N-Q 1 d92300dnq.htm BLACKROCK INCOME TRUST, INC. BLACKROCK INCOME TRUST, INC.

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: 08/31/2016

Date of reporting period: 11/30/2015

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2015 (Unaudited)   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   

Par  

(000)

     Value  

Asset-Backed Securities — 0.4%

  

Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.65%, 10/25/35 (a)

    $   1,875      $ 1,696,696   

Small Business Administration Participation Certificates, Class 1:

     

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

      8        8,612   

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

      19        19,624   

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

      21        21,349   

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

      33        34,479   

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

      23        23,822   
    

 

 

  
               1,804,582   

Interest Only Asset-Backed Securities — 0.1%

  

Small Business Administration Participation Certificates, Series 2000-1, 1.00%, 3/15/21

      458        4,008   

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

      2,025        140,517   

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

      5,291        357,173   
    

 

 

  
               501,698   
Total Asset-Backed Securities — 0.5%          2,306,280   
    
                  
Non-Agency Mortgage-Backed Securities  

Collateralized Mortgage Obligations — 0.7%

  

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 580.48%, 4/01/18

      13        13   

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

      307        297,488   

Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.49%, 10/25/35 (a)

      1,969        1,819,840   

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, 16.21%, 8/25/23 (a)

      39        43,783   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

     Value  

Collateralized Mortgage Obligations (continued)

  

Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-11, Class A, 2.54%, 8/25/34 (a)

    $ 870      $ 864,414   
    

 

 

  
                 3,025,538   

Commercial Mortgage-Backed Securities — 0.6%

  

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

      2,420        2,483,781   

Interest Only Collateralized Mortgage Obligations — 0.5%

  

Bank of America Mortgage Securities, Inc.,
Series 2003-3, Class 1A, 0.00%, 5/25/33 (a)

      18,933        87,504   

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

      529        139,655   

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

      2,399        25   

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

      55,122        74,971   

MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3AX, 0.48%, 4/25/34 (c)

      6,406        96,089   

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

      146        11,892   

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

      136        5,332   

Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.85%, 3/20/35 (a)

      28,945        795,983   

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 4.21%, 8/25/36 (a)

      12,598        1,133,821   

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (a)

      30,465        31   
    

 

 

  
               2,345,303   

Principal Only Collateralized Mortgage Obligations — 0.1%

  

Countrywide Home Loan Mortgage Pass-Through
Trust (d):

     

Series 2003-J5, 0.00%, 7/25/33

      102        93,907   

Series 2003-J8, 0.00%, 9/25/23

      66        64,567   
 

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015    1

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

     Value  

Principal Only Collateralized Mortgage Obligations (continued)

  

Drexel Burnham Lambert CMO Trust, Series K, Class 1, 0.00%, 9/23/17 (d)

    $ — (e)    $ 179   

Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36 (d)

      404        280,114   

Structured Mortgage Asset Residential Trust,
Series 1993-3C, Class CX,
0.00%, 4/25/24 (d)

      5        4,614   

Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9,
Class CP, 0.00%, 11/25/35 (d)

      170        120,402   
    

 

 

  
               563,783   
Total Non-Agency Mortgage-Backed Securities — 1.9%        8,418,405   
    
                  
U.S. Government Sponsored Agency Securities  

Agency Obligations — 2.5%

  

Federal Housing Administration:

     

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

     2,886        2,778,325   

USGI Projects, Series 41, 7.43%,
10/01/23

      115        109,419   

General Motors Acceptance Corp. Projects, Series 56,
7.43%, 11/01/22

      15        14,844   

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

      1        1,327   

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

      43        41,785   

Resolution Funding Corp., 0.00%, 4/15/30 (d)

      13,000        8,251,711   
    

 

 

  
               11,197,441   

Collateralized Mortgage Obligations — 64.4%

     

Fannie Mae Mortgage-Backed Securities:

     

Series 2011-142, Class PE, 3.50%, 1/25/42

      15,567        16,131,203   

Series 2011-117, Class CP, 4.00%, 11/25/41

      14,350        15,574,125   

Series 2011-136, Class CY, 4.00%, 12/25/40

      3,060        2,281,083   

Series 2014-28, Class BD, 3.50%, 8/25/43

      7,370        7,765,746   

Series 2011-99, Class CB, 4.50%, 10/25/41

      43,000        49,278,142   

Series 2010-47, Class JB, 5.00%, 5/25/30

      10,000        10,986,606   
U.S. Government Sponsored Agency Securities  

Par  

(000)

