NPORT-EX 1 NPORT_222339459890691.htm EX-BKT

Schedule of Investments  (unaudited) 

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Asset-Backed Securities — 0.0%

 

Interest Only Asset-Backed Securities — 0.0%

 

Small Business Administration Participation Certificates, Series 2000-1, 1.00%, 03/15/21(a)(b)

   $ 113     $ 988  

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 03/30/30(a)(c)

     1,030       47,973  

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 04/15/29(a)(b)

     1,418       58,053  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost — $342,245)

 

     107,014  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 5.1%

 

Collateralized Mortgage Obligations — 3.6%

    

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

     54       53,358  

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR + 16.62%),
12.01%, 08/25/23(d)

     24       25,461  

Seasoned Credit Risk Transfer Trust, Class MA:

    

Series 2018-2, 3.50%, 11/25/57

     1,616       1,638,484  

Series 2018-3, 3.50%, 08/25/57

     2,221       2,250,633  

Series 2018-4, 3.50%, 03/25/58

     7,710       7,834,007  

Series 2019-1, 3.50%, 07/25/58

     2,479       2,509,321  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 4.26%, 08/25/34(b)

     487       476,212  
   

 

 

  
      14,787,476  
Commercial Mortgage-Backed Securities — 1.4%  

Benchmark Mortgage Trust, Series 2019-B9, Class A5, 4.02%, 03/15/52

     374       396,922  

CSAIL Commercial Mortgage Trust:

    

Series 2018-C14, Class XA,
0.57%, 11/15/51(b)

     2,399       104,278  

Series 2018-CX11, Class A5,
4.03%, 04/15/51(b)

     1,170       1,232,299  

Series 2019-C15, Class A4,
4.05%, 03/15/52

     1,575       1,665,312  

FRESB Mortgage Trust, Series 2019-SB60, Class A10F, 3.31%, 01/25/29(b)

     1,537       1,560,739  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.44%, 06/15/35(b)(c)

     310       306,938  

Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XA, 0.76%, 05/15/51(b)

     5,097       277,607  
   

 

 

  
      5,544,095  
Security   Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations — 0.0%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

   $ 296     $ 67,128  

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 01/25/37

     32,910       329  

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29(b)

     16,520       17  
   

 

 

  
      67,474  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, 0.00%, 09/25/23(e)

     14       13,175  

Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 02/25/36(e)

     220       188,055  

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

     94       69,888  
   

 

 

  
      271,118  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 5.1%
(Cost — $20,397,337)

 

     20,670,163  
   

 

 

  

U.S. Government Sponsored Agency Securities — 140.8%

 

Agency Obligations — 2.6%

 

Federal Housing Administration(a):

    

USGI Projects, Series 99,
7.43%, 06/01/21 - 10/01/23

     1,323       1,262,009  

Merrill Lynch Projects, Series 54,
7.43%, 05/15/23

     1       —  

Residual Funding Corp., 0.00%, 04/15/30(e)

     13,000       9,455,549  
   

 

 

  
      10,717,558  
Collateralized Mortgage Obligations — 69.6%  

Fannie Mae Mortgage-Backed Securities:

    

Series 2017-76, Class PB,
3.00%, 10/25/57

     3,415       3,193,994  

Series 4830, Class AV,
4.00%, 10/15/33

     1,069       1,151,825  

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

     3,060       3,267,419  

Series 2011-8, Class ZA,
4.00%, 02/25/41

     6,099       6,324,301  
 

 

 

     1  

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Collateralized Mortgage Obligations (continued)  

Fannie Mae Mortgage-Backed Securities (continued):

    

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

   $ 14,350     $ 15,339,762  

Series 2012-104, Class QD,
4.00%, 09/25/42

     1,639       1,781,162  

Series 2013-81, Class YK,
4.00%, 08/25/43

     7,000       7,548,218  

Series 2018-50, Class EB,
4.00%, 07/25/48

     2,001       2,178,426  

Series 2018-32, Class PS,
4.33%, 05/25/48(b)

