BlackRock Income Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-05542

Name of Fund:  BlackRock Income Trust, Inc. (BKT)

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Income Trust, Inc., 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code:  (800) 882-0052, Option 4

Date of fiscal year end: 12/31/2018

Date of reporting period: 09/30/2018

Item 1 – Schedule of Investments

Schedule of Investments  (unaudited)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  
Asset-Backed Securities — 0.0%  

Interest Only Asset-Backed Securities(a) — 0.0%

 

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

   $ 135     $ 1,178  

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

     1,088       56,256  

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

     1,633       72,224  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost — $411,066)

 

     129,658  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 1.7%

 

Collateralized Mortgage Obligations — 1.1%

    

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

     84       81,906  

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR + 16.62%),
12.51%, 08/25/23(d)

     27       27,329  

Seasoned Credit Risk Transfer Trust, Class MA:

    

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

     1,715       1,698,936  

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

     2,340       2,317,737  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 4.12%, 08/25/34(b)

     496       485,365  
   

 

 

  
      4,611,273  

Commercial Mortgage-Backed Securities — 0.5%

 

CSAIL Commercial Mortgage Securities Trust, Series 2018-CX11, Class A5, 4.03%, 04/15/51(b)

     1,170       1,186,720  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.01%, 06/15/35(b)(c)

     310       310,150  

Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class XA, 0.93%, 05/15/51(b)

     6,233       350,463  
   

 

 

  
      1,847,333  

Interest Only Collateralized Mortgage Obligations — 0.0%

 

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

     314       70,301  

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

     34,180       342  
Security  

Par

(000)

     Value  

Interest Only Collateralized Mortgage Obligations (continued)

 

Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 05/25/19

   $ 4     $ 18  

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

     18,235       18  
   

 

 

  
      70,679  

Principal Only Collateralized Mortgage Obligations(f) — 0.1%

 

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

     15       13,805  

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

     232       196,973  

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

     102       75,614  
   

 

 

  
      286,392  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 1.7%
(Cost — $7,064,622)

 

     6,815,677  
   

 

 

  

U.S. Government Sponsored Agency Securities — 139.7%

 

Agency Obligations — 2.6%

 

Federal Housing Administration(a):

    

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

     1,589       1,517,977  

General Motors Acceptance Corp. Projects,
Series 56, 7.43%, 11/01/22

     — (e)       1  

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

     1       805  

Reilly Projects, Series 41, 8.28%, 03/01/20(b)

     4       3,811  

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

     13,000       8,703,086  
   

 

 

  
      10,225,680  

Collateralized Mortgage Obligations — 66.0%

 

Fannie Mae Mortgage-Backed Securities:

    

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

     3,415       3,008,109  

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

     3,060       3,103,002  

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

     6,479       6,522,149  

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

     14,350       14,535,966  
 

 

 

     1  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Collateralized Mortgage Obligations (continued)

 

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

   $ 1,639     $ 1,642,715  

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

     43,000       45,130,009  

Series 2018-32, Class PS,
4.65%, 05/25/48(b)

     8,850       8,722,201  

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

     7,379       7,652,764  

Series G-49, Class S,
(1 mo. LIBOR + 1034.80%),
5.55%, 12/25/21(d)

     — (e)       4  

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

     4,437       4,540,290  

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

     5,227       6,073,358  

Series 2004-31, Class SD,
(1 mo. LIBOR + 12.75%),
8.98%, 04/25/34(d)

     2,222       2,412,911  

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

     63       71,399  

Series 2005-73, Class DS,
(1 mo. LIBOR + 17.55%),
11.79%, 08/25/35(d)

     200       217,069  

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

     — (e)       57  

Series 1991-87, Class S,
(1 mo. LIBOR + 26.68%),
20.81%, 08/25/21(d)

     3       3,557  

Freddie Mac Mortgage-Backed Securities:

 

Series T-11, Class A9,
3.14%, 01/25/28(b)

     559       561,849  

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

     5,100       5,012,032  

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

     3,351       3,170,372  

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

     1,193       1,197,069  

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

     2,000       2,004,994  

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

     2,253       2,260,455  

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

     8,884       9,064,407  

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

     15,408       15,794,452  

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

     2,859       2,917,676  
Security  

Par

(000)

