multiclass
Certificates Series 176 Class M, 1.01%, | | |
| 7/15/21 (b) | 43 | 1,117 |
| Freddie Mac Multiclass Certificates Series 192 Class U, 1.009%, | | |
| 2/15/22 (b) | 5 | 126 |
| Freddie Mac Multiclass Certificates Series 200 Class R, 98.523%, | | |
| 12/15/22 (b)(h) | 2 | 23 |
| Freddie Mac Multiclass Certificates Series 204 Class IO, 6%, | | |
| 5/01/29 (b) | 1,451 | 267,772 |
| Freddie Mac Multiclass Certificates Series 1043 Class H, 0.022%, | | |
| 2/15/21 (b) | 11,481 | 19,179 |
| Freddie Mac Multiclass Certificates Series 1054 Class I, 0.435%, | | |
| 3/15/21 (b) | 118 | 2,248 |
| Freddie Mac Multiclass Certificates Series 1056 Class KD, | | |
| 1.085%, 3/15/21 (b) | 102 | 2,723 |
| Freddie Mac Multiclass Certificates Series 1057 Class J, 1.008%, | | |
| 3/15/21 (b) | 125 | 3,263 |
| Freddie Mac Multiclass Certificates Series 1148 Class E, 0.593%, | | |
| 10/15/21 (b) | 316 | 6,793 |
| Freddie Mac Multiclass Certificates Series 1160 Class F, 34.85%, | | |
| 10/15/21 (a) | 29 | 43,196 |
| Freddie Mac Multiclass Certificates Series 1179 Class O, 1.009%, | | |
| 11/15/21 (b) | 44 | 273 |
| Freddie Mac Multiclass Certificates Series 1418 Class M, 0%, | | |
| 11/15/22 (g) | 128 | 109,567 |
| Freddie Mac Multiclass Certificates Series 1571 Class G, 0%, | | |
| 8/15/23 (g) | 577 | 455,084 |
| Freddie Mac Multiclass Certificates Series 1691 Class B, 0%, | | |
| 3/15/24 (g) | 1,704 | 1,376,750 |
| Freddie Mac Multiclass Certificates Series 1706 Class IA, 7%, | | |
| 10/15/23 (b) | 53 | 1,132 |
| Freddie Mac Multiclass Certificates Series 1720 Class PK, 7.50%, | | |
| 1/15/24 (b) | 31 | 1,195 |
| Freddie Mac Multiclass Certificates Series 1739 Class B, 0%, | | |
| 2/15/24 (g) | 137 | 136,994 |
4
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
| U.S. Government
Agency Mortgage-Backed Securities - — Collateralized Mortgage Obligations | (000) | Value |
| --- | --- | --- |
| Freddie Mac Multiclass Certificates Series 1914 Class PC, 0.75%, | | |
| 12/15/11 (b) | $ 1,637 | $ 12,273 |
| Freddie Mac Multiclass Certificates Series 1961 Class H, 6.50%, | | |
| 5/15/12 | 179 | 179,879 |
| Freddie Mac Multiclass Certificates Series 2218 Class Z, 8.50%, | | |
| 3/15/30 | 8,421 | 9,034,887 |
| Freddie Mac Multiclass Certificates Series 2296 Class SA, 2.139%, | | |
| 3/15/16 (b) | 471 | 39,390 |
| Freddie Mac Multiclass Certificates Series 2431 Class Z, 6.50%, | | |
| 6/15/32 | 11,005 | 11,404,130 |
| Freddie Mac Multiclass Certificates Series 2444 Class ST, 2.359%, | | |
| 9/15/29 (b) | 199 | 5,660 |
| Freddie Mac Multiclass Certificates Series 2542 Class MX, 5.50%, | | |
| 5/15/22 (b) | 1,136 | 77,223 |
| Freddie Mac Multiclass Certificates Series 2542 Class UC, 6%, | | |
| 12/15/22 | 10,200 | 10,798,884 |
| Freddie Mac Multiclass Certificates Series 2545 Class NI, 5.50%, | | |
| 3/15/22 (b) | 1,890 | 95,454 |
| Freddie Mac Multiclass Certificates Series 2559 Class IO, 5%, | | |
| 8/15/30 (b) | 399 | 4,873 |
| Freddie Mac Multiclass Certificates Series 2561 Class EW, 5%, | | |
| 9/15/16 (b) | 2,818 | 95,429 |
| Freddie Mac Multiclass Certificates Series 2564 Class NC, 5%, | | |
| 2/15/33 | 928 | 853,585 |
| Freddie Mac Multiclass Certificates Series 2611 Class QI, 5.50%, | | |
| 9/15/32 (b) | 9,024 | 1,197,204 |
| Freddie Mac Multiclass Certificates Series 2630 Class PI, 5%, | | |
| 8/15/28 (b) | 3,899 | 193,043 |
| Freddie Mac Multiclass Certificates Series 2647 Class IV, 1.959%, | | |
| 7/15/33 (b) | 16,307 | 2,275,092 |
| Freddie Mac Multiclass Certificates Series 2653 Class MI, 5%, | | |
| 4/15/26 (b) | 2,513 | 111,982 |
| Freddie Mac Multiclass Certificates Series 2658 Class PI, 4.50%, | | |
| 6/15/13 (b) | 289 | 516 |
| Freddie Mac Multiclass Certificates Series 2672 Class TQ, 5%, | | |
| 3/15/23 (b) | 866 | 8,067 |
| Freddie Mac Multiclass Certificates Series 2687 Class IL, 5%, | | |
| 9/15/18 (b) | 3,633 | 135,075 |
| Freddie Mac Multiclass Certificates Series 2693 Class IB, 4.50%, | | |
| 6/15/13 (b) | 126 | 45 |
| Freddie Mac Multiclass Certificates Series 2694 Class LI, 4.50%, | | |
| 7/15/19 (b) | 1,801 | 66,906 |
| Freddie Mac Multiclass Certificates Series 2758 Class KV, 5.50%, | | |
