NPORT-EX 2 NPORT_5845139942375893.htm BlackRock Income Trust

Schedule of Investments  (unaudited) 

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  

Asset-Backed Securities — 0.0%

 

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

   $ 67     $ —  

Sterling Coofs Trust(a)(c):

    

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

     1,124       38,983  

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

     849       28,107  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost — $247,696)

 

     67,090  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 4.6%

 

Collateralized Mortgage Obligations — 3.4%  

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

     — (d)      487  

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR + 16.62%), 14.86%, 08/25/23(e)

     19       19,696  

Seasoned Credit Risk Transfer Trust, Class MA:

    

Series 2018-2, 3.50%, 11/25/57

     1,390       1,465,973  

Series 2018-3, 3.50%, 08/25/57

     1,936       2,043,520  

Series 2018-4, 3.50%, 03/25/58

     6,756       7,140,287  

Series 2019-1, 3.50%, 07/25/58

     2,160       2,284,544  

Series 2019-2, 3.50%, 08/25/58

     772       818,269  
   

 

 

  
      13,772,776  
Commercial Mortgage-Backed Securities — 1.1%  

CSAIL Commercial Mortgage Trust, Class XA(b):

    

Series 2018-C14, 0.57%, 11/15/51

     2,392       89,182  

Series 2019-C16, 1.57%, 06/15/52

     6,484       710,981  

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

     1,528       1,596,058  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 2.61%, 06/15/35(c)(e)

     290       269,672  

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

     1,717       1,711,023  

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

     5,065       234,576  
   

 

 

  
      4,611,492  
Interest Only Collateralized Mortgage Obligations — 0.0%  

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

     245       48,638  
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

   $   30,949     $ 309  

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

     13,059       13  
   

 

 

  
      48,960  
Principal Only Collateralized Mortgage Obligations — 0.1%  

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

     13       11,543  

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

     182       139,436  

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

     89       61,036  
   

 

 

  
      212,015  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 4.6%
(Cost — $17,926,381)

 

     18,645,243  
   

 

 

  

U.S. Government Sponsored Agency
Securities — 143.1%

 

Agency Obligations — 3.0%  

Federal Housing Administration(a):

    

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

     759       756,135  

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

     1       —  

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

     13,000       11,148,976  
   

 

 

  
      11,905,111  
Collateralized Mortgage Obligations — 73.5%  

Fannie Mae Mortgage-Backed Securities:

    

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

     3,415       3,798,773  

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

     3,060       3,571,373  

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

     5,017       5,540,280  

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

     14,350       16,956,014  

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

     1,639       2,041,231  

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

     7,000       9,053,197  

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

     2,001       2,398,673  

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

     7,000       8,322,467  
 

 

 

     1  

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

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

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

   $   43,000     $   50,454,123  

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

     5,322       5,930,843  

Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.10%, 06/25/49(e)

     17,833       3,567,977  

Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 5.15%, 07/25/49(e)

     6,332       1,142,615  

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

     2,302       2,392,078  

Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 6.13%, 05/25/48(e)

     7,884       9,243,816  

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

     3,973       4,916,637  

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

     36       40,644  

Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 11.14%, 04/25/34(e)

     1,791       2,103,569  

Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 15.09%, 08/25/35(e)

     122       159,529  

Series G-07, Class S, (1 mo. LIBOR US + 1144.57%), 16.87%, 03/25/21(e)

     — (d)      5  

Series 1991-87, Class S, (1 mo. LIBOR US + 26.68%), 24.17%, 08/25/21(e)

     — (d)      504  

Freddie Mac Mortgage-Backed Securities:

    

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

     5,100       5,630,311  

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

     3,932       4,595,772  

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

     3,351       4,040,863  

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

     2,196       2,504,027  

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

     1,069       1,282,258  

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

     1,267       1,475,344  

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

     2,000       2,401,169  
Security   Par
(000)		     Value  
Collateralized Mortgage Obligations (continued)  

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

   $ 2,863     $ 3,350,466  

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

     8,884       10,898,056  

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

     15,408       18,254,799  

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

     2,859       3,333,557  

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

     1,000       1,203,280  

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

     1,986       2,015,306  

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

     3,216       3,579,556  

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

     10,787       11,769,712  

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

     8,000       9,867,497  

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

     800       933,506  

Series 4774, Class L, 4.50%, 03/15/48

     10,000       11,472,272  

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

     10,000       11,617,147  

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

     3,912       4,414,467  

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

     455       471,229  

Series 0040, Class K, 6.50%, 08/17/24

     36       38,451  

Series 2218, Class Z, 8.50%, 03/15/30

     975       1,155,547  

Series 1160, Class F, (1 mo. LIBOR US + 40.16%), 37.17%, 10/15/21(e)

