BLACKROCK INCOME TRUST, INC.

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: 08/31/2017

Date of reporting period: 05/31/2017

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2017 (Unaudited)

   

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   Par
(000)		      Value  
Asset-Backed Securities — 0.4%             

Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1,
1.45%, 10/25/35 (a)

   $ 1,875      $ 1,824,283  
Interest Only Asset-Backed Securities — 0.1%             

Small Business Administration Participation Certificates, Series 2000-1, 1.80%, 3/15/21 (b)

     276        2,414  

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (b)(c)

     1,510        102,868  

Sterling Coofs Trust, Series 2004-1, Class A,
2.36%, 4/15/29 (b)

     4,520        310,246  
    

 

 

  
               415,528  

Total Asset-Backed Securities — 0.5%

              2,239,811  
    
                  

Non-Agency Mortgage-Backed Securities

                 
Collateralized Mortgage Obligations — 0.5%             

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

     173        169,066  

HomeBanc Mortgage Trust, Series 2005-4, Class A1, 1.29%, 10/25/35 (a)

     1,283        1,247,462  

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 14.72%, 8/25/23 (a)

     33        36,061  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 3.27%, 8/25/34 (a)

     739        724,507  
    

 

 

  
               2,177,096  
Interest Only Collateralized Mortgage Obligations — 0.4%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37

     400        89,423  

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37 (b)

     38,662        48,327  

MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%,
4/25/34 (b)(d)

     4,876        97,511  

MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19

     70        2,529  

Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19

     48        506  
Non-Agency Mortgage-Backed Securities   Par
(000)		      Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.85%, 3/20/35 (a)(b)

   $ 21,378      $ 587,894  

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 1.99%, 8/25/36 (a)(b)

     9,462        686,017  

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (a)

     24,149        24  
    

 

 

  
               1,512,231  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, 0.00%, 9/25/23 (e)

     29        27,105  

Drexel Burnham Lambert CMO Trust, Series K, Class 1, 0.00%, 9/23/17 (e)

     — (f)       4  

Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36 (e)

     300        249,411  

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

     126        93,982  
    

 

 

  
               370,502  

Total Non-Agency Mortgage-Backed Securities — 1.0%

 

      4,059,829  
    
                  

U.S. Government Sponsored Agency Securities

                 
Agency Obligations — 2.6%             

Federal Housing Administration (b):

     

USGI Projects, Series 99, 7.43%, 6/01/21

     2,254        2,152,431  

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

     — (f)       1  

Merrill Projects, Series 54, 7.43%, 5/15/23

     1        1,059  

Reilly Projects, Series 41, 8.28%, 3/01/20

     23        22,727  

Residual Funding Corp.,, 0.00%, 4/15/30 (e)

     13,000        8,930,467  
    

 

 

  
               11,106,685  
Collateralized Mortgage Obligations — 65.0%  

Fannie Mae Mortgage-Backed Securities:

     

Series 2011-142, Class PE, 3.50%, 1/25/42

     15,567        16,067,969  
 

 

                
   BLACKROCK INCOME TRUST, INC.    MAY 31, 2017    1

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency Securities   Par
(000)		      Value  
Collateralized Mortgage Obligations (continued)  

Fannie Mae Mortgage-Backed Securities (continued):

     

Series 2014-28, Class BD, 3.50%, 8/25/43

   $ 5,804      $ 6,095,906  

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

     3,060        3,333,330  

Series 2011-8, Class ZA, 4.00%, 2/25/41

     6,310        6,803,591  

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

     14,350        15,750,651  

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

     43,000        48,347,076  

Series 2010-47, Class JB, 5.00%, 5/25/30

     9,936        10,798,809  

Series 2003-135, Class PB, 6.00%, 1/25/34

     7,468        7,917,347  

Series 2004-31, Class ZG, 7.50%, 5/25/34

     4,875        6,004,739  

Series 1993-247, Class SN, 10.00%, 12/25/23 (a)

     95        114,239  

Series 2005-73, Class DS, 14.89%, 8/25/35 (a)

     526        609,947  

Series 1991-87, Class S, 23.97%, 8/25/21 (a)

     8        9,460  

Series G-49, Class S, 928.35%, 12/25/21 (a)

     — (f)       37  

Series G-07, Class S, 1,029.12%, 3/25/21 (a)

