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Share Name | Share Symbol | Market | Type |
---|---|---|---|
BlackRock Income Trust Inc | NYSE:BKT | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.02 | -0.16% | 12.49 | 12.58 | 12.4699 | 12.54 | 37,147 | 01:00:00 |
Schedule of Investments (unaudited) September 30, 2023 |
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) |
258 | 2,581 | ||||||
|
|
|||||||
Total Asset-Backed Securities 0.0% |
6,938 | |||||||
|
|
|||||||
Non-Agency Mortgage-Backed Securities |
||||||||
Collateralized Mortgage Obligations 7.8% | ||||||||
Fannie Mae, Series 2020-57, Class LI, |
5,500 | 3,689,282 | ||||||
Freddie Mac REMICS |
||||||||
Series 3745, Class LK, 4.00%, 10/15/40 |
3,500 | 3,217,459 | ||||||
Series 5249, Class LB, 4.00%, 08/25/52 |
6,295 | 5,403,938 | ||||||
Ginnie Mae Mortgage-Backed Securities, |
4,376 | 3,197,776 | ||||||
Seasoned Credit Risk Transfer Trust |
||||||||
Series 2018-2, Class MA, 3.50%, 11/25/57 |
522 | 482,156 | ||||||
Series 2018-4, Class MA, 3.50%, 03/25/58 |
3,013 | 2,765,351 | ||||||
Series 2019-1, Class MA, 3.50%, 07/25/58 |
940 | 859,939 | ||||||
Series 2019-2, Class MA, 3.50%, 08/25/58 |
381 | 346,800 | ||||||
Small Business Administration, Series 2000-1, 1.80%, 11/10/21(a) |
4 | | ||||||
|
|
|||||||
19,962,701 | ||||||||
Commercial Mortgage-Backed Securities 2.0% | ||||||||
BAMLL Commercial Mortgage Securities Trust, |
||||||||
Series 2018-DSNY, Class A, (1-mo. Term SOFR + 0.90%), 6.48%, 09/15/34(b)(c) |
607 | 604,176 | ||||||
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.20%, 04/15/36(b)(c) |
250 | 244,033 | ||||||
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. Term SOFR + 1.69%), 7.02%, 03/15/40(b)(c) |
500 | 497,496 | ||||||
BX Trust, Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.50%, 08/15/39(b)(c) |
750 | 751,410 | ||||||
Citigroup Commercial Mortgage CGCMT, Series 2023, Class A, 6.01%, 10/12/40(b)(c) |
340 | 331,064 | ||||||
CSAIL Commercial Mortgage Trust(c) |
||||||||
Series 2018-C14, Class XA, 0.70%, 11/15/51 |
1,990 | 42,607 | ||||||
Series 2019-C16, Class XA, 1.71%, 06/15/52 |
6,344 | 405,251 | ||||||
CSRO Trust, Class A, 7.12%, 07/12/40 |
177 | 175,664 | ||||||
GS Mortgage Securities Corp. Trust, Series 2022-ECI, Class A, (1-mo. Term SOFR + 2.19%), 7.53%, 08/15/39(b)(c) |
560 | 560,666 | ||||||
GS Mortgage Securities Trust, Series 2023-FUN, Class A, (1-mo. Term SOFR + 2.09%), 7.42%, 03/15/28(b)(c) |
280 | 277,193 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1-mo. Term SOFR + 1.06%), 6.40%, 06/15/35(b)(c) |
79 | 74,574 | ||||||
RMBS Miravet Mira Mile, Class A, 6.75%, 06/10/38 |
569 | 557,285 | ||||||
Wells Fargo Commercial Mortgage Trust(c) |
||||||||
Series 2018-AUS, Class A, 4.19%, 08/17/36(b) |
583 | 517,880 | ||||||
Series 2018-C44, Class XA, 0.87%, 05/15/51 |
4,747 | 120,610 | ||||||
|
|
|||||||
5,159,909 | ||||||||
Interest Only Collateralized Mortgage Obligations 5.2% | ||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 |
128 | 22,000 |
Security |
Par (000) | Value | ||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||
Fannie Mae REMICS, Series 2021-26, Class AI, |
$ | 26,330 | $ | 4,796,690 | ||||
Freddie Mac, Series 3744, Class CI, 3.00%, 06/25/51 |
19,044 | 2,672,156 | ||||||
Freddie Mac REMICS |
||||||||
Series 5083, Class IN, 4.50%, 07/25/32 |
12,400 | 1,204,773 | ||||||
Series 5138, Class IP, 3.00%, 04/25/51 |
17,713 | 2,688,763 | ||||||
Ginnie Mae, Series 2022-10, Class IT, 3.50%, 01/20/52 |
