NPORT-EX 2 NPORT_5836659975606181.htm BlackRock Income Trust

Schedule of Investments  (unaudited)

September 30, 2020

   

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, 1.00%, 03/15/21(a)(b)

   $ 47     $ —  

Sterling Coofs Trust(a)

    

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

     1,012       10,119  

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

    763       7,637  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost: $211,667)

 

     17,756  
   

 

 

  

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 2.7%  

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, (1 mo. LIBOR + 16.62%), 16.35%, 08/25/23(d)

    16       16,953  

Seasoned Credit Risk Transfer Trust

    

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

     1,233       1,327,142  

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

     6,187       6,668,574  

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

     1,978       2,136,281  

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

     718       781,889  
   

 

 

  
      10,930,839  
Commercial Mortgage-Backed Securities — 0.8%  

CSAIL Commercial Mortgage Trust(b)

   

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

     2,387       85,704  

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

     6,468       685,781  

Natixis Commercial Mortgage Securities Trust,

    

Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.11%, 06/15/35(c)(d)

    290       279,018  

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

    1,717       1,826,992  

Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XA, 0.91%, 05/15/51(b)

    5,046       229,245  
   

 

 

  
      3,106,740  
Interest Only Collateralized Mortgage Obligations — 0.0%  

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

     223       44,793  

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

     29,890       299  

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

    11,863       12  
   

 

 

  
      45,104  
Mortgage-Backed Securities(b) — 0.7%  

FRESB Mortgage Trust

    

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

     1,510       1,621,187  

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

     1,136       1,228,293  
   

 

 

  
      2,849,480  
Principal Only Collateralized Mortgage Obligations(e) — 0.1%  

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

     12       11,213  
Security  

Par

(000)

     Value  
Principal Only Collateralized Mortgage Obligations (continued)  

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

   $ 170     $ 137,958  

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

     87       63,098  
   

 

 

  
      212,269  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 4.3%
(Cost: $16,079,349)

 

     17,144,432  
   

 

 

  

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 3.0%  

Federal Housing Administration, USGI Projects, Series 99, 7.43%, 06/01/21 - 10/01/23(a)

    460       467,438  

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

    13,000       11,611,735  
   

 

 

  
      12,079,173  
Collateralized Mortgage Obligations — 70.7%  

Fannie Mae Mortgage-Backed Securities

    

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

    28       31,666  

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

     1,599       1,646,154  

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

     3,560       4,427,529  

Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 12.50%, 04/25/34(d)

    1,710       1,976,727  

Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 17.16%, 08/25/35(d)

    104       137,123  

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

     7,000       8,395,420  

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

     3,060       3,593,943  

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

     4,784       5,366,493  

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

     14,350       17,097,487  

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

     3,955       4,337,460  

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

     43,000       50,440,819  

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

     1,639       2,058,471  

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

     7,000       8,380,485  

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

     3,415       3,869,163  

Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 7.06%, 05/25/48(d)

    10,452       11,898,777  

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

     2,001       2,416,987  

Series G-7, Class S, (1 mo. LIBOR US + 1144.57%), 1,124.82%, 03/25/21(d)

    — (f)       1  

Freddie Mac Mortgage-Backed Securities

    

Series 0040, Class K, 6.50%, 08/17/24

     29       31,026  

Series 1160, Class F, (1 mo. LIBOR US + 40.16%), 39.51%, 10/15/21(d)

    1       687  

Series 2218, Class Z, 8.50%, 03/15/30

     887       1,049,351  

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

     331       341,067  

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

     2,940       3,292,181  

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

     3,394       3,853,899  

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

     1,154       1,163,840  

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

     1,293       1,478,522  

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

     2,000       2,418,051  

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

     2,921       3,373,710  

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

     10,000       11,644,297  

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

     2,859       3,413,121  

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

     800       929,136  
 

 

 

SCHEDULE OF INVESTMENTS

   1

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  
Collateralized Mortgage Obligations (continued)  
Freddie Mac Mortgage-Backed Securities (continued)  

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

   $ 15,408     $ 18,389,517  

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

     8,884       10,951,719  

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

     1,000       1,205,642  

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

     10,787       11,660,903  

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

     5,100       5,616,580  

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

     3,932       4,388,406  

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

     8,000       9,915,429  

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

     3,351       4,056,941  

Series 4774, Class L, 4.50%, 03/15/48

     10,000       11,395,188  

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

     1,069       1,263,237  

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

     2,196       2,529,204  

Ginnie Mae Mortgage-Backed Securities

    