     8,599       9,056,149  

Series 2010-134, Class DB,
4.50%, 12/25/40

     7,000       7,736,980  

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

     43,000       47,311,619  

Series 2010-47, Class JB, 5.00%, 05/25/30

     6,693       7,099,161  

Series 2003-135, Class PB,
6.00%, 01/25/34

     3,647       3,744,063  

Series 2004-31, Class ZG, 7.50%, 05/25/34

     4,705       5,609,237  

Series 2004-84, Class SD,
(1 mo. LIBOR + 12.75%),
8.52%, 04/25/34(d)

     2,113       2,345,795  

Series 1993-247, Class SN,
(11th District Cost of Funds + 63.85%),
10.00%, 12/25/23(d)

     54       60,941  

Series 2005-73, Class DS,
(1 mo. LIBOR + 17.55%),
11.09%, 08/25/35(d)

     170       193,104  

Series 1991-87, Class S,
(1 mo. LIBOR + 26.68%),
20.10%, 08/25/21(d)

     2       2,377  

Series G-49, Class S,
(1 mo. LIBOR + 1034.80%),
776.31%, 12/25/21(d)

     — (f)      4  

Series G-07, Class S,
(1 mo. LIBOR + 1144.57%),
864.22%, 03/25/21(d)

     — (f)      30  

Freddie Mac Mortgage-Backed Securities:

 

Series 4384, Class LB,
3.50%, 08/15/43

     5,100       5,236,725  

Series 4748, Class BM,
3.50%, 11/15/47

     3,351       3,437,709  

Series 3745, Class ZA,
4.00%, 10/15/40

     1,218       1,296,634  

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

     2,000       2,134,059  
Security   Par
(000)		     Value  
Collateralized Mortgage Obligations (continued)  

Freddie Mac Mortgage-Backed Securities (continued):

    

Series 3780, Class ZA, 4.00%, 12/15/40

   $ 2,298     $ 2,434,349  

Series 4269, Class PM, 4.00%, 08/15/41

     8,884       9,721,194  

Series 4016, Class BX, 4.00%, 09/15/41

     15,408       16,617,573  

Series 3960, Class PL, 4.00%, 11/15/41

     2,859       3,039,842  

Series 4299, Class JY, 4.00%, 01/15/44

     1,000       1,070,917  

Series 3688, Class PB, 4.50%, 08/15/32

     4,296       4,330,767  

Series 2731, Class ZA, 4.50%, 01/15/34

     3,656       3,848,804  

Series 4316, Class VB, 4.50%, 03/15/34

     10,787       11,364,956  

Series 4615, Class LB, 4.50%, 09/15/41

     8,000       8,916,198  

Series 3963, Class JB, 4.50%, 11/15/41

     800       890,974  

Series 4774, Class L, 4.50%, 03/15/48

     10,000       10,910,605  

Series 3856, Class PB, 5.00%, 05/15/41

     10,000       10,939,785  

Series 2927, Class BZ, 5.50%, 02/15/35

     4,494       4,953,461  

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

     762       779,177  

Series 0040, Class K, 6.50%, 08/17/24

     53       57,852  

Series 2218, Class Z, 8.50%, 03/15/30

     1,232       1,409,577  

Series 1160, Class F,
(1 mo. LIBOR + 40.16%),
29.61%, 10/15/21(d)

     2       2,220  

Ginnie Mae Mortgage-Backed Securities:

 

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

     5,972       5,983,314  

Series 2010-112, Class TL,
4.00%, 01/20/39

     6,307       6,344,278  

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

     6,323       6,406,964  

Series 2012-16, Class HJ,
4.00%, 09/20/40

     10,000       10,446,429  

Series 2011-88, Class PY,
4.00%, 06/20/41

     15,402       15,929,412  

Series 2015-96, Class ZM,
4.00%, 07/20/45

     7,267       7,979,056  

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

     8       8,436  
   

 

 

  
      280,435,834  
 

 

 

