Schedule of Investments (unaudited)

March 31, 2024

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Asset-Backed Securities

    

Sterling COOFS Trust(a)

   

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

   $ 436     $ 4,357  

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

    208       2,082  
   

 

 

  

Total Asset-Backed Securities — 0.0%
(Cost: $58,832)

       6,439  
   

 

 

  

Non-Agency Mortgage-Backed Securities

 

Commercial Mortgage-Backed Securities — 2.2%  

BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, (1-mo. Term SOFR + 1.15%), 6.47%, 09/15/34(b)(c)

    607       607,000  

Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.19%, 04/15/36(b)(c)

    241       239,233  

BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. Term SOFR + 1.69%), 7.02%, 03/15/40(b)(c)

    500       500,937  

BX Trust, Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.49%, 08/15/39(b)(c)

    744       746,092  

Citigroup Commercial Mortgage Trust, Series 2023, Class A, 5.82%, 10/12/40(b)(c)

    340       345,833  

CSAIL Commercial Mortgage Trust(c)

   

Series 2018-C14, Class XA, 0.51%, 11/15/51

     1,921       37,393  

Series 2019-C16, Class XA, 1.54%, 06/15/52

     6,318       388,438  

CSRO Trust, Series 2023, Class A, 7.12%, 07/12/40

     177       185,383  

GS Mortgage Securities Corp. Trust(b)(c)

   

Series 2022-ECI, Class A, (1-mo. Term SOFR + 2.19%), 7.52%, 08/15/39

     560       563,524  

Series 2023-FUN, Class A, (1-mo. Term SOFR + 2.09%), 7.42%, 03/15/28

     280       280,875  

MIRA Trust, Series 2023, Class A, 6.75%, 06/10/38(b)

    569       590,795  

Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (Prime),
8.50%, 06/15/35(b)(c)

    45       41,527  

ORL Trust, Series 2023, Class A, (1-mo. Term SOFR + 2.35%), 7.68%, 10/19/36(b)(c)

    445       446,128  

Wells Fargo Commercial Mortgage Trust(c)

   

Series 2018-AUS, Class A, 4.06%, 08/17/36(b)

    583       539,820  

Series 2018-C44, Class XA, 0.71%, 05/15/51

       4,710       110,760  
   

 

 

  
        5,623,738  
Interest Only Collateralized Mortgage Obligations — 0.0%  

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

     122       20,802  

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

    17,705       2  
   

 

 

  
      20,804  
Principal Only Collateralized Mortgage Obligations(d) — 0.0%  

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

     1       1,035  
Security  

Par

(000)

    Value  
Principal Only Collateralized Mortgage Obligations (continued)  

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

   $ 85     $ 59,334  

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

     45       24,211  
   

 

 

  
      84,580  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 2.2%
(Cost: $5,763,068)

 

     5,729,122  
   

 

 

  

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 3.7%            

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

    13,000       9,840,112  
   

 

 

  
Collateralized Mortgage Obligations — 66.6%  

Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24

     — (f)       3  

Fannie Mae REMICS

    

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

     1,731       1,842,877  

Series 2005-73, Class DS, (30-day Avg SOFR + 17.25%), 3.42%, 08/25/35(c)

    31       29,963  

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

     5,726       5,629,001  

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

     2,854       2,742,470  

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

     1,629       1,625,396  

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

     14,351       13,424,313  

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

     3,483       3,286,709  

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

       27,845         27,367,429  

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

     1,639       1,458,966  

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

     7,000       6,344,028  

Series 2018-32, Class PS, (30-day Avg SOFR + 7.10%), 0.89%, 05/25/48(c)

    4,054       3,415,775  

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

     2,001       1,900,580  

Series 2020-57, Class LI, 2.00%, 08/25/50

     5,500       3,920,901  

Freddie Mac REMICS

    

Series 2218, Class Z, 8.50%, 03/15/30

     230       239,463  

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

     1,270       1,233,591  

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

     1,229       1,218,629  

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

     3,500       3,296,929  

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

     1,250       1,167,040  

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

     2,000       1,858,882  

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

     3,215       3,061,294  

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

     6,149       6,199,134  

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

     2,857       2,759,245  

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

     492       484,045  

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

     15,408       14,453,413  

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

     8,884       8,099,791  

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

     1,000       925,085  

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

     3,563       3,386,616  

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

     7,086       6,927,371  

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

     3,351       2,801,240  

Series 4774, Class L, 4.50%, 03/15/48

     4,876       4,663,078  

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

     1,069       974,270  

Series 5249, Class LB, 4.00%, 08/25/52

     6,295       5,611,716  

Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.13%, 01/25/28(c)

    43       43,202  

Ginnie Mae

    