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

     1,205       1,213,949  

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

     14,652       16,115,597  

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

     9,733       10,639,064  

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

     7,715       8,910,334  

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

     5,605       6,499,497  
   

 

 

  
      283,814,800  
Interest Only Collateralized Mortgage Obligations — 11.3%  

Fannie Mae Mortgage-Backed Securities

    

Series 094, Class 2, 9.50%, 08/25/21

     — (f)       1  

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

    19       212  

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

     421       27,500  

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

     61       4,451  

Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 6.45%, 05/25/36(d)

    3,715       866,773  

Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%),
5.85%, 12/25/41(d)

    24,518       5,204,192  

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

     962       22,675  

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

     6,432       508,181  

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

     2,780       228,898  

Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 6.10%, 09/25/45(d)

    18,730       3,743,333  

Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 6.00%, 09/25/47(d)

    32,575       7,313,061  

Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.90%, 06/25/49(d)

    16,224       3,434,926  

Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 5.95%, 07/25/49(d)

    5,542       1,000,383  

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

     14,263       2,521,217  

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

    8       78  

Freddie Mac Mortgage-Backed Securities

    

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

     3,710       221,082  

Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 6.40%, 02/15/40(d)

    2,103       179,828  

Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 5.85%, 09/15/41(d)

    31,533       6,479,083  

Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 5.85%, 11/15/41(d)

    18,248       3,907,787  

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

     1,218       123,903  

Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 6.00%, 10/15/42(d)

    482       84,783  

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

     20,514       2,104,831  

Ginnie Mae Mortgage-Backed Securities(d)

   

Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.32%, 12/16/39

     630       110,036  
Security  

Par

(000)

     Value  
Interest Only Collateralized Mortgage Obligations (continued)  
Ginnie Mae Mortgage-Backed Securities(d) (continued)  

Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 6.49%, 04/20/41

   $ 4,959     $ 760,805  

Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.52%, 04/16/41

     6,049       1,289,603  

Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 6.10%, 08/16/42

     9,545       1,342,443  

Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 6.04%, 07/20/47

     19,481       3,881,828  
   

 

 

  
      45,361,893  
Mortgage-Backed Securities — 60.0%  

Fannie Mae Mortgage-Backed Securities, 4.00%, 02/01/56 - 01/01/57(g)

    51,026       57,613,803  

Freddie Mac Mortgage-Backed Securities

    

5.00%, 02/01/22 - 04/01/22

     16       16,805  

5.50%, 01/01/39(g)

    8,488       10,003,009  

Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.11%, 01/25/28(b)

    306       314,188  

Ginnie Mae Mortgage-Backed Securities

    

9.00%, 02/15/21 - 09/15/21

     — (f)       109  

8.00%, 10/15/22 - 08/15/27

     15       15,658  

7.50%, 02/15/23 - 11/15/23

     22       22,955  

5.00%, 10/20/39(g)

    2,000       2,281,268  

Series 2013-63, Class IO, 0.83%, 09/16/51(b)

    7,956       189,658  

Series 2014-169, Class IO, 0.77%, 10/16/56(b)

    26,645       993,360  

Series 2016-113, Class IO, 1.16%, 02/16/58(b)

    7,562       562,277  

Series 2017-64, Class IO, 0.68%, 11/16/57(b)

    2,488       136,315  

Uniform Mortgage-Backed Securities

    

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

    6,457       7,482,826  

7.50%, 02/01/22

     — (f)       1  

5.00%, 01/01/23 - 10/14/50(g)(h)

    26,667       30,171,098  

4.50%, 08/01/25 - 09/01/49(g)

    35,948       40,372,313  

2.50%, 10/19/35(h)

    180       187,959  

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

     2,343       2,770,623  

4.00%, 01/01/41 - 08/01/49(g)

    43,925       48,288,126  

3.00%, 10/01/50 - 10/14/50(h)

    9,200       9,636,820  

2.00%, 10/14/50(h)

    25,000       25,847,656  

3.50%, 10/14/50(h)

    3,664       3,863,087  
   

 

 

  
      240,769,914  
Principal Only Collateralized Mortgage Obligations(e) — 0.0%  

Fannie Mae Mortgage-Backed Securities

    

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

     — (f)       41  

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

     4       3,735  

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

     1       740  

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

     27       27,228  

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

     45       43,379  

Series 203, Class 1, 0.00%, 02/25/23

     1       1,126  

Series 228, Class 1, 0.00%, 06/25/23

     1       645  

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

     10       10,255  

Freddie Mac Mortgage-Backed Securities

    