     1       1,164  

Ginnie Mae Mortgage-Backed Securities:

    

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

     1,303       1,307,767  

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

     3,282       3,362,041  

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

     10,000       10,998,262  

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

     15,402       16,902,372  

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

     7,538       8,718,720  

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

     5,494       6,393,618  
   

 

 

  
      295,622,884  
 

 

 

2   

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Commercial Mortgage-Backed Securities — 0.9%  

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

   $ 1,248     $   1,311,225  

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

    

Series 2017-64, 0.70%, 11/16/57

     3,170       175,965  

Series 2013-63, 0.79%, 09/16/51

     11,428       484,204  

Series 2014-169, 0.80%, 10/16/56

     29,935       1,187,469  

Series 2016-113, 1.15%, 02/16/58

     8,917       674,697  
   

 

 

  
      3,833,560  
Interest Only Collateralized Mortgage Obligations — 8.7%  

Fannie Mae Mortgage-Backed Securities:

    

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

     26       333  

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

     12       169  

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

     7,964       687,892  

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

     1,364       41,958  

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

     3,531       294,648  

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

     223       818  

Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 5.05%, 12/25/41(e)

     27,323       5,028,960  

Series 2016-81, Class CS, (1 mo. LIBOR US + 6.10%), 5.15%, 11/25/46(e)

     6,505       1,210,182  

Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 5.20%, 09/25/47(e)

     36,020       6,771,414  

Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 5.30%, 09/25/45(e)

     20,674       3,911,089  

Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 5.65%, 05/25/36(e)

     4,060       916,169  
Security   Par
(000)		     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Series 2011-124, Class GS, (1 mo. LIBOR US + 6.70%), 5.75%, 03/25/37(e)

   $ 87     $ 332  

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

     510       37,966  

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

     65       5,045  

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

     — (d)      2  

Series 094, Class 2, 9.50%, 08/25/21

     — (d)      4  

Freddie Mac Mortgage-Backed Securities:

    

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

     4,562       302,443  

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

     1,408       149,905  

Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 5.30%, 09/15/41(e)

     35,613       7,473,884  

Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 5.30%, 11/15/41(e)

     20,049       4,190,165  

Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 5.45%, 10/15/42(e)

     560       97,456  

Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 5.85%, 02/15/40(e)

     2,609       243,117  

Ginnie Mae Mortgage-Backed Securities(e):

    

Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 5.55%, 08/16/42

     10,994       1,522,208  

Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 5.77%, 12/16/39

     710       114,292  

Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 5.88%, 04/20/41

     5,611       827,500  

Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 5.97%, 04/16/41

     6,724       1,229,107  
   

 

 

  
      35,057,058  
Mortgage-Backed Securities — 56.9%  

Fannie Mae Mortgage-Backed Securities:

    

2.50%, 04/20/35(g)

     180       186,676  

3.00%, 04/15/50(g)

     4,600       4,822,273  

3.50%, 04/15/50(g)

     3,664       3,872,194  
 

 

 

     3  

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

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

4.00%, 01/01/41 - 01/01/57(h)

   $   98,197     $   108,057,312  

4.50%, 08/01/25 - 09/01/49(h)

     40,963       44,819,887  

5.00%, 01/01/23 - 04/15/50(g)(h)

     30,444       33,380,869  

5.50%, 01/01/21 - 10/01/39(h)

     7,095       8,032,820  

6.50%, 12/01/37 - 10/01/39(h)

     2,532       2,987,115  

7.50%, 02/01/22

     — (d)      1  

Freddie Mac Mortgage-Backed Securities:

  

Series T-11, Class A9,
0.14%, 01/25/28(b)

     358       375,928  

4.00%, 08/01/49(h)

     8,447       9,085,409  

5.00%, 02/01/22 - 04/01/22

     28       28,688  

5.50%, 01/01/39(h)

     9,402       10,631,998  

Ginnie Mae Mortgage-Backed Securities:

  

5.00%, 10/20/39(h)

     2,381       2,635,675  

7.50%, 01/15/23 - 11/15/23

     27       27,624  

8.00%, 10/15/22 - 08/15/27

     17       17,473  

9.00%, 05/15/20 -  09/15/21

     — (d)      232  
   

 

 

  
      228,962,174  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Fannie Mae Mortgage-Backed Securities(f):

  

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

     — (d)      111  

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

     15       14,532  

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

     5       5,051  

Series 203, Class 1, 0.00%, 02/25/23

     2       1,520  

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

     1       903  

Series 0228, Class 1, 0.00%, 06/25/23

     1       1,151  

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

     30       29,390  

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

     52       49,010  

Freddie Mac Mortgage-Backed Securities(f):

  