| 5/15/23 | 10,936 | 11,375,997 |
5
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
| U.S. Government Agency Mortgage-Backed Securities - — Collateralized Mortgage Obligations |
(000) |
Value |
| Freddie Mac Multiclass Certificates Series 2765 Class UA, 4%, |
|
|
| 3/15/11 |
$ 1,566 |
$ 1,562,425 |
| Freddie Mac Multiclass Certificates Series 2769 Class SQ, |
|
|
| 10.871%, 2/15/34 (a) |
4,359 |
3,733,796 |
| Freddie Mac Multiclass Certificates Series 2773 Class OX, 5%, |
|
|
| 2/15/18 (b) |
3,488 |
203,936 |
| Freddie Mac Multiclass Certificates Series 2780 Class SM, |
|
|
| 1.348%, 4/15/34 (b) |
15,507 |
438,973 |
| Freddie Mac Multiclass Certificates Series 2825 Class NI, 5.50%, |
|
|
| 3/15/30 (b) |
6,727 |
771,161 |
| Freddie Mac Multiclass Certificates Series 2827 Class SR, 1.348%, |
|
|
| 1/15/22 (b) |
10,068 |
323,137 |
| Freddie Mac Multiclass Certificates Series 2840 Class SK, |
|
|
| 15.785%, 8/15/34 (a) |
1,760 |
1,398,047 |
| Freddie Mac Multiclass Certificates Series 2861 Class AX, 9.008%, |
|
|
| 9/15/34 (a) |
532 |
555,478 |
| Freddie Mac Multiclass Certificates Series 2865 Class SR, 1.908%, |
|
|
| 10/15/33 (b) |
17,570 |
2,261,693 |
| Freddie Mac Multiclass Certificates Series 2865 Class SV, 2.753%, |
|
|
| 10/15/33 (b) |
11,899 |
2,239,439 |
| Freddie Mac Multiclass Certificates Series 2927 Class BZ, 5.50%, |
|
|
| 2/15/35 |
2,549 |
2,521,271 |
| Freddie Mac Multiclass Certificates Series 2933 Class SL, 2.914%, |
|
|
| 2/15/35 (b) |
1,700 |
86,090 |
| Freddie Mac Multiclass Certificates Series 2949 Class IO, 5.50%, |
|
|
| 3/15/35 (b) |
1,491 |
111,633 |
| Freddie Mac Multiclass Certificates Series 2990 Class WR, |
|
|
| 1.929%, 6/15/35 (b) |
28,830 |
3,009,285 |
| Freddie Mac Multiclass Certificates Series 3010 Class SC, |
|
|
| 13.763%, 3/15/34 (a) |
900 |
916,038 |
| Freddie Mac Multiclass Certificates Series 3061 Class BD, 7.50%, |
|
|
| 11/15/35 |
3,641 |
3,714,325 |
| Freddie Mac Multiclass Certificates Series 3167 Class SX, 30.33%, |
|
|
| 6/15/36 (a) |
526 |
486,430 |
| Freddie Mac Multiclass Certificates Series 3225 Class EY, 1.638%, |
|
|
| 10/15/36 (b) |
77,871 |
5,035,825 |
| Freddie Mac Multiclass Certificates Series 3299 Class TI, 5%, |
|
|
| 4/15/37 (b) |
2,939 |
473,777 |
| Freddie Mac Multiclass Certificates Series T-11 Class A9, 2.247%, |
|
|
| 1/25/28 (a) |
3,544 |
3,272,303 |
| Freddie Mac Multiclass Certificates Series T-8 Class A10, 0%, |
|
|
| 11/15/28 (g) |
192 |
174,999 |
| Ginnie Mae Trust Series 1996-5 Class Z, 7%, 5/16/26 |
859 |
910,858 |
| Ginnie Mae Trust Series 2001-33 Class PB, 6.50%, 7/20/31 |
1,424 |
1,470,150 |
| Ginnie Mae Trust Series 2003-58 Class IT, 5.50%, 7/20/33 (b) |
1,520 |
140,467 |
6
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
U.S. Government Agency Mortgage-Backed Securities - — Collateralized Mortgage Obligations |
(000) |
Value |
|
Ginnie Mae Trust Series 2003-89 Class SA, 0.84%, 10/16/33 (b) |
$ 14,129 |
$ 813,038 |
|
Ginnie Mae Trust Series 2004-39 Class ID, 5%, 5/20/33 (b) |
1,500 |
389,589 |
|
Ginnie Mae Trust Series 2004-89 Class PE, 6%, 10/20/34 |
3,638 |
3,745,746 |
|
Ginnie Mae Trust Series 2005-18 Class SL, 1.203%, 2/20/35 (b) |
13,656 |
688,513 |
|
Ginnie Mae Trust Series 2005-47 Class SP, 0.853%, 8/20/32 (b) |
16,337 |
737,588 |
|
Total U.S. Government Agency Mortgage-Backed Securities - |
|
|
|
Collateralized Mortgage Obligations - 36.7% |
|
152,185,527 |
|
Non-U.S. Government Agency Mortgage-Backed Securities |
|
|
| Collateralized Mortgage |
ABN AMRO Mortgage Corp. Series 2003-4 Class A2, 5.50%, |
|
|
| Obligations - 19.8% |
3/25/33 (b) |
240 |
1,394 |
|
Bank of America Funding Corp. Series 2007-2 Class 1A19, 0%, |
|
|
|
3/25/37 (b) |
100,612 |
2,230,222 |
|
Bank of America Funding Corp. Series 2007-5 Class 4A3, 3.655%, |
|
|
|
7/25/37 (b) |
34,243 |
1,993,895 |
|
Bank of America Mortgage Securities Inc. Series 2003-3 Class |
|
|
|
1AIO, 0.286%, 5/25/18 (b) |
210,378 |
701,630 |
|
Bear Stearns Asset Backed Securities Series 2007-AC2 Class X, |
|
|
|
0.25%, 3/25/37 (b) |
24,127 |
251,449 |
|
Citi Mortgage Alternative Loan Trust Series 2007-A5 Class 1A7, |
|
|
|
