NPORT-EX 2 BRIncomeTrust.HTM EX-BKT

Schedule of Investments  (unaudited) 

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Asset-Backed Securities(a) — 0.0%

 

Interest Only Asset-Backed Securities — 0.0%

 

Small Business Administration Participation Certificates, Series 2000-1, 1.80%, 03/15/21(b)

   $ 91     $ —  

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

     973       43,473  

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

     1,267       51,088  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost — $292,385)

 

     94,561  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 4.8%

 

Collateralized Mortgage Obligations — 3.5%  

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

     25       24,388  

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, (1 mo. LIBOR + 16.62%), 12.87%, 08/25/23(d)

     21       23,125  

Seasoned Credit Risk Transfer Trust, Class MA:

    

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

     1,502       1,563,890  

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

     2,086       2,174,065  

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

     7,242       7,543,041  

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

     2,327       2,426,252  

Series 2019-2, 3.50%, 08/25/58

     817       847,760  
   

 

 

  
    14,602,521  
Commercial Mortgage-Backed Securities — 1.2%  

CSAIL Commercial Mortgage Trust, Class XA(b):

    

Series 2018-C14, 0.73%, 11/15/51

     2,396       101,015  

Series 2019-C16, 1.73%, 06/15/52

     6,498       796,924  

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

     1,533       1,615,249  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 3.15%, 06/15/35(c)(d)

     290       288,817  

One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/13/49(c)

     1,717       1,725,637  

Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XA, 0.92%, 05/15/51(b)

     5,081       266,194  
   

 

 

  
    4,793,836  
Interest Only Collateralized Mortgage Obligations — 0.0%  

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

     278       64,086  
Security   Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

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

   $ 31,893     $ 319  

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.05%, 05/15/29(b)

     14,728       15  
   

 

 

  
    64,420  
Principal Only Collateralized Mortgage Obligations(e) — 0.1%  

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

     13       12,645  

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

     201       175,386  

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

     92       69,841  
   

 

 

  
    257,872  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 4.8%
(Cost — $18,993,294)

 

     19,718,649  
   

 

 

  

U.S. Government Sponsored Agency
Securities — 177.9%

 

Agency Obligations — 2.8%            

Federal Housing Administration(a):

    

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

     1,046       1,033,860  

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

     1       —  

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

     13,000       10,372,975  
   

 

 

  
    11,406,835  
Collateralized Mortgage Obligations — 69.4%            

Fannie Mae Mortgage-Backed Securities:

    

4.03%, 06/25/49

     19,212       3,906,079  

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

     3,415       3,568,177  

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

     3,060       3,426,724  

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

     5,752       6,121,496  

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

     14,350       16,274,570  

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

     1,639       1,934,759  

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

     7,000       8,042,117  

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

     2,001       2,281,964  
 

 

 

1

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

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

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

   $ 7,000     $ 8,031,428  

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

     43,000       49,221,343  

Series 2018-32, Class PS, (1 mo. LIBOR + 7.23%), 4.88%, 05/25/48(d)

     8,275       9,145,790  

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

     6,035       6,532,592  

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

     2,998       3,089,537  

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

     4,357       5,316,205  

Series 2004-84, Class SD, (1 mo. LIBOR + 12.75%), 9.32%, 04/25/34(d)

     1,928       2,192,625  

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

     43       49,131  

Series 2005-73, Class DS, (1 mo. LIBOR + 17.55%), 12.30%, 08/25/35(d)

     144       174,352  

Series 1991-87, Class S, (1 mo. LIBOR + 26.68%), 21.33%, 08/25/21(d)

     1       1,304  

Series G-49, Class S, (1 mo. LIBOR + 1034.80%), 824.89%, 12/25/21(d)

     — (f)      2  

Series G-07, Class S, (1 mo. LIBOR + 1151.69%), 902.60%, 03/25/21(d)

     — (f)      12  

Freddie Mac Mortgage-Backed Securities:

    