     Value  

Collateralized Mortgage Obligations (continued)

  

Fannie Mae Mortgage-Backed Securities (continued):

    

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

   $ 12,264      $ 13,281,041   

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

     4,358        5,332,525   

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

     141        177,927   

Series 2005-73, Class DS, 16.98%, 8/25/35 (a)

     888        1,120,187   

Series 1991-87, Class S, 26.10%, 8/25/21 (a)

     15        20,555   

Series G-49, Class S, 1,011.82%, 12/25/21 (a)

     — (e)      222   

Series G-17, Class S, 1,058.14%, 6/25/21 (a)

     55        681   

Series G-33, Class PV, 1,078.42%, 10/25/21

     53        272   

Series G-07, Class S, 1,119.64%, 3/25/21 (a)

     — (e)      1,025   

Series 1991-46, Class S, 2,468.39%,
5/25/21 (a)

     41        1,838   

Freddie Mac Mortgage-Backed Securities:

    

Series T-11, Class A9, 3.13%, 1/25/28 (a)

     1,087        1,133,763   

Series K048, Class A2, 3.28%, 6/25/25 (a)

     1,600        1,653,449   

Series 4242, Class PA, 3.50%, 5/15/41

     7,553        7,955,774   

Series 4016, Class BX, 4.00%, 9/15/41

     15,408        16,993,127   

Series 3762, Class LN, 4.00%, 11/15/40

     2,000        2,151,738   

Series 4269, Class PM, 4.00%, 8/15/41

     8,884        9,298,596   

Series 3688, Class PB, 4.50%, 8/15/32

     10,000        10,748,191   

Series 4316, Class VB, 4.50%, 3/15/34

     10,787        11,854,867   

Series 3856, Class PB, 5.00%, 5/15/41

     10,000        11,487,399   

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

     6,701        6,895,459   

Series 2927, Class BZ, 5.50%, 2/15/35

     3,743        4,205,190   

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

     2,329        2,525,842   

Series 0040, Class K, 6.50%, 8/17/24

     137        155,974   

Series 0019, Class F, 8.50%, 3/15/20

     17        18,053   
 

 

                
2    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency Securities   

Par  

(000)

     Value  

Collateralized Mortgage Obligations (continued)

  

Freddie Mac Mortgage-Backed Securities (continued):

     

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

    $     2,436      $     2,831,446   

Series 0173, Class R, 9.00%, 11/15/21

      4        4   

Series 0075, Class R, 9.50%, 1/15/21

      — (e)      1   

Series 0173, Class RS, 9.87%, 11/15/21 (a)

      — (e)      4   

Series 2861, Class AX, 10.30%, 9/15/34 (a)

      12        11,817   

Series 1160, Class F, 38.76%, 10/15/21 (a)

      7        11,575   

Series 0075, Class RS, 74.30%, 1/15/21 (a)

      — (e)      1   

Series 1057, Class J, 1,008.00%, 3/15/21

      32        299   

Series 0192, Class U, 1,009.03%,
2/15/22 (a)

      1        17   

Series 0019, Class R, 16,088.87%,
3/15/20 (a)

      2        276   

Ginnie Mae Mortgage-Backed Securities:

     

Series 2010-099, Class JM, 3.75%, 12/20/38

      19,300        20,264,326   

Series 2010-112, Class TL, 4.00%, 1/20/39

      15,000        15,886,368   

Series 2011-80, Class PB, 4.00%, 10/20/39

      11,489        12,293,524   

Series 2012-16, Class HJ, 4.00%, 9/20/40

      10,000        10,662,688   

Series 2011-88, Class PY, 4.00%, 6/20/41

      15,402        16,405,368   

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

      244        254,934   
    

 

 

  
               288,653,248   

Interest Only Collateralized Mortgage Obligations — 2.7%

  

Fannie Mae Mortgage-Backed Securities:

     

Series 1997-50, Class SI, 1.20%, 4/25/23 (a)

      123        3,778   

Series G92-60, Class SB, 1.60%,
10/25/22 (a)

