NPORT-EX 2 NPORT_2I14_30353624_0921.htm BlackRock Income Trust

Schedule of Investments  (unaudited)

September 30, 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, 1.00%, 11/10/21(a)

  $ 4     $ —  

Sterling Coofs Trust(a)

   

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

     735       7,351  

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

    558       5,577  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost: $141,693)

       12,928  
   

 

 

  
Non-Agency Mortgage-Backed Securities  
Collateralized Mortgage Obligations — 3.4%            

Kidder Peabody Acceptance Corp., Series 1993-1,

    

Class A6, (1 mo. LIBOR US + 16.62%), 16.46%, 08/25/23(c)

    10       10,421  

Seasoned Credit Risk Transfer Trust

    

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

     869       907,820  

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

     4,506       4,721,849  

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

     1,463       1,534,476  

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

     561       588,584  

Uniform Mortgage-Backed Securities

    

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

     2,354       2,525,487  

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

     20,721       2,368,418  
   

 

 

  
      12,657,055  
Commercial Mortgage-Backed Securities — 0.8%  

CSAIL Commercial Mortgage Trust(c)

   

Series 2018-C14, Class XA, 0.72%, 11/15/51

     2,375       75,992  

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

     6,431       632,489  

Natixis Commercial Mortgage Securities Trust,

    

Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.03%, 06/15/35(b)(c)

    287       282,920  

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

    1,717       1,767,117  

Wells Fargo Commercial Mortgage Trust, Series 2018- C44, Class XA, 0.90%, 05/15/51(c)

    5,001       198,579  
   

 

 

  
      2,957,097  
Interest Only Collateralized Mortgage Obligations — 0.0%            

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

     176       34,900  

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

     22,572       2  

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

     9,300       9  
   

 

 

  
      34,911  
Mortgage-Backed Securities — 2.0%            

Fannie Mae, 3.50%, 05/25/50

     40,694       5,167,353  

FRESB Mortgage Trust(c)

   

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

     1,173       1,239,058  

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

     953       1,004,089  
   

 

 

  
      7,410,500  
Security  

Par

(000)

     Value  
Principal Only Collateralized Mortgage Obligations(d) — 0.0%  

CHL Mortgage Pass-Through Trust, Series 2003-J8, 0.01%, 09/25/23

   $ 10     $ 10,052  

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

     123       98,960  

Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 0.01%, 11/25/35.

     70       48,727  
   

 

 

  
      157,739  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 6.2%
(Cost: $23,615,690)

 

     23,217,302  
   

 

 

  

U.S. Government Sponsored Agency Securities

 

  
Agency Obligations — 3.0%            

Federal Housing Administration(a)

   

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

     — (e)       —  

USGI Projects, Series 99, 7.43%, 11/01/22 -10/01/23

     10       10,044  

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

    13,000       11,269,046  
   

 

 

  
      11,279,090  
Collateralized Mortgage Obligations — 67.5%  

Ginnie Mae Mortgage-Backed Securities

    

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

     11,295       12,261,367  

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

     7,740       8,386,846  

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

     8,030       9,429,427  

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

     5,833       6,941,058  

Uniform Mortgage-Backed Securities

    

Series 0040, Class K, 6.50%, 08/17/24

     16       16,502  

Series 1160, Class F, (1 mo. LIBOR US + 40.16%), 39.81%, 10/15/21(c)

    — (e)       7  

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

    16       17,090  

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

     117       117,420  

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

     2,822       3,454,221  

Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 12.60%, 04/25/34(c)

    1,281       1,396,523  

Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 17.33%, 08/25/35(c)

    74       93,069  

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

     7,000       7,960,842  

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

     3,060       3,413,498  

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

     3,492       3,875,616  

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

     14,350       16,277,059  

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

     5,719       6,092,743  

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

     43,000       48,316,464  

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

     1,639       1,927,499  

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

     7,000       7,959,749  

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

     3,415       3,594,769  

Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 7.13%, 05/25/48(c)

    6,410       7,132,754  

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

     2,001       2,293,437  

Series 2218, Class Z, 8.50%, 03/15/30

     644       751,389  

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

     116       117,778  
 

 

 

SCHEDULES OF INVESTMENTS

   1

Schedule of Investments  (unaudited) (continued)

September 30, 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 2731, Class ZA, 4.50%, 01/15/34

   $ 2,320      $ 2,563,869  

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

     2,558        2,880,376  

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

     1,293        1,429,086  

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

     2,000        2,295,899  

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

     3,040        3,409,508  

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

     9,405        10,631,471  

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

     2,859        3,237,261  

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

     694        770,486  

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

     15,408        17,490,357  

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

     8,884        10,336,365  

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

     1,000        1,150,540  

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

     9,383        9,578,854  

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

     5,100        5,488,014  

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

     3,932        4,145,416  

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

     7,909        9,267,365  

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

     3,351        3,823,483  

Series 4774, Class L, 4.50%, 03/15/48

     8,826        9,675,519  

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

     1,069        1,198,305  

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

     2,196        2,413,903  
    

 