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

     5,100       5,438,746  

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

     3,351       3,774,269  

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

     1,069       1,233,093  

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

     1,242       1,381,493  

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

     2,000       2,293,740  

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

     2,344       2,630,288  

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

     8,884       10,410,488  

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

     15,408       17,522,667  

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

     2,859       3,199,804  
Security   Par
(000)		     Value  
Collateralized Mortgage Obligations (continued)  

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

   $ 1,000     $ 1,151,510  

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

     3,152       3,189,574  

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

     3,551       3,837,904  

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

     10,787       11,618,597  

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

     8,000       9,531,461  

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

     800       929,386  

Series 4774, Class L, 4.50%, 03/15/48

     10,000       11,256,112  

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

     10,000       11,359,972  

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

     4,518       5,049,801  

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

     590       605,462  

Series 0040, Class K, 6.50%, 08/17/24

     44       48,463  

Series 2218, Class Z, 8.50%, 03/15/30

     1,075       1,247,485  

Series 1160, Class F, (1 mo. LIBOR + 40.16%), 31.55%, 10/15/21(d)

     1       1,692  

Ginnie Mae Mortgage-Backed Securities:

    

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

     2,585       2,587,725  

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

     3,806       3,825,429  

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

     4,797       4,872,143  

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

     10,000       10,782,876  

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

     15,402       16,428,312  

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

     7,413       8,799,651  

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

     3       2,632  
   

 

 

  
    284,320,982  
Commercial Mortgage-Backed Securities — 1.5%  

Fannie Mae Mortgage-Backed Securities,
Series 2015-M1, Class X2,
0.64%, 09/25/24(b)

     34,585       765,696  
 

 

 

2

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Commercial Mortgage-Backed Securities (continued)  

FRESB Mortgage Trust, Series 2019-SB61, Class A10F, 3.17%, 01/25/29(b)

   $ 1,267     $ 1,325,706  

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

    

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

     3,365       211,367  

Series 2013-63, 0.79%, 09/16/51

     11,647       590,689  

Series 2014-169, 0.82%, 10/16/56

     31,304       1,478,505  

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

     15,636       1,136,903  

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

     9,645       867,100  
   

 

 

  
    6,375,966  
Interest Only Collateralized Mortgage Obligations — 9.1%  

Fannie Mae Mortgage-Backed Securities:

    

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

     34       534  

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

     16       273  

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

     9,519       773,259  

Series 2011-134, Class ST, (1 mo. LIBOR + 6.00%), 3.98%, 12/25/41(d)

     29,842       5,896,566  

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

     1,685       78,119  

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

     4,000       382,436  

Series 2016-81, Class CS, (1 mo. LIBOR + 6.10%), 4.08%, 11/25/46(d)

     7,236       1,226,573  

Series 2017-70, Class SA, (1 mo. LIBOR + 6.15%), 4.13%, 09/25/47(d)

     38,927       7,985,052  

Series 2015-66, Class AS, (1 mo. LIBOR + 6.25%), 4.23%, 09/25/45(d)

     22,608       3,962,144  

Series 2006-36, Class PS, (1 mo. LIBOR + 6.60%), 4.58%, 05/25/36(d)

     4,418       920,928  

Series 2011-124, Class GS, (1 mo. LIBOR + 6.70%), 4.68%, 03/25/37(d)

     1,109       14,227  

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

     691       9,506  

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

     612       50,316  

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

     69       5,604  

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

     — (f)      4  
Security   Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Series 094, Class 2, 9.50%, 08/25/21

   $ — (f)    $ 9  

Freddie Mac Mortgage-Backed Securities:

    

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

     5       4  

Series 3923, Class SD, (1 mo. LIBOR + 6.00%), 3.97%, 09/15/41(d)

     38,455       6,743,551  

Series 3954, Class SL, (1 mo. LIBOR + 6.00%), 3.97%, 11/15/41(d)

     21,897       4,183,951  

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

     5,206       393,262  

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

     1,538       165,038  

Series 3796, Class WS, (1 mo. LIBOR + 6.55%), 4.52%, 02/15/40(d)