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

     7,143       6,759,521  

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

     4,985       4,764,579  
 

 

 

S C H E D U L E  O F  I N V E S T M E N T S

   1

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Collateralized Mortgage Obligations (continued)

 

  

Ginnie Mae (continued)

    

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

   $ 8,873     $ 7,906,125  

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

     6,445       5,410,846  

Ginnie Mae Mortgage-Backed Securities,
Series 2022-63, Class ZM, 3.50%, 10/20/50

     4,453       3,451,916  

Seasoned Credit Risk Transfer Trust

    

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

     483       456,690  

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

     2,824       2,648,010  

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

     879       825,575  

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

     359       335,203  
   

 

 

  
      174,950,910  
Commercial Mortgage-Backed Securities(c) — 0.6%        

Freddie Mac Multifamily Structured Pass Through Certificates

    

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

     1,396       52,299  

Series K104, Class X1, 1.12%, 01/25/30

     1,343       68,705  

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

     1,814       127,770  

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

     1,215       90,735  

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

     934       69,761  

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

     392       30,556  

Series K113, Class X1, 1.38%, 06/25/30

     1,589       106,375  

Series K115, Class X1, 1.32%, 06/25/30

     1,944       126,659  

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

     3,872       200,534  

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

     1,660       75,104  

Ginnie Mae

    

Series 2013-63, Class IO, 0.78%, 09/16/51

     3,135       80,236  

Series 2014-169, Class IO, 0.60%, 10/16/56

       12,102       276,756  

Series 2016-113, Class IO, 1.18%, 02/16/58

     3,325       184,463  
   

 

 

  
        1,489,953  
Interest Only Collateralized Mortgage Obligations — 12.6%  

Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28

     24       1,006  

Fannie Mae REMICS

    

Series 2006-36, Class PS, (30-day Avg SOFR + 6.49%), 1.17%, 05/25/36(c)

    1,972       159,566  

Series 2011-134, Class ST, (30-day Avg SOFR + 5.89%), 0.57%, 12/25/41(c)

    11,441       1,228,410  

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

     3,512       403,649  

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

     1,283       111,642  

Series 2015-66, Class AS, (30-day Avg SOFR + 6.14%), 0.82%, 09/25/45(c)

    9,341       645,723  

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

     6,938       1,493,573  

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

     17,499       3,088,378  

Series 2021-26, Class AI, 3.50%, 05/25/50

     25,224       4,776,818  

Freddie Mac REMICS

    

Series 3744, Class CI, 3.00%, 06/25/51

     18,279       2,531,392  

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

     737       21,522  

Series 3923, Class SD, (30-day Avg SOFR + 5.89%), 0.57%, 09/15/41(c)

    14,749       1,325,982  

Series 3954, Class SL, (30-day Avg SOFR + 5.89%), 0.57%, 11/15/41(c)

    8,795       849,825  

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

     497       36,284  

Series 4119, Class SC, (30-day Avg SOFR + 6.04%), 0.72%, 10/15/42(c)

    205       21,536  

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

     12,687       2,539,653  

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

     18,300       3,748,750  

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

     11,064       992,948  

Series 5138, Class IP, 3.00%, 04/25/51

     17,195       2,946,997  
Security  

Par

(000)

     Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Ginnie Mae

    

Series 2009-116, Class KS, (1-mo. Term SOFR + 6.36%), 1.03%, 12/16/39(c)

  $ 329     $ 23,986  

Series 2011-52, Class MJ, (1-mo. Term SOFR + 6.54%), 1.21%, 04/20/41(c)

    2,303       117,214  

Series 2011-52, Class NS, (1-mo. Term SOFR + 6.56%), 1.23%, 04/16/41(c)

    2,994       199,622  

Series 2012-97, Class JS, (1-mo. Term SOFR + 6.14%), 0.81%, 08/16/42(c)

    3,554       108,593  

Series 2017-101, Class SL, (1-mo. Term SOFR + 6.09%), 0.76%, 07/20/47(c)

    8,007       869,332  

Series 2022-10, Class IT, 3.50%, 01/20/52

     11,278       1,720,185  

Series 2022-60, Class IH, 2.50%, 02/20/51

     22,668       3,048,908  

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

    4,740       5  
   

 

 

  
      33,011,499  
Mortgage-Backed Securities — 64.7%            

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

    29,306       27,728,296  

Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39(g)

    3,962       4,049,625  

Ginnie Mae Mortgage-Backed Securities

    

8.00%, 05/15/26 - 06/15/27

     6       5,909  

5.00%, 10/20/39

     916       922,141  

Uniform Mortgage-Backed Securities

    

5.50%, 02/01/33 - 10/01/39(g)

    2,917       2,977,480  

5.00%, 06/01/33 - 04/11/54(g)(h)