6%, 5/25/37 (b) |
1,840 |
217,130 |
|
Citigroup Mortgage Loan Trust, Inc. Series 2005-12 Class 1A2, |
|
|
|
1.615%, 8/25/35 (b) |
22,883 |
1,132,148 |
|
Collateralized Mortgage Obligation Trust Series 40 Class R, |
|
|
|
0.58%, 4/01/18 (b)(h) |
264 |
264 |
|
Collateralized Mortgage Obligation Trust Series 42 Class R, 6%, |
|
|
|
10/01/14 (b)(h) |
38 |
2,459 |
|
Countrywide Alternative Loan Trust Series 2005-28CB Class 1A5, |
|
|
|
5.50%, 8/25/35 |
3,273 |
2,883,423 |
|
Countrywide Alternative Loan Trust Series 2005-79C Class A2, |
|
|
|
0%, 1/25/36 (b) |
129,005 |
3,688,603 |
|
Countrywide Home Loan Mortgage Pass-Through Trust Series |
|
|
|
2003-26 Class PO, 0%, 8/25/33 (g) |
4,664 |
3,451,057 |
|
Countrywide Home Loan Mortgage Pass-Through Trust Series |
|
|
|
2003-J4 Class PO, 0%, 6/25/33 (g) |
978 |
705,255 |
|
Countrywide Home Loan Mortgage Pass-Through Trust Series |
|
|
|
2003-J5 Class PO, 0%, 7/25/33 (g) |
1,268 |
1,033,477 |
|
Countrywide Home Loan Mortgage Pass-Through Trust Series |
|
|
|
2003-J8 Class PO, 0%, 9/25/23 (g) |
1,070 |
749,277 |
|
Deutsche Alt-A Securities Inc. Mortgage Series 2006-AR5 Class |
|
|
|
22A, 5.50%, 10/25/21 |
1,794 |
1,286,547 |
|
Drexel Burnham Lambert CMO Trust Series K Class 1, 0%, |
|
|
|
9/23/17 (g) |
17 |
17,242 |
|
Drexel Burnham Lambert CMO Trust Series V Class 1, 0%, |
|
|
|
9/01/18 (g) |
181 |
179,488 |
7
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
| Non-U.S. Government Agency Mortgage-Backed Securities |
(000) |
Value |
| First Boston Mortgage Securities Corp. Series C Class I-O, |
|
|
| 10.965%, 4/25/17 (b) |
$ 63 |
$ 13,652 |
| First Horizon Alternative Mortgage Securities Series 2005-FA7 |
|
|
| Class 1A7, 0%, 10/25/35 (b) |
67,309 |
2,419,636 |
| First Horizon Alternative Mortgage Securities Series 2005-FA9 |
|
|
| Class A2, 0%, 12/25/35 (b) |
165,889 |
6,061,461 |
| First Horizon Alternative Mortgage Securities Series 2006-FA2 |
|
|
| Class 1A4, 0.628%, 5/25/36 (b) |
19,218 |
956,497 |
| GSMPS Mortgage Loan Trust Series 1998-5 Class IO, 0.97%, |
|
|
| 6/19/27 (b) |
6,609 |
107,402 |
| Homebanc Mortgage Trust Series 2005-4 Class A1, 1.665%, |
|
|
| 10/25/35 (a) |
4,507 |
1,935,021 |
| IndyMac Index Mortgage Loan Trust Series 2006-AR33 Class 4AX, |
|
|
| 0.165%, 1/25/37 (b) |
142,807 |
538,655 |
| JPMorgan Mortgage Trust Series 2004-S1 Class 1A7, |
|
|
| 5%, 9/25/34 (i) |
2,518 |
2,168,284 |
| JPMorgan Mortgage Trust Series 2005-S1 Class 2A1, |
|
|
| 8%, 1/25/35 |
5,519 |
4,977,560 |
| JPMorgan Mortgage Trust Series 2006-A7 Class 2A2, 5.799%, |
|
|
| 1/25/37 (a) |
1,295 |
937,881 |
| Kidder Peabody Acceptance Corp Series 1993-1 Class A6, |
|
|
| 14.03%, 8/25/23 (a) |
104 |
111,126 |
| Kidder Peabody Mortgage Assets Trust Series B Class A2, 9.50%, |
|
|
| 4/22/18 (b) |
47 |
7,919 |
| Luminent Mortgage Trust Series 2006-A1 Class 2A1, 1.565%, |
|
|
| 12/25/36 (a) |
4,734 |
1,804,881 |
| MASTR Adjustable Rate Mortgages Trust Series 2004-3 Class 3AX, |
|
|
| 0.977%, 4/25/34 (b) |
20,261 |
143,958 |
| MASTR Alternative Loans Trust Series 2003-7 Class 4A3, 8%, |
|
|
| 11/25/18 |
1,307 |
1,297,005 |
| MASTR Alternative Loans Trust Series 2003-9 Class 15X2, 6%, |
|
|
| 1/25/19 (b) |
1,181 |
180,632 |
| MASTR Asset Securitization Trust Series 2004-3 Class 4A15, 0%, |
|
|
| 3/25/34 (g) |
314 |
105,213 |
| Morgan Stanley Mortgage Loan Trust Series 2004-3 Class 1AX, |
|
|
| 5%, 5/25/19 (b) |
1,216 |
138,890 |
| Residential Accredit Loans, Inc. Series 2003-QS14 Class A1, 5%, |
|
|
| 7/25/18 |
5,725 |
5,217,348 |
| Residential Accredit Loans, Inc. Series 2005-QS16 Class A2, 0%, |
|
|
| 11/25/35 (b) |
131,142 |
4,214,177 |
| Residential Asset Securitization Trust Series 2005-A15 Class 1A8, |
|
|
| 0%, 2/25/36 (g) |
983 |
339,496 |
| Residential Funding Securities LLC Series 2003-RM2 Class AI5, |
|
|
| 8.50%, 5/25/33 |
8,883 |
8,962,472 |
8
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
Non-U.S. Government Agency Mortgage-Backed Securities |
(000) |
Value |
|
Sequoia Mortgage Trust Series 2005-2 Class XA, |
|
|
|
0.998%, 3/20/35 (b) |
$ 47,640 |
$ 762,247 |
|
Structured Adjustable Rate Mortgage Loan Trust Series 2004-11 |
|
|
|