11,546 | 1,831,800 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2006- AR33, Class 4AX, 0.17%, 01/25/37(a) |
18,731 | 2 | ||||||
Vendee Mortgage Trust, Series 1999-2,
Class 1IO, |
5,391 | 5 | ||||||
|
|
|||||||
13,216,189 | ||||||||
Principal Only Collateralized Mortgage Obligations 2.3% | ||||||||
Fannie Mae, Series 2011-90, Class AO, 0.01%, 09/25/41 |
3,496 | 2,540,430 | ||||||
Fannie Mae Strip |
1,823 | 1,485,194 | ||||||
0.01%, 09/25/39 |
2,163 | 1,607,462 | ||||||
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 02/25/36 |
88 | 60,584 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 0.01%, 11/25/35 |
45 | 23,434 | ||||||
|
|
|||||||
5,717,104 | ||||||||
|
|
|||||||
Total Non-Agency Mortgage-Backed Securities
17.3% |
|
44,055,903 | ||||||
|
|
|||||||
U.S. Government Sponsored Agency Securities |
||||||||
Agency Obligations 3.7% | ||||||||
Federal Housing Administration, 7.43%, 05/15/23(a) |
| (d) | | |||||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(e) |
13,000 | 9,331,840 | ||||||
|
|
|||||||
9,331,840 | ||||||||
Collateralized Mortgage Obligations 60.8% | ||||||||
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24 |
1 | 612 | ||||||
Fannie Mae REMICS |
||||||||
Series 1993-247, Class SN, (30-day Avg SOFR + 58.35%), 10.00%, 12/25/23(c) |
| (d) | 272 | |||||
Series 2004-31, Class ZG, 7.50%, 05/25/34 |
1,887 | 1,995,433 | ||||||
Series 2004-84, Class SD, (30-day Avg SOFR + 12.56%), 3.52%, 04/25/34(c) |
22 | 21,749 | ||||||
Series 2005-73, Class DS, (30-day Avg SOFR + 17.25%), 3.43%, 08/25/35(c) |
37 | 34,110 | ||||||
Series 2010-134, Class DB, 4.50%, 12/25/40 |
6,131 | 5,822,360 | ||||||
Series 2010-136, Class CY, 4.00%, 12/25/40 |
3,016 | 2,798,791 | ||||||
Series 2010-47, Class JB, 5.00%, 05/25/30 |
1,833 | 1,783,281 | ||||||
Series 2011-117, Class CP, 4.00%, 11/25/41 |
14,350 | 13,101,783 | ||||||
Series 2011-8, Class ZA, 4.00%, 02/25/41 |
3,694 | 3,337,707 | ||||||
Series 2011-99, Class CB, 4.50%, 10/25/41 |
29,923 | 28,398,066 | ||||||
Series 2012-104, Class QD, 4.00%, 09/25/42 |
1,639 | 1,396,924 | ||||||
Series 2013-81, Class YK, 4.00%, 08/25/43 |
7,000 | 6,106,108 | ||||||
Series 2018-32, Class PS, (30-day Avg SOFR + 7.10%), 0.90%, 05/25/48(c) |
4,244 | 3,323,150 | ||||||
Series 2018-50, Class EB, 4.00%, 07/25/48 |
2,001 | 1,835,075 | ||||||
Freddie Mac REMICS |
||||||||
Series 2218, Class Z, 8.50%, 03/15/30 |
303 | 315,459 | ||||||
Series 2731, Class ZA, 4.50%, 01/15/34 |
1,500 | 1,440,388 | ||||||
Series 2927, Class BZ, 5.50%, 02/15/35 |
1,428 | 1,407,097 | ||||||
Series 3745, Class ZA, 4.00%, 10/15/40 |
1,239 | 1,125,749 |
1 |
Schedule of Investments (unaudited) (continued) September 30, 2023 |
BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICS (continued) |
||||||||
Series 3762, Class LN, 4.00%, 11/15/40 |
$ | 2,000 | $ | 1,806,160 | ||||
Series 3780, Class ZA, 4.00%, 12/15/40 |
3,293 | 3,024,396 | ||||||
Series 3856, Class PB, 5.00%, 05/15/41 |
6,358 | 6,193,894 | ||||||
Series 3960, Class PL, 4.00%, 11/15/41 |
2,859 | 2,654,961 | ||||||
Series 3963, Class JB, 4.50%, 11/15/41 |
519 | 491,837 | ||||||
Series 4016, Class BX, 4.00%, 09/15/41 |
15,408 | 14,161,902 | ||||||
Series 4269, Class PM, 4.00%, 08/15/41 |
8,884 | 7,762,487 | ||||||
Series 4299, Class JY, 4.00%, 01/15/44 |
1,000 | 877,763 | ||||||
Series 4384, Class LB, 3.50%, 08/15/43 |
3,851 | 3,595,979 | ||||||
Series 4615, Class LB, 4.50%, 09/15/41 |
7,219 | 6,787,162 | ||||||
Series 4748, Class BM, 3.50%, 11/15/47 |
3,351 | 2,645,785 | ||||||