     — (f)       342  

Series 1991-46, Class S, 2,284.60%, 5/25/21 (a)

     — (f)       1  

Freddie Mac Mortgage-Backed Securities:

     

Series T-11, Class A9, 3.10%, 1/25/28 (a)

     744        774,760  

Series 4242, Class PA, 3.50%, 5/15/41

     5,926        6,157,831  

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

     2,000        2,178,745  

Series 4269, Class PM, 4.00%, 8/15/41

     8,884        9,544,349  

Series 4016, Class BX, 4.00%, 9/15/41

     15,408        17,000,309  

Series 3688, Class PB, 4.50%, 8/15/32

     10,000        10,454,813  

Series 4316, Class VB, 4.50%, 3/15/34

     10,787        11,784,850  

Series 3856, Class PB, 5.00%, 5/15/41

     10,000        11,335,618  

Series 2758, Class KV, 5.50%, 5/15/23

     251        250,458  

Series 2927, Class BZ, 5.50%, 2/15/35

     4,064        4,618,524  

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

     1,493        1,583,321  
U.S. Government Sponsored Agency
Securities		    Par
(000)		      Value  
Collateralized Mortgage Obligations (continued)         

Freddie Mac Mortgage-Backed Securities (continued):

 

   

Series 0040, Class K, 6.50%, 8/17/24

    $ 93      $ 102,195  

Series 0019, Class F, 8.50%, 3/15/20

      5        5,155  

Series 2218, Class Z, 8.50%, 3/15/30

      1,884        2,236,027  

Series 0173, Class RS, 10.01%, 11/15/21 (a)(b)

      — (f)       2  

Series 1160, Class F, 35.24%, 10/15/21 (a)

      5        6,700  

Ginnie Mae Mortgage-Backed Securities:

      

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

      19,300        19,824,138  

Series 2010-112, Class TL, 4.00%, 1/20/39

      15,000        15,501,669  

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

      11,489        11,962,552  

Series 2012-16, Class HJ, 4.00%, 9/20/40

      10,000        10,690,836  

Series 2011-88, Class PY, 4.00%, 6/20/41

      15,402        16,301,920  

Series 2015-96, Class ZM, 4.00%, 7/20/45

      6,732        7,372,144  

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

      67        68,853  
     

 

 

  
                281,609,213  
Interest Only Collateralized Mortgage Obligations — 5.3%         

Fannie Mae Mortgage-Backed Securities:

      

Series 1997-50, Class SI, 1.20%, 4/25/23 (a)

      80        2,170  

Series G92-60, Class SB, 1.60%, 10/25/22 (a)

      39        1,263  

Series 2013-10, Class PI, 3.00%, 2/25/43

      13,838        1,464,510  

Series 2012-96, Class DI, 4.00%, 2/25/27

      3,542        299,198  

Series 2013-45, Class EI, 4.00%, 4/25/43

      6,157        973,481  

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

      3,604        198,193  

Series 2015-66, Class AS, 5.23%, 9/25/45 (a)

      51,916        8,840,339  

Series 2006-36, Class PS, 5.58%, 5/25/36 (a)

      6,770        1,320,364  
 

 

                
2    BLACKROCK INCOME TRUST, INC.    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency
Securities		    Par
(000)		      Value  
Interest Only Collateralized Mortgage Obligations (continued)  

Fannie Mae Mortgage-Backed Securities (continued):

 

Series 2011-124, Class GS, 5.68%, 3/25/37 (a)

    $ 7,240      $ 484,493  

Series 1997-90, Class M, 6.00%, 1/25/28

      1,278        163,809  

Series 1999-W4, 6.50%, 12/25/28

      116        10,756  

Series G92-05, Class H, 9.00%, 1/25/22

      1        41  

Series 094, Class 2, 9.50%, 8/25/21

      — (f)       59  

Series 1990-136, Class S, 19.06%, 11/25/20 (a)

      3        3  

Series 1991-139, Class PT, 648.35%, 10/25/21

      — (f)       1  

Series G-10, Class S, 995.61%, 5/25/21 (a)

      — (f)       1  

Freddie Mac Mortgage-Backed Securities:

      

Series 2559, 0.50%, 8/15/30 (a)