Class A, 5.593%, 8/25/34 (a) |
1,853 |
1,830,060 |
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-18 |
|
|
|
Class 7AX, 5.50%, 9/25/35 (b) |
4,581 |
809,749 |
|
Structured Adjustable Rate Mortgage Loan Trust Series 2005-20 |
|
|
|
Class 3AX, 5.50%, 10/25/35 (b) |
3,625 |
494,781 |
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-2 |
|
|
|
Class 4AX, 5.50%, 3/25/36 (b) |
12,124 |
1,768,846 |
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-7 |
|
|
|
Class 3AS, 2.374%, 8/25/36 (b) |
39,800 |
4,346,195 |
|
Structured Mortgage Asset Residential Trust Series 1993-3C Class |
|
|
|
CX, 0%, 4/25/24 (g) |
11 |
11,277 |
|
Summit Mortgage Trust Series 2000-1 Class B1, 6.782%, |
|
|
|
12/28/12 (a)(h) |
2 |
1,725 |
|
Vendee Mortgage Trust Series 1999-2 Class 1IO, |
|
|
|
0.052%, 5/15/29 (b) |
76,215 |
187,847 |
|
WaMu Mortgage Pass-Through Certificates Series 2005-AR4 Class |
|
|
|
A3, 3.549%, 4/25/35 (a) |
3,000 |
2,788,368 |
|
WaMu Mortgage Pass-Through Certificates Series 2006-AR1 Class |
|
|
|
2A1C, 4.36%, 1/25/46 (a) |
6,865 |
1,716,146 |
|
Washington Mutual Alternative Mortgage Pass-Through |
|
|
|
Certificates Series 2005-8 Class 1A4, 1.215%, 10/25/35 (b) |
8,653 |
214,625 |
|
Washington Mutual Alternative Mortgage Pass-Through |
|
|
|
Certificates Series 2005-9 Class CP, 0%, 11/25/35 (g) |
912 |
591,676 |
|
Washington Mutual Alternative Mortgage Pass-Through |
|
|
|
Certificates Series 2007-1 Class 1A3, 1.765%, 2/25/37 (a) |
7,294 |
3,520,177 |
|
|
|
82,207,845 |
| Commercial Mortgage- |
CS First Boston Mortgage Securities Corp. Series 1997-C1 Class |
|
|
| Backed Securities - 1.3% |
AX, 1.672%, 6/20/29 (b) |
5,202 |
157,130 |
|
Commercial Mortgage Acceptance Corp. Series 1997-ML1 Class |
|
|
|
IO, 0.705%, 12/15/30 (b) |
12,170 |
288,311 |
|
Credit Suisse Mortgage Capital Certificates Series 2007-C2 Class |
|
|
|
A3, 5.542%, 1/15/49 (a) |
2,420 |
1,553,611 |
|
First Union-Lehman Brothers Commercial Mortgage Series 1997- |
|
|
|
C2 Class D, 7.12%, 11/18/29 |
3,500 |
3,112,171 |
|
Morgan Stanley Capital I Series 1997-HF1 Class X, 3.438%, |
|
|
|
7/15/29 (b) |
64 |
10 |
|
|
|
5,111,233 |
|
Total Non-U.S. Government Agency Mortgage-Backed |
|
|
|
Securities - 21.1% |
|
87,319,078 |
|
U.S. Government and Agency Obligations |
|
|
|
Federal Housing Administration, General Motors Acceptance |
|
|
|
Corp. Projects, Series 56, 7.43%, 11/01/22 |
338 |
337,021 |
9
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
U.S. Government and Agency Obligations |
(000) |
Value |
|
Federal Housing Administration, Merrill Projects, Series 54, |
|
|
| 7.43%, 2/01/23 (j) |
$ 2 |
$ 2,291 |
|
|
Federal Housing Administration, Reilly Project, Series 41, 8.28%, |
|
|
| 3/01/20 |
713 |
711,716 |
|
|
Federal Housing Administration, USGI Projects, Series 87, 7.43%, |
|
|
| 12/01/22 |
76 |
75,847 |
|
|
Federal Housing Administration, USGI Projects, Series 99, 7.43%, |
|
|
| 6/01/21 |
5,193 |
5,186,786 |
|
|
Federal Housing Administration, USGI Projects, Series 99, 7.43%, |
|
|
| 10/01/23 |
80 |
79,514 |
|
|
Federal Housing Administration, USGI Projects, Series 99, 7.43%, |
|
|
| 10/01/23 |
235 |
234,838 |
|
|
Overseas Private Investment Corp., 4.09%, 5/29/12 |
338 |
315,696 |
|
Overseas Private Investment Corp., 4.30%, 5/29/12 (a) |
848 |
938,384 |
|
Overseas Private Investment Corp., 4.64%, 5/29/12 |
715 |
801,852 |
|
Overseas Private Investment Corp., 4.68%, 5/29/12 |
405 |
435,982 |
|
Overseas Private Investment Corp., 4.87%, 5/29/12 |
3,072 |
3,476,947 |
|
Resolution Funding Corp., 9.655%, 4/15/30 (k) |
13,000 |
5,327,985 |
|
Small Business Administration Series 1, 1%, 4/01/15 (b) |
3,735 |
37,355 |
|
U.S. Treasury STRIPS, 0%, 11/15/24 (c)(g)(l)(m) |
40,000 |
22,793,720 |
|
Total U.S. Government and Agency Obligations - 9.8% |
|
40,755,934 |
|
Total Long Term Securities |
|
|
|
(Cost - $691,244,551) - 172.8% |
|
716,121,610 |
|
Short-Term Securities |
|
|
| Borrowed Bond |
JPMorgan Chase & Co., Inc., purchased on 9/15/2008 to yield |
|
|
| Agreement |
0.90% to 9/15/2009 |
21,187 |
21,187,306 |
|
Total Short-Term Securities |
|
|
|
(Cost - $21,187,306) - 5.1% |
|
21,187,306 |
|
Options Purchased |
