N-Q 1 d301618dnq.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: 08/31/2017

Date of reporting period: 11/30/2016

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2016 (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, 1.02%, 10/25/35 (a)

   $ 1,875      $ 1,714,422   

Small Business Administration Participation Certificates, Series 1997-20C, Class 1, 7.15%, 3/01/17

     6        5,868   
   

 

 

  
              1,720,290   

Interest Only Asset-Backed Securities — 0.1%

    

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

     370        3,239   

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

     1,747        121,212   

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

     4,828        328,881   
   

 

 

  
              453,332   

Total Asset-Backed Securities — 0.5%

             2,173,622   
   
                 

Non-Agency Mortgage-Backed Securities

                

Collateralized Mortgage Obligations — 0.6%

    

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

     214        208,328   

Homebanc Mortgage Trust, Series 2005-4, Class A1,
0.86%, 10/25/35 (a)

     1,518        1,399,076   

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 15.52%, 8/25/23 (a)

     35        38,363   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 3.01%, 8/25/34 (a)

     766        759,445   
   

 

 

  
              2,405,212   

Interest Only Collateralized Mortgage Obligations — 0.4%

  

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

     441        98,190   

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

     1,976        20   

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

     43,771        54,714   

Non-Agency Mortgage-Backed

Securities

   Par
(000)		     Value  

Interest Only Collateralized Mortgage Obligations (continued)

  

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

   $ 5,393      $ 107,852   

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

     97        6,132   

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

     66        1,212   

Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.78%, 3/20/35 (a)

     23,310        641,033   

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 2.26%, 8/25/36 (a)

     10,250        743,099   

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

     26,213        27   
   

 

 

  
              1,652,279   

Principal Only Collateralized Mortgage Obligations — 0.1%

  

Countrywide Home Loan Mortgage Pass-Through Trust: Series 2003-J5, 0.00%, 7/25/33

     41        38,343   

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

     33        30,650   

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

     — (d)      22   

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

     334        270,277   

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

     135        97,032   
   

 

 

  
              436,324   

Total Non-Agency Mortgage-Backed Securities — 1.1%

             4,493,815   
   
                 
U.S. Government Sponsored Agency Securities                

Agency Obligations — 2.5%

    

Federal Housing Administration: USGI Projects, Series 99, 7.43%, 6/01/21 - 10/01/23

     2,554        2,438,436   

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

     31        30,318   
 

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016    1

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency

Securities

   Par
(000)		     Value  

Agency Obligations (continued)

    

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

   $ 13,000      $ 8,480,472   
   

 

 

  
      10,949,226   

Collateralized Mortgage Obligations — 63.8%

                

Fannie Mae Mortgage-Backed Securities:

    

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

     15,567        15,960,467   

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

     6,316        6,639,660   

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

     14,350        15,411,457   

Series 2010-136, Class CY, 4.00%, 12/25/40

     3,060        3,277,347   

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

     43,000        47,906,670   

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

     10,000        10,893,524   

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

     9,174        9,759,433   

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

     4,696        5,615,267   

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

     107        130,933   

Series 2005-73, Class DS, 16.03%, 8/25/35 (a)

     628        748,724   

Series 1991-87, Class S, 25.13%, 8/25/21 (a)

     10        12,900   

Series G-49, Class S, 974.04%, 12/25/21 (a)

     — (d)      82   

Series G-07, Class S, 1,078.67%, 3/25/21 (a)

     — (d)      511   

Series 1991-46, Class S, 2,385.21%, 5/25/21 (a)

     — (d)      1   

Freddie Mac Mortgage-Backed Securities:

    

Series T-11, Class A9, 3.09%, 1/25/28 (a)

     820        856,343   

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

     6,448        6,697,812   

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

     8,884        9,305,851   

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

     2,000        2,119,594   

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

     15,408        16,754,516   

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

     10,000        10,550,685   

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

     10,787        11,697,552   

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

     10,000        11,220,761   

U.S. Government Sponsored Agency

Securities

   Par
(000)		     Value  

Collateralized Mortgage Obligations (continued)

    

Freddie Mac Mortgage-Backed Securities (continued):

    