     3,145       295,853  

Series 1043, Class H, (1 mo. LIBOR + 45.00%), 35.88%, 02/15/21(d)

     — (f)      1  

Ginnie Mae Mortgage-Backed Securities:

    

Series 2012-97, Class JS, (1 mo. LIBOR + 6.25%), 4.22%, 08/16/42(d)

     12,321       1,813,628  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 4.44%, 12/16/39(d)

     777       109,657  

Series 2011-52, Class MJ, (1 mo. LIBOR + 6.65%), 4.61%, 04/20/41(d)

     6,107       887,485  

Series 2011-52, Class NS,
4.64%, 04/16/41(b)

     7,308       1,366,797  
   

 

 

  
    37,264,777  
Mortgage-Backed Securities — 95.0%  

Fannie Mae Mortgage-Backed Securities:

    

2.50%, 10/01/34(g)

     180       181,529  

3.00%, 10/01/49(g)

     160,222       162,625,330  

3.50%, 10/01/49 - 11/01/49(g)

     6,264       6,425,461  

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

     108,993       115,753,832  

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

     35,543       38,558,882  

5.00%, 01/01/23 - 10/01/49(g)(h)

     35,733       38,954,122  

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

     7,697       8,673,960  

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

     2,743       3,219,428  

7.50%, 02/01/22

     — (f)      1  
 

 

 

3

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Mortgage-Backed Securities (continued)  

Freddie Mac Mortgage-Backed Securities:

    

Series T-11, Class A9, 0.12%, 01/25/28(b)

   $ 417     $ 427,591  

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

     39       40,432  

5.50%, 01/01/39(h)

     10,393       11,760,016  

9.00%, 09/01/20

     — (f)      40  

Ginnie Mae Mortgage-Backed Securities:

  

5.00%, 10/20/39(h)

     2,649       2,930,412  

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

     29       31,782  

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

     18       18,971  

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

     — (f)      472  
   

 

 

  
    389,602,261  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Fannie Mae Mortgage-Backed Securities(e):

    

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

     — (f)      233  

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

     19       18,823  

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

     7       6,414  

Series 203, Class 1, 0.00%, 02/25/23

     2       1,957  

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

     1       1,096  

Series 0228, Class 1, 0.00%, 06/25/23

     2       1,802  

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

     33       31,125  

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

     57       52,514  

Freddie Mac Mortgage-Backed Securities(e):

  

Series 1571, Class G, 0.00%, 08/15/23

     55       53,546  

Series 1691, Class B, 0.00%, 03/15/24

     127       121,678  

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

     2       1,607  
   

 

 

  
    290,795  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 177.9%
(Cost — $717,238,620)

 

     729,261,616  
   

 

 

  

Total Long-Term Investments — 182.7%
(Cost — $736,524,299)

 

     749,074,826  
   

 

 

  
Security   Par
(000)		     Value  

Short-Term Securities — 2.3%

 

Borrowed Bond Agreement(i)(j) — 0.3%  

Credit Suisse Securities (USA) LLC, 2.40%, 12/31/49 (Purchased on 7/17/19 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 $1,029,010, respectively)

   $ 958     $ 958,265  
   

 

 

  

Total Borrowed Bond Agreement — 0.3%
(Cost — $958,265)

 

     958,265  
     Shares         

Money Market Funds — 2.0%

 

BlackRock Liquidity Funds, T-Fund,
Institutional Class, 1.87%(k)(l)

     8,101,189       8,101,189  
   

 

 

  

Total Money Market Funds — 2.0%
(Cost — $8,101,189)

 

     8,101,189  
   

 

 

  

Total Short-Term Securities — 2.3%
(Cost — $9,059,454)

 

     9,059,454  
   

 

 

  

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 185.0%
(Cost — $745,583,753)

 

     758,134,280  
   

 

 

  
     Par
(000)		         

Borrowed Bonds — (0.3%)

 

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

   $ (917 )      (1,029,010 ) 
   

 

 

  