Series 4774, Class L, 4.50%, 03/15/48 |
5,358 | 5,016,705 | ||||||
Series 4830, Class AV, 4.00%, 10/15/33 |
1,069 | 944,648 | ||||||
Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.13%, 01/25/28(c) |
59 | 58,376 | ||||||
Ginnie Mae |
||||||||
Series 2011-88, Class PY, 4.00%, 06/20/41 |
7,409 | 6,913,419 | ||||||
Series 2012-16, Class HJ, 4.00%, 09/20/40 |
5,271 | 4,969,619 | ||||||
Series 2015-96, Class ZM, 4.00%, 07/20/45 |
8,697 | 7,465,224 | ||||||
Series 2018-91, Class ZL, 4.00%, 07/20/48 |
6,318 | 5,014,215 | ||||||
|
|
|||||||
154,628,646 | ||||||||
Commercial Mortgage-Backed Securities(c) 0.6% | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
||||||||
Certificates |
||||||||
Series K094, Class X1, 1.01%, 06/25/29 |
1,400 | 56,380 | ||||||
Series K104, Class X1, 1.25%, 01/25/30 |
1,347 | 73,218 | ||||||
Series K105, Class X1, 1.64%, 01/25/30 |
1,817 | 135,635 | ||||||
Series K107, Class X1, 1.71%, 01/25/30 |
1,228 | 96,314 | ||||||
Series K109, Class X1, 1.70%, 04/25/30 |
937 | 73,875 | ||||||
Series K110, Class X1, 1.81%, 04/25/30 |
393 | 32,461 | ||||||
Series K113, Class X1, 1.48%, 06/25/30 |
1,590 | 113,813 | ||||||
Series K115, Class X1, 1.43%, 06/25/30 |
1,949 | 133,444 | ||||||
Series K120, Class X1, 1.13%, 10/25/30 |
3,884 | 208,703 | ||||||
Series K122, Class X1, 0.97%, 11/25/30 |
1,666 | 78,518 | ||||||
Ginnie Mae |
||||||||
Series 2013-63, Class IO, 0.75%, 09/16/51 |
3,364 | 83,024 | ||||||
Series 2014-169, Class IO, 0.62%, 10/16/56 |
12,629 | 268,514 | ||||||
Series 2016-113, Class IO, 1.18%, 02/16/58 |
3,361 | 174,920 | ||||||
|
|
|||||||
1,528,819 | ||||||||
Interest Only Collateralized Mortgage Obligations 7.8% | ||||||||
Fannie Mae REMIC Trust, Series 1999-W4,
Class IO, |
30 | 1,406 | ||||||
Fannie Mae REMICS |
|
|||||||
Series 1997-90, Class M, 6.00%, 01/25/28 |
12 | 57 | ||||||
Series 2006-36, Class PS, (30-day Avg SOFR + 6.49%), 1.17%, 05/25/36(c) |
2,081 | 142,213 | ||||||
Series 2011-134, Class ST, (30-day Avg SOFR + 5.89%), 0.57%, 12/25/41(c) |
12,118 | 1,011,746 | ||||||
Series 2013-10, Class PI, 3.00%, 02/25/43 |
3,629 | 430,904 | ||||||
Series 2013-45, Class EI, 4.00%, 04/25/43 |
1,318 | 119,769 | ||||||
Series 2015-66, Class AS, (30-day Avg SOFR + 6.14%), 0.82%, 09/25/45(c) |
10,437 | 565,084 | ||||||
Series 2017-70, Class SA, (30-day Avg SOFR + 6.04%), 0.72%, 09/25/47(c) |
16,399 | 1,469,658 | ||||||
Series 2020-12, Class JI, 4.50%, 03/25/50 |
7,309 | 1,501,050 | ||||||
Series 2021-23, Class CI, 3.50%, 07/25/46 |
18,390 | 3,088,856 |
Security | Par (000) |
Value | ||||||
Interest Only Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICS |
||||||||
Series 3744, Class PI, 4.00%, 06/15/39 |
$ | 973 | $ | 36,720 | ||||
Series 3796, Class WS, (30-day Avg SOFR +
6.44%), |
49 | 47 | ||||||
Series 3923, Class SD, (30-day Avg SOFR +
5.89%), |
15,763 | 1,079,989 | ||||||
Series 3954, Class SL, (30-day Avg SOFR +
5.89%), |
9,310 | 709,554 | ||||||
Series 4026, Class IO, 4.50%, 04/15/32 |
563 | 45,450 | ||||||
Series 4119, Class SC, (30-day Avg SOFR +
6.04%), |
217 | 17,932 | ||||||
Series 4706, Class IG, 4.00%, 07/15/47 |
7,856 | 1,338,849 | ||||||
Series 5013, Class JI, 4.00%, 09/25/50 |
19,194 | 3,906,708 | ||||||
Ginnie Mae |
||||||||
Series 2009-116, Class KS, (1-mo. Term SOFR + 6.36%), 1.03%, 12/16/39(c) |
351 | 20,395 | ||||||
Series 2011-52, Class MJ, (1-mo. Term SOFR + 6.54%), 1.21%, 04/20/41(c) |
2,560 | 102,845 | ||||||
Series 2011-52, Class NS, (1-mo. Term SOFR + 6.56%), 1.23%, 04/16/41(c) |
3,259 | 177,718 | ||||||