      29        145  

Series 3745, Class IN, 4.00%, 1/15/35

      10,189        449,694  

Series 3744, Class PI, 4.00%, 6/15/39

      8,626        925,106  

Series 4026, 4.50%, 4/15/32

      2,706        347,240  

Series 2611, Class QI, 5.50%, 9/15/32

      392        16,295  

Series 1043, Class H, 39.78%, 2/15/21 (a)

      3        4  

Ginnie Mae Mortgage-Backed Securities (a):

      

Series 2014-124, Class IE, 0.75%, 5/16/54

      9,630        440,925  

Series 2012-97, Class JS, 5.26%, 8/16/42

      19,335        3,176,825  

Series 2009-116, Class KS,
5.30%, 12/16/39

      1,226        184,437  

Series 2011-52, Class NS, 5.50%, 4/16/41

      10,548        1,938,796  

Series 2011-52, Class MJ, 5.64%, 4/20/41

      9,129        1,629,368  
     

 

 

  
                22,867,516  
Mortgage-Backed Securities — 74.9%              

Fannie Mae Mortgage-Backed Securities:

      

2.50%, 6/01/32 (g)

      10,000        10,102,734  

3.00%, 6/01/43 - 6/01/47 (g)(h)

      69,704        70,365,168  

3.50%, 10/01/42 - 6/01/47 (g)(h)

      55,458        57,531,760  

4.00%, 1/01/41 - 6/01/47 (g)(h)

      46,268        49,135,748  

4.50%, 8/01/25 - 9/01/41 (h)

      51,915        56,486,179  

5.00%, 1/01/23 (h)

      32,911        36,386,358  
U.S. Government Sponsored Agency
Securities		    Par
(000)		      Value  
Mortgage-Backed Securities (continued)         

Fannie Mae Mortgage-Backed Securities (continued):

 

   

5.50%, 7/01/17 - 10/01/39 (h)

    $ 13,590      $ 15,227,930  

6.50%, 12/01/37 - 10/01/39

      4,514        5,092,775  

7.50%, 2/01/22

      — (f)       10  

9.50%, 1/01/19 - 9/01/19

      1        792  

Freddie Mac Mortgage-Backed Securities:

 

2.93%, 10/01/34 (a)

      99        100,774  

3.11%, 1/01/35 (a)

      166        169,177  

5.00%, 2/01/22 - 4/01/22

      132        138,413  

5.50%, 1/01/39 (h)

      16,903        18,983,869  

9.00%, 9/01/20

      3        3,034  

Ginnie Mae Mortgage-Backed Securities:

 

5.00%, 10/15/39

      4,302        4,706,555  

7.50%, 8/15/21 - 11/15/23

      58        59,966  

8.00%, 10/15/22 - 8/15/27

      36        38,356  

9.00%, 4/15/20 - 9/15/21

      2        1,840  
     

 

 

  
                324,531,438  
Principal Only Collateralized Mortgage Obligations — 0.1%  

Fannie Mae Mortgage-Backed Securities (e):

 

   

Series 1991-7, Class J, 0.00%, 2/25/21

      2        1,490  

Series G93-2, Class KB, 0.00%, 1/25/23

      48        46,059  

Series 1993-51, Class E, 0.00%, 2/25/23

      21        19,810  

Series 1993-70, Class A, 0.00%, 5/25/23

      3        2,403  

Series 0228, Class 1, 0.00%, 6/25/23

      4        3,949  

Series 1999-W4, 0.00%, 2/25/29

      48        45,038  

Series 2002-13, Class PR, 0.00%, 3/25/32

      104        95,559  

Freddie Mac Mortgage-Backed Securities (e):

      

Series 1418, Class M, 0.00%, 11/15/22

      15        14,785  

Series 1571, Class G, 0.00%, 8/15/23

      118        113,268  

Series 1691, Class B, 0.00%, 3/15/24

      245        228,266  

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

      28        27,467  
     

 

 

  
        598,094  

Total U.S. Government Sponsored Agency Securities 147.9%

               640,712,946  

 

 

 

                
   BLACKROCK INCOME TRUST, INC.    MAY 31, 2017    3

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

U.S. Treasury Obligations    Par
(000)		      Value  

U.S. Treasury Bonds, 2.50%, 2/15/46 (h)

    $ 2,500      $ 2,317,675  

U.S. Treasury Notes:

      

1.00%, 11/30/19(h)

      2,965        2,939,866  

1.38%, 8/31/20(h)