 

  
       253,613,204  
Interest Only Collateralized Mortgage Obligations — 8.5%  

Ginnie Mae Mortgage-Backed Securities(c)

    

Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.39%, 12/16/39

     487        76,629  

Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 6.56%, 04/20/41

     3,937        536,366  

Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.59%, 04/16/41

     4,820        895,482  

Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 6.17%, 08/16/42

     7,328        837,673  

Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 6.11%, 07/20/47

     13,080        2,661,434  

Uniform Mortgage-Backed Securities

     

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

    7        38  

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

     235        10,731  

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

     49        3,091  

Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 6.51%, 05/25/36(c)

    3,043        595,004  

Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 5.91%, 12/25/41(c)

    17,834        3,764,630  

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

     330        3,921  

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

     4,908        443,984  

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

     1,661        139,120  

Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 6.16%, 09/25/45(c)

    16,559        2,836,919  

Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 6.06%, 09/25/47(c)

    24,179        5,118,173  

Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.96%, 06/25/49(c)

    12,284        2,308,973  

Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 6.01%, 07/25/49(c)

    3,817        697,738  

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

     11,288        2,050,158  

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

     2,420        123,664  

Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 6.47%, 02/15/40(c)

    1,264        74,456  
Security   Par
(000)		     Value  

Interest Only Collateralized Mortgage Obligations (continued)

 

Uniform Mortgage-Backed Securities (continued)  

Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 5.92%, 09/15/41(c)

  $ 23,173     $ 4,410,119  

Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 5.92%, 11/15/41(c)

    14,001       2,747,576  

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

     910       85,594  

Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 6.07%, 10/15/42(c)

    318       59,096  

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

     11,885       1,610,813  

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

    2       5  
   

 

 

  
      32,091,387  
Mortgage-Backed Securities — 78.3%        

Fannie Mae

    

Series 2020-M21, Class AX, 1.94%, 01/25/58(c)

    1,732       303,270  

Series 2021-23, Class CI, 3.50%, 07/25/46

     25,738       4,105,998  

Freddie Mac Structured Pass-Through Certificates

    

Series 5013, Class JI, 4.00%, 09/25/50

     30,708       4,127,697  

Series K094, Class X1, 1.02%, 06/25/29(c)

    1,409       85,592  

Series K104, Class X1, 1.25%, 02/25/52(c)

    1,371       111,452  

Series K105, Class X1, 1.64%, 03/25/53(c)

    1,822       201,854  

Series K107, Class X1, 1.71%, 01/25/30(c)

    1,234       143,521  

Series K109, Class X1, 1.70%, 04/25/30(c)

    943       109,607  

Series K110, Class X1, 1.81%, 04/25/30(c)

    394       48,746  

Series K113, Class X1, 1.49%, 06/25/30(c)

    1,600       168,325  

Series K115, Class X1, 1.43%, 06/25/30(c)

    1,955       197,334  

Series K120, Class X1, 1.13%, 10/25/30(c)

    3,904       312,222  

Series K122, Class X1, 0.97%, 11/25/30(c)

    1,675       115,552  

Series T-11, Class A9, 0.13%, 01/25/28(c)

    195       201,457  

Ginnie Mae Mortgage-Backed Securities

    

8.00%, 10/15/22 - 06/15/27

     13       12,445  

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

     13       13,562  

5.00%, 10/20/39

     1,415       1,612,084  

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

    6,560       180,642  

Series 2014-169, Class IO, 0.67%, 10/16/56(c)

    18,325       561,512  

Series 2016-113, Class IO, 1.09%, 02/16/58(c)

    4,975       304,679  

Series 2017-64, Class IO, 0.75%, 11/16/57(c)

    762       39,569  

Uniform Mortgage-Backed Securities 4.00%, 10/14/21 - 02/01/56(g)

    63,562       71,027,018  

4.50%, 10/14/21 - 09/01/41(g)

    25,232       28,143,100  

5.00%, 10/14/21 - 10/01/51(g)(h)

    18,435       20,797,282  

5.50%, 10/14/21 - 06/01/38(g)

    11,270       13,069,460  

2.50%, 10/01/36(h)

    180       187,516  

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

     1,724       2,022,532  

2.00%, 10/01/51 - 11/10/51(h)

    126,595       126,835,059  

3.00%, 10/01/51 - 11/01/51(h)

    8,800       9,202,553  

3.50%, 10/01/51 - 11/10/51(h)