     Value  

Collateralized Mortgage Obligations (continued)

 

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

   $ 1,000     $ 1,002,973  

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

     5,498       5,521,443  

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

     3,838       3,933,249  

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

     10,787       11,063,245  

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

     8,000       8,480,280  

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

     800       847,773  

Series 4774, Class L,
4.50%, 03/15/48

     10,000       10,485,423  

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

     10,000       10,516,459  

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

     4,373       4,709,505  

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

     934       966,755  

Series 0040, Class K,
6.50%, 08/17/24

     61       66,698  

Series 0019, Class F,
8.50%, 03/15/20

     — (e)       257  

Series 2218, Class Z,
8.50%, 03/15/30

     1,360       1,536,689  

Series 1160, Class F,
(1 mo. LIBOR + 40.16%),
30.99%, 10/15/21(d)

     2       2,775  

Ginnie Mae Mortgage-Backed Securities:

 

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

     8,757       8,780,177  

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

     8,525       8,579,894  

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

     7,483       7,527,871  

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

     10,000       9,986,299  

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

     15,402       15,261,124  

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

     7,123       7,272,953  

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

     17       17,166  
   

 

 

  
      262,177,874  
 

 

 

     2  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Commercial Mortgage-Backed Securities — 0.5%

 

Fannie Mae Mortgage-Backed
Securities, Series 2015-M1, Class X2,
0.65%, 09/25/24(b)

   $ 37,644     $ 975,050  

Freddie Mac Mortgage-Backed
Securities, Series K074, Class X1,
0.43%, 01/25/28(b)

     34,676       884,764  
   

 

 

  
      1,859,814  
   

 

 

  

Interest Only Collateralized Mortgage Obligations — 12.4%

 

Fannie Mae Mortgage-Backed Securities:

 

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

     50       1,012  

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

     24       582  

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

     11,194       1,174,889  

Series 2018-21, Class IO,
3.00%, 04/25/48

     21,140       4,026,910  

Series 2011-134, Class ST,
(1 mo. LIBOR + 6.00%),
3.78%, 12/25/41(d)

     11,396       1,626,377  

Series 2016-81, Class CS,
(1 mo. LIBOR + 6.10%),
3.88%, 11/25/46(d)

     8,821       1,086,678  

Series 2017-70, Class SA,
3.93%, 09/25/47(b)

     44,618       7,489,762  

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

     2,380       172,923  

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

     4,822       890,590  

Series 2015-66, Class AS,
(1 mo. LIBOR + 6.25%),
4.03%, 09/25/45(d)

     51,177       6,322,633  

Series 2011-100, Class S,
(1 mo. LIBOR + 6.45%),
4.23%, 10/25/41(d)

     2,657       385,137  

Series 2006-36, Class PS,
(1 mo. LIBOR + 6.60%),
4.38%, 05/25/36(d)

     5,399       710,402  

Series 2011-124, Class GS,
(1 mo. LIBOR + 6.70%),
4.48%, 03/25/37(d)

     3,510       139,623  

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

     1,596       73,922  

Series 2016-64, Class BI,
5.00%, 09/25/46

     11,095       2,155,624  

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

     875       92,356  
Security  

Par

(000)

     Value  

Interest Only Collateralized Mortgage Obligations (continued)

 

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

   $ 89     $ 7,741  

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

     — (e)       12  

Series 094, Class 2,
9.50%, 08/25/21

     — (e)       23  

Series 1990-136, Class S,
(1 mo. LIBOR + 17.60%),
17.87%, 11/25/20(d)

     1       1  

Freddie Mac Mortgage-Backed Securities:

  

Series 1043, Class H,
(1 mo. LIBOR + 45.00%),
0.02%, 02/15/21(d)

     1       1  

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

     12       28  

Series 3923, Class SD,
(1 mo. LIBOR + 6.00%),
3.84%, 09/15/41(d)

     46,078       6,545,561  

Series 3954, Class SL,
(1 mo. LIBOR + 6.00%),
3.84%, 11/15/41(d)

     25,744       3,699,314  

Series 4611, Class BS,
(1 mo. LIBOR + 6.10%),
3.94%, 06/15/41(d)