    27,308 (f)      26,888,320  

6.50%, 10/01/38 - 10/01/39

     1,031       1,074,983  

4.50%, 01/01/39 - 10/01/52(g)(i)

    33,896       32,704,779  

2.50%, 04/16/39(h)

    180       163,759  

4.00%, 01/01/41 - 10/01/52(g)

    36,286       33,915,895  

3.00%, 04/11/54(h)

      41,900       36,042,847  

3.50%, 04/11/54(h)

    3,664       3,278,831  
   

 

 

  
        169,752,865  
Principal Only Collateralized Mortgage Obligations(d) —2.1%  

Fannie Mae Interest Strip

    

Series 297, Class 1, 0.01%, 09/25/39

     2,039       1,568,655  

Series 337, Class 1, 0.01%, 07/25/33

     1,658       1,391,699  

Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 0.00%, 02/25/29

     13       12,258  

Fannie Mae REMICS

    

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

     16       15,200  

Series 2011-90, Class AO,
0.01%, 09/25/41

     3,315       2,501,869  
   

 

 

  
      5,489,681  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 150.3%
(Cost: $435,597,930)

 

     394,535,020  
   

 

 

  

Total Long-Term Investments — 152.5%
(Cost: $441,419,830)

       400,270,581  
   

 

 

  

Short-Term Securities

    
Borrowed Bond Agreement — 0.3%            

BNP Paribas SA, 5.36%, 04/01/24 (Purchased 3/28/2024 to be repurchased at $726,829, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $717,732, respectively)

     727       726,722  
   

 

 

  
 

 

 

2  

 

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

  
Money Market Funds — 0.7%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.19%(j)(k)

    1,960,238     $ 1,960,238  
   

 

 

  

Total Short-Term Securities — 1.0%
(Cost: $2,686,961)

       2,686,960  
   

 

 

  

Total Investments Before Borrowed Bonds — 153.5%
(Cost: $444,106,791)

 

     402,957,541  
   

 

 

  
   

Par

(000)

        

 

  

Borrowed Bonds

    
U.S. Governments Obligations — (0.3)%            

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

  $ (917 )      (717,732 ) 

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

 

     (717,732 ) 
   

 

 

  

Total Investments, Net of Borrowed Bonds — 153.2%
(Cost: $443,264,444)

 

     402,239,809  

Liabilities in Excess of Other Assets — (53.2)%

 

     (139,684,493 ) 
   

 

 

  

Net Assets — 100.0%

     $  262,555,316  
   

 

 

  

 

(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) 

Zero-coupon bond.

(f) 

Rounds to less than 1,000.

(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) 

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

(j) 

Affiliate of the Fund.

(k) 

Annualized 7-day yield as of period end.

(l) 

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

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the period ended March 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer  

Value at

12/31/23

     

Purchases

at Cost

     

Proceeds

from Sales

    

Net

Realized

Gain (Loss)

     

Change in

Unrealized

Appreciation

(Depreciation)

     

Value at

03/31/24

     

Shares

Held at

03/31/24

      Income     

Capital Gain

Distributions

from

Underlying

Funds

    

 

  

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $  7,494,937      $ —      $ (5,534,699 )(a)    $ —      $ —      $  1,960,238        1,960,238      $  50,034      $ —    
         

 

 

     

 

 

     

 

 

        

 

 

     

 

 

    

 

  (a) 

Represents net amount purchased (sold).

 

Reverse Repurchase Agreements

 

Counterparty

    

 Interest

Rate

  

 

    

 Trade

Date

  

 

     

 Maturity

Date

  

(a)  

     Face Value       

 Face Value

Including

Accrued Interest

  

 

   

Type of Non-Cash Underlying

Collateral

         

 Remaining

Contractual Maturity

of the Agreements

  

 

(a) 

  

Canadian Imperial Bank of Commerce

     5.44 %      03/12/24        04/11/24     $ 2,548,818      $ 2,556,136     

U.S. Government Sponsored Agency Securities

  

  

      Up to 30 Days    

Canadian Imperial Bank of Commerce

     5.44       03/12/24        04/11/24       5,571,391        5,587,387     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Canadian Imperial Bank of Commerce

     5.44       03/12/24        04/11/24       5,380,452        5,395,900     

U.S. Government Sponsored Agency Securities

        Up to 30 Days      

Canadian Imperial Bank of Commerce

     5.44       03/12/24        04/11/24       2,763,064        2,770,997     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Canadian Imperial Bank of Commerce

     5.44       03/12/24        04/11/24       3,817,439        3,828,399     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Canadian Imperial Bank of Commerce

     5.44       03/12/24        04/11/24       5,771,007        5,787,576     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Canadian Imperial Bank of Commerce