    4,964       5,249,321  

Series 1839, Class QA, 4.00%, 10/14/21(g)

    4,103       4,459,351  
   

 

 

  
      293,950,312  
Principal Only Collateralized Mortgage Obligations(d) — 0.0%  

Uniform Mortgage-Backed Securities

    

Series 1418, Class M, 0.01%, 11/15/22

     1       1,417  

Series 1571, Class G, 0.01%, 08/15/23

     13       13,445  

Series 1691, Class B, 0.01%, 03/15/24

     47       46,183  

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

     2       1,670  

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

     — (e)       364  

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

     23       22,588  

 

 

 

 

2  

Schedule of Investments  (unaudited) (continued)

September 30, 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 2002-13, Class PR, 0.01%, 03/25/32

   $ 33     $ 31,467  

Series 203, Class 1, 0.00%, 02/25/23

     1       505  

Series 228, Class 1, 0.00%, 06/25/23

     — (e)       346  

Series G93-2, Class KB, 0.01%, 01/25/23

     4       4,051  
   

 

 

  
      122,036  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 157.3%
(Cost: $579,545,038)

 

     591,056,029  
   

 

 

  

Total Long-Term Investments — 163.5%
(Cost: $603,302,421)

 

     614,286,259  
   

 

 

  

Short-Term Securities

    
Borrowed Bond Agreements(i) — 0.3%            

Credit Suisse AG, 0.01%, open(j) (Purchased on 06/24/21 to be repurchased at $1,040,004, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $1,031,160, respectively)

     1,030       1,030,479  
   

 

 

  
     Shares         
Money Market Funds — 2.6%            

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

    9,683,425       9,683,425  
   

 

 

  

Total Short-Term Securities — 2.9%
(Cost: $10,713,903)

       10,713,904  
   

 

 

  

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 166.4%
(Cost: $614,016,324)

       625,000,163  
   

 

 

  
    

Par

(000)

         
Borrowed Bonds            

U.S. Governments Obligations — (0.3)%

    

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

  $ (917 )      (1,031,160 ) 
   

 

 

  

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

       (1,031,160 ) 
   

 

 

  
Security  

Par

(000)

     Value  
TBA Sale Commitments(h)  
Mortgage-Backed Securities — (13.8)%            

Uniform Mortgage-Backed Securities

    

2.00%, 10/14/51

   $ (46,000 )    $ (46,123,985 ) 

3.00%, 10/14/51

     (4,200 )      (4,394,742 ) 

3.50%, 10/14/51

     (1,300 )      (1,375,486 ) 
   

 

 

  

Total TBA Sale Commitments — (13.8)%
(Proceeds: $(52,312,773))

       (51,894,213 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 152.3%
(Cost: $560,861,204)

 

     572,074,790  

Liabilities in Excess of Other Assets — (52.3)%

 

     (196,442,714 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 375,632,076  
   

 

 

  

 

(a) 

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

(b) 

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.

(c) 

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.

(d) 

Rates are discount rates or a range of discount rates as of period end.

(e) 

Rounds to less than 1,000.

(f) 

Zero-coupon bond.

(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 the period end.

(k) 

Affiliate of the Trust.

(l) 

Annualized 7-day yield as of period end.

(m) 

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 September 30, 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
09/30/21		      Shares
Held at
09/30/21		      Income      Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

    $  12,695,261      $  —      $ (3,011,836 )(a)     $  —      $  —      $  9,683,425        9,683,425      $  1,135      $  —  
           

 

 

     

 

 

        

 

 

     

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 

 

 

SCHEDULES OF INVESTMENTS

   3

Schedule of Investments  (unaudited) (continued)

September 30, 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

BofA Securities, Inc.

     0.08 %      09/13/21       10/14/21     $ 4,779,931     $ 4,780,112     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       2,214,416       2,214,499     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       5,150,533       5,150,727     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       2,276,735       2,276,821     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       3,993,834       3,993,985     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       468,178       468,196     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       7,098,733       7,099,001     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       1,938,112       1,938,185     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       5,801,799       5,802,018     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       2,260,150       2,260,235     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       4,350,266       4,350,431     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       2,120,563       2,120,643     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       3,362,496       3,362,623     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       3,598,836       3,598,972     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       3,621,902       3,622,039     U.S. Government Sponsored Agency Securities    Up to 30 Days

BofA Securities, Inc.