2   

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Commercial Mortgage-Backed Securities — 1.4%  

Fannie Mae Mortgage-Backed Securities, Series 2015-M1, Class X2,
0.54%, 09/25/24(b)

   $ 37,392     $ 904,711  

Freddie Mac Mortgage-Backed Securities, Class A2:

    

Series K087,
3.77%, 12/25/28

     1,172       1,247,507  

Series K079,
3.93%, 06/25/28

     635       684,384  

Ginnie Mae Mortgage-Backed Securities,
Class IO(b):

    

Series 2017-64, 0.72%, 11/16/57

     3,395       219,974  

Series 2016-119, 1.12%, 04/16/58

     19,757       1,642,333  

Series 2016-113, 1.18%, 02/16/58

     10,041       916,269  
   

 

 

  
      5,615,178  
Interest Only Collateralized Mortgage Obligations — 11.0%  

Fannie Mae Mortgage-Backed Securities:

 

Series 1997-50, Class SI,
(1 mo. LIBOR + 9.20%),
1.20%, 04/25/23(d)

     42       729  

Series G92-60, Class SB,
(11th District Cost of Funds + 9.35%),
1.60%, 10/25/22(d)

     20       406  

Series 2013-10, Class PI,
3.00%, 02/25/43

     10,412       986,920  

Series 2018-21, Class IO,
3.00%, 04/25/48

     20,535       3,323,943  

Series 2011-134, Class ST,
(1 mo. LIBOR + 6.00%),
3.51%, 12/25/41(d)

     10,470       1,636,344  

Series 2016-81, Class CS,
(1 mo. LIBOR + 6.10%),
3.61%, 11/25/46(d)

     8,030       1,125,421  

Series 2017-70, Class SA,
3.66%, 09/25/47(b)

     42,112       7,583,735  

Series 2015-66, Class AS,
(1 mo. LIBOR + 6.25%),
3.76%, 09/25/45(d)

     46,785       6,742,869  

Series 2011-100, Class S,
(1 mo. LIBOR + 6.45%),
3.96%, 10/25/41(d)

     2,461       357,132  

Series 2012-96, Class DI, 4.00%, 02/25/27

     1,984       122,795  

Series 2013-45, Class EI, 4.00%, 04/25/43

     4,676       823,747  
Security   Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Fannie Mae Mortgage-Backed Securities (continued):

  

Series 2006-36, Class PS,
(1 mo. LIBOR + 6.60%),
4.11%, 05/25/36(d)

   $ 4,826     $ 877,798  

Series 2011-124, Class GS,
(1 mo. LIBOR + 6.70%),
4.21%, 03/25/37(d)

     2,329       64,081  

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

     1,167       29,616  

Series 1997-90, Class M, 6.00%, 01/25/28

     736       70,607  

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

     77       6,535  

Series G92-05, Class H, 9.00%, 01/25/22

     — (f)      8  

Series 094, Class 2, 9.50%, 08/25/21

     — (f)      15  

Series 1990-136, Class S,
(1 mo. LIBOR + 17.60%),
17.60%, 11/25/20(d)

     — (f)      1  

Freddie Mac Mortgage-Backed Securities:

  

Series 2559, Class IO, 0.50%, 08/15/30(b)

     8       13  

Series 3923, Class SD,
(1 mo. LIBOR + 6.00%),
3.52%, 09/15/41(d)

     42,574       6,714,870  

Series 3954, Class SL,
(1 mo. LIBOR + 6.00%),
3.52%, 11/15/41(d)

     23,763       3,889,189  

Series 4611, Class BS,
(1 mo. LIBOR + 6.10%),
3.62%, 06/15/41(d)

     18,376       2,687,751  

Series 3745, Class IN, 4.00%, 01/15/35

     452       458  

Series 3744, Class PI, 4.00%, 06/15/39

     5,882       608,200  

Series 3796, Class WS,
(1 mo. LIBOR + 6.55%),
4.07%, 02/15/40(d)