Contracts |
|
| (n) |
|
|
|
| Call Swaptions |
Receive a fixed rate of 5.47% and pay a floating rate based on 3- |
|
|
|
month LIBOR, expiring May 2012 |
12 |
2,196,834 |
| Put Swaptions |
Pay a fixed rate of 4.70% and receive a floating |
|
|
| rate based on 3-month LIBOR, expiring January 2009 |
130 |
63,570 |
|
|
Pay a fixed rate of 5.47% and receive a floating |
|
|
| rate based 3-month LIBOR, expiring May 2012 |
12 |
277,574 |
|
|
Pay a fixed rate of 5.78% and receive a floating rate based 3- |
|
|
| month LIBOR, expiring August 2010 |
3 |
25,514 |
|
|
|
|
366,658 |
|
Total Options Purchased |
|
|
|
(Cost - $2,961,660) - 0.6% |
|
2,563,492 |
|
Total Investments Before Borrowed Bond, |
|
|
|
TBA Sale Commitments and Options Written |
|
|
|
(Cost - $715,393,517*) - 178.5% |
|
739,872,408 |
10
| BlackRock Income Trust, Inc. |
|
| Schedule of Investments November 30, 2008 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
Borrowed Bond |
(000) |
|
Value |
|
|
U.S. Treasury Note, 4.75% 5/31/12 |
$ (19,505 |
) |
$ (21,790,752 |
) |
|
Total Borrowed Bond |
|
|
|
|
|
(Proceeds - $19,383,094) - (5.3)% |
|
|
(21,790,752 |
) |
|
TBA Sale Commitments |
|
|
|
|
|
Fannie Mae Guaranteed Pass-Through Certificates, 5.0%, |
|
|
|
|
|
6/01/33 - 12/15/38 |
(9,000 |
) |
(9,063,720 |
) |
|
Fannie Mae Guaranteed Pass-Through Certificates, 5.50%, |
|
|
|
|
|
6/01/21 - 12/15/38 |
(5,200 |
) |
(5,294,307 |
) |
|
Fannie Mae Guaranteed Pass-Through Certificates, 6%, |
|
|
|
|
|
10/01/36 - 12/15/38 |
(20,700 |
) |
(21,173,657 |
) |
|
Fannie Mae Guaranteed Pass-Through Certificates, 6.50%, |
|
|
|
|
|
7/01/36 - 12/15/38 |
(20,000 |
) |
(20,558,860 |
) |
|
Freddie Mac Mortgage Participation Certificates, |
|
|
|
|
|
5%, 12/01/34 |
(5,000 |
) |
(5,029,155 |
) |
|
Total TBA Sale Commitments |
|
|
|
|
|
(Proceeds - $60,306,188) - (14.7)% |
|
|
(61,119,699 |
) |
|
Options Written |
Contracts |
|
|
|
| (n) |
|
|
|
|
|
| Call Swaptions |
Pay a fixed rate of 5.325% and receive a floating rate based on |
|
|
|
|
|
3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank N.A. |
11 |
|
(956,820 |
) |
|
Pay a fixed rated of 5.485% and receive a floating rate based on |
|
|
|
|
|
3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank N.A. |
5 |
|
(1,030,887 |
) |
|
Pay a fixed rated of 5.67% and receive a floating rate based on |
|
|
|
|
|
3-month LIBOR, expiring January 2010, Broker Citibank N.A. |
12 |
|
(2,512,724 |
) |
|
|
|
|
(4,500,431 |
) |
| Put Swaptions |
Receive a fixed rate of 5.325% and pay a floating rate based on |
|
|
|
|
|
3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank N.A. |
11 |
|
(196,270 |
) |
|
Receive a fixed rate of 5.485% and pay a floating rate based on |
|
|
|
|
|
3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank N.A. |
5 |
|
(33,420 |
) |
|
Receive a fixed rate of 5.67% and pay a floating rate based on |
|
|
|
|
|
3-month LIBOR, expiring January 2010, Broker Citibank N.A. |
12 |
|
(72,317 |
) |
|
|
|
|
(302,007 |
) |
|
Total Options Written |
|
|
|
|
|
(Premiums Received - $2,385,959) - (1.2)% |
|
|
(4,802,438 |
) |
|
Total Investments Net of Borrowed Bond, |
|
|
|
|
|
TBA Sale Commitments |
|
|
|
|
|
and Options Written - 157.3% |
|
|
652,159,519 |
|
|
Liabilities in Excess of Other Assets - (57.3)% |
|
|
(237,590,823 |
) |
|
Net Assets - 100.0% |
|
|
$ 414,568,696 |
|
| * — Aggregate Cost |
$ 715,529,153 |
|
| Gross unrealized appreciation |
$ 70,526,265 |
|
| Gross unrealized depreciation |
(46,183,010 |
) |
| Net unrealized depreciation |
$ 24,343,255 |
|
11
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
| (a) |
Variable rate security. Rate shown is as of report date. |
| (b) |
Represents the interest only portion of a mortgage-backed security and has either a nominal or a notional amount of principal. |
| (c) |
All or a portion of security held as collateral in connection with swaps. |
| (d) |
Represents or includes a "to-be-announced" transaction. The Trust has committed to purchasing securities for which all specific information is not available at this time. |
| (e) |
Amount is less than $1,000. |
| (f) |
