NPORT-EX 2 NPORT_2I14_4157373317.htm BlackRock Income Trust

Schedule of Investments (unaudited) 

March 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Asset-Backed Securities            

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

  $ 11     $  
Sterling Coofs Trust(a)(c)            

Series 2004-1, Class A, 2.36%, 04/15/29

    864       8,643  

Series 2004-2, Class Note, 2.08%, 03/30/30

    652       6,517  
   

 

 

 

Total Asset-Backed Securities — 0.0%
(Cost: $173,609)

      15,160  
   

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 3.8%            

Kidder Peabody Acceptance Corp., Series 1993-1,

   

Class A6, (1 mo. LIBOR US + 16.62%), 16.42%, 08/25/23(b)

    13       13,710  

Seasoned Credit Risk Transfer Trust

   

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

    1,053       1,129,581  

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

    5,326       5,723,566  

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

    1,723       1,853,276  

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

    646       695,845  

Uniform Mortgage-Backed Securities

   

Series 2019-36, Class NJ, 3.00%, 07/25/49

    2,355       2,507,214  

Series 5083, Class IN, 4.50%, 07/25/32

    23,531       2,929,582  
   

 

 

 
      14,852,774  
Commercial Mortgage-Backed Securities — 0.8%  

CSAIL Commercial Mortgage Trust(b)

   

Series 2018-C14, Class XA, 0.56%, 11/15/51

    2,381       79,248  

Series 2019-C16, Class XA, 1.56%, 06/15/52

    6,449       644,352  

Natixis Commercial Mortgage Securities Trust,

   

Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.06%, 06/15/35(b)(c)

    288       284,722  

One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(c)

    1,717       1,733,133  

Wells Fargo Commercial Mortgage Trust, Series 2018- C44, Class XA, 0.75%, 05/15/51(b)

    5,026       211,007  
      2,952,462  
Interest Only Collateralized Mortgage Obligations — 0.0%  

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

    203       40,359  

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

    25,711       3  

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

    10,454       11  
   

 

 

 
      40,373  
Mortgage-Backed Securities(b) — 0.7%            

FRESB Mortgage Trust

   

Series 2019-SB60, Class A10F, 3.31%, 01/25/29

    1,415       1,477,966  

Series 2019-SB61, Class A10F, 3.17%, 01/25/29

    1,082       1,123,374  
   

 

 

 
      2,601,340  
Principal Only Collateralized Mortgage Obligations(d) — 0.0%  

CHL Mortgage Pass-Through Trust, Series 2003-J8, 0.00%, 09/25/23

    11       10,651  
Security  

Par

(000)

    Value  
Principal Only Collateralized Mortgage Obligations (continued)  

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

  $ 149     $ 118,980  

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

    72       50,089  
   

 

 

 
      179,720  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities — 5.3%
(Cost: $20,123,258)

 

    20,626,669  
   

 

 

 

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 2.8%            

Federal Housing Administration(a)

   

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

    (e)        

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

    151       152,271  

Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(d)

    13,000       10,890,061  
   

 

 

 
      11,042,332  
Collateralized Mortgage Obligations — 68.5%  

Ginnie Mae Mortgage-Backed Securities

   

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

    13,563       14,780,315  

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

    9,019       9,791,497  

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

    7,871       8,573,020  

Series 2018-91, Class ZL, 4.00%, 07/20/48

    5,718       6,829,226  

Uniform Mortgage-Backed Securities

   

Series 0040, Class K, 6.50%, 08/17/24

    22       23,405  

Series 1160, Class F, (1 mo. LIBOR US + 40.16%), 39.71%, 10/15/21(b)

    (e)       244  

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

    21       23,322  

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

    881       897,645  

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

    3,168       3,907,316  

Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 12.57%, 04/25/34(b)

    1,564       1,739,654  

Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 17.27%, 08/25/35(b)