Series 1418, Class M, 0.00%, 11/15/22

     5       4,889  

Series 1571, Class G, 0.00%, 08/15/23

     44       42,988  

Series 1691, Class B, 0.00%, 03/15/24

     103       100,738  
Security   Par
(000)		     Value  
Principal Only Collateralized Mortgage Obligations (continued)  

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

   $ 1     $ 557  
   

 

 

  
      250,840  
   

 

 

  

Total U.S. Government Sponsored Agency
Securities — 143.1%
(Cost — $550,696,663)

 

     575,631,627  
   

 

 

  

Total Long-Term Investments — 147.7%
(Cost — $568,870,740)

 

     594,343,960  
   

 

 

  

Short-Term Securities — 3.0%

 

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

Credit Suisse AG, 1.54%, Open (Purchased on 1/28/20 to be repurchased at $1,036,748 Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $1,186,154 respectively)

     1,034       1,033,917  
   

 

 

  

Total Borrowed Bond Agreement — 0.3%

 

     1,033,917  
     Shares         

Money Market Fund — 2.7%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.21%(k)(l)

     10,773,267       10,773,267  
   

 

 

  

Total Money Market Fund — 2.7%

 

     10,773,267  
   

 

 

  

Total Short-Term Securities — 3.0%
(Cost — $11,807,184)

 

     11,807,184  
   

 

 

  

Total Investments Before Borrowed Bonds — 150.7%
(Cost — $580,677,924)

 

     606,151,144  
   

 

 

  
    

Par

(000)

         

Borrowed Bonds — (0.3%)

 

U.S. Governments Obligations — (0.3%)  

U.S. Treasury Bonds, 2.75%, 11/15/42

   $ (917 )      (1,186,154 ) 
   

 

 

  

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

       (1,186,154 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds — 150.4%
(Cost — $579,835,577)

 

     604,964,990  

Liabilities in Excess of Other Assets — (50.4)%

 

     (202,607,737 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 402,357,253  
   

 

 

  
 

 

 

4   

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

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) 

Amount is less than 500.

(e) 

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

(f) 

Zero-coupon bond.

(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) 

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

(j) 

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

(k) 

Annualized 7-day yield as of period end.

(l) 

Investments in issuers considered to be an affiliate/affiliates of the Trust, during the period ended March 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Shares
Held at
12/31/19		    

Shares

Purchased

     Shares
Sold		     Shares
Held at
03/31/20		     Value at
03/31/20		     Income    

Net

Realized
Gain (Loss) (a)

    

Change in

Unrealized
Appreciation

(Depreciation)

  

BlackRock Liquidity Funds, T-Fund, Institutional Class

     11,451,861       —       (678,594 )(b)      10,773,267     $ 10,773,267     $ 18,088     $ —     $ —  
         

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) Includes net capital gain distributions, if applicable.

(b) Represents net shares purchased (sold).

 

Portfolio Abbreviations
IO    Interest Only
PO    Principal Only

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

      0.90 %      03/10/20        4/15/20      $ 40,430,935      $ 40,451,151      U.S. Government Sponsored Agency Securities    Up to 30 Days

Citigroup Global Markets, Inc

      0.90       03/10/20        4/15/20        17,469,310        17,480,067      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        5,030,127        5,031,551      U.S. Government Sponsored Agency Securities    Up to 30 Days

 

 

     5  

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

    

 

Reverse Repurchase Agreements (continued)

 

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.

      0.85 %      03/19/20        4/15/20      $ 1,762,565      $ 1,763,064      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,649,703        1,650,171      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,203,008        1,203,349      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,141,613        1,141,936      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        5,067,153        5,068,589      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,641,909        1,642,375      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,385,402        1,385,795      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        7,031,437        7,033,429      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,591,340        1,591,791      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,350,190        1,350,572      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        3,073,227        3,074,098      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,953,029        1,953,582      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        2,898,697        2,899,519      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        2,555,177        2,555,901      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        3,020,898        3,021,754      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        2,278,480        2,279,125      U.S. Government Sponsored Agency Securities    Up to 30 Days

 

 

6   

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

    

 

Reverse Repurchase Agreements (continued)

 

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.

      0.85 %      03/19/20        4/15/20      $ 2,028,018      $ 2,028,593      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        5,471,136        5,472,686      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        2,180,345        2,180,963      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,122,445        1,122,763      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        5,337,392        5,338,904      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        3,860,033        3,861,126      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        1,527,840        1,528,273      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        2,453,078        2,453,773      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        2,558,163        2,558,888      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

      0.85       03/19/20        4/15/20        6,569,902        6,571,764      U.S. Government Sponsored Agency Securities    Up to 30 Days

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      0.95       03/19/20        4/15/20        8,235,000        8,237,608      U.S. Government Sponsored Agency Securities    Up to 30 Days

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      0.95       03/19/20        4/15/20        8,594,000        8,596,721      U.S. Government Sponsored Agency Securities    Up to 30 Days