Series 2012-97, Class JS, (1-mo. Term SOFR + 6.14%), 0.81%, 08/16/42(c) |
4,169 | 88,497 | ||||||
Series 2017-101, Class SL, (1-mo. Term SOFR + 6.09%), 0.76%, 07/20/47(c) |
8,466 | 706,740 | ||||||
Series 2022-60, Class IH, 2.50%, 02/20/51 |
23,607 | 3,202,888 | ||||||
|
|
|||||||
19,765,075 | ||||||||
Mortgage-Backed Securities 67.4% | ||||||||
Fannie Mae Mortgage-Backed Securities, |
30,683 | 27,953,074 | ||||||
Freddie Mac Mortgage-Backed Securities, |
4,274 | 4,259,477 | ||||||
Ginnie Mae Mortgage-Backed Securities |
| (d) | 4 | |||||
8.00%, 05/15/26 - 06/15/27 |
8 | 7,190 | ||||||
5.00%, 10/20/39(g) |
971 | 952,847 | ||||||
Uniform Mortgage-Backed Securities |
35,803 | 33,290,958 | ||||||
5.50%, 02/01/33 - 10/01/39(f) |
3,179 | 3,168,448 | ||||||
5.00%, 06/01/33 - 10/12/53(f)(g)(h) |
28,654 | 27,337,266 | ||||||
2.50%, 10/18/37(h) |
180 | 158,597 | ||||||
6.50%, 10/01/38 - 10/01/39 |
1,103 | 1,136,296 | ||||||
4.00%, 01/01/41 - 10/01/52(f) |
39,489 | 35,477,378 | ||||||
3.00%, 10/12/53(h) |
41,900 | 34,641,152 | ||||||
3.50%, 10/12/53(h) |
3,664 | 3,150,754 | ||||||
|
|
|||||||
171,533,441 | ||||||||
Principal Only Collateralized Mortgage Obligations 0.0% | ||||||||
Fannie Mae REMIC Trust, Series 1999-W4,
Class PO, |
15 | 13,702 | ||||||
Fannie Mae REMICS, Series 2002-13, Class PR, |
19 | 17,573 | ||||||
Freddie Mac REMICS, Series 1691, Class B, 0.01%, 03/15/24 |
3 | 2,337 | ||||||
|
|
|||||||
33,612 | ||||||||
|
|
|||||||
Total U.S. Government Sponsored Agency Securities 140.3% |
|
356,821,433 | ||||||
|
|
|||||||
Total Long-Term Investments 157.6% |
|
400,884,274 | ||||||
|
|
S C H E D U L E O F I N V E S T M E N T S | 2 |
Schedule of Investments (unaudited) (continued) September 30, 2023 |
BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Short-Term Securities |
||||||||
Borrowed Bond Agreement 0.3% |
||||||||
BNP Paribas SA, 5.33%, 10/02/23 (Purchased 09/29/2023 to be repurchased at $680,973, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $669,446, respectively) |
$ | 681 | $ | 680,873 | ||||
|
|
|||||||
Shares | ||||||||
Money Market Funds 1.9% | ||||||||
BlackRock Liquidity Funds, T-Fund, Institutional |
4,936,500 | 4,936,500 | ||||||
|
|
|||||||
Total Short-Term Securities 2.2% |
5,617,373 | |||||||
|
|
|||||||
Options Purchased 0.0% |
4,280 | |||||||
|
|
|||||||
Total Investments Before Borrowed Bonds 159.8% (Cost: $469,408,568) |
406,505,927 | |||||||
|
|
|||||||
Par (000) |
||||||||
Borrowed Bonds | ||||||||
U.S. Governments Obligations (0.3)% |
|
|||||||
U.S. Treasury Bonds, 2.75%, 11/15/42 |
$ | (917 | ) | (669,446 | ) | |||
|
|
|||||||
Total Borrowed Bonds (0.3)% |
|
(669,446 | ) | |||||
Total Investments, Net of Borrowed Bonds 159.5% (Cost: $468,566,221) |
405,836,481 | |||||||
Liabilities in Excess of Other Assets (59.5)% |
|
(151,413,503 | ) | |||||
|
|
|||||||
Net Assets 100.0% |
$ | 254,422,978 | ||||||
|
|
(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) | Rounds to less than 1,000. |
(e) | Zero-coupon bond. |
(f) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(g) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. |
(h) | Represents or includes a TBA transaction. |
(i) | Affiliate of the Fund. |
(j) | Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended September 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/22 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 09/30/23 |