      4,045        4,028,408  

1.63%, 11/15/22

      780        771,560  

2.00%, 8/15/25(h)

      2,860        2,831,846  

Total U.S. Treasury Obligations — 3.0%

 

      12,889,355  

Total Long-Term Investments

(Cost — $667,789,315) — 152.4%

               659,901,941  
     
                   
Short-Term Securities    Shares          
Money Market Fund — 3.0%              

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.67% (i)(j)

      12,998,577        12,998,577  
                   
     

Par

(000)

          
Borrowed Bond Agreement (k)(l) — 0.2%         

Credit Suisse Securities (USA) LLC, 0.90%, Open (Purchased on 12/19/16 to be repurchased at $859,760. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and 902,349 respectively)

    $ 856        856,249  

Total Short-Term Securities

(Cost — $13,854,826) — 3.2%

               13,854,826  
Total Investments Before Borrowed Bonds and TBA Sale Commitments (Cost — $681,644,141) — 155.6%               673,756,767  
Borrowed Bonds    Par
(000)		      Value  

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

    $ (917 )     $ (902,349 ) 

Total Borrowed Bonds

(Proceeds — $842,347) — (0.2)%

               (902,349 ) 
     
                   
TBA Sale Commitments                  
Mortgage-Backed Securities — (26.2%)              

Fannie Mae Mortgage-Backed Securities (g):

      

2.50%, 6/01/32

      9,820        (9,920,885 ) 

3.00%, 6/01/47 - 7/01/47

      59,150        (59,461,508 ) 

4.00%, 6/01/47 - 7/01/47

      28,205        (29,785,833 ) 

5.00%, 6/01/47

      12,900        (14,183,198 ) 
Total TBA Sale Commitments
(Proceeds — $112,435,113) — (26.2%)		               (113,351,424 ) 

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments

(Cost — $568,366,681*) — 129.2%

         559,502,994  

Liabilities in Excess of Other Assets — (29.2)%

 

      (126,326,692 ) 
     

 

 

  

Net Assets — 100.0%

       $ 433,176,302  
     

 

 

  

 

*   As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

Tax cost

   $ 681,688,081  
 

 

 

  

Gross unrealized appreciation

   $ 20,735,912  

Gross unrealized depreciation

     (28,667,226 ) 
 

 

 

  

Net unrealized depreciation

   $ (7,931,314 ) 
 

 

 

  
 
Notes to Schedule of Investments      
*   Cost for federal income tax purposes.

 

(a)   Variable rate security. Rate as of period end.

 

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

 

(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)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(e)   Zero-coupon bond.

 

(f)   Amount is less than $500.

 

                
4    BLACKROCK INCOME TRUST, INC.    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

(g)   Represents or includes a TBA transaction. As of period end, unsettled TBA transactions were as follows:

 

Counterparty   Value       

Unrealized
Appreciation

(Depreciation)

  

Barclays Bank PLC

   $ 10,102,734        $ 40,234  

Citigroup Global Marekets, Inc.

   $ 2,419,097        $ 24,037  

Deutsche Bank Securities, Inc.

   $ 2,492,435        $ 22,974  

Goldman Sachs & Co.

   $ (86,671,210 )       $ (820,735 ) 

J.P. Morgan Securities LLC

   $ 10,596,858        $ 92,491  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   $ (9,920,885 )       $ (85,541 ) 

Morgan Stanley & Co. LLC

   $ 14,278        $ 504  

 

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

 

(i)   During the period ended May 31, 2017, investments in issuers considered to be affiliates 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 August 31,

2016

      Net
Activity		     

Shares Held

at May 31,

2017

    

Value at
May 31,

2017

      Income      Net Realized
Gain1		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      —        12,998,577        12,998,577     $ 12,998,577      $ 28,733      $ 57        —  

BlackRock Liquidity Funds, TempFund, Institutional Class

      7,183,580        (7,183,580 )       —       —        —        —        —  

Total

            $ 12,998,577      $ 28,733      $ 57        —  
          

 

 

  

 

  1   

Includes net capital gain distributions.

 

(j)   Current yield as of period end.