    88       110,868  

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

    7,000       8,030,456  

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

    3,060       3,430,401  

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

    4,039       4,520,404  

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

    14,351       16,118,461  

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

    7,387       7,790,784  

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

    43,000       48,925,778  

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

    1,639       1,885,955  

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

    7,000       7,816,876  

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

    3,415       3,527,560  

Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 7.11%, 05/25/48(b)

    8,250       8,980,663  

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

    2,001       2,270,229  

Series 2218, Class Z, 8.50%, 03/15/30

    760       896,034  

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

    217       222,655  

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

    2,633       2,928,760  

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

    2,948       3,338,583  

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

    1,319       1,475,979  

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

    2,000       2,262,988  

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

    2,980       3,355,633  

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

    10,000       11,329,171  

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

    2,859       3,234,907  

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

    800       893,688  

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

    15,408       17,401,468  
 

 

 

SCHEDULE OF INVESTMENTS

  1


Schedule of Investments (unaudited) (continued)

March 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

Uniform Mortgage-Backed Securities (continued)  

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

  $ 8,884     $ 10,168,303  

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

    1,000       1,134,217  

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

    10,787       11,462,919  

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

    5,100       5,566,872  

Series 4471, Class JB, 3.50%, 09/15/43

    3,932       4,012,490  

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

    8,000       9,351,471  

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

    3,351       3,768,169  

Series 4774, Class L, 4.50%, 03/15/48

    10,000       11,088,393  

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

    1,069       1,205,754  

Series 4880, Class LG, 3.50%, 05/15/49

    2,196       2,382,235  
   

 

 

 
      267,454,768  
Interest Only Collateralized Mortgage Obligations — 10.2%  

Ginnie Mae Mortgage-Backed Securities(b)

   

Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.35%, 12/16/39.

    558       88,545  

Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 6.54%, 04/20/41.

    4,486       623,723  

Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.55%, 04/16/41.

    5,332       1,030,598  

Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 6.14%, 08/16/42.

    8,447       1,012,206  

Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 6.09%, 07/20/47.

    16,343       3,278,079  

Uniform Mortgage-Backed Securities

   

Series 094, Class 2, 9.50%, 08/25/21

    (e)        

Series 1991-099, Class L, 930.00%, 08/25/21

    (e)        

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

    (e)        

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

    12       99  

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

    327       18,104  

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

    56       3,730  

Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 6.49%, 05/25/36(b)

    3,403       676,269  

Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 5.89%, 12/25/41(b)

    21,289       4,506,851  

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

    628       11,314  

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

    5,621       599,364  

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

    2,029       172,211  

Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 6.14%, 09/25/45(b)

    18,620       3,522,401  

Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 6.04%, 09/25/47(b)

    28,654       6,783,399  

Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.94%, 06/25/49(b)

    14,343       3,108,642  

Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 5.99%, 07/25/49(b)

    4,634       797,024  

Series 2020-12, Class JI, 4.50%, 03/25/50

    13,441       2,548,161  

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

    2,923       164,393  

Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 6.44%, 02/15/40(b)

    1,660       118,271  

Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 5.89%, 09/15/41(b)

    27,821       4,929,356  

Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 5.89%, 11/15/41(b)

    16,200       3,490,620  

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

    1,047       102,199  
Security  

Par

(000)

    Value  

Interest Only Collateralized Mortgage Obligations (continued)

 

Uniform Mortgage-Backed Securities (continued)  

Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 6.04%, 10/15/42(b)

  $ 383     $ 78,124  

Series 4706, Class IG, 4.00%, 07/15/47

          15,200       2,143,094  

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

    5       33  
   

 

 

 
      39,806,810  
Mortgage-Backed Securities — 58.7%            

Freddie Mac Structured Pass-Through Certificates(b)

   