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

   $ 2,440      $ 2,457,367   

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

     3,954        4,340,230   

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

     1,759        1,888,258   

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

     106        120,766   

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

     9        8,951   

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

     2,016        2,309,775   

Series 0173, Class RS, 10.42%, 11/15/21 (a)

     — (d)      3   

Series 1160, Class F, 37.17%, 10/15/21 (a)

     5        7,910   

Ginnie Mae Mortgage-Backed Securities:

    

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

     19,300        19,925,440   

Series 2015-96, Class ZM, 4.00%, 7/20/45

     6,599        6,968,771   

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

     15,000        15,558,313   

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

     11,489        11,982,758   

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

     10,000        10,513,312   

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

     15,402        16,031,378   

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

     104        108,193   
   

 

 

  
              277,781,515   

Interest Only Collateralized Mortgage Obligations — 2.2%

  

  

Fannie Mae Mortgage-Backed Securities:

    

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

     91        2,472   

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

     49        1,715   

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

     4,157        357,754   

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

     8,186        1,369,093   

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

     4,684        276,318   

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

     1,465        198,246   

Series 2011-124, Class GS, 6.12%, 3/25/37 (a)

     8,741        776,324   
 

 

                
2    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency

Securities

   Par
(000)		     Value  

Interest Only Collateralized Mortgage Obligations (continued)

  

Fannie Mae Mortgage-Backed Securities (continued):

  

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

   $ 127      $ 12,246   

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

     — (d)      3   

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

     — (d)      1   

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

     1        75   

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

     1        85   

Series 1990-136, Class S, 19.49%, 11/25/20 (a)

     3        4   

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

     — (d)      1   

Series G-10, Class S, 1,043.54%, 5/25/21 (a)

     — (d)      2   

Series G-12, Class S, 1,107.54%, 5/25/21 (a)

     — (d)      1   

Freddie Mac Mortgage-Backed Securities:

    

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

     40        254   

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

     9,524        1,039,729   

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

     13,168        725,369   

Series 4026, 4.50%, 4/15/32

     3,052        400,126   

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

     546        29,821   

Series 1043, Class H, 41.83%, 2/15/21 (a)

     3        5   

Ginnie Mae Mortgage-Backed Securities (a):

    

Series 2009-116, Class KS, 5.76%, 12/16/39

     1,395        217,909   

Series 2011-52, Class NS, 5.96%, 4/16/41

     11,486        2,191,842   

Series 2011-52, Class MJ, 6.09%, 4/20/41

     9,975        1,861,076   
   

 

 

  
              9,460,471   

Mortgage-Backed Securities — 70.3%

    

Fannie Mae Mortgage-Backed Securities:

    

3.00%, 1/01/43 - 12/01/46 (f)

     63,056        62,989,767   

3.50%, 10/01/42 - 10/01/45

     25,720        26,475,389   

4.00%, 1/01/41 - 12/01/46

     57,613        60,925,688   

4.50%, 8/01/25 - 9/01/41 (f)

     57,287        62,414,025   

5.00%, 1/01/23 - 10/01/41

     37,396        41,336,619   

5.50%, 1/01/17 - 10/01/39

     16,412        18,331,343   

U.S. Government Sponsored Agency

Securities

   Par
(000)		     Value  

Mortgage-Backed Securities (continued)

    

Fannie Mae Mortgage-Backed Securities (continued):

    

6.50%, 12/01/37 - 10/01/39

   $ 5,248      $ 5,944,801   

7.50%, 2/01/22

     — (d)      18   

9.50%, 1/01/19 - 9/01/19

     1        1,002   

Freddie Mac Mortgage-Backed Securities:

    

2.86%, 1/01/35 (a)

     168        172,034   

2.93%, 10/01/34 (a)

     101        103,084   

3.14%, 11/01/17 (a)

     — (d)      198   

5.00%, 2/01/22 - 4/01/22

     161        170,834   

5.50%, 1/01/39

     18,994        21,346,765   

9.00%, 9/01/20

     4        4,356   

Ginnie Mae Mortgage-Backed Securities:

    