Series 1418, Class M, 0.00%, 11/15/22

     4       3,708  
 

 

 

2  

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

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

Series 1571, Class G, 0.00%, 08/15/23

   $ 32     $ 31,768  

Series 1691, Class B, 0.00%, 03/15/24

     81       79,437  
   

 

 

  
      202,062  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 145.0% (Cost: $547,636,619)

 

     582,227,842  
   

 

 

  

Total Long-Term Investments — 149.3%
(Cost: $563,927,635)

       599,390,030  
   

 

 

  

Short-Term Securities

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

Credit Suisse AG, 0.70%, open (Purchased on 07/09/20 to be repurchased at $1,040,773. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $1,176,375, respectively)

     1,200       1,200,124  
   

 

 

  
     Shares         
Money Market Funds — 2.0%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.02%(k)(l)

    7,931,748       7,931,748  
   

 

 

  

Total Short-Term Securities — 2.3%
(Cost: $9,131,872)

       9,131,872  
   

 

 

  

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 151.6%
(Cost: $573,059,507)

       608,521,902  
   

 

 

  
     Par
(000)		         

Borrowed Bonds

    
U.S. Governments Obligations — (0.3)%            

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

   $ (917 )      (1,176,375 ) 
   

 

 

  

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

       (1,176,375 ) 
   

 

 

  
Security  

Par

(000)

     Value  

TBA Sale Commitments

    
Mortgage-Backed Securities — (1.2)%            

Uniform Mortgage-Backed Securities, 3.00%, 10/14/50(h)

  $ (4,600 )    $ (4,817,152 ) 
   

 

 

  

Total TBA Sale Commitments — (1.2)%
(Proceeds: $(4,836,469))

       (4,817,152 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 150.1%
(Cost: $567,380,691)

       602,528,375  

Liabilities in Excess of Other Assets — (50.1)%

       (201,142,110 ) 
   

 

 

  

Net Assets — 100.0%

     $ 401,386,265  
   

 

 

  

 

(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)

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

(h)

Represents or includes a TBA transaction.

(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)

Affiliate of the Trust.

(l)

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the period ended September 30, 2020, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/19		      Purchases
at Cost		      Proceeds
from Sales		      Net Realized
Gain (Loss)		     

Change in

Unrealized
Appreciation
(Depreciation)

      Value at
09/30/20		      Shares
Held at
09/30/20		      Income      Capital Gain
Distributions from
Underlying Funds		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

    $ 11,451,861      $ —      $ (3,520,113 )(a)     $ —      $ —      $ 7,931,748        7,931,748      $ 22,349        —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

(a) 

Represents net amount purchased (sold).

 

 

SCHEDULES OF INVESTMENTS

   3

Schedule of Investments  (unaudited) (continued)

September 30 2020

   

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

BNP Paribas S.A

      0.18 %      09/11/20        10/14/20      $ 2,203,684      $ 2,203,871      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        794,081        794,149      U.S.Government SponsoredAgency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        4,241,648        4,242,008      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        2,780,856        2,781,092      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        2,217,909        2,218,097      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        5,037,605        5,038,033      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        2,383,431        2,383,634      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        3,414,761        3,415,051      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        3,051,195        3,051,455      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        7,120,070        7,120,675      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        6,403,258        6,403,803      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        1,818,310        1,818,464      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        4,019,895        4,020,236      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        1,787,622        1,787,774      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        5,076,296        5,076,728      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        5,721,270        5,721,756      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        2,111,845        2,112,025      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        39,252,916        39,256,253      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        2,395,882        2,396,086      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        16,819,766        16,821,196      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/11/20        10/14/20        2,028,667        2,028,839      U.S. Government Sponsored Agency Securities    Up to 30 Days

Nomura Securities International, Inc

      0.19       09/11/20        10/14/20        14,083,318        14,084,581      U.S. Government Sponsored Agency Securities    Up to 30 Days

Royal Bank of Canada

      0.19       09/11/20        10/14/20        7,280,130        7,280,783      U.S. Government Sponsored Agency Securities    Up to 30 Days

Royal Bank of Canada

      0.19       09/11/20        10/14/20        8,015,796        8,016,515      U.S. Government Sponsored Agency Securities    Up to 30 Days

Royal Bank of Canada

      0.19       09/11/20        10/14/20        7,817,345        7,818,047      U.S. Government Sponsored Agency Securities    Up to 30 Days

Royal Bank of Canada

      0.19       09/11/20        10/14/20        9,731,908        9,732,781      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A