Series K094, Class X1, 0.88%, 06/25/29

    1,410       90,484  

Series K105, Class X1, 1.52%, 01/25/30

    2,043       235,719  

Series K107, Class X1, 1.59%, 01/25/30

    1,234       150,022  

Series K109, Class X1, 1.58%, 04/25/30

    944       115,092  

Series K110, Class X1, 1.70%, 04/25/30

    395       50,866  

Series K113, Class X1, 1.39%, 06/25/30

    1,600       175,018  

Series K115, Class X1, 1.33%, 06/25/30

    1,956       205,890  

Series K120, Class X1, 1.04%, 10/25/30

    4,838       402,689  

Series K122, Class X1, 0.88%, 11/25/30

    1,677       121,177  

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

    244       251,850  

Ginnie Mae Mortgage-Backed Securities
8.00%, 10/15/22 - 06/15/27

    13       13,627  

7.50%, 02/15/23 - 11/15/23

    16       18,260  

5.00%, 10/20/39(f)

    1,688       1,939,657  

Series 2013-63, Class IO, 0.76%, 09/16/51(b)

    7,247       212,196  

Series 2014-169, Class IO, 0.76%, 10/16/56(b)

    22,685       787,720  

Series 2016-113, Class IO, 1.15%, 02/16/58(b)

    6,944       476,639  

Series 2017-64, Class IO, 0.76%, 11/16/57(b)

    867       47,392  

Uniform Mortgage-Backed Securities
4.00%, 01/14/21 - 02/01/56(f)

    75,009       83,469,276  

4.50%, 01/14/21 - 04/01/41(f)

    30,553       34,241,775  

5.00%, 01/14/21 - 04/14/51(f)(g)

    22,486       25,714,415  

5.50%, 01/14/21 - 02/01/33(f)

    13,007       15,226,675  

6.50%, 01/14/21 - 10/01/39

    2,096       2,463,921  

7.50%, 02/01/22

    (e)       2  

2.50%, 04/19/36(g)

    180       187,277  

2.00%, 04/14/51 - 05/13/51(g)

    48,100       47,967,402  

3.00%, 04/14/51(g)

    4,600       4,791,367  

3.50%, 04/14/51(g)

    3,664       3,870,529  

Series 1839, Class QA, 4.00%, 01/14/21(f)

    5,549       6,045,521  
   

 

 

 
      229,272,458  
Principal Only Collateralized Mortgage Obligations(d) — 0.1%  

Uniform Mortgage-Backed Securities

   

Series 1418, Class M, 0.00%, 11/15/22

    2       2,514  

Series 1571, Class G, 0.00%, 08/15/23

    22       21,736  

Series 1691, Class B, 0.00%, 03/15/24

    65       63,822  

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

    3       2,622  

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

    (e)       557  

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

    26       25,036  

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

    39       37,048  

Series 203, Class 1, 0.00%, 02/25/23

    1       791  
 

 

 

2  

    


Schedule of Investments (unaudited) (continued)

March 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Principal Only Collateralized Mortgage Obligations (continued)  
Uniform Mortgage-Backed Securities (continued)  

Series 228, Class 1, 0.00%, 06/25/23

  $ (e)     $ 485  

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

    7       7,140  
   

 

 

 
      161,751  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 140.3%
(Cost: $529,371,633)

 

    547,738,119  
   

 

 

 

Total Long-Term Investments — 145.6%
(Cost: $549,668,500)

 

    568,379,948  
   

 

 

 

Short-Term Securities

   
Borrowed Bond Agreements(h) — 0.3%            

Credit Suisse AG, 0.03%, open(i) (Purchased on 11/25/20 to be repurchased at $ 1,146,284, Collateralized by U.S. Treasury Bonds, 2.75%,11/15/42, par and fair values of $917,000 and $982,694, respectively)

    1,146       1,146,250  
   

 

 

 
     Shares         
Money Market Funds — 3.7%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(j)(k)

    14,570,266       14,570,266  
   

 

 

 

Total Short-Term Securities — 4.0%
(Cost: $15,716,516)

 

    15,716,516  
   

 

 

 

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 149.6%
(Cost: $565,385,016)

 

    584,096,464  
   

 

 

 
    

Par

(000)

        
Borrowed Bonds            
U.S. Governments Obligations — (0.2)%        

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

  $ (917     (982,694
   

 

 

 

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

      (982,694
   

 

 