     5.44       03/12/24        04/11/24       5,540,135        5,556,042     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

 

 

S C H E D U L E  O F  I N V E S T M E N T S

     3  

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Income Trust, Inc. (BKT)

 

Reverse Repurchase Agreements (continued)

 

                 

Counterparty

    

 Interest

Rate

  

 

    

 Trade

Date

  

 

     

 Maturity

Date

  

(a)  

     Face Value       

 Face Value

Including

Accrued Interest

  

 

   

Type of Non-Cash Underlying

Collateral

         

 Remaining

Contractual Maturity

of the Agreements

  

 

(a) 

  

Canadian Imperial Bank of Commerce

     5.44 %      03/12/24        04/11/24     $ 2,809,786      $ 2,817,854     

U.S. Government Sponsored Agency Securities

  

  

      Up to 30 Days      

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       3,941,599        3,952,936     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       5,851,385        5,868,216     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       5,434,610        5,450,242     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       5,654,330        5,670,594     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       1,857,057        1,862,399     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       1,897,422        1,902,880     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       8,283,066        8,306,892     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       18,211,602        18,266,008     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       4,311,096        4,323,496     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       3,456,121        3,466,062     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       2,326,385        2,333,077     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       1,891,900        1,897,341     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       3,454,778        3,464,715     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    

Cantor Fitzgerald & Co.

     5.45       03/12/24        04/11/24       2,026,205        2,032,033     

U.S. Government Sponsored Agency Securities

        Up to 30 Days    
        

 

 

     

 

 

            
         $  102,799,648      $ 103,097,182            
        

 

 

     

 

 

            

 

  (a) 

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

 

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

     299        06/18/24      $ 33,128      $ 163,242    

5-Year U.S. Treasury Note

     6        06/28/24        642        1,903    
          

 

 

    
             165,145    
          

 

 

    

Short Contracts

             

10-Year U.S. Ultra Long Treasury Note

     163        06/18/24        18,681        (101,282 )   

U.S. Long Bond

     138        06/18/24        16,620        (351,707 )   

2-Year U.S. Treasury Note

     116        06/28/24        23,720        17,672    
          

 

 

    
             (435,317 )   
          

 

 

    
           $ (270,172 )   
          

 

 

    

 

 

4  

 

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Income Trust, Inc. (BKT)

 

Centrally Cleared Interest Rate Swaps

 

                          

Effective

Date

     

Termination

Date

     

Notional

Amount (000)

     

Value

     Upfront    

Unrealized

Appreciation

(Depreciation)

  
Paid by the Fund      Received by the Fund    

Premium

Paid

(Received)

  

 

     

 

  
Rate   Frequency      Rate    Frequency  
                   
1-Day SOFR, 5.34%     Quarterly      0.17%      Quarterly        N/A        10/21/25        USD    137       $ (10,693 )     $ (11 )     $ (10,682 ) 
0.18%     Quarterly      1-Day FEDL, 5.33%      Quarterly        N/A        10/21/25        USD    137        10,661       9       10,652  
                   

 

 

    

 

 

    

 

 

  
                     $ (32 )     $ (2 )     $ (30 ) 
                   

 

 

    

 

 

    

 

 

  

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 Fund 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 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 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 Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’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

   $ —        $ —        $ 6,439        $ 6,439  

Non-Agency Mortgage-Backed Securities

     —          5,729,120          2          5,729,122  

U.S. Government Sponsored Agency Securities

     —          394,535,020          —          394,535,020  

Short-Term Securities

                           

Borrowed Bond Agreement

     —          726,722          —          726,722  

Money Market Funds

     1,960,238          —          —          1,960,238  

Liabilities

                 

Investments

                 

Borrowed Bonds

     —          (717,732 )         —          (717,732 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  
  $   1,960,238        $  400,273,130        $     6,441        $  402,239,809  
 

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                

Assets

                 

Interest Rate Contracts

   $ 182,817        $ 10,652        $ —        $ 193,469  

Liabilities

                 

Interest Rate Contracts

     (452,989 )         (10,682 )         —          (463,671 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  
  $ (270,172 )       $ (30 )       $ —        $ (270,202 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, reverse repurchase agreements of $103,097,182 are categorized as Level 2 within the fair value hierarchy.

 

 

S C H E D U L E  O F  I N V E S T M E N T S

     5  

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Income Trust, Inc. (BKT)

 

Currency Abbreviation
USD      United States Dollar
Portfolio Abbreviation
FEDL      Fed Funds Effective Rate
IO      Interest Only
PO      Principal Only
REMIC      Real Estate Mortgage Investment Conduit
SOFR      Secured Overnight Financing Rate
STRIP      Separate Trading of Registered Interest & Principal

 

 

6  

 

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