 

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

 

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

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Portfolio Abbreviations

 

CMO    Collateralized Mortgage Obligation
OTC    Over-the-Counter

 

                
   BLACKROCK INCOME TRUST, INC.    MAY 31, 2017    5

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

Reverse Repurchase Agreements  
Counterparty   Interest
Rate		     Trade
Date		     Maturity
Date 1		     Face Value     Face Value
Including
Accrued
Interest		     Type of Non-Cash Underlying  Collateral   Remaining
Contractual Maturity
of the  Agreements		  

BNP Paribas Securities Corp.

     0.06 %      12/19/16       Open     $ 2,924,231     $ 2,925,026     U.S. Treasury Obligations     Open/Demand 1 

BNP Paribas Securities Corp.

     0.54 %      12/19/16       Open       4,004,550       4,014,341     U.S. Treasury Obligations     Open/Demand 1 

BNP Paribas Securities Corp.

     0.96 %      4/19/17       Open       2,315,625       2,317,964     U.S. Treasury Obligations     Open/Demand 1 

BNP Paribas Securities Corp.

     0.96 %      4/19/17       Open       2,831,400       2,834,285     U.S. Treasury Obligations     Open/Demand 1 

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       18,269,000       18,279,337     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       15,893,000       15,901,993     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       19,854,000       19,865,234     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       3,713,000       3,715,101     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       9,389,000       9,394,313     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       9,582,000       9,587,422     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       16,652,000       16,661,422     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       14,523,000       14,531,218     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       19,648,000       19,659,117     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       10,845,000       10,851,136     U.S. Government Sponsored Agency Securities     Up to 30 Days  

 

                
6    BLACKROCK INCOME TRUST, INC.    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

Reverse Repurchase Agreements (continued)  
Counterparty   Interest
Rate		     Trade
Date		     Maturity
Date 1		     Face Value     Face Value
Including
Accrued
Interest		     Type of Non-Cash Underlying Collateral   Remaining
Contractual Maturity
of the  Agreements		  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17     $ 14,191,000     $ 14,199,030     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       16,025,000       16,034,067     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       7,484,000       7,488,235     U.S. Government Sponsored Agency Securities     Up to 30 Days  

HSBC Securities (USA), Inc.

     0.97 %      5/10/17       6/13/17       9,861,000       9,866,580     U.S. Government Sponsored Agency Securities     Up to 30 Days  

Total

 

   $ 198,004,806     $ 198,125,821    
       

 

 

      

1    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            

Contracts

Long (Short)

        Issue   Expiration  

Notional

Value

     Unrealized
Appreciation
(Depreciation)		  
  (24 )       90-Day Euro Dollar   June 2017   $ 5,925,150     $ (1,831 ) 
  (441 )       5-Year U.S. Treasury Note   September 2017   $ 52,175,812       (99,421 ) 
  (123 )       10-Year U.S. Treasury Note   September 2017   $ 15,534,516       (36,910 ) 
  (71 )       10-Year U.S. Ultra Long Treasury Note   September 2017   $ 9,637,141       (46,120 ) 
  (24 )       90-Day Euro Dollar   September 2017   $ 5,920,500       (3,668 ) 
  (661 )       Long U.S. Treasury Bond   September 2017   $ 101,670,062       (924,968 ) 
  285        Ultra Long U.S. Treasury Bond   September 2017   $ 47,060,625       656,190  
  (24 )       90-Day Euro Dollar   December 2017   $ 5,916,300       (5,456 ) 
  (24 )       90-Day Euro Dollar   March 2018   $ 5,912,100       (6,718 ) 
  (30 )       90-Day Euro Dollar   June 2018   $ 7,383,750       (10,363 ) 
  (30 )       90 Day Euro Future   September 2018   $ 7,377,375       (11,451 ) 
  (30 )       90 Day Euro Future   December 2018   $ 7,370,625       (13,051 ) 
  (30 )       90-Day Euro Dollar   March 2019   $ 7,366,500       (13,989 ) 
  Total              $ (517,756 ) 
          

 

 

  

 

                
   BLACKROCK INCOME TRUST, INC.    MAY 31, 2017    7

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

 