Total Borrowed Bonds — (0.3)%
(Proceeds — $842,347)

 

     (1,029,010 ) 
   

 

 

  

TBA Sale Commitments(g) — (45.5%)

 

Mortgage-Backed Securities — (45.5%)

 

Fannie Mae Mortgage-Backed Securities:

    

3.00%, 10/10/49 - 11/13/49

     160,222       (162,579,019 ) 

3.50%, 10/10/49

     2,600       (2,666,828 ) 

4.00%, 10/10/49

     20,500       (21,271,153 ) 
   

 

 

  

Total TBA Sale Commitments — (45.5)%
(Proceeds — $186,579,120)

 

     (186,517,000 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 139.2%
(Cost — $558,162,286)

 

     570,588,270  

Liabilities in Excess of Other Assets — (39.2)%

 

     (160,689,776 ) 
   

 

 

  

Net Assets Applicable to Common Shares — 100.0%

 

   $ 409,898,494  
   

 

 

  
 

 

 

4

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

    

 

(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 period end.

(k) 

Annualized 7-day yield as of period end.

(l) 

During the period ended September 30, 2019, investments in issuers considered to be an affiliate/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

12/31/18

      Net
Activity		     

Shares

Held at
09/30/19

      Value at
09/30/19		      Income     

Net

Realized

Gain (Loss) (a)

      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      6,469,268        1,631,921        8,101,189      $ 8,101,189      $ 118,504      $ —      $ —  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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.

 

Portfolio Abbreviations
FHLMC    Federal Home Loan Mortgage Corp.
FNMA    Federal National Mortgage Association
IO    Interest Only
OTC    Over-the-Counter
PO    Principal Only

 

 

5

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

    

 

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

Citigroup Global Markets, Inc.

      2.24 %      09/11/19        10/10/19      $ 42,091,132      $ 42,140,893      U.S. Government Sponsored Agency Securities    Up to 30 Days

Citigroup Global Markets, Inc.

      2.24       09/11/19        10/10/19        17,639,104        17,659,958      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        11,382,674        11,396,131      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        2,536,357        2,539,355      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        2,771,479        2,774,756      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        5,775,860        5,782,688      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        8,976,515        8,987,128      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        7,498,827        7,507,692      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        17,476,695        17,499,379      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        10,613,458        10,626,006      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        3,310,469        3,314,383      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        5,492,139        5,498,632      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        3,247,060        3,250,898      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        5,715,104        5,721,860      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        6,114,607        6,121,836      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        7,228,825        7,237,371      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        2,449,807        2,452,703      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        2,759,107        2,762,369      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        4,248,928        4,253,952      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        4,095,845        4,100,687      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        2,454,112        2,457,013      U.S. Government Sponsored Agency Securities    Up to 30 Days

TD Securities (USA) LLC

      2.24       09/11/19        10/10/19        2,152,294        2,154,838      U.S. Government Sponsored Agency Securities    Up to 30 Days

Citigroup Global Markets, Inc.

      2.24       09/12/19        10/10/19        5,455,000        5,461,449      U.S. Government Sponsored Agency Securities    Up to 30 Days
          

 

 

     

 

 

        
   $ 181,485,398      $ 181,701,977        
          

 

 

     

 

 

        

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

                  

90-Day Euro-Dollar

      2          12/14/20        $ 493        $ (128 ) 

90-Day Euro-Dollar

      2          03/15/21          493          (115 ) 

90-Day Euro-Dollar

      2          06/14/21          493          (78 ) 
                 

 

 

  
                    (321 ) 
                 

 

 

  

Short Contracts

                  

90-Day Euro-Dollar

      35          12/16/19          8,579          (57,546 ) 

10-Year U.S. Treasury Note

      104          12/19/19          13,553          (40,768 ) 

10-Year U.S. Ultra Long Treasury Note

      234          12/19/19          33,323          432,983  

Long U.S. Treasury Bond

      335          12/19/19          54,375          806,512  

5-Year U.S. Treasury Note

      584          12/31/19          69,583          281,071  

90-Day Euro-Dollar

      27          03/16/20          6,637          (50,826 ) 