     0.08       09/13/21       10/14/21       8,289,068       8,289,381     U.S. Government Sponsored Agency Securities    Up to 30 Days

Royal Bank of Canada

     0.08       09/13/21       10/14/21       31,271,723       31,274,928     U.S. Government Sponsored Agency Securities    Up to 30 Days

Royal Bank of Canada

     0.08       09/13/21       10/14/21       10,495,460       10,495,857     U.S. Government Sponsored Agency Securities    Up to 30 Days
       

 

 

    

 

 

       
        $ 103,092,735     $ 103,098,653       
       

 

 

    

 

 

       

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

     774        12/21/21      $  101,950      $ (942,925 ) 
          

 

 

  

Short Contracts

           

90-Day Eurodollar

     9        12/13/21        2,246        (6,137 ) 

10-Year U.S. Ultra Long Treasury Note

     183        12/21/21        26,618        492,474  

U.S. Long Bond

     273        12/21/21        43,544        787,019  

5-Year U.S. Treasury Note

     81        12/31/21        9,947        42,719  

90-Day Eurodollar

     6        03/14/22        1,498        (908 ) 

90-Day Eurodollar

     7        06/13/22        1,746        (97 ) 

90-Day Eurodollar

     7        09/19/22        1,745        1,627  
          

 

 

  
             1,316,697  
          

 

 

  
           $ 373,772  
          

 

 

  

 

 

4  

Schedule of Investments  (unaudited) (continued)

September 30, 2021

   

BlackRock Income Trust, Inc. (BKT)

 

Centrally Cleared Interest Rate Swaps

Paid by the Trust   

Received by the Trust

  

Effective

Date

    

Termination

Date

    

Notional

Amount (000)

    

Value

    

Upfront
Premium

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

  
Rate    Frequency    Rate    Frequency
0.05%    Quarterly    1 Month FEDL, 0.08%    Quarterly     N/A       10/21/22     USD     1,638     $ 990     $ —     $ 990  
3-Month SOFR, 0.50%    Quarterly    0.05%    Quarterly     N/A       10/21/22     USD     1,638       (452 )      —       (452 ) 
2.30%    Semi-Annual    3-Month LIBOR, 0.13%    Quarterly     N/A       08/31/23     USD     14,100       (555,351 )      87       (555,438 ) 
2.35%    Semi-Annual    3-Month LIBOR, 0.13%    Quarterly     N/A       08/31/23     USD     12,100       (487,615 )      74       (487,689 ) 
1.41%    Semi-Annual    3-Month LIBOR, 0.13%    Quarterly     N/A       11/30/23     USD     4,900       (127,959 )      34       (127,993 ) 
1.70%    Semi-Annual    3-Month LIBOR, 0.13%    Quarterly     N/A       11/30/23     USD     1,500       (50,304 )      10       (50,314 ) 
0.72%    Semi-Annual    3-Month LIBOR, 0.13%    Quarterly     N/A       03/13/25     USD     22,270       27,759       208       27,551  
3-Month SOFR, 0.50%    Quarterly    0.17%    Quarterly     N/A       10/21/25     USD     137       (2,832 )      —       (2,832 ) 
0.18%    Quarterly    1-Month FEDL, 0.08%    Quarterly     N/A       10/21/25     USD     137       2,912       —       2,912  
                  

 

 

    

 

 

    

 

 

  
                   $ (1,192,852 )    $ 413     $ (1,193,265 ) 
                  

 

 

    

 

 

    

 

 

  

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,
0.13%		    Quarterly      5.41 %    Semi-Annual    JPMorgan Chase Bank N.A.      N/A        08/15/22        USD    9,565     $ 502,436      $ —      $ 502,436  
                     

 

 

     

 

 

     

 

 

  

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 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 financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments 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

   $  —      $ —      $  12,928      $ 12,928  

Non-Agency Mortgage-Backed Securities

     —        23,217,302        —        23,217,302  

U.S. Government Sponsored Agency Securities

     —        591,045,985        10,044        591,056,029  

 

 

SCHEDULES OF INVESTMENTS

   5

Schedule of Investments  (unaudited) (continued)

September 30, 2021

   

BlackRock Income Trust, Inc. (BKT)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Short-Term Securities

                  

Borrowed Bond Agreements

    $ —        $  1,030,479        $ —        $ 1,030,479  

Money Market Funds

      9,683,425          —          —          9,683,425  

Liabilities

                  

Investments

                  

Borrowed Bonds

      —          (1,031,160 )         —          (1,031,160 ) 

TBA Sale Commitments

      —          (51,894,213 )         —          (51,894,213 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 9,683,425        $  562,368,393        $  22,972        $  572,074,790  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                 

Assets

                  

Interest Rate Contracts.

    $ 1,323,839        $ 533,889        $ —        $ 1,857,728  

Liabilities

                  

Interest Rate Contracts.

      (950,067 )         (1,224,718 )         —          (2,174,785 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 373,772        $ (690,829 )       $             —        $ (317,057 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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 $103,098,653 are categorized as Level 2 within the fair value hierarchy.

 

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

 

 

 

6