     3,829       325,919  

Series 4026, Class IO, 4.50%, 04/15/32

     1,727       216,123  

Series 1043, Class H,
(1 mo. LIBOR + 45.00%),
33.82%, 02/15/21(d)

     1       1  

Ginnie Mae Mortgage-Backed Securities:

  

Series 2013-63, Class IO,
0.79%, 09/16/51(b)

     12,081       635,541  

Series 2014-169, Class IO,
0.83%, 10/16/56(b)

     31,635       1,543,452  
 

 

 

     3  

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Ginnie Mae Mortgage-Backed Securities (continued):

  

Series 2012-97, Class JS, (1 mo. LIBOR + 6.25%),
3.77%, 08/16/42(d)

   $ 13,584     $ 1,660,611  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%),
3.99%, 12/16/39(d)

     837       113,332  

Series 2011-52, Class MJ, (1 mo. LIBOR + 6.65%),
4.16%, 04/20/41(d)

     6,660       924,218  

Series 2011-52, Class NS, (1 mo. LIBOR + 6.67%),
4.19%, 04/16/41(d)

     7,929       1,272,068  
   

 

 

  
      44,344,448  
Mortgage-Backed Securities — 56.1%  

Fannie Mae Mortgage-Backed Securities:

 

2.50%, 04/01/34(g)

     180       178,926  

3.50%, 04/01/49(g)

     764       774,355  

4.00%, 01/01/41 - 01/01/57(h)

     107,497       111,433,272  

4.50%, 08/01/25 - 09/01/41(h)

     38,749       41,111,550  

5.00%, 04/10/19 - 04/01/49(g)(h)

     40,756       43,541,060  

5.50%, 01/01/21 - 10/01/39(h)

     8,369       9,196,097  

6.50%, 12/01/37 - 10/01/39(h)

     3,007       3,421,963  

7.50%, 02/01/22

     — (f)      1  

Freddie Mac Mortgage-Backed Securities:

 

Series T-11, Class A9, 3.19%, 01/25/28(b)

     485       496,023  

5.00%, 02/01/22 - 04/01/22

     53       54,812  

5.50%, 01/01/39(h)

     11,523       12,664,836  

9.00%, 09/01/20

     — (f)      370  

Ginnie Mae Mortgage-Backed Securities:

    

5.00%, 10/20/39(h)

     2,912       3,114,618  

7.50%, 01/15/23 - 11/15/23

     36       35,915  

8.00%, 10/15/22 - 08/15/27

     20       21,180  

9.00%, 04/15/20 - 09/15/21

     — (f)      762  
   

 

 

  
      226,045,740  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Fannie Mae Mortgage-Backed Securities(e):

 

Series 1991-7, Class J,
0.00%, 02/25/21

     — (f)      366  

Series G93-2, Class KB,
0.00%, 01/25/23

     25       23,605  

Series 1993-51, Class E,
0.00%, 02/25/23

     8       7,662  

Series 203, Class 1,
0.00%, 02/25/23

     2       2,341  
Security   Par
(000)		     Value  
Principal Only Collateralized Mortgage Obligations (continued)  

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

  

Series 1993-70, Class A,
0.00%, 05/25/23

   $ 1     $ 1,364  

Series 0228, Class 1,
0.00%, 06/25/23

     2       2,012  

Series 1999-W4, Class PO,
0.00%, 02/25/29

     37       34,263  

Series 2002-13, Class PR,
0.00%, 03/25/32

     64       57,172  

Freddie Mac Mortgage-Backed Securities(e):

    

Series 1418, Class M,
0.00%, 11/15/22

     8       7,698  

Series 1571, Class G,
0.00%, 08/15/23

     68       64,664  

Series 1691, Class B,
0.00%, 03/15/24

     145       136,065  

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

     5       4,870  
   

 

 

  
      342,082  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 140.8% (Cost — $585,159,835)

 

     567,500,840  
   

 

 

  

Total Long-Term Investments — 145.9%
(Cost — $605,899,417)

 