5.00%, 10/15/39

     4,991        5,548,452   

7.50%, 8/15/21 - 11/15/23

     72        75,489   

8.00%, 10/15/22 - 8/15/27

     39        40,848   

9.00%, 4/15/20 - 9/15/21

     2        2,092   
   

 

 

  
              305,882,804   

Principal Only Collateralized Mortgage Obligations — 0.1%

  

Fannie Mae Mortgage-Backed Securities:

    

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

     2        2,048   

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

     55        52,371   

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

     19        18,108   

Series 203, Class 1, 0.00%, 2/25/23 (e)

     6        5,387   

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

     3        2,825   

Series 0228, Class 1, 0.00%, 6/25/23 (e)

     5        4,292   

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

     53        49,418   

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

     116        106,698   

Freddie Mac Mortgage-Backed Securities:

    

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

     139        134,105   

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

     277        257,195   

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

     33        32,784   
 

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016    3

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

U.S. Government Sponsored Agency Securities   Par
(000)		     Value  

Principal Only Collateralized Mortgage Obligations (continued)

  

Freddie Mac Mortgage-Backed Securities (continued):

  

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

   $ 18      $ 17,821   
   

 

 

  
      683,052   

Total U.S. Government Sponsored Agency Securities — 138.9%

             604,757,068   
   
                 

U.S. Treasury Obligations

                

U.S. Treasury Bonds, 2.50%, 2/15/46

     2,500        2,237,793   

U.S. Treasury Notes:

    

1.00%, 11/30/19 (f)

     2,965        2,930,600   

1.38%, 8/31/20 (f)

     4,045        4,005,023   

1.63%, 11/15/22

     780        760,500   

2.00%, 8/15/25

     2,860        2,781,685   

Total U.S. Treasury Obligations — 2.9%

             12,715,601   

Total Long-Term Investments

(Cost — $635,394,140) — 143.4%

             624,140,106   
   
                 
Short-Term Securities                

Borrowed Bond Agreement (g)(h) — 0.2%

    

Credit Suisse Securities (USA) LLC, 0.26%, Open (Purchased on 3/15/16 to be repurchased at $937,499. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and 873,765 respectively)

     935        935,340   
   
                 
Short-Term Securities  
Shares		         

Money Market Funds — 4.5%

    

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.25% (i)(j)

     19,593,116        19,593,116   

Total Short-Term Securities

(Cost — $20,528,456) — 4.7%

             20,528,456   

Total Investments Before Borrowed Bonds and TBA Sale Commitments

(Cost — $655,922,596) — 148.1%

             644,668,562   
   
                 

Borrowed Bonds

   Par
(000)		     Value  

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

   $ (917 )    $ (873,765 ) 

Total Borrowed Bonds

(Proceeds — $842,347) — (0.2)%

             (873,765 ) 
   
                 

TBA Sale Commitments

    

Fannie Mae Mortgage-Backed Securities (k):

    

5.00%, 12/01/46

     12,900        (14,133,996 ) 

3.00%, 12/01/46 - 1/01/47

     52,150        (51,912,338 ) 

4.00%, 12/01/46 - 1/01/47

     36,600        (38,530,657 ) 
Total TBA Sale Commitments
(Proceeds — $105,938,709) — (24.0)%		             (104,576,991 ) 

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments

(Cost — $549,141,540) — 123.9%

       539,217,806   

Liabilities in Excess of Other Assets — (23.9)%

       (103,899,811 ) 
   

 

 

  

Net Assets — 100.0%

     $ 435,317,995   
   

 

 

  

 

*   As of November 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 664,085,456   
 

 

 

  

Gross unrealized appreciation

   $ 19,647,615   

Gross unrealized depreciation

     (39,064,509 ) 
 

 

 

  

Net unrealized depreciation

   $ (19,416,894 ) 
 

 

 

  
 
Notes to Schedule of Investments      
(a)   Variable rate security. Rate 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)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(d)   Amount is less than $500.

 

                
4    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

(e)   Zero-coupon bond.