Shares Held at 09/30/23 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 5,814,963 | $ | | $ | (878,463 | )(a) | $ | | $ | | $ | 4,936,500 | 4,936,500 | $ | 213,408 | $ | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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) | |||||||||
Deutsche Bank Securities, Inc. |
5.45 | % | 09/13/23 | 10/12/23 | $ | 1,387,626 | $ | 1,391,197 | U.S. Government Sponsored |
Up to 30 Days | ||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 3,624,323 | 3,633,651 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 2,874,700 | 2,882,099 | U.S. Government Sponsored |
Up to 30 Days |
3 |
Schedule of Investments (unaudited) (continued) September 30, 2023 |
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) | |||||||
Deutsche Bank Securities, Inc. |
5.45 | % | 09/13/23 | 10/12/23 | $ | 1,079,429 | $ | 1,082,207 | U.S. Government Sponsored |
Up to 30 Days | ||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 2,203,910 | 2,209,582 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 1,200,206 | 1,203,295 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,751,631 | 5,766,433 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,730,950 | 5,745,699 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,701,036 | 5,715,708 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,350,493 | 5,364,263 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 1,217,918 | 1,221,053 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 2,887,193 | 2,894,624 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 2,417,986 | 2,424,209 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 4,357,888 | 4,369,104 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 8,305,790 | 8,327,166 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 1,878,035 | 1,882,868 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 1,362,336 | 1,365,842 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 19,459,686 | 19,511,790 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 1,956,159 | 1,961,193 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,591,504 | 5,605,894 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,704,490 | 5,719,171 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,617,708 | 5,632,166 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,531,639 | 5,545,875 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 5,849,614 | 5,864,669 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 4,194,733 | 4,205,529 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Deutsche Bank Securities, Inc. |
5.45 | 09/13/23 | 10/12/23 | 2,648,802 | 2,655,619 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Royal Bank of Canada |
5.46 | 09/14/23 | 10/12/23 | 430,949 | 432,060 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Royal Bank of Canada |
5.46 | 09/14/23 | 10/12/23 | 976,469 | 978,986 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
Royal Bank of Canada |
5.46 | 09/14/23 | 10/12/23 | 1,011,898 | 1,014,507 | U.S. Government Sponsored |
Up to 30 Days | |||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$ 116,305,101 | $ 116,606,459 | |||||||||||||||||||||||||
|
|
|
|
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
S C H E D U L E O F I N V E S T M E N T S | 4 |
Schedule of Investments (unaudited) (continued) September 30, 2023 |
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 |
310 | 12/19/23 | $ | 33,485 | $ | (685,908 | ) | |||||||||
|
|
|||||||||||||||
Short Contracts |
163 | 12/19/23 | 18,180 | 388,167 | ||||||||||||
U.S. Long Bond |
140 | 12/19/23 | 15,938 | 903,178 | ||||||||||||
2-Year U.S. Treasury Note |