All or a portion of security held as collateral in connection with financial futures contracts. |
| (g) |
Represents a principal only portion of a mortgage-backed security. |
| (h) |
Security is fair valued. |
| (i) |
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. |
| (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 |
Purchase — Cost |
Sale — Cost |
Loss |
|
Income |
| Federal Housing Administration, Merrill |
|
|
|
|
|
| Projects, Series 54, 7.43%, 2/01/23 |
- |
$ 35 |
$ (1 |
) |
$ 44 |
| (k) |
Represents a zero-coupon bond. Rate shown is as of report date. |
| (l) |
All or a portion of security has been pledged as collateral for reverse repurchase agreements. |
| (m) |
Separately Traded Registered Interest and Principal of Securities (STRIPS). |
| (n) |
One contract represents a notional amount of $1,000,000. |
| |
For Trust compliance purposes, the Trust's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely |
| recognized market indexes or rating group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine |
|
| industry sub-classifications for reporting ease. |
|
| |
Reverse repurchase agreements outstanding as of November 30, 2008 were as follows: |
| Counterparty |
Interest — Rate |
Trade — Date |
Maturity — Date |
Amount |
Amount |
| JPMorgan |
|
|
|
|
|
| Securities Inc. |
0.40 % |
11/17/08 |
TBD |
$ 2,487,915 |
$ 2,487,500 |
| Barclays Capital Inc. |
0.70 % |
11/19/08 |
12/02/08 |
1,007,755 |
1,007,500 |
| Barclays Capital Inc. |
0.50 % |
11/20/08 |
12/02/08 |
1,035,173 |
1,035,000 |
| Total |
|
|
|
$ 4,530,843 |
$ 4,530,000 |
12
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
| |
|
Expiration |
Face |
Unrealized |
|
| Contracts |
Issue |
Date |
Value |
Depreciation |
|
| 33 |
10-Year U.S. Treasury Bond |
December 2008 |
$ 3,699,022 |
$ (356,369 |
) |
| 72 |
2-Year U.S. Treasury Bond |
December 2008 |
$ 15,320,768 |
(402,232 |
) |
| 262 |
EuroDollar Futures |
December 2008 |
$ 63,599,168 |
(508,957 |
) |
| 395 |
2-Year U.S. Treasury Bond |
March 2009 |
$ 85,196,014 |
(444,924 |
) |
| 251 |
EuroDollar Futures |
March 2009 |
$ 64,091,211 |
(453,989 |
) |
| 250 |
EuroDollar Futures |
June 2009 |
$ 60,756,837 |
(540,038 |
) |
| 270 |
EuroDollar Futures |
September 2009 |
$ 65,488,363 |
(685,262 |
) |
| 163 |
EuroDollar Futures |
December 2009 |
$ 39,453,032 |
(453,443 |
) |
| 152 |
EuroDollar Futures |
March 2010 |
$ 36,720,836 |
(486,864 |
) |
| 162 |
EuroDollar Futures |
June 2010 |
$ 39,032,672 |
(578,353 |
) |
| 174 |
EuroDollar Futures |
September 2010 |
$ 41,837,884 |
(631,166 |
) |
| 109 |
EuroDollar Futures |
December 2010 |
$ 26,120,156 |
(409,082 |
) |
| 83 |
EuroDollar Futures |
March 2011 |
$ 19,872,022 |
(295,941 |
) |
| 98 |
EuroDollar Futures |
June 2011 |
$ 23,443,751 |
(318,799 |
) |
| 120 |
EuroDollar Futures |
September 2011 |
$ 28,699,134 |
(340,866 |
) |
| Total |
|
|
|
$ (6,906,285 |
) |
| |
|
|
|
|
|
|
Notional |
|
|
|
|
|
Amount |
|
|
Unrealized |
|
|
(000) |
Value |
|
Depreciation |
|
| Pay a fixed rated of 4.80% and receive a floating rate based on |
|
|
|
|
|
| 3-month LIBOR |
|
|
|
|
|
| Broker, The Goldman Sachs Group, Inc. |
|
|
|
|
|
| Expiring March 2011 |
$ 105,000 |
$ (4,996,635 |
) |
$ (3,834,635 |
) |
| Pay a fixed rated of 4.95% and receive a floating rate based |
|
|
|
|
|
| on 3-month LIBOR |
|
|
|
|
|
| Broker, JPMorgan Chase Bank N.A. |
|
|
|
|
|
| Expiring March 2011 |
$ 60,000 |
(2,217,240 |
) |
(1,575,240 |
) |
| Pay a fixed rated of 5.50% and receive a floating rate based |
|
|
|
|
|
| on 3-month LIBOR |
|
|
|
|
|
| Broker, UBS AG |
|
|
|
|
|
| Expiring March 2010 (h) |
$ 53,000 |
(2,325,375 |
) |
(1,530,375 |
) |
| Pay a fixed rated of 5.50% and receive a floating rate based |
|
|
|
|
|
| on 3-month LIBOR |
|
|
|
|
|
| Broker, Citibank N.A. |
|
|
|
|
|
| Expiring September 2011 (h) |
$ 31,000 |
(2,457,804 |
) |
(1,863,637 |
) |
| Total |
|
$ (11,997,054 |
) |
$ (8,803,887 |
) |
13
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
| |
Notional |
Unrealized |
|
|
Amount |
Appreciation |
|
|
(000) |
(Depreciation) |
|
| Receive a fixed rate of 5.38341% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Credit Suisse International |
|
|
|
| Expires July 2009 |