 
Security  

Par

(000)

    Value  
TBA Sale Commitments            
Mortgage-Backed Securities — (5.9)%            

Uniform Mortgage-Backed Securities, 2.00%, 04/14/51(g)

  $ (23,100   $ (23,056,688
   

 

 

 

Total TBA Sale Commitments — (5.9)%
(Proceeds: $(23,144,634))

 

    (23,056,688
   

 

 

 

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 143.5%
(Cost: $541,398,035)

 

    560,057,082  

Liabilities in Excess of Other Assets — (43.5)%

 

    (169,724,814
   

 

 

 

Net Assets — 100.0%

 

  $ 390,332,268  
   

 

 

 

 

(a) 

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

(b) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(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) 

Zero-coupon bond.

(e) 

Amount is less than 500.

(f) 

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

(g) Represents or includes a TBA transaction.

(h) 

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

(i) 

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

(j) 

Affiliate of the Trust.

(k) 

Annualized 7-day yield as of period end.

(l) 

All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the period ended March 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/20
     Purchases
at Cost
     Proceeds
from Sales
     Net
Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
03/31/21
     Shares
Held at
03/31/21
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $  12,695,261      $  1,875,005 (a)      $  —      $  —      $  —      $  14,570,266        14,570,266      $  729      $  —  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

 

 

SCHEDULE OF INVESTMENTS

  3


Schedule of Investments (unaudited) (continued)

March 31, 2021

  

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

                 U.S. Government Sponsored   

BNP Paribas

     0.11     03/10/21        04/14/21      $ 5,904,495      $ 5,904,874     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        15,597,056        15,598,057     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        35,158,748        35,161,004     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        2,988,094        2,988,286     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        4,353,468        4,353,747     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        1,857,024        1,857,143     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        1,881,435        1,881,556     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        5,769,126        5,769,496     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        4,613,809        4,614,106     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        1,773,829        1,773,943     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        3,050,097        3,050,293     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        2,366,944        2,367,096     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        1,991,503        1,991,631     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        2,839,939        2,840,121     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        5,843,826        5,844,202     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        1,860,306        1,860,425     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        1,961,972        1,962,098     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        2,781,025        2,781,203     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BNP Paribas

     0.11       03/10/21        04/14/21        4,034,180        4,034,438     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BOFA Security, Inc.

     0.11       03/10/21        04/14/21        10,923,000        10,923,701     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BOFA Security, Inc.

     0.11       03/10/21        04/14/21        8,390,000        8,390,538     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BOFA Security, Inc.

     0.11       03/10/21        04/14/21        6,488,000        6,488,416     

Agency Securities

   Up to 30 Days
                 U.S. Government Sponsored   

BOFA Security, Inc.

     0.11       03/10/21        04/14/21        6,957,000        6,957,446     

Agency Securities

   Up to 30 Days
          

 

 

    

 

 

       
           $ 139,384,876      $  139,393,820        
          

 

 

    

 

 

       

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
   469      06/21/21      $ 61,410   $ (1,081,584)
              

 

Short Contracts
    90-Day Euro-Dollar
   7      06/14/21      1,747   (347)

 

 

4  

    


Schedule of Investments (unaudited) (continued)

March 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

 

Futures Contracts (continued)

Description    Number of
Contracts
       Expiration
Date
      

Notional

Amount (000)

       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts (continued)

                 

10-Year U.S. Ultra Long Treasury Note

     184          06/21/21        $  26,439        $ 941,104  

Long U.S. Treasury Bond

     350          06/21/21          54,108          2,361,508  

5-Year U.S. Treasury Note

     85          06/30/21          10,489          127,814  

90-Day Euro-Dollar

     6          09/13/21          1,497          (8

90-Day Euro-Dollar

     9          12/13/21          2,244          (3,887

90-Day Euro-Dollar

     6          03/14/22          1,496          442  

90-Day Euro-Dollar

     7          06/13/22          1,745          1,390  

90-Day Euro-Dollar

     7          09/19/22          1,744          2,615  
                 

 