      74        2,656   

Series 2012-96, Class DI, 4.00%, 2/25/27

      5,593        531,097   

Series 2013-45, Class EI, 4.00%, 4/25/43

      10,867        1,206,453   

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

      7,537        459,957   

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

      1,880        309,032   
U.S. Government Sponsored Agency Securities   

Par  

(000)

     Value  

Interest Only Collateralized Mortgage Obligations (continued)

  

Fannie Mae Mortgage-Backed Securities (continued):

     

Series 2011-124, Class GS, 6.48%,
3/25/37 (a)

    $     11,994      $     1,374,835   

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

      144        14,521   

Series 1993-199, Class SB, 7.28%,
10/25/23 (a)

      85        3,508   

Series 089, Class 2, 8.00%, 10/25/18

      1        47   

Series 007, Class 2, 8.50%, 4/25/17

      1        30   

Series G92-05, Class H, 9.00%, 1/25/22

      9        461   

Series 094, Class 2, 9.50%, 8/25/21

      1        137   

Series 1990-136, Class S, 19.86%,
11/25/20 (a)

      4,706        6,313   

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

      84        534   

Series 1991-099, Class L, 930.00%, 8/25/21

      38        270   

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

      7        71   

Series G92-12, Class C, 1,016.90%, 2/25/22

      59        284   

Series G-10, Class S, 1,083.16%,
5/25/21 (a)

      188        3,121   

Series G-12, Class S, 1,149.81%,
5/25/21 (a)

      122        1,833   

Freddie Mac Mortgage-Backed Securities:

     

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

      52        428   

Series 3745, Class IN, 4.00%, 1/15/35

      19,488        960,074   

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

      11,548        1,284,604   

Series 4026, 4.50%, 4/15/32

      4,004        535,860   

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

      888        66,430   

Series 1043, Class H, 43.51%, 2/15/21 (a)

      4,120        7,136   

Series 1054, Class I, 852.63%, 3/15/21 (a)

      29        484   

Series 0176, Class M, 1,010.00%, 7/15/21

      12        235   

Series 1056, Class KD, 1,084.50%, 3/15/21

      20        237   

Series 1148, Class E, 1,157.88%,
10/15/21 (a)

      30        390   
 

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015    3

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency Securities   

Par  

(000)

     Value  

Interest Only Collateralized Mortgage Obligations (continued)

  

Freddie Mac Mortgage-Backed Securities (continued):

     

Series 0200, Class R, 194,559.29%, 12/15/22 (a)

    $ — (e)    $ 405   

Ginnie Mae Mortgage-Backed Securities (a):

     

Series 2009-116, Class KS, 6.27%, 12/16/39

      1,902        320,432   

Series 2011-52, Class MJ, 6.44%, 4/20/41

      12,101        2,381,501   

Series 2011-52, Class NS, 6.47%, 4/16/41

      13,616        2,476,673   
    

 

 

  
               11,953,827   

Mortgage-Backed Securities — 71.9%

  

Fannie Mae Mortgage-Backed Securities:

     

3.00%, 1/01/43 (f)

      24,970        25,143,703   

3.50%, 10/01/42 - 10/01/45 (f)

      30,891        32,064,000   

4.00%, 1/01/41 - 9/01/42 (f)

      26,669        28,359,869   

4.50%, 8/01/25 - 12/01/45 (f)(g)

      75,403        82,213,041   

5.00%, 1/01/23 - 12/01/45 (f)(g)

      59,438        65,965,380   

5.50%, 1/01/16 - 10/01/39 (f)

      24,954        27,438,495   

5.97%, 8/01/16

      2,872        2,927,761   

6.00%, 12/01/45 - 1/01/46 (g)

      43,600        49,370,176   

6.50%, 12/01/37 - 10/01/39

      7,002        8,025,357   

7.50%, 2/01/22

      — (e)      49   

9.50%, 1/01/19 - 9/01/19

      1        1,398   

Freddie Mac Mortgage-Backed Securities:

     

2.48%, 1/01/35 (a)

      176        180,215   

2.80%, 10/01/34 (a)

      105        107,627   

3.14%, 11/01/17 (a)

      1        952   

5.00%, 2/01/22 - 4/01/22

      223        238,491   

9.00%, 9/01/20

      10        10,034   

Ginnie Mae Mortgage-Backed Securities:

     

7.50%, 8/15/21 - 12/15/23

      102        107,330   

8.00%, 10/15/22 - 8/15/27

      45        48,377   

9.00%, 4/15/20 - 9/15/21

      3        2,770   
    

 

 

  
               322,205,025   

Principal Only Collateralized Mortgage Obligations — 0.2%

  

Fannie Mae Mortgage-Backed Securities (d):

     

Series 1999-W4, 0.00%, 2/25/29

      65        60,532   

Series 1991-7, Class J, 0.00%, 2/25/21

      3        3,251   

Series G93-2, Class KB, 0.00%, 1/25/23

      70        66,816   
U.S. Government Sponsored Agency Securities   

Par  

(000)

     Value  

Principal Only Collateralized Mortgage Obligations (continued)

  

Fannie Mae Mortgage-Backed
Securities (d) (continued):

     

Series 1993-51, Class E, 0.00%, 2/25/23

    $ 24      $ 23,152   

Series 203, Class 1, 0.00%, 2/25/23

      7        7,000   

Series 1993-70, Class A, 0.00%, 5/25/23

      4        3,545   

Series 0228, Class 1, 0.00%, 6/25/23

      6        5,791   

Series 2002-13, Class PR, 0.00%, 3/25/32

      141        129,946   

Freddie Mac Mortgage-Backed
Securities (d):

     

Series 1418, Class M, 0.00%, 11/15/22

      25        23,927   

Series 1571, Class G, 0.00%, 8/15/23

      185        176,401   

Series 1691, Class B, 0.00%, 3/15/24

      344        322,393   

Series T-8, Class A10, 0.00%, 11/15/28

      44        43,145   
    

 

 

  
               865,899   
Total U.S. Government Sponsored Agency
Securities — 141.7%		         634,875,440   
    
                  
U.S. Treasury Obligations               

U.S. Treasury Notes:

     

1.00%, 11/30/19 (f)

      2,965        2,907,553   

1.38%, 8/31/20

      4,045        3,996,177   

1.63%, 11/15/22

      780        761,170   

2.00%, 8/15/25

      2,860        2,802,912   

2.25%, 11/15/25 (f)

      6,500        6,518,538   
    

 

 

  
Total U.S. Treasury Obligations — 3.8%              16,986,350   
Total Long-Term Investments
(Cost — $663,667,165) — 147.9%		         662,586,475   
Short-Term Securities    Shares         

Money Market Funds — 1.6%

  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.14% (h)(i)

      6,980,220        6,980,220   
 

 

                
4    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

Short-Term Securities  

    

Shares

     Value  

Borrowed Bond Agreement (j) — 0.2%

    

Credit Suisse Securities (USA) LLC, 0.01%, Open (Purchased on 6/10/15 to be repurchased at $868,042, collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $875,878, respectively) (k)

     868      $ 868,000   
Total Short-Term Securities
(Cost — $7,848,220) — 1.8%		         7,848,220   
Total Investments Before TBA Sale Commitments
(Cost — $671,515,385) — 149.7%		         670,434,695   
   
                 
Borrowed Bonds  

Par  

(000)

         

U.S. Treasury Bonds, 2.75%, 11/15/42

     (917 )      (875,878 ) 
Total Borrowed Bonds — (0.2)%        (875,878 ) 
Borrowed Bonds  

Par  

(000)

     Value  

TBA Sale Commitments

    

Fannie Mae Mortgage-Backed Securities (g):

    

4.50%, 12/01/30

     3,000      $ (3,103,044 ) 

5.00%, 12/01/30 – 1/01/46

     24,800        (27,322,823 ) 

6.00%, 12/01/45

     21,800        (24,697,863 ) 
Total TBA Sale Commitments
(Proceeds — $55,076,094) — (12.3)%		         (55,123,730 ) 
Total Investments, Net of TBA Sale Commitments
(Cost — $616,439,291*) — 137.2%		         614,435,087   
Liabilities in Excess of Other Assets — (37.2)%        (166,542,754 ) 
   

 

 

  
Net Assets — 100.0%     $     447,892,333   
   

 

 

  

 

*   As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 649,422,055   
 

 

 

  

Gross unrealized appreciation

   $ 23,315,386   

Gross unrealized depreciation

     (58,302,354 ) 
 

 

 

  

Net unrealized depreciation

   $ (34,986,968 ) 
 

 

 

  
 
Notes to Schedule of Investments

 

(a)   Variable rate security. Rate shown is as of period end.