 

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

 

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

 

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

 

(i)   During the period ended November 30, 2016, investments in issuers considered to be affiliates of the Trust 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,
2016		        Net
Activity		        Shares Held
at November 30,
2016		        Value at
November 30,
2016		        Income        Realized
Gain (Loss)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

        —           19,593,116         $ 19,593,116         $ 19,593,116         $ 7,750           —   

BlackRock Liquidity Funds, TempFund, Institutional Class

        7,183,580           (7,183,580 )         —           —           24           —   

Total

  

      $ 19,593,116         $ 7,774         $ —   
                   

 

 

  

 

(j)   Current yield as of period end.

 

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

 

Counterparty   Value       

Unrealized
Appreciation

(Depreciation)

  

Bank of America Securities LLC

   $ 10,941         $ (236 ) 

Barclays Bank PLC

   $ (7,675,088 )       $ 71,804   

BNP Paribas Securities Corporation

   $ 2,031         $ —   

Credit Suisse Securities (USA) LLC

   $ (9,503,741 )       $ 234,977   

Deutsche Bank Securities, Inc.

   $ (16,935,188 )       $ (746 ) 

Goldman Sachs & Co.

   $ (18,580,055 )       $ 391,629   

J.P. Morgan Securities LLC

   $ (34,339,484 )       $ 644,514   

Wells Fargo Securities LLC

   $ (1,195,313 )       $ 10,687   

 

  •  

For Trust compliance purposes, the sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Reverse Repurchase Agreements  
Counterparty   Interest
Rate		     Trade
Date		     Maturity
Date1		     Face Value     Face Value
Including
Accrued
Interest		     Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the  Agreements		  

BNP Paribas Securities Corp.

     0.48 %      6/13/16        Open      $ 2,972,413      $ 2,979,712      U.S. Treasury Obligations     Open/Demand 1 

BNP Paribas Securities Corp.

     0.48 %      6/13/16        Open        4,110,731        4,124,291      U.S. Treasury Obligations     Open/Demand 1 

Credit Suisse Securities (USA) LLC

     0.49 %      10/26/16        Open        11,354,936        11,360,500      U.S. Government Sponsored Agency Securities     Open/Demand 1 

HSBC Securities (USA), Inc.

     0.65 %      11/09/16        12/13/16        63,846,000        63,865,597      U.S. Government Sponsored Agency Securities     Up to 30 Days   

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016    5

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

Reverse Repurchase Agreements (continued)  
Counterparty   Interest
Rate		     Trade
Date		     Maturity
Date1		     Face Value     Face Value
Including
Accrued
Interest		     Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the  Agreements		  

Citigroup Global Markets, Inc.

     0.83 %      11/09/16        1/18/17      $ 91,232,000      $ 91,267,758      U.S. Government Sponsored Agency Securities     31 - 90 Days   

Total

         $ 173,516,080      $ 173,597,858       
       

 

 

      

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

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts                  
Contracts
Long (Short)		        Issue   Expiration        Notional Value     Unrealized
Appreciation
(Depreciation)		         
  104         5-Year U.S. Treasury Note   March 2017     $ 22,548,500      $ (4,924 )   
  (95 )       5-Year U.S. Treasury Note   March 2017     $ 11,195,156        12,001     
  (105 )       10-Year U.S. Treasury Note   March 2017     $ 13,074,141        25,775     
  (71 )       10-Year U.S. Ultra Long Treasury Note   March 2017     $ 9,545,062        (23,168 )   
  (811 )       Long U.S. Treasury Bond   March 2017     $ 122,689,094        376,460     
  285         Ultra Long U.S. Treasury Bond   March 2017       $ 46,000,781        (113,780 )         
  Total                 $ 272,364     
            

 

 

  

 

OTC Interest Rate Swaps
Fixed
Rate		     Floating
Rate		  
Counterparty		   Effective
Date		     Expiration
Date		     Notional
Amount
(000)		    
Value		     Premiums
Received		    

Unrealized
Appreciation

(Depreciation)

  
  4.31 %1    3-Month LIBOR   Deutsche Bank AG     N/A        10/01/18      $ 60,000      $ (3,637,982 )      —      $ (3,637,982 ) 
  3.43 %2    3-Month LIBOR   JPMorgan Chase Bank N.A.     N/A        3/28/21      $ 6,000        458,843      $ (122,165 )      581,008   
  5.41 %2    3-Month LIBOR   JPMorgan Chase Bank N.A.     N/A        8/15/22      $ 9,565        2,000,778        —        2,000,778   
  Total                $ (1,178,361 )    $ (122,165 )    $ (1,056,196 ) 
           