 

 
                    3,430,631  
                 

 

 

 
                  $  2,349,047  
                 

 

 

 

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
0.05%    Quarterly    1-Month FEDL, 0.06%    Quarterly     N/A       10/21/22     USD     1,638     $ 1,345     $     $ 1,345  
3-Month SOFR, 0.04%    Quarterly    0.05%    Quarterly     N/A       10/21/22     USD     1,638       (457           (457
2.30%    Semi-Annual    3-Month LIBOR, 0.19%    Quarterly     N/A       08/31/23     USD     14,100       (693,402     109       (693,511
2.35%    Semi-Annual    3-Month LIBOR, 0.19%    Quarterly     N/A       08/31/23     USD     12,100       (608,897     93       (608,990
1.41%    Semi-Annual    3-Month LIBOR, 0.19%    Quarterly     N/A       11/30/23     USD     4,900       (151,318     42       (151,360
1.70%    Semi-Annual    3-Month LIBOR, 0.19%    Quarterly     N/A       11/30/23     USD     1,500       (59,651     13       (59,664
0.72%    Semi-Annual    3-Month LIBOR, 0.19%    Quarterly     N/A       03/13/25     USD     22,270       34,707       236       34,471  
3-Month SOFR, 0.04%    Quarterly    0.17%    Quarterly     N/A       10/21/25     USD     137       (3,251           (3,251
0.18%    Quarterly    1-Month FEDL, 0.06%    Quarterly     N/A       10/21/25     USD     137       3,414             3,414  
                  

 

 

   

 

 

   

 

 

 
                   $ (1,477,510   $ 493     $ (1,478,003
                  

 

 

   

 

 

   

 

 

 

OTC Interest Rate Swaps

Paid by the Trust    Received by the Trust      

 

   Effective      Termination      Notional       

 

     Upfront
Premium
Paid
     Unrealized
Appreciation
 
Rate    Frequency    Rate     Frequency    Counterparty    Date      Date      Amount (000)     Value      (Received)      (Depreciation)  
3-Month LIBOR,                            
    0.19%    Quarterly      5.41   Semi-Annual    JPMorgan Chase Bank N.A.      N/A        08/15/22        USD 9,565     $  743,133      $  —      $ 743,133  
                     

 

 

    

 

 

    

 

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of 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); and

 

   

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of 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

 

 

 

SCHEDULE OF INVESTMENTS

  5


Schedule of Investments (unaudited) (continued)

March 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

 

Fair Value Hierarchy as of Period End (continued)

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 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 financial instruments is based on the pricing transparency of the 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 financial instruments, refer to its most recent financial statements.

The following table summarizes the Trust’s investments categorized in the fair value hierarchy. The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Asset-Backed Securities

   $        $        $ 15,160        $ 15,160  

Non-Agency Mortgage-Backed Securities

              20,626,669                   20,626,669  

U.S. Government Sponsored Agency Securities

              547,585,848          152,271          547,738,119  

Short-Term Securities

                 

Borrowed Bond Agreements

              1,146,250                   1,146,250  

Money Market Funds

     14,570,266                            14,570,266  

Liabilities

                 

Investments

                 

Borrowed Bonds

              (982,694                 (982,694

TBA Sale Commitments

              (23,056,688                 (23,056,688
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 14,570,266        $  545,319,385        $  167,431        $  560,057,082  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Interest Rate Contracts

   $ 3,434,873        $ 782,363        $        $ 4,217,236  

Liabilities

                 

Interest Rate Contracts

     (1,085,826        (1,517,233                 (2,603,059
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,349,047        $ (734,870      $        $ 1,614,177  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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 or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $139,393,820 are categorized as Level 2 within the fair value hierarchy.

 

Currency Abbreviation
USD    United States Dollar
Portfolio Abbreviation
IO    Interest Only
LIBOR    London Interbank Offered Rate
PO    Principal Only
SOFR    Secured Overnight Financing Rate
TBA    To-Be-Announced

 

 

6