$ 200,000 |
$ 3,507,935 |
|
| Receive a fixed rate of 4.05% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Barclays London |
|
|
|
| Expires December 2009 |
$ 5,600 |
112,626 |
|
| Receive a fixed rate of 4.31996% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, UBS AG |
|
|
|
| Expires September 2010 |
$ 12,000 |
466,752 |
|
| Receive a fixed rate of 2.895% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Barclays London |
|
|
|
| Expires September 2010 |
$ 7,400 |
104,994 |
|
| Pay a fixed rate of 2.898% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires September 2010 |
$ 22,300 |
(317,579 |
) |
| Receive a fixed rate of 4.95% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, UBS AG |
|
|
|
| Expires November 2011 |
$ 4,400 |
334,136 |
|
| Receive a fixed rate of 5.025% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires November 2011 |
$ 3,000 |
232,974 |
|
| Receive a fixed rate of 5.39256% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Credit Suisse International |
|
|
|
| Expires June 2012 |
$ 64,000 |
6,258,250 |
|
| Pay a fixed rate of 4.115% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, The Goldman Sachs Group, Inc. |
|
|
|
| Expires August 2013 |
$ 19,700 |
(1,213,032 |
) |
14
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
|
Amount |
Appreciation |
|
|
(000) |
(Depreciation) |
|
| Pay a fixed rate of 4.88911% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, The Goldman Sachs Group, Inc. |
|
|
|
| Expires April 2014 |
$ 19,000 |
$ (1,908,294 |
) |
| Pay a fixed rate of 4.39919% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires October 2014 |
$ 12,500 |
(995,923 |
) |
| Receive a fixed rate of 4.8834% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, UBS AG |
|
|
|
| Expires March 2015 |
$ 25,000 |
2,782,258 |
|
| Pay a fixed rate of 4.925% and receive a floating rate based |
|
|
|
| on 3-month Lehman Brothers Municipal Swap Index |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires March 2015 |
$ 16,000 |
(1,817,910 |
) |
| Pay a fixed rate of 4.50% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, JPMorgan Chase Bank N.A. |
|
|
|
| Expires May 2015 |
$ 3,000 |
(274,283 |
) |
| Receive a fixed rate of 4.442% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Morgan Stanley Capital Services Inc. |
|
|
|
| Expires July 2015 |
$ 4,500 |
384,497 |
|
| Receive a fixed rate of 5.94% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, UBS AG |
|
|
|
| Expires December 2015 |
$ 2,800 |
520,145 |
|
| Receive a fixed rate of 4.87% and pay a floating rate based |
|
|
|
| on 3-month Lehman Brothers Muni Swap Index |
|
|
|
| Broker, The Goldman Sachs Group, Inc. |
|
|
|
| Expires January 2016 |
$ 5,500 |
646,333 |
|
| Receive a fixed rate of 5.723% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, JPMorgan Chase Bank N.A. |
|
|
|
| Expires July 2016 |
$ 5,400 |
968,663 |
|
15
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
|
Amount |
Appreciation |
|
|
(000) |
(Depreciation) |
|
| Receive a fixed rate of 5.295% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, UBS AG |
|
|
|
| Expires February 2017 |
$ 11,900 |
$ 1,914,087 |
|
| Receive a fixed rate of 5.25% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, The Goldman Sachs Group, Inc. |
|
|
|
| Expires April 2017 |
$ 800 |
125,950 |
|
| Pay a fixed rate of 5.74% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
$ 1,400 |
(278,791 |
) |
| Expires June 2017 |
|
|
|
| Pay a fixed rate of 5.5451% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires June 2017 |
$ 1,800 |
(331,771 |
) |
| Pay a fixed rate of 5.85% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires June 2017 |
$ 1,000 |
(207,472 |
) |
| Receive a fixed rate of 5.505% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Bank of America N.A. |
|
|
|
| Expires August 2017 |
$ 165,647 |
30,244,406 |
|
| Pay a fixed rate of 4.4575% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, The Goldman Sachs Group, Inc. |
|
|
|
| Expires January 2018 |
$ 2,600 |
(274,144 |
) |
| Pay a fixed rate of 5.135% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Barclays London |