     588,278,017  
   

 

 

  
     Shares         

Short-Term Securities — 0.9%

 

Money Market Funds — 0.7%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.37% (k)(l)

     2,666,087       2,666,087  
   

 

 

  

Total Money Market Funds — 0.7%
(Cost — $2,666,087)

 

     2,666,087  
   

 

 

  
 

 

 

4   

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Borrowed Bond Agreement (i)(j) — 0.2%  

Credit Suisse Securities (USA) LLC, 2.38%, 12/31/49 (Purchased on 8/7/18 to be repurchased at $871,150. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $912,451, respectively)

   $ 871     $ 871,150  
   

 

 

  

Total Borrowed Bond Agreement — 0.2%
(Cost — $871,150)

 

     871,150  

Total Short-Term Securities — 0.9%
(Cost — $3,537,237)

 

     3,537,237  
   

 

 

  

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 146.8%
(Cost — $609,436,654)

 

     591,815,254  
   

 

 

  
Security  

Par

(000)

     Value  
Borrowed Bonds  

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

   $ (917 )    $ (912,451 ) 
   

 

 

  

Total Borrowed Bonds — (0.2)%
(Proceeds — $842,347)

 

     (912,451 ) 

TBA Sale Commitments — (11.9%)

 

Mortgage-Backed Securities — (11.9%)

 

Fannie Mae Mortgage-Backed Securities(g):

 

  

3.00%, 04/10/49

     26,827       (26,711,544 ) 

4.00%, 04/10/49

     20,500       (21,086,343 ) 
   

 

 

  

Total TBA Sale Commitments — (11.9)%
(Proceeds — $47,192,306)

 

     (47,797,887 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 134.7%
(Cost — $561,402,001)

 

     543,104,916  

Liabilities in Excess of Other Assets — (34.7)%

 

     (139,967,690 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 403,137,226  
   

 

 

  
 

 

(a) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(c) 

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.

(d) 

Variable rate security. Rate shown is the rate in effect as of period end.

(e) 

Zero-coupon bond.

(f) 

Amount is less than $500.

(g) 

Represents or includes a TBA transaction.

(h) 

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

(i) 

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

(j) 

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

(k) 

Annualized 7-day yield as of period end.

(l) 

During the period ended March 31, 2019, 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:

 

Affiliate  

Shares
Held at

12/31/18

      Net
Activity		     Shares
Held at
03/31/19		      Value at
03/31/19		      Income     

Net

Realized

Gain (Loss)(a)

      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

     6,469,268        (3,803,181 )      2,666,087      $ 2,666,087      $ 40,939      $ —      $ —  
            

 

 

     

 

 

     

 

 

  

 

(a) 

Includes net capital gain distributions, if applicable.

For Trust compliance purposes, the industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

     5  

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

 

Portfolio Abbreviations

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corp.

FNMA — Federal National Mortgage Association

IO — Interest Only

OTC — Over-the-Counter

PO — Principal Only

USD — U.S. Dollar

 

Reverse Repurchase Agreements

 

 

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

HSBC Securities (USA), Inc.

     2.70 %      03/11/19        4/10/19      $ 4,433,000      $ 4,439,317      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        18,487,000        18,513,344      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        17,918,000        17,943,533      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        7,761,000        7,772,059      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        2,600,000        2,603,705      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        12,043,000        12,060,161      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        6,559,000        6,568,347      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        4,602,000        4,608,558      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        6,056,000        6,064,630      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        2,476,000        2,479,528      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        7,717,000        7,727,997      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        3,508,000        3,512,999      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        2,997,000        3,001,271      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        2,637,000        2,640,758      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        43,986,000        44,050,702      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        3,515,000        3,520,009      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        5,794,000        5,802,256      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        5,842,000        5,850,325      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        13,137,000        13,155,720      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.70       03/11/19        4/10/19        9,606,000        9,619,689      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.80       03/22/19        4/10/19        2,008,869        2,010,431      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.80       03/22/19        4/10/19        1,841,271        1,842,704      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.80       03/22/19        4/10/19        1,844,644        1,846,079      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.80       03/22/19        4/10/19        1,732,947        1,734,294      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  
         