     20,095       2,471,048  

Series 3745, Class IN,
4.00%, 01/15/35

     2,286       21,864  

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

     6,433       753,831  

Series 3796, Class WS,
(1 mo. LIBOR + 6.55%),
4.39%, 02/15/40(d)

     4,438       362,060  

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

     1,997       268,087  

Series 2611, Class QI,
5.50%, 09/15/32

     74       740  

Ginnie Mae Mortgage-Backed Securities:

  

Series 2013-63, Class IO,
0.79%, 09/16/51(b)

     12,226       638,199  

Series 2014-169, Class IO,
0.84%, 10/16/56(b)

     32,241       1,590,804  

Series 2016-119, Class IO,
1.12%, 04/16/58(b)

     19,973       1,629,895  

Series 2016-113, Class IO,
1.19%, 02/16/58(b)

     10,271       934,445  

Series 2012-97, Class JS,
(1 mo. LIBOR + 6.25%),
4.09%, 08/16/42(d)

     14,979       1,622,452  
 

 

 

     3  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Interest Only Collateralized Mortgage Obligations (continued)

 

Series 2009-116, Class KS,
(1 mo. LIBOR + 6.47%),
4.31%, 12/16/39 (d)

   $ 906     $ 108,363  

Series 2011-52, Class MJ,
(1 mo. LIBOR + 6.65%),
4.48%, 04/20/41 (d)

     7,214       893,078  

Series 2011-52, Class NS,
(1 mo. LIBOR + 6.67%),
4.51%, 04/16/41 (d)

     8,502       1,245,586  
   

 

 

  
      49,142,553  

Mortgage-Backed Securities — 58.1%

 

Fannie Mae Mortgage-Backed Securities:

 

2.50%, 10/01/33(g)

     180       173,660  

3.50%, 10/01/48(g)

     764       751,798  

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

     107,853       109,709,751  

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

     41,302       43,013,800  

5.00%, 01/01/23-04/01/48(h)

     44,143       46,657,888  

5.50%, 11/01/18-10/01/39(h)

     9,111       9,865,846  

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

     3,324       3,695,159  

7.50%, 02/01/22

     — (e)       2  

9.50%, 01/01/19-09/01/19

     — (e)       190  

Freddie Mac Mortgage-Backed Securities:

 

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

     70       70,812  

5.50%, 01/01/39(h)

     12,586       13,729,406  

9.00%, 09/01/20

     1       821  

Ginnie Mae Mortgage-Backed Securities:

 

5.00%, 10/20/39

     3,151       3,365,052  

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

     40       40,164  

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

     22       23,001  

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

     —       1,074  
   

 

 

  
      231,098,424  

Principal Only Collateralized Mortgage Obligations(f) — 0.1%

 

Fannie Mae Mortgage-Backed Securities:

 

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

     40       36,336  

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

     1       494  

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

     31       29,389  

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

     10       9,390  

Series 203, Class 1, 0.00%, 02/25/23

     3       2,841  
Security  

Par

(000)

     Value  

Principal Only Collateralized Mortgage Obligations (continued)

 

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

   $ 2     $ 1,628  

Series 0228, Class 1, 0.00%, 06/25/23

     3       2,453  

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

     71       63,403  

Freddie Mac Mortgage-Backed Securities:

    

Series 1418, Class M, 0.00%, 11/15/22

     10       9,477  

Series 1571, Class G, 0.00%, 08/15/23

     80       75,527  

Series 1691, Class B, 0.00%, 03/15/24

     167       153,990  

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

     11       10,698  
   

 

 

  
      395,626  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 139.7%
(Cost — $592,199,141)

 

     554,899,971  
   

 

 

  

Total Long-Term Investments — 141.4%
(Cost — $599,674,829)

 

     561,845,306  
   

 

 

  
     Shares         
Short-Term Securities — 2.8%  

Money Market Funds — 2.6%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.97% (k)(l)

     10,343,462       10,343,462  
   

 

 

  

Total Money Market Funds — 2.6%
(Cost — $10,343,462)

 

     10,343,462  
 

 

 

  
     Par(000)         

Borrowed Bond Agreement(i)(j)— 0.2%

 