 

(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)   Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of period end.

 

(d)   Zero-coupon bond.

 

(e)   Amount is less than $500.

 

(f)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

(g)   Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows:

 

Counterparty      Value        Unrealized
Appreciation
(Depreciation)		  

J.P Morgan Securities Inc.

      $ (391,382 )       $ (14,632 ) 

Credit Suisse Securities (USA) LLC

      $ (25,550 )       $ 1,700   

Goldman Sachs & Co.

      $ 17,097,904         $ (25,701 ) 

Barclays Bank PLC

      $ (6,611,992 )       $ (8,383 ) 

 

(h)   During the period ended November 30, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015    5

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

Affiliate     

Shares Held

at August 31,

2015

       

Net

Activity

       

Shares Held

at November 30,

2015

        Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

        24,634,500           (17,654,280 )         6,980,220         $ 2,781   

 

(i)   Represents the current yield as of period end.

 

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

 

(k)   The amount to be repurchased assumes the maturity will be the day after the period end.

 

•  

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

 

Portfolio Abbreviations

 

CMO    Collateralized Mortgage Obligation
MBS    Mortgage-Backed Security
OTC    Over-the-Counter
TBA    To Be Announced
USD    U.S. Dollar

 

Derivative Financial Instruments Outstanding as of Period End

Reverse Repurchase Agreements

 

Counterparty     

Interest

Rate

       

Trade

Date

       

Maturity

Date1

        Face Value       

Face Value

Including

Accrued

Interest

  

BNP Paribas Securities Corp.

        0.11 %         6/10/15           Open         $ 2,880,000         $ 2,882,219   

HSBC Securities (USA) Inc.

        0.50 %         11/10/15           1/13/16           137,060,000           137,096,169   

Credit Suisse Securities (USA) LLC

        0.17 %         11/19/15           Open           13,196,277           13,196,963   

Credit Suisse Securities (USA) LLC

        0.05 %         11/23/15           Open           6,475,625           6,475,697   

Total

                     $ 159,611,902         $ 159,651,048   
                   

 

 

       

 

 

  

 

1   

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

Financial Futures Contracts

 

Contracts
Long
(Short)		     Issue         Expiration    Notional
Value		        Unrealized
Appreciation
(Depreciation)		  
  (12 )    90-Day Euro-Dollar      December 2015      USD         2,985,900         $ (10,823 ) 
  (132 )    10-Year U.S. Treasury Note      March 2016      USD         16,689,750           (51,426 ) 
  19      2-Year U.S. Treasury Note      March 2016      USD         4,133,391           (735 ) 
  48      5-Year U.S. Treasury Note      March 2016      USD         5,696,625           5,559   
  (12 )    90-Day Euro-Dollar      March 2016      USD         2,980,950           (9,849 ) 
  (697 )    Long U.S. Treasury Bond      March 2016      USD         107,338,000           (1,005,194 ) 
  249      Ultra Long U.S. Treasury Bond        March 2016      USD         39,450,937           157,376   

 

Total

  

      $ (915,092 ) 
                 

 

 

  

 

                
6    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

OTC Interest Rate Swaps

 

Fixed

Rate

   Floating
Rate		   Counterparty   Effective
Date		        Expiration
Date		     Notional
Amount
(000)		     Market
Value		     Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		       
4.87%1   3-month LIBOR   Goldman Sachs Bank USA         1/25/16      USD     5,500      $ 35,208        —      $ 35,208     
2.81%1   3-month LIBOR   Citibank N.A.         2/06/16      USD     20,000        88,806        —        88,806     
5.72%1   3-month LIBOR   JPMorgan Chase Bank N.A.         7/14/16      USD     5,400        168,782        —        168,782     
4.31%2   3-month LIBOR   Deutsche Bank AG         10/01/18      USD     60,000        (5,212,742 )      —        (5,212,742 )   
3.43%1   3-month LIBOR   JPMorgan Chase Bank N.A.         3/28/21      USD     6,000        560,131      $ (149,229 )      709,360     
5.41%1   3-month LIBOR   JPMorgan Chase Bank N.A.             8/15/22      USD     9,565        2,224,297        —        2,224,297       
Total                 $ (2,135,518 )    $ (149,229 )    $ (1,986,289 )   
               

 

 

    

 

 

    

 

 

    
  1   

Trust pays a floating rate and receives fixed rate.