154 | 12/29/23 | 31,215 | 103,214 | ||||||||||||
5-Year U.S. Treasury Note |
60 | 12/29/23 | 6,320 | 41,624 | ||||||||||||
|
|
|||||||||||||||
1,436,183 | ||||||||||||||||
|
|
|||||||||||||||
$ | 750,275 | |||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
Paid by the Fund | Received by the Fund | Counterparty | Expiration Date |
Exercise Rate |
Notional Amount (000) |
Value | ||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | ||||||||||||||||||||||||||||||||
Call |
||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/13/33 |
|
1-Day SOFR, 5.31 |
% |
Quarterly | 3.00 | % | Semi-Annual | Deutsche Bank AG | 12/11/23 | 3.00 | % | USD 15,000 | $ | 4,280 | ||||||||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Paid by the Fund |
Received by the Fund | Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||||||
1-Day SOFR, 5.31% |
Quarterly | 0.17% | Quarterly | N/A | 10/21/25 | USD | 137 | $ | (14,038 | ) | $ | (14 | ) | $ | (14,024 | ) | ||||||||||||||||||||||||
0.18% |
Quarterly | 1-Day FEDL, 5.33% | Quarterly | N/A | 10/21/25 | USD | 137 | 14,007 | 12 | 13,995 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | (31 | ) | $ | (2 | ) | $ | (29 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
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 marketcorroborated 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 Committees 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 Funds policy regarding valuation of financial instruments, refer to its most recent financial statements.
5 |
Schedule of Investments (unaudited) (continued) September 30, 2023 |
BlackRock Income Trust, Inc. (BKT) |
Fair Value Hierarchy as of Period End (continued)
The following table summarizes the Funds financial instruments categorized in the fair value hierarchy. The breakdown of the Funds 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 |
$ | | $ | | $ | 6,938 | $ | 6,938 | ||||||||
Non-Agency Mortgage-Backed Securities |
| 44,055,896 | 7 | 44,055,903 | ||||||||||||
U.S. Government Sponsored Agency Securities |
| 356,821,433 | | 356,821,433 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Borrowed Bond Agreement |
| 680,873 | | 680,873 | ||||||||||||
Money Market Funds |
4,936,500 | | | 4,936,500 | ||||||||||||
Options Purchased |
||||||||||||||||
Interest Rate Contracts |
| 4,280 | | 4,280 | ||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
Borrowed Bonds |
| (669,446 | ) | | (669,446 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 4,936,500 | $ | 400,893,036 | $ | 6,945 | $ | 405,836,481 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative Financial Instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Interest Rate Contracts |
$ | 1,436,183 | $ | 13,995 | $ | | $ | 1,450,178 | ||||||||
Liabilities |
||||||||||||||||
Interest Rate Contracts |
(685,908 | ) | (14,024 | ) | | (699,932 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 750,275 | $ | (29 | ) | $ | | $ | 750,246 | ||||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
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 $116,606,459 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 |
|||||
PO |
Principal Only |
|||||
REMIC |
Real Estate Mortgage Investment Conduit |
|||||
SOFR |
Secured Overnight Financing Rate |
|||||
STRIP |
Separate Trading of Registered Interest & Principal |
S C H E D U L E O F I N V E S T M E N T S | 6 |
1 Year BlackRock Income Chart |
1 Month BlackRock Income Chart |
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