Credit Suisse Securities (USA) LLC (Purchased on 08/07/18 to be repurchased at $873,623. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $848,655, respectively)

   $ 871       871,150  
   

 

 

  

Total Borrowed Bond Agreement — 0.2%
(Cost — $871,150)

 

     871,150  
   

 

 

  
 

 

 

     4  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Total Short-Term Securities — 2.8%
(Cost — $11,214,612)

 

   $ 11,214,612  
   

 

 

  

Total Investments Before Borrowed Bonds and TBA Sale Commitments— 144.2%

 

(Cost — $610,889,441)

 

     573,059,918  
   

 

 

  

Borrowed Bonds — (0.2%)

 

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

   $ (917 )      (848,655 ) 
   

 

 

  

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

 

     (848,655 ) 
   

 

 

  

TBA Sale Commitments — (15.1%)

 

Mortgage-Backed Securities(g) — (15.1%)

 

Fannie Mae Mortgage-Backed Securities:

 

  

3.00%, 10/01/48-11/01/48

     26,827       (25,641,922 ) 
Security  

Par

(000)

      Value  

Mortgage-Backed Securities (continued)

 

4.00%, 10/01/48

   $ 20,500      $ (20,700,195 ) 

5.00%, 10/01/48

     12,900        (13,541,042 ) 
    

 

 

  

Total TBA Sale Commitments — (15.1)%
(Proceeds — $60,067,067)

 

      (59,883,159 ) 
    

 

 

  

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 128.9%

 

(Cost — $549,783,846)

 

      512,328,104  

Liabilities in Excess of Other Assets — (28.9)%

 

      (114,944,528 ) 
    

 

 

  

Net Assets— 100.0%

 

    $ 397,383,576  
    

 

 

  
 

 

(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) 

Amount is less than $500.

(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) 

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

(j) 

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

(k) 

Annualized 7-day yield as of period end.

(l) 

During the period ended September 30, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares
Held at
08/31/18		      Net Activity    

Shares

Held at
09/30/18

      Value at
09/30/18		      Income      Net
Realized Gain
(Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund,
Institutional Class

     12,647,934        (2,304,472 )      10,343,462      $ 10,343,462      $  13,544      $  —      $ —  
         

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Includes net capital gain distributions, if applicable.

Portfolio Abbreviations

IO       Interest Only

OTC   Over-the-Counter

 

 

     5  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

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

  

HSBC Securities (USA), Inc.

     2.26 %      09/12/18        10/11/18      $ 8,081,000      $ 8,090,132      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        3,742,000        3,746,228      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        5,979,000        5,985,756      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        46,707,000        46,759,310      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        6,579,000        6,586,434      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        4,675,000        4,680,283      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        13,232,000        13,246,952      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        3,557,000        3,561,019      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        6,875,000        6,882,769      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        19,546,000        19,568,087      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        18,262,000        18,282,636      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        7,981,000        7,990,019      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        4,655,000        4,660,260      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        1,850,000        1,852,091      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        15,079,000        15,096,039      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  

HSBC Securities (USA), Inc.

     2.26       09/12/18        10/11/18        10,403,000        10,414,755      
 U.S. Government Sponsored Agency
Securities		  
 		      Up to 30 Days  
         

 

 

     

 

 

       
   $ 177,203,000      $ 177,402,770       
  

 

 

     

 

 

       

 

 

     6  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

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)

  

Long Contracts:

                  

10-Year U.S. Treasury Note

      101          12/19/18        $ 11,997        $ (127,488 ) 
                 

 

 

  

Short Contracts:

                  

90-Day Euro

      94          12/17/18          22,875          100,417  

10-Year U.S. Ultra Long Treasury Note

      176          12/19/18          22,176          406,271  

Long U.S. Treasury Bond

      284          12/19/18          39,902          1,102,229  

5-Year U.S. Treasury Note

      869          12/31/18          97,742          668,041  

90-Day Euro Dollar

      94          03/18/19          22,833          122,766  

90-Day Euro-Dollar

      63          06/17/19          15,279          67,470  

90-Day Euro-Dollar

      53          09/16/19          12,842          41,145  

90-Day Euro

      48          12/16/19          11,623          27,593  

90-Day Euro

      40          03/16/20          9,684          16,886  

90-Day Euro-Dollar

      93          06/15/20          22,513          37,081  

90-Day Euro

      93          09/14/20          22,514          5,693  
                 

 