OTC Interest Rate Swaps
Fixed
Rate		     Floating
Rate		  
Counterparty		   Effective
Date		     Expiration
Date		     Notional
Amount
(000)		    
Value		     Premiums
Received		     Unrealized
Appreciation
(Depreciation)		  
  4.31 %1    3-Month LIBOR   Deutsche Bank AG     N/A       10/01/18     $ 60,000     $ (2,589,808 )      —     $ (2,589,808 ) 
  3.43 %2    3-Month LIBOR   JPMorgan Chase Bank N.A.     N/A       3/28/21     $ 6,000       402,967     $ (108,682 )      511,649  
  5.41 %2    3-Month LIBOR   JPMorgan Chase Bank N.A.     N/A       8/15/22     $ 9,565     $ 1,851,179       —     $ 1,851,179  
  Total               $ (335,662 )    $ (108,682 )    $ (226,980 ) 
           

 

 

  
     

1    Fund pays a fixed rate and receives the floating rate.

            
     

2    Fund pays a floating rate and receives the fixed rate.

            

 

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 semi-annual report.

 

                
8    BLACKROCK INCOME TRUST, INC.    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Income Trust, Inc. (BKT)

 

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

     —      $ 1,824,283      $ 415,528      $ 2,239,811  

Non-Agency Mortgage-Backed Securities

     —        2,640,080        1,419,749        4,059,829  

U.S. Government Sponsored Agency Securities

     —        638,536,726        2,176,220        640,712,946  

U.S. Treasury Obligations

     —        12,889,355        —        12,889,355  
Short-Term Securities:           

Money Market Fund

   $ 12,998,577        —        —        12,998,577  

Borrowed Bond Agreement

     —        856,249        —        856,249  

Subtotal

   $ 12,998,577      $ 656,746,693      $ 4,011,497      $ 673,756,767  

Liabilities:

           
Investments:           

Borrowed Bonds

     —      $ (902,349 )       —      $ (902,349 ) 

TBA Sale Commitments

     —        (113,351,424 )       —        (113,351,424 ) 
 

 

 

  

Total

   $ 12,998,577      $ 542,492,920      $ 4,011,497      $ 559,502,994  
 

 

 

  
Derivative Financial Instruments 1           

Assets:

           
Interest rate contracts   $ 656,190      $ 2,362,828        —      $ 3,019,018  

Liabilities:

           
Interest rate contracts     (1,173,946 )       (2,589,808 )       —        (3,763,754 ) 
 

 

 

  

Total

   $ (517,756 )     $ (226,980 )       —      $ (744,736 ) 
 

 

 

  

1    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 for financial reporting purposes. As of period end, reverse repurchase agreements of $198,125,821 are categorized as Level 2 within the disclosure hierarchy.

During the period ended May 31, 2017, there were no transfers between levels 1 and 2.

 

                
   BLACKROCK INCOME TRUST, INC.    MAY 31, 2017    9

Schedule of Investments (concluded)

   

BlackRock Income Trust, Inc. (BKT)

 

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		      Non-Agency
Mortgage-Backed
Securities 		     U.S. Government
Sponsored Agency
Securities		      Total  

Assets:

           

Opening Balance, as of August 31, 2016

   $ 468,888      $ 1,589,583      $ 2,580,068      $ 4,638,539  

Transfers into Level 31

     —        12,150        —        12,150  

Transfers out of Level 3

     —        —        —        —  

Accrued discounts/premiums

     (91,140 )       —        (7,452 )       (98,592 ) 

Net realized gain (loss)

     (95,532 )       (106 )       (8,841 )       (104,479 ) 

Net change in unrealized appreciation (depreciation)1,2

     133,312        (181,873 )       35,153        (13,408 ) 

Purchases

     —        —        —        —  

Sales

     —        (5 )       (422,708 )       (422,713 ) 
 

 

 

  

Closing Balance, as of May 31, 2017

   $ 415,528      $ 1,419,749      $ 2,176,220      $ 4,011,497  
 

 

 

  

Net change in unrealized appreciation (depreciation) on investments held as of May 31, 20172

   $ 133,312      $ (181,873 )     $ 35,153      $ (13,408 ) 
 

 

 

  

1    As of August 31, 2016 the Trust used observable inputs in determining the value of certain investments. As of May 31, 2017, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

     

2    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of May 31, 2017 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 inputs could result in a significantly lower or higher value of such Level 3 investments.

 

                
10    BLACKROCK INCOME TRUST, INC.    MAY 31, 2017   

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: July 24, 2017

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: July 24, 2017
By:  

/s/ Neal J. Andrews                 

   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Income Trust, Inc.

Date: July 24, 2017