90-Day Euro-Dollar

      81          06/15/20          19,935          (253,270 ) 

90-Day Euro-Dollar

      92          09/14/20          22,661          (333,484 ) 
                 

 

 

  
                    784,672  
                 

 

 

  
                  $ 784,351  
                 

 

 

  

 

 

6

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

BlackRock Income Trust, Inc. (BKT)

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust   

Received by the Trust

    Effective
Date		      Termination
Date		      Notional
Amount (000)		      Value      Upfront
Premium
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  
Rate    Frequency    Rate    Frequency
2.35%    Semi-Annual    3-Month LIBOR, 2.09%    Quarterly      N/A        08/31/23      USD     12,100      $ (381,255 )     $ 149      $ (381,404 ) 
2.30    Semi-Annual    3-Month LIBOR, 2.09%    Quarterly      N/A        08/31/23      USD     14,100        (419,271 )       174        (419,445 ) 
1.70    Semi-Annual    3-Month LIBOR, 2.09%    Quarterly      10/03/19 (a)       11/30/23      USD     1,500        (11,298 )       20        (11,318 ) 
1.41    Semi-Annual    3-Month LIBOR, 2.09%    Quarterly      10/03/19 (a)       11/30/23      USD     4,900        21,676        64        21,612  
                      

 

 

     

 

 

     

 

 

  
                       $ (790,148 )     $ 407      $ (790,555 ) 
                      

 

 

     

 

 

     

 

 

  

 

  (a) 

Forward swap.

 

OTC Interest Rate Swaps

 

Paid by the Trust  

Received by the Trust

   Counterparty   Effective
Date		     Termination
Date		  

Notional
Amount (000)

     Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Rate   Frequency
3-Month LIBOR,
2.09%		   Quarterly   3.43%   Semi-Annual   JPMorgan Chase
Bank N.A.		     N/A     03/28/21   USD     6,000     $ 151,716     $ (43,767 )    $ 195,483  
3-Month LIBOR,
2.09		   Quarterly   5.41   Semi-Annual   JPMorgan Chase
Bank N.A.		     N/A     08/15/22   USD     9,565       1,072,985       —       1,072,985  
                 

 

 

    

 

 

    

 

 

  
                  $ 1,224,701     $ (43,767 )    $ 1,268,468  
                 

 

 

    

 

 

    

 

 

  

 

 

7

Schedule of Investments  (unaudited) (continued)

September 30, 2019

   

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 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. 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 semi-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:(a)

                  

Asset-Backed Securities

    $ —        $ —        $ 94,561        $ 94,561  

Non-Agency Mortgage-Backed Securities

      —          19,718,649          —          19,718,649  

U.S. Government Sponsored Agency Securities

      —          728,227,756          1,033,860          729,261,616  

Short-Term Securities:

                  

Borrowed Bond Agreement

      —          958,265          —          958,265  

Money Market Funds

      8,101,189          —          —          8,101,189  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 8,101,189        $ 748,904,670        $ 1,128,421        $ 758,134,280  
  

 

 

       

 

 

       

 

 

       

 

 

  

Liabilities:

                  

Investments:

                  

Borrowed Bonds

    $ —        $ (1,029,010 )       $ —        $ (1,029,010 ) 

TBA Sale Commitments

      —          (186,517,000 )         —          (186,517,000 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 8,101,189        $ 561,358,660        $ 1,128,421        $ 570,588,270  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(b)

 

Assets:

                  

Interest rate contracts

    $ 1,520,566        $ 1,290,080        $ —        $ 2,810,646  

Liabilities:

                  

Interest rate contracts

      (736,215 )         (812,167 )         —          (1,548,382 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 784,351        $ 477,913        $          $ 1,262,264  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

See above Schedule of Investments for values in each security type. Investments categorized as Level 2 and 3 are included in security type.

 
  (b) 

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 $181,701,977 are categorized as Level 2 within the disclosure hierarchy.

 

 

8