 

  
                    2,595,592  
                 

 

 

  
                  $ 2,468,104  
                 

 

 

  

OTC Interest Rate Swaps

 

Paid by the Trust    Received by the Trust      

 

      

 

        

 

     

Notional
Amount (000)

     

Value

     

Upfront
Premium

Paid

(Received)

     

Unrealized

Appreciation

(Depreciation)

  
Rate    Frequency    Rate   Frequency    Counterparty   

Effective

Date

     

Termination

Date

  
4.31%    Semi-annual    3-Month LIBOR,
2.34%		   Quarterly    Deutsche Bank AG      N/A        10/01/18      USD     60,000      $ (933,826 )     $ —      $ (933,826 ) 
3-Month
LIBOR,
2.39		    Quarterly    3.43   Semi-annual    JPMorgan Chase Bank N.A.      N/A        03/28/21      USD     6,000        60,545        (71,973 )       132,518  
3-Month
LIBOR,
2.31		    Quarterly    5.41   Semi-annual    JPMorgan Chase Bank N.A.      N/A        08/15/22      USD     9,565        861,748        —        861,748  
                        

 

 

     

 

 

     

 

 

  
   $ (11,533 )     $ (71,973 )       60,440  
  

 

 

     

 

 

     

 

 

  

 

 

     7  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  •  

Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  •  

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. 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

   $ —      $ —      $ 129,658      $ 129,658  

Non-Agency Mortgage-Backed Securities

     —        6,815,677        —        6,815,677  

U.S. Government Sponsored Agency Securities

     —        553,377,377        1,522,594        554,899,971  

Short-Term Securities:

            

Money Market Fund

     10,343,462        —        —        10,343,462  

Borrowed Bond Agreement

     —        871,150        —        871,150  

 

 

     8  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Income Trust, Inc. (BKT)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1      Level 2      Level 3      Total  

Liabilities:

            

Investments:

            

Borrowed Bonds

    $ —      $ (848,655 )     $ —      $ (848,655 ) 

TBA Sale Commitments

     —        (59,883,159 )       —        (59,883,159 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ 10,343,462      $ 500,332,390      $ 1,652,252      $ 512,328,104  
  

 

 

     

 

 

     

 

 

     

 

 

  

Derivative Financial Instruments(a)

            

Assets:

           

Interest rate contracts

   $ 2,595,592      $ 994,266      $ —      $ 3,589,858  

Liabilities:

           

Interest rate contracts

     (127,488 )       (933,826 )       —        (1,061,314 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  
   $ 2,468,104      $ 60,440      $ —      $ 2,528,544  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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 $177,402,770 are categorized as Level 2 within the disclosure hierarchy.

During the period ended September 30, 2018, there were no transfers between levels.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     

Asset-Backed

Securities

     

U.S. Government

Sponsored Agency

Securities

      Total  

Assets:

         

Opening Balance, as of August 31,2018

    $  146,309      $  1,565,394      $ 1,711,703  

Transfers into Level 3

      —        —        —  

Transfers out of Level 3

      —        —        —  

Accrued discounts/premiums

      (4,669 )       (663 )       (5,332 ) 

Net realized gain (loss)

      (58,830 )       (540 )       (59,370 ) 

Net change in unrealized appreciation (depreciation)(a)

      46,848        3,196        50,044  

Purchases

         

Sales

         (44,793 )       (44,793 ) 
  

 

 

     

 

 

     

 

 

  

Closing Balance, as of September 30, 2018

    $ 129,658      $ 1,522,594      $ 1,652,252  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2018(a)

    $ 46,848      $ 3,196      $ 50,044  
  

 

 

     

 

 

     

 

 

  

 

  (a) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

 

 

     9  

Item 2 – Controls and Procedures

 

2(a) –   

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –   

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

      Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Income Trust, Inc.
By:  

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Income Trust, Inc.
Date:   November 19, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Income Trust, Inc.
Date:   November 19, 2018
By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Income Trust, Inc.
Date:   November 19, 2018