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      0.95       03/19/20        4/15/20        16,172,000        16,177,121      U.S. Government Sponsored Agency Securities    Up to 30 Days

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      0.95       03/19/20        4/15/20        9,975,000        9,978,159      U.S. Government Sponsored Agency Securities    Up to 30 Days

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      0.95       03/19/20        4/15/20        8,775,000        8,777,779      U.S. Government Sponsored Agency Securities    Up to 30 Days

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      0.95       03/19/20        4/15/20        8,182,000        8,184,591      U.S. Government Sponsored Agency Securities    Up to 30 Days
          

 

 

     

 

 

        
   $ 195,575,552      $ 195,647,531        
  

 

 

     

 

 

        

 

 

     7  

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

BlackRock Income Trust, Inc. (BKT)

    

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description   

Number of

Contracts

        Expiration
Date		        Notional
Amount (000)		       

Value/
Unrealized
Appreciation

(Depreciation)

  

Short Contracts

                  

90-Day Euro-Dollar

      87          06/15/20        $ 21,636        $ (474,378 ) 

10-Year U.S. Treasury Note

      134          06/19/20          18,584          (656,539 ) 

10-Year U.S. Ultra Long Treasury Note

      216          06/19/20          33,703          (1,866,236 ) 

U.S. Long Treasury Bond

      414          06/19/20          74,132          (6,238,607 ) 

5-Year U.S. Treasury Note

      166          06/30/20          20,810          (622,485 ) 

90-Day Euro-Dollar

      98          09/14/20          24,413          (604,892 ) 

90-Day Euro-Dollar

      1          12/14/20          249          (2,339 ) 

90-Day Euro-Dollar

      1          03/15/21          249          (2,276 ) 

90-Day Euro-Dollar

      1          06/14/21          249          (2,251 ) 

90-Day Euro-Dollar

      3          12/13/21          748          (6,717 ) 
                 

 

 

  
                  $ (10,476,720 ) 
                 

 

 

  

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, 1.45%    Quarterly      N/A        08/31/23      USD     12,100      $ (789,109 )     $ 131      $ (789,240 ) 
2.30    Semi-Annual    3-Month LIBOR, 1.45%    Quarterly      N/A        08/31/23      USD     14,100        (897,044 )       152        (897,196 ) 
1.70    Semi-Annual    3-Month LIBOR, 1.45%    Quarterly      N/A        11/30/23      USD     1,500        (74,468 )       17        (74,485 ) 
1.41    Semi-Annual    3-Month LIBOR, 1.45%    Quarterly      N/A        11/30/23      USD     4,900        (185,233 )       57        (185,290 ) 
0.72    Semi-Annual    3-Month LIBOR, 1.45%    Quarterly      N/A        03/13/25      USD     22,270        (260,884 )       295        (261,179 ) 
                      

 

 

     

 

 

     

 

 

  
                       $ (2,206,738 )     $ 652      $ (2,207,390 ) 
                      

 

 

     

 

 

     

 

 

  

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,
1.45%		   Quarterly   3.43%   Semi-Annual     JPMorgan Chase Bank N.A.       N/A     03/28/21   USD     6,000     $ 168,193     $ (29,246 )    $ 197,439  
3-Month LIBOR,
1.45%		   Quarterly   5.41   Semi-Annual     JPMorgan Chase Bank N.A.       N/A     08/15/22   USD     9,565       1,165,124       —       1,165,124  
                 

 

 

    

 

 

    

 

 

  
                  $ 1,333,317     $ (29,246 )    $ 1,362,563  
                 

 

 

    

 

 

    

 

 

  

 

 

8   

Schedule of Investments  (unaudited) (continued)

March 31, 2020

   

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 BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies 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 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

   $ —        $ —        $ 67,090        $ 67,090  

Non-Agency Mortgage-Backed Securities

     —          18,645,243          —          18,645,243  

U.S. Government Sponsored Agency Securities

     —          574,875,492          756,135          575,631,627  

Short-Term Securities:

 

Borrowed Bond Agreement

     —          1,033,917          —          1,033,917  

Money Market Fund

      10,773,267          —          —          10,773,267  

Liabilities:

 

Investments:

 

Borrowed Bonds

      —          (1,186,154 )         —          (1,186,154 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 10,773,267        $ 593,368,498        $ 823,225        $ 604,964,990  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

 

Assets:

 

Interest rate contracts

   $ —        $ 1,362,563        $ —        $ 1,362,563  

Liabilities:

 

Interest rate contracts

     (10,476,720 )         (2,207,390 )         —          (12,684,110 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ (10,476,720 )       $ (844,827 )       $ —        $ (11,321,547 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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 $195,647,531 are categorized as Level 2 within the disclosure hierarchy.

 

 

     9