 

 

  

      

1    Fund pays a fixed rate and receives the floating rate.

       

      

      

2    Fund pays a floating rate and receives the fixed rate.

       

      

 

Portfolio Abbreviation

 

OTC    Over-the-Counter

 

                
6    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

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 methodologies 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 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. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation methodologies 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.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

        
Investments:        
Long-Term Investments:        

Asset-Backed Securities

     —      $ 1,720,290      $ 453,332      $ 2,173,622   

Non-Agency Mortgage-Backed Securities

     —        2,947,117        1,546,698        4,493,815   

U.S. Government Sponsored Agency Securities

     —        602,288,311        2,468,757        604,757,068   

U.S. Treasury Obligations

     —        12,715,601        —        12,715,601   
Short-Term Securities:        

Money Market Funds

   $ 19,593,116        —        —        19,593,116   

Borrowed Bond Agreement

     —        935,340        —        935,340   

Liabilities:

        
Investments:        

Borrowed Bonds

     —        (873,765 )      —        (873,765 ) 

TBA Sale Commitments

     —        (104,576,991 )      —        (104,576,991 ) 
 

 

 

  

Total

   $ 19,593,116      $ 515,155,903      $ 4,468,787      $ 539,217,806   
 

 

 

  

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016    7

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

     Level 1     Level 2     Level 3     Total  
Derivative Financial Instruments 1        

Assets:

        

Interest rate contracts

   $ 414,236      $ 2,581,786        —      $ 2,996,022   

Liabilities:

        

Interest rate contracts

     (141,872 )      (3,637,982 )      —        (3,779,854 ) 
 

 

 

  

Total

   $ 272,364      $ (1,056,196 )      —      $ (783,832 ) 
 

 

 

  

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

        

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount 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:

        

Futures contracts

   $ 2,790,260        —        —      $ 2,790,260   

Collateral – OTC derivatives Collateral – repurchase agreements

     3,940,000        —        —        3,940,000   
    619,303        —        —        619,303   

Liabilities:

        

Bank overdraft

     —      $ (35,955 )      —        (35,955 ) 

Cash received:

        

Collateral – OTC derivatives

     —        (2,830,000 )      —        (2,830,000 ) 

Collateral – TBA Commitments

     —        (540,000 )      —        (540,000 ) 

Reverse repurchase agreements

     —        (173,597,858 )      —        (173,597,858 ) 
 

 

 

  

Total

   $ 7,349,563      $ (177,003,813 )      —      $ (169,654,250 ) 
 

 

 

  

During the period ended November 30, 2016, there were no transfers between Level 1 and Level 2.

 

                
8    BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016   

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, 2016

   $ 468,888      $ 1,589,583      $ 2,580,068      $ 4,638,539   

Transfers into Level 3

     —        12,150        —        12,150   

Transfers out of Level 3

     —        —        —        —   

Accrued discounts/premiums

     (31,235 )      —        (2,576 )      (33,811 ) 

Net realized gain (loss)

     (26,965 )      (109 )      (2,450 )      (29,524 ) 

Net change in unrealized appreciation (depreciation)1

     42,644        (54,925 )      10,236        (2,045 ) 

Purchases

     —        —        —        —   

Sales

     —        (1 )      (116,521 )      (116,522 ) 
 

 

 

  

Closing Balance, as of November 30, 2016

   $ 453,332      $ 1,546,698      $ 2,468,757      $ 4,468,787   
 

 

 

  

Net change in unrealized appreciation (depreciation) on investments held as of November 30, 2016

   $ 42,644      $ (54,925 )    $ 10,236      $ (2,045 ) 
 

 

 

  

1    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of November 30, 2016 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.

   

 

                
   BLACKROCK INCOME TRUST, INC.    NOVEMBER 30, 2016    9

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 23, 2017

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 23, 2017

 

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

Date:  January 23, 2017