  2   

Trust pays a fixed rate and receives floating rate.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value 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 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value 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 investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its annual report.

As of period end, the following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015    7

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

     Level 1        Level 2        Level 3        Total  

Assets:

                 
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

     —         $ 1,804,582         $ 501,698         $ 2,306,280   

Non-Agency Mortgage-Backed Securities

     —           6,392,499           2,025,906           8,418,405   

U.S. Government Sponsored Agency Securities

     —           631,929,019           2,946,421           634,875,440   

U.S. Treasury Obligations

     —           16,986,350           —           16,986,350   
Short-Term Securities:                 

Money Market Funds

   $ 6,980,220           —           —           6,980,220   

Borrowed Bond Agreement

          868,000                868,000   

Liabilities:

                 
Investments:                 

Borrowed Bonds

     —           (875,878 )         —           (875,878 ) 

TBA Sale Commitments

     —           (55,123,730 )         —           (55,123,730 ) 
 

 

 

  

Total

   $ 6,980,220         $ 601,980,842         $ 5,474,025         $ 614,435,087   
 

 

 

  

 

                
8    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 1                 

Assets:

                 

Interest rate contracts

   $ 162,935         $ 3,226,453         —      $ 3,389,388   

Liabilities:

                 

Interest rate contracts

   $ (1,078,027 )         (5,212,742 )       —        (6,290,769 ) 
 

 

 

  

Total

   $ (915,092 )       $ (1,986,289 )       —      $ (2,901,381 ) 
 

 

 

  

 

1   

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

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 

Cash pledged as collateral for OTC derivatives

   $ 5,940,000           —         —      $ 5,940,000   

Cash pledged for financial futures contracts

     1,761,260           —         —        1,761,260   

Liabilities:

                 

Cash received as collateral for OTC derivatives

     —         $ (3,940,000 )       —        (3,940,000 ) 

Cash received as collateral for reverse repurchase agreements

          (231 )              (231 ) 

Bank overdraft

     —           (76,577 )       —        (76,577 ) 

Reverse repurchase agreements

     —           (159,651,048 )       —        (159,651,048 ) 
 

 

 

  

Total

   $ 7,701,260         $ (163,667,856 )       —      $ (155,966,596 ) 
 

 

 

  

During the period ended November 30, 2015, there were no transfers between Level 1 and Level 2.

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015    9

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 		       U.S. Government
Sponsored Agency
Securities		        Total  

Assets:

                 

Opening Balance, as of August 31, 2015

   $ 522,965         $ 2,114,419         $ 3,072,791         $ 5,710,175   

Transfers into Level 3

     —           —           —           —   

Transfers out of Level 3

     —           —           —           —   

Accrued discounts/premiums

     (35,303 )         —           (2,768 )         (38,071 ) 

Net realized gain (loss)

     (72,699 )         3           (2,781 )         (75,477 ) 

Net change in unrealized appreciation/depreciation1,2

     86,735           (88,513 )         (10,060 )         (11,838 ) 

Purchases

     —           —           —           —   

Sales

     —           (3 )         (110,761 )         (110,764 ) 
 

 

 

  

Closing Balance, as of November 30, 2015

   $ 501,698         $ 2,025,906         $ 2,946,421         $ 5,474,025   
 

 

 

  

Net change in unrealized appreciation/depreciation on investments held as of November 30, 20152

   $ 86,735         $ (88,513 )       $ (10,060 )       $ (11,838 ) 
 

 

 

  

 

1   

Included in the related net change in unrealized appreciation/depreciation.

 

2   

Any difference between net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments held as of November 30, 2015 is generally due to investments no longer held or categorized as level 3 at period end.

Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

 

                
10    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2015   

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 22, 2016

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 22, 2016
By:    /s/ Neal J. Andrews                    
   Neal J. Andrews
   Chief Financial Officer (principal financial officer) of
   BlackRock Income Trust, Inc.
Date:    January 22, 2016