 

 

     

 

 

       
   $ 189,101,731      $ 189,368,416       
  

 

 

     

 

 

       

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Long Contracts:

                  

10-Year U.S. Treasury Note

      132          06/19/19        $ 16,397        $ 218,004  
                 

 

 

  

 

 

6   

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

 

Futures Contracts (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Short Contracts:

                  

90-Day Euro-Dollar

      63          06/17/19        $ 15,349        $ (2,618 ) 

10-Year U.S. Ultra Long Treasury

      245          06/19/19          32,531          (609,498 ) 

Long U.S. Treasury Bond

      317          06/19/19          47,441          (1,414,042 ) 

5-Year U.S. Treasury Note

      926          06/28/19          107,257          (920,661 ) 

90-Day Euro-Dollar

      53          09/16/19          12,924          (41,005 ) 

90-Day Euro-Dollar

      48          12/16/19          11,708          (57,607 ) 

90-Day Euro Future

      40          03/16/20          9,769          (68,114 ) 

90-Day Euro-Dollar

      93          06/15/20          22,733          (182,632 ) 

90-Day Euro Future

      93          09/14/20          22,748          (227,969 ) 
                 

 

 

  
                    (3,524,146 ) 
                 

 

 

  
                  $ (3,306,142 ) 
                 

 

 

  

OTC Interest Rate Swaps

 

Paid by the Trust    Received by the Trust      

 

      

 

        

 

     

Notional
Amount (000)

     

Value

     

Upfront
Premium

Paid

(Received)

     

Unrealized

Appreciation

(Depreciation)

  
Rate    Frequency    Rate   Frequency    Counterparty   

Effective

Date

     

Termination

Date

  
3-Month
LIBOR,
2.60%		    Quarterly    3.43%   Semi-Annual    JPMorgan Chase Bank N.A.      N/A        03/28/21      USD     6,000      $ 121,019      $ (57,806 )     $ 178,825  
3-Month
LIBOR,
2.60%		    Quarterly    5.41%   Semi-Annual    JPMorgan Chase Bank N.A.      N/A        08/15/22      USD     9,565        998,502        —        998,502  
                        

 

 

     

 

 

     

 

 

  
   $ 1,119,521      $ (57,806 )     $ 1,177,327  
  

 

 

     

 

 

     

 

 

  

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 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 BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. 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.

 

 

     7  

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Income Trust, Inc. (BKT)

 

Fair Value Hierarchy as of Period End (continued)

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.

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

   $ —      $ —      $ 107,014      $ 107,014  

Non-Agency Mortgage-Backed Securities

     —        20,670,163        —        20,670,163  

U.S. Government Sponsored Agency Securities

     —        566,238,831        1,262,009        567,500,840  

Short-Term Securities:

            

Money Market Funds

     2,666,087        —        —        2,666,087  

Borrowed Bond Agreement

     —        871,150        —        871,150  

Liabilities:

           

Investments:

            

Borrowed Bonds

      —        (912,451 )       —        (912,451 ) 

TBA Sale Commitments

     —        (47,797,887 )       —        (47,797,887 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ 2,666,087      $ 539,069,806      $ 1,369,023      $ 543,104,916  
  

 

 

     

 

 

     

 

 

     

 

 

  

Derivative Financial Instruments(a)

            

Assets:

           

Interest rate contracts

   $ 218,004      $ 1,177,327      $ —      $ 1,395,331  

Liabilities:

           

Interest rate contracts

     (3,524,146 )       —        —        (3,524,146 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ (3,306,142 )     $ 1,177,327      $ —      $ (2,128,815 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts 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 for financial statement purposes. As of period end, reverse repurchase agreements of $189,368,416 are categorized as Level 2 within the disclosure hierarchy.

During the period ended March 31, 2019 there were no transfers between levels.

 

 

8