|
|
|
| Expires April 2018 |
$ 5,700 |
(682,692 |
) |
| Pay a fixed rate of 5.88% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires June 2018 |
$ 63,930 |
(13,240,655 |
) |
| Pay a fixed rate of 5.46% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, JPMorgan Chase Bank N.A. |
|
|
|
| Expires August 2018 |
$ 3,800 |
(651,745 |
) |
16
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
|
Amount |
Appreciation |
|
|
(000) |
(Depreciation) |
|
| Pay a fixed rate of 4.545% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Citibank N.A. |
|
|
|
| Expires September 2018 |
$ 98,400 |
$ (11,759,292 |
) |
| Pay a fixed rate of 4.205% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires September 2018 |
$ 7,400 |
(675,864 |
) |
| Receive a fixed rate of 4.35% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, UBS AG |
|
|
|
| Expires October 2018 |
$ 42,000 |
4,312,490 |
|
| Receive a fixed rate of 4.66% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, JPMorgan Chase Bank N.A. |
|
|
|
| Expires October 2018 |
$ 5,000 |
640,353 |
|
| Pay a fixed rate of 4.31% and receive a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, Deutsche Bank AG |
|
|
|
| Expires October 2018 |
$ 66,000 |
(6,575,803 |
) |
| Receive a fixed rate of 5.411% and pay a floating rate based |
|
|
|
| on 3-month LIBOR |
|
|
|
| Broker, JPMorgan Chase Bank N.A. |
|
|
|
| Expires August 2022 |
$ 9,565 |
2,411,595 |
|
| Total |
|
$ 14,763,194 |
|
17
| BlackRock Income Trust, Inc. |
| Schedule of Investments November 30, 2008 (Unaudited) |
| Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157 clarifies the
definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of 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 |
| Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust's own assumption used in determining the
fair value of investments) |
| 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, 2008 in determining the fair valuation of the Trust's investments: |
| Valuation — Inputs |
Securities |
Short |
|
Instruments* |
|
| Level 1 |
$ 227,892,107 |
- |
|
$ (6,906,285 |
) |
| Level 2 |
442,321,351 |
$ (21,790,752 |
) |
5,310,373 |
|
| Level 3 |
5,975,759 |
- |
|
(4,783,179 |
) |
| Total |
$ 676,189,217 |
$ (21,790,752 |
) |
$ (6,379,091 |
) |
| * Other financial |
|
|
|
|
|
| instruments are swaps, interest rate floors, futures and options. |
|
|
|
|
|
| The following is a reconciliation
of investments for unobservable inputs (Level 3) used in determining fair
value: | Investments
in | | Other Financial | |
| --- | --- | --- | --- | --- |
| | Securities | | Instruments* | |
| Balance, as of September 1, 2008 | $ 5,942,020 | $ | (3,874,001 | ) |
| Accrued discounts/premiums | - | | - | |
| Realized gain (loss) | 44 | | 113,332 | |
| Change in unrealized appreciation | | | | |
| (depreciation) | 34,551 | | (1,022,510 | ) |
| Net purchases (sales) | (273,455 | ) | - | |
| Net transfers in/out of Level 3 | 272,599 | | - | |
| Balance, as of November 30, 2008 | $ 5,975,759 | | (4,783,179 | ) |
18
| Item 2 |
Controls and Procedures |
|
| 2(a) |
The registrants principal executive and principal financial officers or persons performing similar |
|
| functions have concluded that the registrants 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 registrants internal control over financial reporting (as defined in |
|
| Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have |
|
|
| materially affected, or are reasonably likely to materially affect, the registrants 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/ Donald C. Burke |
|
|
Donald C. Burke |
|
|
Chief Executive Officer of |
|
|
BlackRock Income Trust, Inc. |
|
Date: |
January 20, 2009 |
|
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/ Donald C. Burke |
|
|
Donald |
| C. Burke |
|
|
|
|
Chief |
| Executive Officer (principal executive officer) of |
|
|
|
|
BlackRock |
| Income Trust, Inc. |
|
|
|
Date: |
January 20, 2009 |
|
By: |
/s/ Neal J. Andrews |
|
|
Neal J. Andrews |
|
|
Chief Financial Officer (principal |
| financial officer) of |
|
|
|
|
BlackRock Income Trust, Inc. |
|
Date: |
January 20, 2009 |