      0.18       09/21/20        10/14/20        1,592,445        1,594,548      U.S. Government Sponsored Agency Securities    Up to 30 Days
          

 

 

     

 

 

        
           $ 169,201,909      $ 169,218,480        
          

 

 

     

 

 

        

 

 

4  

Schedule of Investments  (unaudited) (continued)

September 30, 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

      6          12/14/20        $ 1,496      $ (533 ) 

10-Year U.S. Treasury Note

      176          12/21/20        24,558        (84,842 ) 

10-Year U.S. Ultra Treasury Note

      189          12/21/20        30,225        (137,778 ) 

Long U.S. Treasury Bond

      416          12/21/20        73,333        869,720  

5-Year U.S. Treasury Note

      157          12/31/20        19,787        (23,073 ) 

90-Day Euro-Dollar

      7          03/15/21        1,747        (185 ) 

90-Day Euro-Dollar

      7          06/14/21        1,747        (85 ) 

90-Day Euro-Dollar

      6          09/13/21        1,497        (83 ) 

90-Day Euro-Dollar

      9          12/13/21        2,245        (5,237 ) 

90-Day Euro-Dollar

      6          03/14/22        1,497        217  

90-Day Euro-Dollar

      7          06/13/22        1,746        340  

90-Day Euro-Dollar

      7          09/19/22        1,746        340  
                 

 

 

  
                  $ 618,801  
                 

 

 

  

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
2.30%    Semi-Annual    3-Month LIBOR, 0.23%    Quarterly      N/A        08/31/23      USD     14,100      $ (872,879 )     $ 130      $ (873,009 ) 
2.35%    Semi-Annual    3-Month LIBOR, 0.23%    Quarterly      N/A        08/31/23      USD     12,100        (765,661 )       112        (765,773 ) 
1.41%    Semi-Annual    3-Month LIBOR, 0.23%    Quarterly      N/A        11/30/23      USD     4,900        (200,303 )       49        (200,352 ) 
1.70%    Semi-Annual    3-Month LIBOR, 0.23%    Quarterly      N/A        11/30/23      USD     1,500        (76,896 )       15        (76,911 ) 
0.72%    Semi-Annual    3-Month LIBOR, 0.23%    Quarterly      N/A        03/13/25      USD     22,270        (404,725 )       267        (404,992 ) 
                      

 

 

     

 

 

     

 

 

  
                       $ (2,320,464 )     $ 573      $ (2,321,037 ) 
                      

 

 

     

 

 

     

 

 

  

OTC 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    Counterparty
3-Month LIBOR,
0.24%		    Quarterly      3.43%     Semi-Annual    JPMorgan Chase Bank N.A.      N/A        03/28/21        USD       6,000      $ 96,571      $ (14,548 )     $ 111,119  
3-Month LIBOR,
0.24%		    Quarterly      5.41%     Semi-Annual    JPMorgan Chase Bank N.A.      N/A        08/15/22        USD       9,565        991,424        —        991,424  
                        

 

 

     

 

 

     

 

 

  
                         $ 1,087,995      $ (14,548 )     $ 1,102,543  
                        

 

 

     

 

 

     

 

 

  

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)

 

  •  

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)

 

 

SCHEDULES OF INVESTMENTS

   5

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Income Trust, Inc. (BKT)

 

Fair Value Hierarchy as of Period End (continued)

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 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 tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure 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

    $ —        $ —        $ 17,756        $ 17,756  

Non-Agency Mortgage-Backed Securities

      —          17,144,432          —          17,144,432  

U.S. Government Sponsored Agency Securities

      —          581,760,404          467,438          582,227,842  

Short-Term Securities

                  

Borrowed Bond Agreement

      —          1,200,124          —          1,200,124  

Money Market Funds

      7,931,748          —          —          7,931,748  

Liabilities

                  

Investments

                  

Borrowed Bonds

      —          (1,176,375 )         —          (1,176,375 ) 

TBA Sale Commitments

      —          (4,817,152 )         —          (4,817,152 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 7,931,748        $ 594,111,433        $ 485,194        $ 602,528,375  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                 

Assets

                  

Interest Rate Contracts

    $ 870,617        $ 1,102,543        $ —        $ 1,973,160  

Liabilities

                  

Interest Rate Contracts

      (251,816 )         (2,321,037 )         —          (2,572,853 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 618,801        $ (1,218,494 )       $ —        $ (599,693 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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 $169,218,480 are categorized as Level 2 within the disclosure hierarchy.

 

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

 

 

6